Research classified by Journal of Economic Literature (JEL) codes

2015

• Owyong, David & Wong, Wing-Keung & Horowitz, Ira, 2015, "Cointegration and causality among the onshore and offshore markets for China's currency," Journal of Asian Economics, Elsevier, volume 41, issue C, pages 20-38, DOI: 10.1016/j.asieco.2015.10.004.
• Hudson, Yawen & Green, Christopher J., 2015, "Is investor sentiment contagious? International sentiment and UK equity returns," Journal of Behavioral and Experimental Finance, Elsevier, volume 5, issue C, pages 46-59, DOI: 10.1016/j.jbef.2015.02.004.
• Gutierrez, Jose & Stretcher, Robert, 2015, "Mad Money: Does the combination of stock recommendation and show segment matter?," Journal of Behavioral and Experimental Finance, Elsevier, volume 6, issue C, pages 80-92, DOI: 10.1016/j.jbef.2015.03.005.
• Kumari, Jyoti & Mahakud, Jitendra, 2015, "Does investor sentiment predict the asset volatility? Evidence from emerging stock market India," Journal of Behavioral and Experimental Finance, Elsevier, volume 8, issue C, pages 25-39, DOI: 10.1016/j.jbef.2015.10.001.
• Carraro, Alessandro & Ricchiuti, Giorgio, 2015, "Heterogeneous fundamentalists and market maker inventories," Chaos, Solitons & Fractals, Elsevier, volume 79, issue C, pages 73-82, DOI: 10.1016/j.chaos.2015.05.031.
• Hillier, David & Korczak, Adriana & Korczak, Piotr, 2015, "The impact of personal attributes on corporate insider trading," Journal of Corporate Finance, Elsevier, volume 30, issue C, pages 150-167, DOI: 10.1016/j.jcorpfin.2014.12.003.
• Blau, Benjamin M. & DeLisle, Jared R. & Price, S. McKay, 2015, "Do sophisticated investors interpret earnings conference call tone differently than investors at large? Evidence from short sales," Journal of Corporate Finance, Elsevier, volume 31, issue C, pages 203-219, DOI: 10.1016/j.jcorpfin.2015.02.003.
• Finnerty, John D., 2015, "Valuing convertible bonds and the option to exchange bonds for stock," Journal of Corporate Finance, Elsevier, volume 31, issue C, pages 91-115, DOI: 10.1016/j.jcorpfin.2014.12.012.
• Cumming, Douglas & Dannhauser, Robert & Johan, Sofia, 2015, "Financial market misconduct and agency conflicts: A synthesis and future directions," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 150-168, DOI: 10.1016/j.jcorpfin.2015.07.016.
• Bernile, Gennaro & Sulaeman, Johan & Wang, Qin, 2015, "Institutional trading during a wave of corporate scandals: “Perfect Payday”?," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 191-209, DOI: 10.1016/j.jcorpfin.2015.07.004.
• Zhou, Xinghua & Reesor, R. Mark, 2015, "Misrepresentation and capital structure: Quantifying the impact on corporate debt value," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 293-310, DOI: 10.1016/j.jcorpfin.2015.07.007.
• Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2015, "Exchange trading rules, surveillance and suspected insider trading," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 311-330, DOI: 10.1016/j.jcorpfin.2015.07.013.
• Rao, Ramesh K.S., 2015, "The public corporation as an intermediary between “Main Street” and “Wall Street”," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 64-82, DOI: 10.1016/j.jcorpfin.2015.07.015.
• Cheung, William Mingyan & Chung, Richard & Fung, Scott, 2015, "The effects of stock liquidity on firm value and corporate governance: Endogeneity and the REIT experiment," Journal of Corporate Finance, Elsevier, volume 35, issue C, pages 211-231, DOI: 10.1016/j.jcorpfin.2015.09.001.
• Hsu, Po-Hsuan & Lee, Hsiao-Hui & Liu, Alfred Zhu & Zhang, Zhipeng, 2015, "Corporate innovation, default risk, and bond pricing," Journal of Corporate Finance, Elsevier, volume 35, issue C, pages 329-344, DOI: 10.1016/j.jcorpfin.2015.09.005.
• Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015, "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, volume 51, issue C, pages 218-239, DOI: 10.1016/j.jedc.2014.10.007.
• Nakov, Anton & Nuño, Galo, 2015, "Learning from experience in the stock market," Journal of Economic Dynamics and Control, Elsevier, volume 52, issue C, pages 224-239, DOI: 10.1016/j.jedc.2014.11.017.
• de Groot, Oliver, 2015, "Solving asset pricing models with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, volume 52, issue C, pages 308-321, DOI: 10.1016/j.jedc.2015.01.001.
• Curatola, Giuliano, 2015, "Loss aversion, habit formation and the term structures of equity and interest rates," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 103-122, DOI: 10.1016/j.jedc.2015.02.009.
• Breuer, Thomas & Jandačka, Martin & Summer, Martin & Vollbrecht, Hans-Joachim, 2015, "Endogenous leverage and asset pricing in double auctions," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 144-160, DOI: 10.1016/j.jedc.2015.02.004.
• Lei, Yaoting & Xu, Jing, 2015, "Costly arbitrage through pairs trading," Journal of Economic Dynamics and Control, Elsevier, volume 56, issue C, pages 1-19, DOI: 10.1016/j.jedc.2015.04.006.
• Hansen, Simon Lysbjerg, 2015, "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 125-151, DOI: 10.1016/j.jedc.2015.06.003.
• Kishor, N. Kundan & Morley, James, 2015, "What factors drive the price–rent ratio for the housing market? A modified present-value analysis," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 235-249, DOI: 10.1016/j.jedc.2015.06.006.
• Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015, "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 34-57, DOI: 10.1016/j.jedc.2015.05.016.
• Ewald, Christian-Oliver & Yor, Marc, 2015, "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, volume 59, issue C, pages 22-36, DOI: 10.1016/j.jedc.2015.07.004.
• Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015, "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, volume 60, issue C, pages 134-151, DOI: 10.1016/j.jedc.2015.08.007.
• Isaenko, Sergey, 2015, "Equilibrium theory of stock market crashes," Journal of Economic Dynamics and Control, Elsevier, volume 60, issue C, pages 73-94, DOI: 10.1016/j.jedc.2015.08.004.
• Lo, Danny K. & Hall, Anthony D., 2015, "Resiliency of the limit order book," Journal of Economic Dynamics and Control, Elsevier, volume 61, issue C, pages 222-244, DOI: 10.1016/j.jedc.2015.09.012.
• Branger, Nicole & Schlag, Christian & Wu, Lue, 2015, "‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors," Journal of Economic Dynamics and Control, Elsevier, volume 61, issue C, pages 303-333, DOI: 10.1016/j.jedc.2015.08.005.
• El Hedi Arouri, Mohamed & Lahiani, Amine & Nguyen, Duc Khuong, 2015, "World gold prices and stock returns in China: Insights for hedging and diversification strategies," Economic Modelling, Elsevier, volume 44, issue C, pages 273-282, DOI: 10.1016/j.econmod.2014.10.030.
• Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2015, "On the time-varying relationship between EMU sovereign spreads and their determinants," Economic Modelling, Elsevier, volume 44, issue C, pages 363-371, DOI: 10.1016/j.econmod.2014.07.025.
• Feng, Qu & Wu, Guiying Laura, 2015, "Bubble or riddle? An asset-pricing approach evaluation on China's housing market," Economic Modelling, Elsevier, volume 46, issue C, pages 376-383, DOI: 10.1016/j.econmod.2015.02.004.
• Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati & Arouri, Mohamed & Teulon, Frédéric, 2015, "Stock returns and inflation in Pakistan," Economic Modelling, Elsevier, volume 47, issue C, pages 23-31, DOI: 10.1016/j.econmod.2014.12.043.
• Jouini, Elyès & Napp, Clotilde, 2015, "Gurus and belief manipulation," Economic Modelling, Elsevier, volume 49, issue C, pages 11-18, DOI: 10.1016/j.econmod.2015.03.013.
• Chen, Mei-Ping & Lin, Yu-Hui & Tseng, Chun-Yao & Chen, Wen-Yi, 2015, "Bubbles in health care: Evidence from the U.S., U.K., and German stock markets," The North American Journal of Economics and Finance, Elsevier, volume 31, issue C, pages 193-205, DOI: 10.1016/j.najef.2014.11.003.
• Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015, "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, volume 33, issue C, pages 115-133, DOI: 10.1016/j.najef.2015.04.001.
• Ma, Jingtang & Deng, Dongya & Lai, Yongzeng, 2015, "Explicit approximate analytic formulas for timer option pricing with stochastic interest rates," The North American Journal of Economics and Finance, Elsevier, volume 34, issue C, pages 1-21, DOI: 10.1016/j.najef.2015.07.002.
• Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015, "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, volume 34, issue C, pages 231-253, DOI: 10.1016/j.najef.2015.09.013.
• Grobys, Klaus, 2015, "Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy," Economics Letters, Elsevier, volume 127, issue C, pages 72-75, DOI: 10.1016/j.econlet.2014.12.034.
• Zhou, Qiankun & Yu, Jun, 2015, "Asymptotic theory for linear diffusions under alternative sampling schemes," Economics Letters, Elsevier, volume 128, issue C, pages 1-5, DOI: 10.1016/j.econlet.2014.12.015.
• Bilson, John F.O. & Kang, Sang Baum & Luo, Hong, 2015, "The term structure of implied dividend yields and expected returns," Economics Letters, Elsevier, volume 128, issue C, pages 9-13, DOI: 10.1016/j.econlet.2015.01.003.
• Engsted, Tom & Møller, Stig V., 2015, "Cross-sectional consumption-based asset pricing: A reappraisal," Economics Letters, Elsevier, volume 132, issue C, pages 101-104, DOI: 10.1016/j.econlet.2015.04.031.
• Rath, Subhrendu & Durand, Robert B., 2015, "Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model," Economics Letters, Elsevier, volume 132, issue C, pages 139-141, DOI: 10.1016/j.econlet.2015.05.003.
• Conrad, Christian & Loch, Karin, 2015, "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, volume 132, issue C, pages 56-60, DOI: 10.1016/j.econlet.2015.04.006.
• Herwartz, Helmut & Raters, Fabian H.C., 2015, "Copula-MGARCH with continuous covariance decomposition," Economics Letters, Elsevier, volume 133, issue C, pages 73-76, DOI: 10.1016/j.econlet.2015.05.023.
• Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2015, "Portfolio selection: An alternative approach," Economics Letters, Elsevier, volume 135, issue C, pages 141-143, DOI: 10.1016/j.econlet.2015.08.021.
• Shamsuddin, Abul & Kim, Jae H., 2015, "Market sentiment and the Fama–French factor premia," Economics Letters, Elsevier, volume 136, issue C, pages 129-132, DOI: 10.1016/j.econlet.2015.09.021.
• Zhao, Wandi & Wang, Mingjin, 2015, "On the computation of LOT liquidity measure," Economics Letters, Elsevier, volume 136, issue C, pages 76-80, DOI: 10.1016/j.econlet.2015.08.030.
• Lee, Jiyon, 2015, "A semiparametric single index model with heterogeneous impacts on an unobserved variable," Journal of Econometrics, Elsevier, volume 184, issue 1, pages 13-36, DOI: 10.1016/j.jeconom.2014.08.001.
• Cederburg, Scott & O’Doherty, Michael S., 2015, "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, volume 186, issue 1, pages 113-128, DOI: 10.1016/j.jeconom.2014.06.004.
• Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena, 2015, "Market-based estimation of stochastic volatility models," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 418-435, DOI: 10.1016/j.jeconom.2015.02.028.
• Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015, "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 458-471, DOI: 10.1016/j.jeconom.2015.02.031.
• Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015, "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 498-511, DOI: 10.1016/j.jeconom.2015.02.034.
• Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George, 2015, "The fine structure of equity-index option dynamics," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 532-546, DOI: 10.1016/j.jeconom.2015.02.037.
• Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2015, "The long and the short of the risk-return trade-off," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 580-592, DOI: 10.1016/j.jeconom.2015.02.040.
• Sojli, Elvira & Tham, Wing Wah, 2015, "Divided governments and futures prices," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 622-633, DOI: 10.1016/j.jeconom.2015.02.043.
