Research classified by Journal of Economic Literature (JEL) codes

2016

• 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.
• Kolb, Johannes & Tykvová, Tereza, 2016, "Going public via special purpose acquisition companies: Frogs do not turn into princes," Journal of Corporate Finance, Elsevier, volume 40, issue C, pages 80-96, DOI: 10.1016/j.jcorpfin.2016.07.006.
• 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.
• Elias, Christopher J., 2016, "Asset pricing with expectation shocks," Journal of Economic Dynamics and Control, Elsevier, volume 65, issue C, pages 68-82, DOI: 10.1016/j.jedc.2016.02.005.
• 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.
• in ׳t Veld, Daan, 2016, "Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, volume 69, issue C, pages 45-67, DOI: 10.1016/j.jedc.2016.05.005.
• 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.
• Akhtaruzzaman, Md & Shamsuddin, Abul, 2016, "International contagion through financial versus non-financial firms," Economic Modelling, Elsevier, volume 59, issue C, pages 143-163, DOI: 10.1016/j.econmod.2016.07.003.
• Kim, Jan R. & Lim, Gieyoung, 2016, "Fundamentals and rational bubbles in the Korean housing market: A modified present-value approach," Economic Modelling, Elsevier, volume 59, issue C, pages 174-181, DOI: 10.1016/j.econmod.2016.07.015.
• Li, Mingsheng & Zhao, Xin, 2016, "Neighborhood effect on stock price comovement," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 1-22, DOI: 10.1016/j.najef.2015.10.002.
• Camba-Méndez, Gonzalo & Serwa, Dobromił, 2016, "Market perception of sovereign credit risk in the euro area during the financial crisis," The North American Journal of Economics and Finance, Elsevier, volume 37, issue C, pages 168-189, DOI: 10.1016/j.najef.2016.04.002.
• Ayadi, Mohamed A. & Chaibi, Anis & Kryzanowski, Lawrence, 2016, "Performance of Canadian hybrid mutual funds," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 124-147, DOI: 10.1016/j.najef.2016.09.003.
• Tsai, I-Chun & Peng, Chien-Wen, 2016, "Linear and nonlinear dynamic relationships between housing prices and trading volumes," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 172-184, DOI: 10.1016/j.najef.2016.10.014.
• Yang, Chunpeng & Zhou, Liyun, 2016, "Individual stock crowded trades, individual stock investor sentiment and excess returns," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 39-53, DOI: 10.1016/j.najef.2016.06.001.
• Deng, Kaihua, 2016, "A refined asymptotic framework for dividend yield in predictive regressions," Economics Letters, Elsevier, volume 138, issue C, pages 60-63, DOI: 10.1016/j.econlet.2015.11.022.
• Condie, Scott S. & Phillips, Kerk L., 2016, "Can irrational investors survive in the long run? The role of generational type transmission," Economics Letters, Elsevier, volume 139, issue C, pages 40-42, DOI: 10.1016/j.econlet.2015.12.008.
• Balaban, Ercan & Lu, Shan, 2016, "Forecasting the term structure of volatility of crude oil price changes," Economics Letters, Elsevier, volume 141, issue C, pages 116-118, DOI: 10.1016/j.econlet.2016.02.015.
• Boermans, Martijn Adriaan & Frost, Jon & Steins Bisschop, Sophie, 2016, "European bond markets: Do illiquidity and concentration aggravate price shocks?," Economics Letters, Elsevier, volume 141, issue C, pages 143-146, DOI: 10.1016/j.econlet.2016.02.023.
• Mathur, Vipul & Subramanian, Chetan, 2016, "Financial market segmentation and choice of exchange rate regimes," Economics Letters, Elsevier, volume 142, issue C, pages 78-82, DOI: 10.1016/j.econlet.2016.02.035.
• Donadelli, Michael & Grüning, Patrick, 2016, "Labor market dynamics, endogenous growth, and asset prices," Economics Letters, Elsevier, volume 143, issue C, pages 32-37, DOI: 10.1016/j.econlet.2016.03.020.
