Research classified by Journal of Economic Literature (JEL) codes

2016

• Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Uno, Jun & Yuferova, Darya, 2017, "Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 144, revised 2017, DOI: 10.2139/ssrn.2841242.
• Geppert, Christian & Ludwig, Alexander & Abiry, Raphael, 2016, "Secular stagnation? Growth, asset returns and welfare in the next decades: First results," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 145, DOI: 10.2139/ssrn.2841555.
• Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe, 2016, "Aging and real estate prices: evidence from Japanese and US regional data," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 9, issue 1, pages 66-87, March, DOI: 10.1108/IJHMA-11-2014-0053.
• Van Le, 2016, "The effect of short-sale restrictions: another perspective," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 12, issue 5, pages 700-714, October, DOI: 10.1108/IJMF-12-2014-0188.
• Narain & Narander Kumar Nigam & Piyush Pandey, 2016, "Behaviour and determinants of implied volatility in Indian market," Journal of Advances in Management Research, Emerald Group Publishing Limited, volume 13, issue 3, pages 271-291, November, DOI: 10.1108/JAMR-09-2015-0062.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Alex Plastun, 2016, "The weekend effect: an exploitable anomaly in the Ukrainian stock market?," Journal of Economic Studies, Emerald Group Publishing Limited, volume 43, issue 6, pages 954-965, November, DOI: 10.1108/JES-09-2015-0167.
• Dionisis Chionis & Ioannis Pragidis & Panagiotis Schizas, 2016, "The determinants of Greek bond yields: an empirical study before and during the crisis," Journal of Economic Studies, Emerald Group Publishing Limited, volume 43, issue 3, pages 504-519, August, DOI: 10.1108/JES-12-2014-0197.
• Tsangyao Chang & Luis Gil-Alana & Goodness C. Aye & Rangan Gupta & Omid Ranjbar, 2016, "Testing for bubbles in the BRICS stock markets," Journal of Economic Studies, Emerald Group Publishing Limited, volume 43, issue 4, pages 646-660, September, DOI: 10.1108/JES-07-2014-0128.
• Axel Buchner, 2016, "Portfolio dynamics under illiquidity," Journal of Risk Finance, Emerald Group Publishing Limited, volume 17, issue 4, pages 405-427, August, DOI: 10.1108/JRF-01-2016-0002.
• Ourania Theodosiadou & Vassilis Polimenis & George Tsaklidis, 2016, "Sensitivity analysis of market and stock returns by considering positive and negative jumps," Journal of Risk Finance, Emerald Group Publishing Limited, volume 17, issue 4, pages 456-472, August, DOI: 10.1108/JRF-01-2016-0008.
• Christian Fieberg & Thorsten Poddig & Armin Varmaz, 2016, "An investor’s perspective on risk-models and characteristic-models," Journal of Risk Finance, Emerald Group Publishing Limited, volume 17, issue 3, pages 262-276, May, DOI: 10.1108/JRF-02-2016-0026.
• Axel Buchner, 2016, "Equilibrium liquidity premia of private equity funds," Journal of Risk Finance, Emerald Group Publishing Limited, volume 17, issue 1, pages 110-128, January, DOI: 10.1108/JRF-07-2015-0068.
• Carlo Massironi & Giusy Chesini, 2016, "Kenneth Fisher’s heuristics," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 8, issue 2, pages 130-148, May, DOI: 10.1108/QRFM-07-2015-0026.
• Albert Rapp, 2016, "Private investor extrapolation bias – evidence through qualitative content analysis (QCA)," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 8, issue 2, pages 149-167, May, DOI: 10.1108/QRFM-08-2015-0033.
• Muhammad Zubair Tauni & Hong Xing Fang & Amjad Iqbal, 2016, "Information sources and trading behavior: does investor personality matter?," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 8, issue 2, pages 94-117, May, DOI: 10.1108/QRFM-08-2015-0031.
• Georges Hübner, 2016, "Option replication and the performance of a market timer," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 1, pages 2-25, March, DOI: 10.1108/SEF-01-2015-0012.
• Bin Liu & Amalia Di Iorio, 2016, "Does idiosyncratic volatility predict future growth of the Australian economy?," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 1, pages 69-90, March, DOI: 10.1108/SEF-08-2014-0160.