• Hong, Han & Li, Weiming & Wang, Boyu, 2015, "Estimation of dynamic discrete models from time aggregated data," Journal of Econometrics, Elsevier, volume 188, issue 2, pages 435-446, DOI: 10.1016/j.jeconom.2015.03.009.
• Kleibergen, Frank & Zhan, Zhaoguo, 2015, "Unexplained factors and their effects on second pass R-squared’s," Journal of Econometrics, Elsevier, volume 189, issue 1, pages 101-116, DOI: 10.1016/j.jeconom.2014.11.006.
• Liu, Shouwei & Tse, Yiu-Kuen, 2015, "Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach," Journal of Econometrics, Elsevier, volume 189, issue 2, pages 437-446, DOI: 10.1016/j.jeconom.2015.03.035.
• Angela J. Black & David G. McMillan & Fiona J. McMillan, 2015, "Cointegration between stock prices, dividends, output and consumption," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 14, issue 1, pages 81-103, February, DOI: 10.1108/RAF-09-2013-0103.
• Rahul Ravi & Youna Hong, 2015, "Information asymmetry around S&P 500 index changes," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 14, issue 2, pages 106-127, May, DOI: 10.1108/RAF-04-2014-0046.
• Omid Sabbaghi, 2015, "Volatility, distress risk, and the cross-section of portfolio returns," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 14, issue 2, pages 149-171, May, DOI: 10.1108/RAF-11-2012-0123.
• Allen, D.E. & McAleer, M.J. & Singh, A.K., 2015, "Daily Market News Sentiment and Stock Prices," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2015-23, Jul.
• Christian Beer & Ernest Gnan (ed.), 2015, "Asset-Liability Management with Ultra-Low Interest Rates," SUERF Studies, SUERF - The European Money and Finance Forum, number 2015/2, ISBN: ARRAY(0x82a45730), May.
• François Legendre & Djibril Togola, 2015, "Explicit solution to dynamic portfolio choice problem: the continuous-time detour," Erudite Working Paper, Erudite, number 2015-01.
• Brogueira, Joao; Schuetze, Fabian, 2015, "Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded," Economics Working Papers, European University Institute, number ECO2015/02.
• Laura Carabotta & Peter Claeys, 2015, "Combine to compete: improving fiscal forecast accuracy over time," UB School of Economics Working Papers, University of Barcelona School of Economics, number 2015/320.
• Rossanto Dwi HANDOYO & Mansor JUSOH & Mohd. Azlan SHAH ZAIDI, 2015, "Impact of Monetary Policy and Fiscal Policy on Indonesian Stock Market," Expert Journal of Economics, Sprint Investify, volume 3, issue 2, pages 113-126.
• Krzysztof DRACHAL, 2015, "The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis," Expert Journal of Economics, Sprint Investify, volume 3, issue 2, pages 136-142.
• Evrim İmer-Ertunga & Şerife Serap Çakar, 2015, "Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi," EY International Congress on Economics II (EYC2015), November 5-6, 2015, Ankara, Turkey, Ekonomik Yaklasim Association, number 16.
• Nicholas Apergis & Ahdi Noomen Ajmi, 2015, "Systemic Sovereign Risk and Asset Prices: Evidence from the CDS Market, Stressed European Economies and Nonlinear Causality Tests," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 2, pages 106-126, April.
• Jiri Novak, 2015, "Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 2, pages 167-190, April.
• Dejan Zivkov & Jovan Njegic & Ivan Milenkovic, 2015, "Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 6, pages 477-498, December.
• Vojtech Pistora & Vaclav Hausenblas, 2015, "The Impact of Macroeconomic News on Polish and Czech Government Bond Markets," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2015/12, May, revised May 2015.
• Huayi Yu, 2015, "Spatial-Temporal Changes of Housing Bubbles in China's Major Cities: 1999 to 2012," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 10, issue 1, pages 137-167, March.
• Maryam Ahmad & Matteo Manera & Mehdi Sadeghzadeh, 2015, "Global Oil Market and the U.S. Stock Returns," Working Papers, Fondazione Eni Enrico Mattei, number 2015.91, Oct.