• Roskelley, Kenneth D., 2016, "Augmenting the Taylor rule: Monetary policy and the bond market," Economics Letters, Elsevier, volume 144, issue C, pages 64-67, DOI: 10.1016/j.econlet.2016.05.002.
• Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin, 2016, "The impact of oil price shocks on the U.S. stock market: A note on the roles of U.S. and non-U.S. oil production," Economics Letters, Elsevier, volume 145, issue C, pages 176-181, DOI: 10.1016/j.econlet.2016.06.008.
• Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016, "Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion," Economics Letters, Elsevier, volume 145, issue C, pages 225-229, DOI: 10.1016/j.econlet.2016.05.035.
• Longin, François & Pagliardi, Giovanni, 2016, "Tail relation between return and volume in the US stock market: An analysis based on extreme value theory," Economics Letters, Elsevier, volume 145, issue C, pages 252-254, DOI: 10.1016/j.econlet.2016.06.026.
• Wu, Wenbin, 2016, "Are financial markets less responsive to monetary policy shocks at the zero lower bound?," Economics Letters, Elsevier, volume 145, issue C, pages 258-261, DOI: 10.1016/j.econlet.2016.07.001.
• Li, Meiyu & Gençay, Ramazan & Xue, Yi, 2016, "Is it Brownian or fractional Brownian motion?," Economics Letters, Elsevier, volume 145, issue C, pages 52-55, DOI: 10.1016/j.econlet.2016.05.012.
• Pohl, Walt, 2016, "External habit: Anything goes," Economics Letters, Elsevier, volume 146, issue C, pages 140-142, DOI: 10.1016/j.econlet.2016.07.019.
• Walkshäusl, Christian, 2016, "Mispricing and the five-factor model," Economics Letters, Elsevier, volume 147, issue C, pages 99-102, DOI: 10.1016/j.econlet.2016.08.025.
• Jang, Woon Wook & Eom, Young Ho & Kang, Yong Joo, 2016, "Corporate bond pricing model with stochastically volatile firm value process," Economics Letters, Elsevier, volume 148, issue C, pages 41-44, DOI: 10.1016/j.econlet.2016.09.018.
• Antonakakis, Nikolaos & Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2016, "Is inflation persistence different in reality?," Economics Letters, Elsevier, volume 148, issue C, pages 55-58, DOI: 10.1016/j.econlet.2016.09.003.
• Schmitt, Noemi & Westerhoff, Frank, 2016, "Stock market participation and endogenous boom-bust dynamics," Economics Letters, Elsevier, volume 148, issue C, pages 72-75, DOI: 10.1016/j.econlet.2016.09.016.
• Urquhart, Andrew, 2016, "The inefficiency of Bitcoin," Economics Letters, Elsevier, volume 148, issue C, pages 80-82, DOI: 10.1016/j.econlet.2016.09.019.
• Sung, Ming-Chien & Johnson, Johnnie E.V. & McDonald, David C.J., 2016, "Informed trading, market efficiency and volatility," Economics Letters, Elsevier, volume 149, issue C, pages 56-59, DOI: 10.1016/j.econlet.2016.10.015.
• Song, Zhaogang & Xiu, Dacheng, 2016, "A tale of two option markets: Pricing kernels and volatility risk," Journal of Econometrics, Elsevier, volume 190, issue 1, pages 176-196, DOI: 10.1016/j.jeconom.2015.06.024.
• Bianchi, Francesco, 2016, "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, volume 190, issue 1, pages 79-99, DOI: 10.1016/j.jeconom.2015.08.004.
• Goliński, Adam & Zaffaroni, Paolo, 2016, "Long memory affine term structure models," Journal of Econometrics, Elsevier, volume 191, issue 1, pages 33-56, DOI: 10.1016/j.jeconom.2015.09.006.