• Stoyu I. Ivanov, 2016, "Analysis of the factors impacting ETFs net fund flow changes," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 2, pages 244-261, June, DOI: 10.1108/SEF-06-2014-0114.
• Adam Zaremba, 2016, "Quality investing and the cross-section of country returns," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 2, pages 281-301, June, DOI: 10.1108/SEF-06-2014-0119.
• Bin Liu & Amalia Di Iorio & Ashton De Silva, 2016, "Equity fund performance," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 3, pages 359-376, August, DOI: 10.1108/SEF-04-2016-0081.
• Paulo Pereira da Silva, 2016, "Earnings surprises and the response of CDS markets," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 3, pages 377-402, August, DOI: 10.1108/SEF-11-2014-0217.
• Caporin, M. & Chang, C-L. & McAleer, M.J., 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-02, Feb.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2016, "How are VIX and Stock Index ETF Related?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-07, Feb.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2016, "An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2016-21, May.
• Semen Son-Turan, 2016, "The Impact of Investor Sentiment on the "Leverage Effect"," International Econometric Review (IER), Economic Research Association, volume 8, issue 1, pages 4-18, April.
• Srikanta Kundu & Nityananda Sarkar, 2016, "Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study," International Econometric Review (IER), Economic Research Association, volume 8, issue 2, pages 53-71, September.
• Dimiter Nenkov Nenkov, 2016, "An Analytical Approach to Comparing Actual Vs. 'Fundamental Price-to-Sales' and “Enterprise Value-to-Sales†Ratios on the European Stock Market," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), volume 0, issue 4, pages 32-49.
• Wendy Li & Bronwyn Hall, 2016, "Depreciation of Business R&D Capital," Working Papers, eSocialSciences, number id:11156, Aug.
• Byrne, JP & Cao, S & Korobilis, D, 2016, "Decomposing Global Yield Curve Co-Movement," Essex Finance Centre Working Papers, University of Essex, Essex Business School, number 18194, May.
• Xavier Raurich & Thomas Seegmuller, 2016, "On the interplay between speculative bubbles and productive investment," UB School of Economics Working Papers, University of Barcelona School of Economics, number 2016/352.
• Bing XIAO, 2016, "Conditional Relationship Between Beta and Return in the US Stock Market," Expert Journal of Business and Management, Sprint Investify, volume 4, issue 1, pages 46-55.
• Adam Gersl & Zlatuse Komarkova & Lubos Komarek, 2016, "Liquidity Stress Testing with Second-Round Effects: Application to the Czech Banking Sector," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 1, pages 32-49, February.
• Borja Amor-Tapia & Maria T. Tascon, 2016, "Separating Winners from Losers: Composite Indicators Based on Fundamentals in the European Context," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 1, pages 70-94, February.
• Mercedes Alda, 2016, "Manager Characteristics and Manager-Replacement: How Is Pension Fund Performance Affected?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 2, pages 161-180, April.
• Henryk Gurgul & Lukaz Lach & Tomasz Wojtowicz, 2016, "Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 5, pages 405-425, October.
• Petra Buzkova & Milos Kopa, 2016, "On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 66, issue 6, pages 510-538, December.
• Roman Horvath & Lorant Kaszab, 2016, "Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2016/04, Feb, revised Feb 2016.
• Jiri Kukacka & Jozef Barunik, 2016, "Simulated ML Estimation of Financial Agent-Based Models," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2016/07, Mar, revised Mar 2016.
• Jan Polach & Jiri Kukacka, 2016, "Prospect Theory in the Heterogeneous Agent Model," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2016/14, Jul, revised Jul 2016.
• Simona Malovana & Jan Frait, 2016, "Monetary Policy and Macroprudential Policy: Rivals or Teammates?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2016/19, Sep, revised Sep 2016.
• 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," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2016-12, Apr.
• Jian Chen & Chenghu Ma, 2016, "Option Pricing Based on Alternative Jump Size Distributions," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 11, issue 3, pages 439-467, September.