• Piotr Lis, 2015, "Financialisation of the system of provision applied to housing in Poland," Working papers, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project, number wpaper100, Feb.
• Piotr Lis, 2015, "Relationships between the finance system and housing markets," Working papers, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project, number wpaper99, Feb.
• Stanislav Anatolyev & Nikolay Gospodinov, 2015, "Multivariate return decomposition: theory and implications," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2015-7, Aug.
• Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2015, "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2015-9, Oct.
• Doron Avramov & Satadru Hore, 2015, "Cross-Sectional Factor Dynamics and Momentum Returns," Supervisory Research and Analysis Working Papers, Federal Reserve Bank of Boston, number RPA 15-2, Oct.
• Vania Stavrakeva & Jenny Tang, 2015, "Exchange rates and monetary policy," Working Papers, Federal Reserve Bank of Boston, number 15-16, Oct.
• Itamar Caspi, 2015, "Testing for a housing bubble at the national and regional level: the case of Israel," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 246, Aug, DOI: 10.24149/gwp246.
• Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2015, "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," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 249, Sep, DOI: 10.24149/gwp249.
• Li An & Huijun Wang & Jian Wang & Jianfeng Yu, 2015, "Lottery-related anomalies: the role of reference-dependent preferences," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 259, Dec, DOI: 10.24149/gwp259.
• John V. Duca & David C. Ling, 2015, "The other (commercial) real estate boom and bust: the effects of risk premia and regulatory capital arbitrage," Working Papers, Federal Reserve Bank of Dallas, number 1504, Jun, DOI: 10.24149/wp1504.
• Michael D. Plante, 2018, "OPEC in the News," Working Papers, Federal Reserve Bank of Dallas, number 1802, Feb, DOI: 10.24149/wp1802.
• Paolo Gelain & Kevin J. Lansing & Gisele J. Natvik, 2015, "Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach," Working Paper Series, Federal Reserve Bank of San Francisco, number 2015-2, Jan, DOI: 10.24148/wp2015-02.
• Michael B. Gordy & Pawel J. Szerszen, 2015, "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-2, Jan, DOI: 10.17016/FEDS.2015.002.
• A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015, "Measuring Ambiguity Aversion," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-105, Nov, DOI: 10.17016/FEDS.2015.105.
• Sirio Aramonte & Mohammad Jahan-Parvar & Justin Shugarman, 2015, "Institutions and return predictability in oil-exporting countries," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-14, Feb, DOI: 10.17016/FEDS.2015.014.
• Bruno Feunou & Mohammad Jahan-Parvar & Cedric Okou, 2015, "Downside Variance Risk Premium," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-20, Mar, DOI: 10.17016/FEDS.2015.020.
• J. David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2015, "Credit-Market Sentiment and the Business Cycle," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-28, Apr, DOI: 10.17016/FEDS.2015.028r1.
• David Aikman & Michael T. Kiley & Seung Jung Lee & Michael G. Palumbo & Missaka Warusawitharana, 2015, "Mapping Heat in the U.S. Financial System," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-59, Jun, DOI: 10.17016/FEDS.2015.059.
• Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2015, "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-64, Jun, DOI: 10.17016/FEDS.2015.064.
• Yang-Ho Park, 2015, "The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-71, Sep, DOI: 10.17016/FEDS.2015.071.
• Michiel De Pooter & Robert F. Martin & Seth Pruitt, 2015, "The Liquidity Effects of Official Bond Market Intervention," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1138, Jul, DOI: 10.17016/IFDP.2015.1138.
• Luca Benzoni & Olena Chyruk, 2015, "The Value and Risk of Human Capital," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2015-6, Jul.
• Taeyoung Doh & Shu Wu, 2015, "Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 15-12, Oct.
• YiLi Chien, 2015, "The Welfare Cost of Business Cycles with Heterogeneous Trading Technologies," Review, Federal Reserve Bank of St. Louis, volume 97, issue 1, pages 67-85.
• Michael W. McCracken & Serena Ng, 2015, "FRED-MD: A Monthly Database for Macroeconomic Research," Working Papers, Federal Reserve Bank of St. Louis, number 2015-12, Jun, DOI: 10.20955/wp.2015.012.