• Park, Yang-Ho, 2016, "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 313-328, DOI: 10.1016/j.jeconom.2016.01.001.
• Li, Jia & Todorov, Viktor & Tauchen, George, 2016, "Inference theory for volatility functional dependencies," Journal of Econometrics, Elsevier, volume 193, issue 1, pages 17-34, DOI: 10.1016/j.jeconom.2016.01.004.
• Conrad, Christian & Mammen, Enno, 2016, "Asymptotics for parametric GARCH-in-Mean models," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 319-329, DOI: 10.1016/j.jeconom.2016.05.010.
• Li, Chenxu & Chen, Dachuan, 2016, "Estimating jump–diffusions using closed-form likelihood expansions," Journal of Econometrics, Elsevier, volume 195, issue 1, pages 51-70, DOI: 10.1016/j.jeconom.2016.07.001.

2015

• Martin T. Bohl & Nicole Branger & Mark Trede, 2015, "The Case of Herding ist Stronger than You Think," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3715, Jan.
• Philipp Adämmer & Martin T. Bohl & Christian Gross, 2015, "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3915, Apr.
• Benedikt Rotermann & Bernd Wilfling, 2015, "Estimating rational stock-market bubbles with sequential Monte Carlo methods," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4015, May.
• Philipp Adämmer & Martin T. Bohl, 2015, "Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4415, Dec.
• Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu, 2015, "Monetary Policy with Diverse Private Expectations," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def022, Jan.
• Manuel A. Zambrano-Monserrate & Daniel A. Sanchez-Loor, 2015, "Factores determinantes del salario del sector privado en el Ecuador para el año 2014: un caso de estudio en la ciudad de Guayaquil," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 38, issue 108, pages 139-151, Septiembr.
• David Chinarro & Eduardo Martínez & Simón J. Sosvilla, 2015, "Analysis of the evolution of sovereign bond yields by wavelet techniques," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 38, issue 108, pages 152-162, Septiembr.
• Andrea Beccarini, 2015, "Another Look at the Boom and Bust of Financial Bubbles," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 417-423, November.
• Ki Beom Binh & Hogyu Jhang, 2015, "Extraneous Risk: Pricing of Non-Systematic Risk," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 335-352, November.
• Qin Wang & Yiheng Zou & Yu Ren & Zhuo Huang, 2015, "The Spirit of Capitalism and the Equity Premium," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 493-513, November.
• Zhaojun Yang & Chunhong Zhang, 2015, "The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 371-392, November.
• Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015, "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 676.
• Hilscher, Jens & Pollet, Joshua M. & Wilson, Mungo, 2015, "Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 50, issue 3, pages 543-567, June.
• Yeo, Michelle & Fletcher, Tristan & Shawe-Taylor, John, 2015, "Machine Learning in Fine Wine Price Prediction," Journal of Wine Economics, Cambridge University Press, volume 10, issue 2, pages 151-172, November.
• Bocart, Fabian Y.R.P. & Hafner, Christian M., 2015, "Fair Revaluation of Wine as an Investment," Journal of Wine Economics, Cambridge University Press, volume 10, issue 2, pages 190-203, November.
• Alper Veli AM, 2015, "Notes on the2015 Finance Symposium," Journal of Economics Library, EconSciences Journals, volume 2, issue 4, pages 378-379, December.
• Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2015, "Investment Horizons and Price Indeterminacy in Financial Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2001, Jun.
• Dirk Bergemann & Tibor Heumann & Stephen Morris, 2015, "Information and Market Power," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2017, Aug.
• Dirk Bergemann & Tibor Heumann & Stephen Morris, 2015, "Information and Market Power," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2017R, Aug, revised Oct 2017.
• Leung, H. & Ton, T., 2015, "The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 85516, Jun.
• Nicolas Boitout & Fabrice Hervé & Mohamed Zouaoui, 2015, "Médias et sentiment sur les marchés actions européens - Impact of sentiment media on European stock markets," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1150101, Jan.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015, "Long-Term Price Overreactions: Are Markets Inefficient?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1444.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015, "The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1458.