• I. Anthopoulos & C. Pitelis & C. Liakou, 2016, "The Nature, Performance and Economic Impact of Sovereign Wealth Funds," Working papers, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project, number wpaper135, Jan.
• Fumio Hayashi, 2016, "Affine term structure pricing with bond supply as factors," FRB Atlanta CQER Working Paper, Federal Reserve Bank of Atlanta, number 2016-1, Apr.
• Kaiji Chen & Jue Ren & Tao Zha, 2016, "What we learn from China's rising shadow banking: exploring the nexus of monetary tightening and banks' role in entrusted lending," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2016-1, Jan.
• Nikolay Gospodinov & Bin Wei, 2016, "Forecasts of inflation and interest rates in no-arbitrage affine models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2016-3, Feb.
• Nikolay Gospodinov, 2016, "The role of commodity prices in forecasting U.S. core inflation," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2016-5, Feb.
• Ali Ozdagli & Mihail Velikov, 2016, "Show me the money: the monetary policy risk premium," Working Papers, Federal Reserve Bank of Boston, number 16-27, Dec.
• O. Emre Ergungor, 2016, "Where the Wild Things Are: Measuring Systemic Risk through Investor Sentiment," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1608, Feb.
• Timothy S. Fuerst & Ron Mau, 2016, "Term Premium Variability and Monetary Policy," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1611, May.
• Gina Pieters & Sofia Vivanco, 2016, "Financial regulations and price inconsistencies across bitcoin markets," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 293, Dec, DOI: 10.24149/gwp293.
• Ricardo T. Fernholz & Christoffer Koch, 2016, "The rank effect for commodities," Working Papers, Federal Reserve Bank of Dallas, number 1607, Aug, DOI: 10.24149/wp1607.
• Antonio Doblas-Madrid & Kevin J. Lansing, 2016, "Credit-fuelled bubbles," Working Paper Series, Federal Reserve Bank of San Francisco, number 2016-2, Mar, DOI: 10.24148/wp2016-02.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016, "Macrofinancial History and the New Business Cycle Facts," Working Paper Series, Federal Reserve Bank of San Francisco, number 2016-23, Oct, DOI: 10.24148/wp2016-23.
• Fabian Winkler, 2016, "The Role of Learning for Asset Prices and Business Cycles," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-019, Jan, DOI: 10.17016/FEDS.2016.019r1.
• Missaka Warusawitharana, 2016, "Time-varying Volatility and the Power Law Distribution of Stock Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-022, Mar, DOI: 10.17016/FEDS.2016.022.
• Mathias S. Kruttli, 2016, "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-027, Mar, DOI: 10.17016/FEDS.2016.027r1.
• Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016, "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-032, Apr, DOI: 10.17016/FEDS.2016.032.
• Matt Darst & Ehraz Refayet, 2016, "Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-042, Apr, DOI: 10.17016/FEDS.2016.042r1.
• Steven Heston & Nitish R. Sinha, 2016, "News versus Sentiment : Predicting Stock Returns from News Stories," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-048, Jun, DOI: 10.17016/FEDS.2016.048.
• Yuriy Kitsul & Marcelo Ochoa, 2016, "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-052, Jun, DOI: 10.17016/FEDS.2016.052.
• Song Han & Kleopatra Nikolaou, 2016, "Trading Relationships in the OTC Market for Secured Claims : Evidence from Triparty Repos," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-064, Mar, DOI: 10.17016/FEDS.2016.064.
• Mark S. Carey & Michael B. Gordy, 2016, "The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-069, Jul, DOI: 10.17016/FEDS.2016.069.
• Taisuke Nakata & Hiroatsu Tanaka, 2016, "Equilibrium Yield Curves and the Interest Rate Lower Bound," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-085, Oct, DOI: 10.17016/FEDS.2016.085.
• Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016, "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-087, Sep, DOI: 10.17016/FEDS.2016.087.
• Fang Cai & Song Han & Dan Li & Yi Li, 2016, "Institutional Herding and Its Price Impact : Evidence from the Corporate Bond Market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-091, Oct, DOI: 10.17016/FEDS.2016.091.
• Paul Borochin & Jie Yang, 2016, "Options, Equity Risks, and the Value of Capital Structure Adjustments," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2016-097, Oct, DOI: 10.17016/FEDS.2016.097.
