Research classified by Journal of Economic Literature (JEL) codes

2016

• Jeremiah Green & John R. M. Hand & X. Frank Zhang, 2016, "Errors and questionable judgments in analysts’ DCF models," Review of Accounting Studies, Springer, volume 21, issue 2, pages 596-632, June, DOI: 10.1007/s11142-016-9352-4.
• Wei Zhu, 2016, "Accruals and price crashes," Review of Accounting Studies, Springer, volume 21, issue 2, pages 349-399, June, DOI: 10.1007/s11142-016-9355-1.
• Paul A. Griffin & Hyun A. Hong & Jeong-Bon Kim, 2016, "Price discovery in the CDS market: the informational role of equity short interest," Review of Accounting Studies, Springer, volume 21, issue 4, pages 1116-1148, December, DOI: 10.1007/s11142-016-9364-0.
• Mu-Shun Wang, 2016, "Idiosyncratic volatility, executive compensation and corporate governance: examination of the direct and moderate effects," Review of Managerial Science, Springer, volume 10, issue 2, pages 213-244, March, DOI: 10.1007/s11846-014-0143-7.
• Sebastian Lobe & Christian Walkshäusl, 2016, "Vice versus virtue investing around the world," Review of Managerial Science, Springer, volume 10, issue 2, pages 303-344, March, DOI: 10.1007/s11846-014-0147-3.
• Karin Niehoff, 2016, "Price Discovery in Voting and Non-Voting Stocks," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, volume 17, issue 3, pages 285-307, December, DOI: 10.1007/s41464-016-0021-8.
• Maximilian Gödl & Jörn Kleinert, 2016, "Interest rate spreads in the eurozone: Fundamentals or sentiments?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 152, issue 3, pages 449-475, August, DOI: 10.1007/s10290-016-0252-2.
• Sebastian Eichfelder & Mona Lau, 2016, "Hat die Einführung der Abgeltungsteuer Aktienkurse beeinflusst?
  [Did the Implementation of the Flat Withholding Tax Have a Bearing on the Prices of Shares?]," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 96, issue 2, pages 101-105, February, DOI: 10.1007/s10273-016-1933-0.
• Sebastian Eichfelder & Mona Lau, 2016, "Hat die Einführung der Abgeltungsteuer Aktienkurse beeinflusst?," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 96, issue 2, pages 101-105, February, DOI: 10.1007/s10273-016-1933-0.
• Delatte, Anne-Laure & Fouquau, Julien & Portes, Richard, 2016, "Regime-dependent sovereign risk pricing during the euro crisis," ESRB Working Paper Series, European Systemic Risk Board, number 9, May.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2016/15, Dec.
• David Backus & Nina Boyarchenko & Mikhail Chernov, 2016, "Term structures of asset prices and returns," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 16-08.
• Laurie Binge & Willem H Boshoff, 2016, "Modelling South African Art Prices: An analysis of post-2000 price behaviour," Working Papers, Stellenbosch University, Department of Economics, number 18/2016.
• Thorsten Lehnert & Yuehao Lin, 2016, "Skewness Term-Structure Tests," Applied Mathematical Finance, Taylor & Francis Journals, volume 23, issue 6, pages 484-504, November, DOI: 10.1080/1350486X.2017.1310624.
• Pavel Ciaian & Miroslava Rajcaniova & d’Artis Kancs, 2016, "The economics of BitCoin price formation," Applied Economics, Taylor & Francis Journals, volume 48, issue 19, pages 1799-1815, April, DOI: 10.1080/00036846.2015.1109038.
• Luis Ceballos & Alberto Naudon & Damián Romero, 2016, "Nominal term structure and term premia: evidence from Chile," Applied Economics, Taylor & Francis Journals, volume 48, issue 29, pages 2721-2735, June, DOI: 10.1080/00036846.2015.1128079.
• Vadim Kaushanskiy & Victor Lapshin, 2016, "A nonparametric method for term structure fitting with automatic smoothing," Applied Economics, Taylor & Francis Journals, volume 48, issue 58, pages 5654-5666, December, DOI: 10.1080/00036846.2016.1181835.
• Álvaro Cartea & Dimitrios Karyampas, 2016, "The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 6, pages 929-950, June, DOI: 10.1080/07474938.2014.976529.
• Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016, "Which parametric model for conditional skewness?," The European Journal of Finance, Taylor & Francis Journals, volume 22, issue 13, pages 1237-1271, October, DOI: 10.1080/1351847X.2013.877515.
• Sermin Gungor & Richard Luger, 2016, "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 2, pages 161-175, April, DOI: 10.1080/07350015.2015.1019510.
• Laura Coroneo & Domenico Giannone & Michele Modugno, 2016, "Unspanned Macroeconomic Factors in the Yield Curve," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 3, pages 472-485, July, DOI: 10.1080/07350015.2015.1052456.
• Michael W. McCracken & Serena Ng, 2016, "FRED-MD: A Monthly Database for Macroeconomic Research," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 4, pages 574-589, October, DOI: 10.1080/07350015.2015.1086655.
• Jean-Christophe Delfim & Martin Hoesli, 2016, "Risk factors of European non-listed real estate fund returns," Journal of Property Research, Taylor & Francis Journals, volume 33, issue 3, pages 190-213, July, DOI: 10.1080/09599916.2016.1199590.
• Bård Misund, 2016, "Vertical integration and value-relevance: Empirical evidence from oil and gas producers," Cogent Economics & Finance, Taylor & Francis Journals, volume 4, issue 1, pages 1264107-126, December, DOI: 10.1080/23322039.2016.1264107.
• Frank Asche & Bård Misund, 2016, "Who’s a major? A novel approach to peer group selection: Empirical evidence from oil and gas companies," Cogent Economics & Finance, Taylor & Francis Journals, volume 4, issue 1, pages 1264538-126, December, DOI: 10.1080/23322039.2016.1264538.
• Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2016, "Recovering the real-world density and liquidity premia from option data," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 7, pages 1147-1164, July, DOI: 10.1080/14697688.2015.1128117.
• Martin Hoesli & Elias Oikarinen, 2016, "Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 22, issue 2, pages 179-198, January, DOI: 10.1080/10835547.2016.12089990.
• Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2016, "The impact of oil price shocks on the US stock market: A note on the roles of the US and non-US oil production," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2016-03, Mar.
• Georgios Mantsios & Stylianos Xanthopoulos, 2016, "The Beta intervalling effect during a deep economic crisis - evidence from Greece," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 9, issue 1, pages 19-26, April.
• Geromichalos, Athanasios & Herrenbrueck, Lucas M. & Salyer, Kevin D., 2016, "A search-theoretic model of the term premium," Theoretical Economics, Econometric Society, volume 11, issue 3, September.
• Roman Frydman & Joshua R. Stillwagon, 2016, "Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter," Working Papers Series, Institute for New Economic Thinking, number 44, May, DOI: 10.2139/ssrn.2793421.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-006/III, Feb.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016, "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-010/III, Feb, revised 23 Jan 2017.
• Luiz Felix & Roman Kraussl & Philip Stork, 2016, "Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-022/IV, Apr, revised 26 Jan 2018.
• Matthias Weber & John Duffy & Arthur Schram, 2016, "An Experimental Study of Bond Market Pricing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-059/I, Aug.
• Beetsma, R.M.W.J. & Giuliodori, M. & de Jong, F.C.J.M. & Widijanto, D., 2014, "Price effects of sovereign debt auctions in the Euro-zone : The role of the crisis," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8e7aa91b-fe20-460e-9ff2-e.
• Shin-ichi Fukuda & Mariko Tanaka, 2016, "Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from the Australian Dollar and the NZ Dollar," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1032, Nov.
• Andreas Haupenthal & Matthias Neuenkirch, 2016, "Grexit News and Stock Returns," Research Papers in Economics, University of Trier, Department of Economics, number 2016-08.
• Özge SEZGIN ALP & Fazil GÖKGÖZ & Güray KÜÇÜKKOCAOGLU, 2016, "Estimating Turkish Stock Market Returns With Apt Model: Cointegration And Vector Error Correction," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 14, issue 1, pages 7-19, May.
• Thomas Conlon & John Cotter & Chenglu Jin, 2016, "The Intervaling Effect on Higher-Order Co-Moments," Working Papers, Geary Institute, University College Dublin, number 201602, Jan.