• Benjamin Beckers, 2015, "The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1496.
• Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2015, "The EMBI in Latin America: Fractional Integration, Non-linearities and Breaks," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1524.
• Westerlund, Joakim & Narayan, Paresh & Zheng, Xinwei, 2015, "Testing for stock return predictability in a large Chinese panel," Working Papers, Deakin University, Department of Economics, number fe_2015_11, Jan, DOI: 10.1016/j.ememar.2015.05.004.
• Imane El Ouadghiri & Remzi Uctum, 2015, "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-14.
• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-16.
• Imane El Ouadghiri, 2015, "Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-17.
• Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015, "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 284, Feb.
• Dooruj Rambaccussing, 2015, "Revisiting Shiller’s excess volatility hypothesis," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 287, Feb.
• Dooruj McRambaccussing, 2015, "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 291, Oct.
• Lescourret, Laurence & Moinas, Sophie, 2015, "Liquidity Supply across Multiple Trading Venues," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1505, Mar.
• Thesmar , David & Landier , Augustin, 2015, "The Capacity of Trading Strategies," HEC Research Papers Series, HEC Paris, number 1089, Mar.
• Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015, "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-36, Oct.
• Falagiarda, Matteo & Gregori, Wildmer Daniel, 2015, "The impact of fiscal policy announcements by the Italian government on the sovereign spread: a comparative analysis," Working Paper Series, European Central Bank, number 1782, Apr.
• De Santis, Roberto A., 2015, "A measure of redenomination risk," Working Paper Series, European Central Bank, number 1785, Apr.
• Walch, Florian & Lennkh, Rudolf Alvise, 2015, "Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral," Working Paper Series, European Central Bank, number 1793, May.
• Birru, Justin, 2015, "Psychological Barriers, Expectational Errors, and Underreaction to News," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2014-03, Jan.
• Lin, Xiaoji & Palazzo, Berardino, 2015, "Technology Adoption, External Financing Frictions, and the Cross Sectional Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2014-15, Jan.
• Hou, Kewei & Zhang, Yinglei & Zhuang, Zili, 2015, "Understanding the Variation in the Information Content of Earnings: A Return Decomposition Analysis," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-01, Jan.
• Chen, Jia & Hou, Kewei & Stulz, Rene M., 2015, "Are Firms in 'Boring' Industries Worth Less?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-02, Jan.
• Bai, Hang & Hou, Kewei & Kung, Howard & Zhang, Lu, 2015, "The CAPM Strikes Back? An Investment Model with Disasters," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-03, Mar.
• Werner, Ingrid M. & Wen, Yuanji & Rindi, Barbara & Consonni, Francesco & Buti, Sabrina, 2015, "Tick Size: Theory and Evidence," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-04, Mar.
• Hou, Kewei & Xue, Chen & Zhang, Lu, 2015, "A Comparison of New Factor Models," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-05, Jan.
• Beltratti, Andrea & Stulz, Rene M., 2015, "Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard durning the European Crisis," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-06, Apr.
• Bollen, Nicolas P. B. & Sensoy, Berk A., 2015, "How Much for a Haircut? Illiquidity, Secondary Markets, and the Value of Private Equity," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-08, May.
• Ben-David, Itzhak & Franzoni, Francesco A. & Moussawi, Rabih & Sedunov, John, III, 2015, "The Granular Nature of Large Institutional Investors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-09, Jun.
• Birru, Justin & Wang, Baolian, 2015, "The Nominal Price Premium," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-15, Oct.
• Bao, Jack & Chen, Jia & Hou, Kewei & Lu, Lei, 2015, "Prices and Volatilities in the Corporate Bond Market," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-18, Aug.
• Zhang, Lu, 2015, "The Investment CAPM," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-19, Dec.