• Colin C. Caines, 2016, "Can Learning Explain Boom-Bust Cycles In Asset Prices? An Application to the US Housing Boom," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1181, Oct, DOI: 10.17016/IFDP.2016.1181.
• Anna L. Paulson & Richard J. Rosen, 2016, "The Life Insurance Industry and Systemic Risk: A Bond Market Perspective," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2016-4, Mar.
• Tomas Breach & Stefania D'Amico & Athanasios Orphanides, 2016, "The Term Structure and Inflation Uncertainty," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2016-22, Dec.
• Taeyoung Doh & Shu Wu, 2016, "The Equilibrium Term Structure of Equity and Interest Rates," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 16-11, Nov, DOI: 10.18651/RWP2016-11.
• Saroj Bhattarai & Christopher J. Neely, 2016, "An Analysis of the Literature on International Unconventional Monetary Policy," Working Papers, Federal Reserve Bank of St. Louis, number 2016-021, Nov, revised 04 May 2020, DOI: 10.20955/wp.2016.021.
• Ricardo Lagos & Shengxing Zhang, 2016, "Turnover Liquidity and the Transmission of Monetary Policy," Working Papers, Federal Reserve Bank of Minneapolis, number 734, May.
• Viktoria Baklanova & Cecilia R. Caglio & Marco Cipriani & Adam Copeland, 2016, "The use of collateral in bilateral repurchase and securities lending agreements," Staff Reports, Federal Reserve Bank of New York, number 758, Jan.
• Peter Van Tassel, 2016, "Merger options and risk arbitrage," Staff Reports, Federal Reserve Bank of New York, number 761, Jan.
• Nina Boyarchenko & Valentin Haddad & Matthew Plosser, 2016, "The Federal Reserve and market confidence," Staff Reports, Federal Reserve Bank of New York, number 773, Apr.
• David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016, "Term structures of asset prices and returns," Staff Reports, Federal Reserve Bank of New York, number 774, Apr.
• Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016, "The term structure of expectations and bond yields," Staff Reports, Federal Reserve Bank of New York, number 775, May.
• Michael J. Fleming & Seema Saggar & Samita Sareen, 2016, "Trading activity in the Indian government bond market," Staff Reports, Federal Reserve Bank of New York, number 785, Aug.
• Tobias Adrian & Daniel Stackman & Erik Vogt, 2016, "Global price of risk and stabilization policies," Staff Reports, Federal Reserve Bank of New York, number 786, Aug.
• Matias D. Cattaneo & Richard K. Crump & Max H. Farrell & Ernst Schaumburg, 2016, "Characteristic-Sorted Portfolios: Estimation and Inference," Staff Reports, Federal Reserve Bank of New York, number 788, Aug.
• Peter Van Tassel & Erik Vogt, 2016, "Global variance term premia and intermediary risk appetite," Staff Reports, Federal Reserve Bank of New York, number 789, Aug.
• Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2016, "Market liquidity after the financial crisis," Staff Reports, Federal Reserve Bank of New York, number 796, Oct.
• Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016, "Intraday market making with overnight inventory costs," Staff Reports, Federal Reserve Bank of New York, number 799, Oct.
• Tobias Adrian & Nina Boyarchenko & Or Shachar, 2016, "Dealer balance sheets and bond liquidity provision," Staff Reports, Federal Reserve Bank of New York, number 803, Dec.
• Tobias Adrian & Fernando M. Duarte, 2016, "Financial vulnerability and monetary policy," Staff Reports, Federal Reserve Bank of New York, number 804, Dec.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016, "Copula--based Specification of vector MEMs," Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", number 2016_04, Apr.
• Wen-Jun Xue & Li-Wen Zhang, 2016, "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers, Florida International University, Department of Economics, number 1605, Oct.
• Abramov Alexander, 2016, "Financial Markets and Financial Institutions in Russia in 2015," Published Papers, Gaidar Institute for Economic Policy, number ppaper-2016-265, revised 2016.
• Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016, "Monetary Policy and Corporate Bond Returns," Working Papers, Business School - Economics, University of Glasgow, number 2016_05, Jan.
• Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016, "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:84999.