• John Cotter & Stuart Gabriel & Richard Roll, 2016, "Nowhere to run, nowhere to hide: asset diversification in a flat world," Working Papers, Geary Institute, University College Dublin, number 201612, Nov.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-01, Feb.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016, "How are VIX and Stock Index ETF Related?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-02, Feb.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016, "An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-01, Dec.
• Alessia Paccagnini, 2016, "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications, School of Economics, University College Dublin, number 10197/7324, Jan.
• Muhammad Zubair Mumtaz & Zachary A. Smith & Ather Maqsood Ahmed, 2016, "An examination of short-run performance of IPOs using Extreme Bounds Analysis," Estudios de Economia, University of Chile, Department of Economics, volume 43, issue 1 Year 20, pages 71-95, June.
• C. José García Martín & Begoña Herrero Piqueras & Ana María Ibáñez Escribano, 2016, "The informational role of thin options markets: Empirical evidence from the Spanish case," Estudios de Economia, University of Chile, Department of Economics, volume 43, issue 2 Year 20, pages 233-263, December.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2016, "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2016_01, Mar.
• Phu Nguyen-Van & Cyrielle Poiraud & Nguyen To-The, 2016, "Modeling farmers’ decisions on tea varieties in Vietnam: a multinomial logit analysis," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2016-40.
• Juan Carlos Cuestas & Luis A. Gil-Alana, 2016, "Oil shocks on unemployment in Central and Eastern Europe," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 01/16, Jan.
• Elena María Díaz & Juan Carlos Molero & Fernando Pérez de Gracia, 2016, "Oil price volatility and stock returns in the G7 economies," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/16, Nov.
• Francesco Cerigioni, 2016, "Dual decision processes and noise trading," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1553, Sep.
• Eric Jondeau, 2016, "Comment on "Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc"," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, volume 67, issue 02, pages 49-50, August.
• Thomas Nitschka, 2016, "Risk premia on Swiss government bonds and sectoral stock indexes during international crises:," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, volume 67, issue 02, pages 51-67, August.
• , 2016, "Funding Illiquidity," Working Papers on Finance, University of St. Gallen, School of Finance, number 1601, Jan, revised Sep 2019.
• Abdi, Farshid & Ranaldo, Angelo, 2016, "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, nam," Working Papers on Finance, University of St. Gallen, School of Finance, number 1604, Jan, revised Apr 2017.
• Ranaldo, Angelo & Rossi, Enzo, 2016, "Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution," Working Papers on Finance, University of St. Gallen, School of Finance, number 1609, Mar.
• Mirkov, Nikola & Pozdeev, Igor & Soderlind, Paul, 2016, "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers on Finance, University of St. Gallen, School of Finance, number 1614, Jul.
• Ben Ammar, Semir, 2016, "Pricing of Catastrophe Risk and the Implied Volatility Smile," Working Papers on Finance, University of St. Gallen, School of Finance, number 1617, Jul.
• Xue-Zhong He & Lei Shi, 2016, "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2016-4, Jan.
• Xue-Zhong He & Huanhuan Zheng, 2016, "Trading Heterogeneity Under Information Uncertainty," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 373, Jul.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016, "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 374, Aug.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016, "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 63, issue 3, pages 273-291.
• Karanović Goran & Karanović Bisera, 2016, "IPOs Performance Analysis: Evidence from Emerging Markets in the Balkans," Scientific Annals of Economics and Business, Paradigm, volume 63, issue 3, pages 381-389, November, DOI: 10.1515/saeb-2016-0129.
• Sakowski Paweł & Ślepaczuk Robert & Wywiał Mateusz, 2016, "Cross-Sectional Returns with Volatility Regimes from a Diverse Portfolio of Emerging and Developed Equity Indices," Financial Internet Quarterly (formerly e-Finanse), Paradigm, volume 12, issue 2, pages 23-35, DOI: 10.1515/fiqf-2016-0141.
• Flotyński Marcin, 2016, "The Profitability of the Strategy Linking Fundamental, Portfolio and Technical Analysis on the Polish Capital Market," Folia Oeconomica Stetinensia, Paradigm, volume 16, issue 1, pages 113-146, December, DOI: 10.1515/foli-2016-0008.