• Berk, Jonathan B. & van Binsbergen, Jules H., 2015, "Assessing Asset Pricing Models Using Revealed Preference," Research Papers, Stanford University, Graduate School of Business, number 3130, Mar.
• Golez, Benjamin & Koudijs, Peter, 2015, "Four Centuries of Return Predictability," Research Papers, Stanford University, Graduate School of Business, number 3259, Jan.
• Krishnamurthy, Arvind & Vissing-Jorgensen, Annette, 2015, "The Impact of Treasury Supply on Financial Sector Lending and Stability," Research Papers, Stanford University, Graduate School of Business, number 3276, Apr.
• He, Zhiguo & Krishnamurthy, Arvind, 2015, "A Macroeconomic Framework for Quantifying Systemic Risk," Research Papers, Stanford University, Graduate School of Business, number 3277, Mar.
• Ogneva, Maria & Piotroski, Joseph D. & Zakolyukina, Anastasia A., 2015, "When Is Distress Risk Priced? Evidence from Recessionary Failure Prediction," Research Papers, Stanford University, Graduate School of Business, number 3333, May.
• Duffie, Darrell & Qiao, Lei & Sun, Yeneng, 2015, "Dynamic Directed Random Matching," Research Papers, Stanford University, Graduate School of Business, number 3359, Nov.
• Chien, YiLi & Lustig, Hanno & Naknoi, Kanda, 2015, "Why Are Exchange Rates So Smooth? A Segmented Asset Markets Explanation," Research Papers, Stanford University, Graduate School of Business, number 3414, Nov.
• Brown, Jeffrey A. & McGourty, Brad & Schuermann, Til, 2015, "Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 15-01, Jan.
• Li, Jian & Li, Chongguang & Chavas, Jean-Paul, 2015, "Food Price Bubbles and Government Intervention: Is China Different?," Staff Paper Series, University of Wisconsin, Agricultural and Applied Economics, number 579, Jun.
• Chyi-Lun Chiou, 2015, "Understanding the Cash Flow-Fundamental Ratio," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 1, pages 148-157.
• Fethi Belhaj & Ezzeddine Abaoub, 2015, "A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 354-364.
• Mohamed Naceur Mahjoubi & Ezzeddine Abaoub, 2015, "Earnings Response Coefficient as a Measure of Market Expectations: Evidence from Tunis Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 377-389.
• Georgeta Vintila & Elena Alexandra Nenu, 2015, "An Analysis of Determinants of Corporate Financial Performance: Evidence from the Bucharest Stock Exchange Listed Companies," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 3, pages 732-739.
• Brooke Alexandra Maeda, 2015, "Flight to Liquidity on the Tokyo Stock Exchange during the 2008 Share Market Crashes," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 3, pages 790-801.
• Laura Cueppers & Dieter Smeets, 2015, "How Do Oil Price Changes Affect German Stock Returns?," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 1, pages 321-334.
• Pasrun Adam & Usman Rianse & Edi Cahyono & Manat Rahim, 2015, "Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 2, pages 550-557.
• Nnaemeka Vincent Emodi & Kyung-Jin Boo, 2015, "Sustainable Energy Development in Nigeria: Overcoming Energy Poverty," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 2, pages 580-597.
• Ayman Omar, 2015, "West Texas Intermediate and Brent Spread during Organization of the Petroleum Exporting Countries Supply Disruptions," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 3, pages 693-703.
• Téllez de Vettori, Giannio & Chávez-Bedoya, Luis & Loaiza Alamo, Carlos, 2015, "Precios de adjudicación y componentes del spread en la Bolsa de Valores de Lima," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
• Téllez de Vettori, Giannio & Chávez-Bedoya, Luis & Loaiza Alamo, Carlos, 2015, "Pricing and spread components at the Lima Stock Exchange," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
• Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015, "Co-Movement, Spillovers and Excess Returns in Global Bond Markets," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-75, Jun.