• Nicolas Brisset, 2016, "On Performativity: Option Theory and the Resistance of Financial Phenomena," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2016-31, Oct.
• Nadarajah Sivathaasan & Searat Ali & Benjamin Liu & Allen Huang, 2016, "Stock liquidity, corporate governance, and leverage: New panel evidence," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201603, Mar.
• Meglena Jeleva & Jean-Marc Tallon, 2016, "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01410661, Mar, DOI: 10.7202/1039881ar.
• Emilios C. Galariotis & Styliani-Iris Krokida & Spyros I. Spyrou, 2016, "Bond market investor herding: Evidence from the European financial crisis," Post-Print, HAL, number hal-01333218, Dec, DOI: 10.1016/j.irfa.2015.01.001.
• François Legendre & Djibril Togola, 2016, "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Post-Print, HAL, number hal-01342195, May, DOI: 10.1016/j.econmod.2016.03.029.
• Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016, "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print, HAL, number hal-01358715, Oct, DOI: 10.1016/j.jfs.2016.08.005.
• Anthony Miloudi & Mondher Bouattour & Ramzi Benkraiem, 2016, "Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market," Post-Print, HAL, number hal-01363700, Sep.
• Nicolas Boitout & Imane El Ouadghiri & Valérie Mignon, 2016, "On the impact of macroeconomic news surprises on Treasury-bond returns," Post-Print, HAL, number hal-01386014.
• Imane El Ouadghiri & Remzi Uctum, 2016, "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print, HAL, number hal-01386027, DOI: 10.1016/j.econmod.2015.12.025.
• Salem Boubakri & Cécile Couharde & Hélène Raymond, 2016, "Effects of financial turmoil on financial integration and risk premia in emerging markets," Post-Print, HAL, number hal-01386052.
• Meglena Jeleva & Jean-Marc Tallon, 2016, "Ambiguïté, comportements et marchés financiers," Post-Print, HAL, number hal-01410661, Mar, DOI: 10.7202/1039881ar.
• Gilles Dufrénot & Karine Gente & Frédia Monsia, 2016, "Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view," Post-Print, HAL, number hal-01440301, Oct, DOI: 10.1016/j.jimonfin.2016.04.002.
• Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016, "Do We Need High Frequency Data to Forecast Variances?," Post-Print, HAL, number hal-01448237, Dec, DOI: 10.15609/annaeconstat2009.123-124.0.
• Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016, "Gauging Liquidity Risk in Emerging Market Bond Index Funds," Post-Print, HAL, number hal-01500712, DOI: 10.15609/annaeconstat2009.123-124.0.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print, HAL, number hal-01512779.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print, HAL, number hal-01512780.
• Thanh Huong Dinh & Jean-François Gajewski & Duc Khuong Nguyen, 2016, "Analyst Earnings Forecasts, Individual Investors’Expectations and Trading Volume: An Experimental Approach," Post-Print, HAL, number hal-01591435.
• Sébastien Galanti & Françoise Le Quere, 2016, "Quelles incidences d'un élargissement du rôle des fonds d'investissement collectifs ?," Post-Print, HAL, number hal-01724268.
• François Le Grand & Xavier Ragot, 2016, "Incomplete markets and derivative assets," Post-Print, HAL, number hal-02313331, Aug.
• Fredj Jawadi & Waël Louhichi & Abdoulkarim Idi Cheffou & Rivo Randrianarivony, 2016, "Intraday jumps and trading volume: a nonlinear Tobit specification," Post-Print, HAL, number hal-02358454, Nov, DOI: 10.1007/s11156-015-0534-0.
• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016, "The ECB, between conservatism and pragmatism," Post-Print, HAL, number hal-03318509.
• Sylvain Barde & Ofce Observatoire Français Des Conjonctures Économiques, 2016, "Direct comparison of agent-based models of herding in financial markets," Post-Print, HAL, number hal-03604749, Dec, DOI: 10.1016/j.jedc.2016.10.005.
• Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2016, "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print, HAL, number hal-04590596, Jun.
• Duc Khuong Nguyen & Thanh Huong Dinh & Jean-François Gajewski, 2016, "Analyst earnings forecasts, individual investors' expectations and trading volume: An experimental approach," Post-Print, HAL, number hal-04732872, Mar.
• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016, "The ECB, between Conservatism and Pragmatism," Post-Print, HAL, number hal-05234144.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016, "Ambiguity and the historical equity premium," Post-Print, HAL, number halshs-00594096, Apr.
• Souleymane Laminou Abdou & Franck Moraux, 2016, "Pricing and hedging American and hybrid strangles with finite maturity," Post-Print, HAL, number halshs-01242610, Jan, DOI: 10.1016/j.jbankfin.2015.10.003.
• Romain Boulland & François Degeorge & Edith Ginglinger, 2016, "News Dissemination and Investor Attention," Post-Print, HAL, number halshs-01316170, DOI: 10.1093/rof/rfw018.
• François Legrand & Xavier Ragot, 2015, "Incomplete markets and derivative assets," Post-Print, HAL, number halshs-01513312, DOI: 10.1007/s00199-015-0912-9.
• Meglena Jeleva & Jean-Marc Tallon, 2016, "Ambiguïté, comportements et marchés financiers," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-01410661, Mar, DOI: 10.7202/1039881ar.
• François Legrand & Xavier Ragot, 2015, "Incomplete markets and derivative assets," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-01513312, DOI: 10.1007/s00199-015-0912-9.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Sciences Po Economics Publications (main), HAL, number hal-03459346, Apr.
• Sylvain Barde & Ofce Observatoire Français Des Conjonctures Économiques, 2016, "Direct comparison of agent-based models of herding in financial markets," Sciences Po Economics Publications (main), HAL, number hal-03604749, Dec, DOI: 10.1016/j.jedc.2016.10.005.
• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016, "The ECB, between Conservatism and Pragmatism," Sciences Po Economics Publications (main), HAL, number hal-05234144.
• Albert Menkveld & Marius Andrei Zoican, 2016, "Need for Speed? Exchange Latency and Liquidity," Working Papers, HAL, number hal-01253615, Jan.
• Amélie Charles & Olivier Darné & Jae H. Kim, 2016, "Stock Return Predictability: Evaluation based on prediction intervals," Working Papers, HAL, number hal-01295037, Mar.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Working Papers, HAL, number hal-01512781.
• Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016, "On the (Ab)Use of Omega?," Working Papers, HAL, number hal-01697640, Jul.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Working Papers, HAL, number hal-03459346, Apr.
• Eichler, Stefan & Roevekamp, Ingmar, 2016, "A market-based indicator of currency risk: Evidence from American Depositary Receipts," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-572, Feb.
• Benes, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2016, "Interactions among High-Frequency Traders," Working Papers in Economics, University of Gothenburg, Department of Economics, number 680, Dec.
• Simatele, Munacinga & Sjö, Bo & Sweeny, Richard, 2016, "Do Developing Countries Lose Money on Central Bank Intervention? The Case of Zambia in Copper-Market Boom and Bust," LiU Working Papers in Economics, Linköping University, Division of Economics, Department of Management and Engineering, number 2, Feb.
• Hjort, Ingrid, 2016, "Potential Climate Risks in Financial Markets: A Literature Overview," Memorandum, Oslo University, Department of Economics, number 01/2016, Feb.
• de Oliveira Souza, Thiago, 2016, "The size premium and intertemporal risk," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 3/2016, Jun.
• Elmhjellen, Magne & Osmundsen, Petter, 2016, "Oil project selection by metrics," UiS Working Papers in Economics and Finance, University of Stavanger, number 2016/5, May.
• Valseth, Siri, 2016, "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance, University of Stavanger, number 2016/13, Nov.
• Misund, Bard, 2016, "Common and Fundamental Risk Factors in Shareholder Returns of Norwegian Salmon Producing Companies," UiS Working Papers in Economics and Finance, University of Stavanger, number 2016/17, Dec.
• Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas, 2016, "Stock exchange mergers and weak-form information efficiency: Evidence from the OMX Nordic and Baltic consolidation," Umeå Economic Studies, Umeå University, Department of Economics, number 923, Mar.
• Liu, Yuna, 2016, "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations," Umeå Economic Studies, Umeå University, Department of Economics, number 926, May.