• Majewski Sebastian, 2016, "Identification of Factors Determining Market Value of the Most Valuable Football Players," Journal of Management and Business Administration. Central Europe, Paradigm, volume 24, issue 3, pages 91-104, September, DOI: 10.7206/jmba.ce.2450-7814.177.
• Wolski Rafał, 2016, "Investment Risk in the Context of Price Changes on the Real Estate and Stock Markets," Real Estate Management and Valuation, Paradigm, volume 24, issue 1, pages 41-50, March, DOI: 10.1515/remav-2016-0004.
• R.A. Omotunde (M.Sc.) & Isaac Chii Nwaogwugwu (PhD) & N. I. Nwokoma (Professor), 2016, "Interest Rate Shocks And Stock Market Volatility In Nigeria (1985-2014)," West African Journal of Monetary and Economic Integration, West African Monetary Institute, volume 16, issue 2, pages 44-72, December.
• Yasushi Asako & Yukihiko Funaki & Kozo Ueda & Nobuyuki Uto, 2016, "Symmetric Information Bubbles: Experimental Evidence," Working Papers, Waseda University, Faculty of Political Science and Economics, number 1613, Dec.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-08.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-09.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-10.
• Ratha,Dilip K. & De,Supriyo & Kurlat,Sergio Andres & Ratha,Dilip K. & De,Supriyo & Kurlat,Sergio Andres, 2016, "Does governing law affect bond spreads ?," Policy Research Working Paper Series, The World Bank, number 7863, Oct.
• Helmut Elsinger & Philipp Schmidt-Dengler & Christine Zulehner, 2016, "Competition in Treasury Auctions," WIFO Working Papers, WIFO, number 512, Feb.
• Feixue Gong & Gregory Phelan, 2016, "Debt Collateralization, Structured Finance, and the CDS Basis," Department of Economics Working Papers, Department of Economics, Williams College, number 2016-06, Mar, revised Aug 2017.
• Johannes C. Buggle & Steven Nafziger, 2016, "Long-Run Consequences of Labor Coercion: Evidence from Russian Serfdom," Department of Economics Working Papers, Department of Economics, Williams College, number 2016-07, Oct.
• Christian A. L. Hilber & Wouter Vermeulen, 2016, "The Impact of Supply Constraints on House Prices in England," Economic Journal, Royal Economic Society, volume 126, issue 591, pages 358-405, March, DOI: 10.1111/ecoj.12213.
• Robert J. Barro & Sanjay Misra, 2016, "Gold Returns," Economic Journal, Royal Economic Society, volume 126, issue 594, pages 1293-1317, August.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2016, "No‐Bubble Condition: Model‐Free Tests in Housing Markets," Econometrica, Econometric Society, volume 84, issue , pages 1047-1091, May.
• Alessandro Gavazza, 2016, "An Empirical Equilibrium Model of a Decentralized Asset Market," Econometrica, Econometric Society, volume 84, issue , pages 1755-1798, September.
• Raj Chetty & Adam Szeidl, 2016, "Consumption Commitments and Habit Formation," Econometrica, Econometric Society, volume 84, issue , pages 855-890, March.
• Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016, "Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets," Econometrica, Econometric Society, volume 84, issue , pages 985-1046, May.
• Davide Pettenuzzo & Francesco Ravazzolo, 2016, "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 31, issue 7, pages 1312-1332, November.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2016, "Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas," Journal of Forecasting, John Wiley & Sons, Ltd., volume 35, issue 5, pages 445-461, August.
• Philipp Adämmer & Martin T. Bohl & Christian Gross, 2016, "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 9, pages 851-869, September.
• Athanasios Geromichalos & Lucas Herrenbrueck, 2016, "Monetary Policy, Asset Prices, and Liquidity in Over‐the‐Counter Markets," Journal of Money, Credit and Banking, Blackwell Publishing, volume 48, issue 1, pages 35-79, February, DOI: 10.1111/jmcb.12290.
• Jing Cynthia Wu & Fan Dora Xia, 2016, "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, volume 48, issue 2-3, pages 253-291, March, DOI: 10.1111/jmcb.12300.