• Sergey Egiev, 2016, "On Persistence of Uncertainty Shocks," HSE Working papers, National Research University Higher School of Economics, number WP BRP 144/EC/2016.
• Miyakawa, Daisuke & Shimizu, Chihiro & Uesugi, Iichiro, 2016, "Geography and Realty Prices: Evidence from International Transaction-Level Data," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 52, Mar.
• 江上, 雅彦 & 細野, 薫, 2016, "証券化による発行者の資産リスクの変動と資本市場の評価―J-Reitのケース・スタディ―," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 54, Mar.
• Ahmed Salhin & Mo Sherif & Edward Jones, 2016, "Investor Sentiment and Sector Returns," CFI Discussion Papers, Centre for Finance and Investment, Heriot Watt University, number 1602.
• Olha Karasyk & Maksym Petriuk, 2016, "Methods of Venture Investment Projects Assessment for Enterprises of Agricultural Sector," Oblik i finansi, Institute of Accounting and Finance, issue 1, pages 110-116, March.
• Jeffry Haber, 2016, "Spliced Correlation: Theory Development," Global Journal of Business Research, The Institute for Business and Finance Research, volume 10, issue 1, pages 65-69.
• Mohamad Jais & Chandana Gunathilaka, 2016, "Illiquidity Exposure Of Size And Value In Malaysian Equity Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 10, issue 2, pages 81-90.
• Bala Arshanapalli & William Nelson, 2016, "Testing For Stock Price Bubbles: A Review Of Econometric Tools," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 10, issue 4, pages 29-42.
• Daniel Botero Guzmán & Carlos Enrique Vecino Arenas, 2016, "Estimating The Risk-Return Relationship In The International Stock Market, Estimaciã“N De La Relaciã“N Rentabilidadriesgo En El Mercado Accionario Internacional," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 9, issue 5, pages 1-13.
• Perraudin, William & Powell, Andrew & Yang, Peng, 2016, "Multilateral Development Bank Ratings and Preferred Creditor Status," IDB Publications (Working Papers), Inter-American Development Bank, number 7686, Jul, DOI: http://dx.doi.org/10.18235/0011741.
• Covindassamy, Genevre & Robe, Michel A. & Wallen, Jonathan, 2016, "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers), Inter-American Development Bank, number 8588, Jun, DOI: http://dx.doi.org/10.18235/0000865.
• Climent Serrano, Salvador, 2016, "¿Quién Paga, Quién Gana? El Caso De La Venta Del Bdv / Who Pays, Who Wins? The Case Of The Sale Of Bdv," European Research on Management and Business Economics (ERMBE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 22, issue 1, pages 47-54.
• Peña-Cerezo, Miguel A. & Rodríguez-Castellanos, Arturo & Ibáñez-Hernández, Francisco J., 2016, "Primary Yield And Multitranche Structure In Securitization Issues:Explicative Factors. A Review / Rentabilidad Primaria Y Estructura Multitramo En Los Bonos De Titulización: Factores Determinantes. Una Revisión," European Research on Management and Business Economics (ERMBE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 22, issue 3, pages 111-116.
• Sven Steinkamp & Frank Westermann, 2016, "Multilateral loans and interest rates: further evidence on the seniority conundrum," IEER Working Papers, Institute of Empirical Economic Research, Osnabrueck University, number 105, Nov, revised 30 Nov 2016.
• Bojan Basrak & Petra Posedel & Marina Tkalec & Maruska Vizek, 2016, "Searching high and low: Extremal dependence of international sovereign bond markets," Working Papers, The Institute of Economics, Zagreb, number 1604, Jul.
• Alejandro Jara & Nestor Romero, 2016, "International Synchronicity of Housing Prices," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 31, issue 2, pages 115-134, October.
• Naoshi Tsuchida & Toshiaki Watanabe & Toshinao Yoshiba, 2016, "The Intraday Market Liquidity of Japanese Government Bond Futures," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 16-E-07, Jul.
• Toshiyuki Sakiyama & Tetsuya Yamada, 2016, "Market Liquidity and Systemic Risk in Government Bond Markets: A Network Analysis and Agent-Based Model Approach," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 16-E-13, Oct.