• Knut K. Aase, 2016, "Recursive utility using the stochastic maximum principle," Quantitative Economics, Econometric Society, volume 7, issue 3, pages 859-887, November.
• Lee A. Smales, 2016, "Trading behavior in S&P 500 index futures," Review of Financial Economics, John Wiley & Sons, volume 28, issue 1, pages 46-55, January, DOI: 10.1016/j.rfe.2015.11.001.
• Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, 2016, "Can stochastic discount factor models explain the cross‐section of equity returns?," Review of Financial Economics, John Wiley & Sons, volume 28, issue 1, pages 56-68, January, DOI: 10.1016/j.rfe.2016.01.001.
• Huan Xie & Jipeng Zhang, 2016, "Bubbles and experience: An experiment with a steady inflow of new traders," Southern Economic Journal, John Wiley & Sons, volume 82, issue 4, pages 1349-1373, April, DOI: 10.1002/soej.12120.
• Song Han & Hao Zhou, 2016, "Effects of Liquidity on the Non-Default Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 03, pages 1-49, September, DOI: 10.1142/S2010139216500129.
• Kentaro Kikuchi, 2016, "Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Masaaki Kijima & Yukio Muromachi & Takashi Shibata, "RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014".
• Robert Ślepaczuk, 2016, "Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices," Financial Internet Quarterly, University of Information Technology and Management in Rzeszów, volume 12, issue 2, pages 24-35, February, DOI: 10.1515/fiqf-2016-0141.
• 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 & Dunn, Brett R. & Longstaff, Francis, 2016, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers, Centre for Economic Policy Research, number 10947, Mar.
• Beber, Alessandro & Fabbri, Daniela & Pagano, Marco & 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.
• Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2016, "Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area," CEPR Discussion Papers, Centre for Economic Policy Research, number 11122, Feb.
• Della Corte, Pasquale & Riddiough, Steven & Sarno, Lucio, 2016, "Currency Premia and Global Imbalances," CEPR Discussion Papers, Centre for Economic Policy Research, number 11129, Feb.
• Broer, Tobias, 2016, "Securitisation Bubbles: Structured finance with disagreement about default correlations," CEPR Discussion Papers, Centre for Economic Policy Research, number 11145, Mar.
• Giannetti, Mariassunta & Kahraman, Bige, 2016, "Who Trades Against Mispricing?," CEPR Discussion Papers, Centre for Economic Policy Research, number 11156, Mar.
• Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016, "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers, Centre for Economic Policy Research, number 11169, Mar.
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 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.
• Bailey, Michael & Cao, Ruiqing & Kuchler, Theresa & Ströbel, Johannes, 2016, "Social Networks and Housing Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 11272, May.
• Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 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.
• Jacobs, Heiko & Regele, Tobias & Weber, Martin, 2016, "Expected skewness and momentum," CEPR Discussion Papers, Centre for Economic Policy Research, number 11455, Aug.
• Adrian, Tobias & Moench, Emanuel & 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.
• Huang, Shiyang & Lou, Dong & Polk, Christopher, 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.
• Ungeheuer, Michael & Weber, Martin, 2016, "The Perception of Dependence, Investment Decisions, and Stock Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 11585, Oct.
• Jordà , Oscar & Schularick, Moritz & Taylor, Alan M., 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. & Ortu, Fulvio & Tamoni, Andrea & Yang, Haoxi, 2016, "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 11645, Nov.
• Collet, Stéphanie & Oosterlinck, Kim, 2016, "Pricing the Odious in Odious Debts," CEPR Discussion Papers, Centre for Economic Policy Research, number 11653, Nov.
• Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg & Woschitz, Jiri, 2016, "Collateral, Central Bank Repos, and Systemic Arbitrage," CEPR Discussion Papers, Centre for Economic Policy Research, number 11663, Nov.
• Chavaz, Matthieu & Flandreau, Marc, 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.
• Breach, Tomas & D'Amico, Stefania & Orphanides, Athanasios, 2016, "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers, Centre for Economic Policy Research, number 11730, Dec.
• Cespa, Giovanni & Vives, Xavier, 2016, "Market opacity and fragility: Why liquidity evaporates when it is most needed," 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.
• 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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, International Journal of Economics and Financial Issues, 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.