• YiLi Chien & Hanno Lustig & Kanda Naknoi, 2015, "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working Papers, Federal Reserve Bank of St. Louis, number 2015-39, Nov, DOI: 10.20955/wp.2015.039.
• Ralph S. J. Koijen & Motohiro Yogo, 2015, "A Demand System Approach to Asset Pricing," Staff Report, Federal Reserve Bank of Minneapolis, number 510, Apr.
• Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2015, "Stock Market Volatility and Learning," Working Papers, Federal Reserve Bank of Minneapolis, number 720, Feb.
• Fernando M. Duarte & Carlo Rosa, 2015, "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
• J. Benson Durham, 2015, "Betting against beta (and gamma) using government bonds," Staff Reports, Federal Reserve Bank of New York, number 708, Jan.
• Fernando M. Duarte & Carlo Rosa, 2015, "The equity risk premium: a review of models," Staff Reports, Federal Reserve Bank of New York, number 714, Feb.
• Tobias Adrian & Richard K. Crump & Erik Vogt, 2015, "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports, Federal Reserve Bank of New York, number 723, Apr.
• Sushant Acharya & Alvaro Pedraza, 2015, "Asset price effects of peer benchmarking: evidence from a natural experiment," Staff Reports, Federal Reserve Bank of New York, number 727, May.
• Marianne Andries & Thomas M. Eisenbach & R. Jay Kahn & Martin C. Schmalz, 2015, "The term structure of the price of variance risk," Staff Reports, Federal Reserve Bank of New York, number 736, Aug.
• Bianca De Paoli & Hande Küçük, 2015, "News shocks, monetary policy, and foreign currency positions," Staff Reports, Federal Reserve Bank of New York, number 750, Dec.
• Tobias Adrian & Evan Friedman & Tyler Muir, 2015, "The cost of capital of the financial sector," Staff Reports, Federal Reserve Bank of New York, number 755, Dec.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2015, "Heterogeneity in decentralized asset markets," Working Papers, Federal Reserve Bank of Philadelphia, number 15-22, May.
• Satyajit Chatterjee & Burcu Eyigungor, 2015, "A seniority arrangement for sovereign debt," Working Papers, Federal Reserve Bank of Philadelphia, number 15-7, Jan.
• John Griffin, 2015, "Risk Premia and Knightian Uncertainty in an Experimental Market Featuring a Long-Lived Asset," Fordham Economics Discussion Paper Series, Fordham University, Department of Economics, number dp2015-01er:dp2015-01.
• Yanina Laumann, 2015, "Analysis Of Beta Coefficients In The Brazilian Stock Market Using Fuzzy Linear Regression Methodology," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 3-17, November.
• Joseph P. Byrne & Shuo Cao & Dimitris Korobilis, 2015, "Co-Movement, Spillovers and Excess Returns in Global Bond Markets?," Working Papers, Business School - Economics, University of Glasgow, number 2015_12, Jun.
• Alexandros Kontonikas & Charles Nolan & Zivile Zekaite, 2015, "Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy," Working Papers, Business School - Economics, University of Glasgow, number 2015_17, Sep.
• Gurdip Bakashi & Mario Cerrato & John Crosby, 2015, "Risk Sharing in International Economies and Market Incompleteness," Working Papers, Business School - Economics, University of Glasgow, number 2015_23, Oct.
• Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015, "Time-varying risk premium in large cross-sectional equity datasets," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:76321.
• Giovanni Favara & Jean Imbs, 2015, "Credit Supply and the Price of Housing," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01301589, Mar, DOI: 10.1257/aer.20121416.
• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working paper serie RMT - Grenoble Ecole de Management, HAL, number hal-04141411.
• Julien Fouquau & Philippe K. Spieser, 2015, "Statistical evidence about LIBOR manipulation: A "Sherlock Holmes" investigation," Post-Print, HAL, number hal-01160060, Jan, DOI: 10.1016/j.jbankfin.2014.03.039.
• Giovanni Favara & Jean Imbs, 2015, "Credit Supply and the Price of Housing," Post-Print, HAL, number hal-01301589, Mar, DOI: 10.1257/aer.20121416.
• Andreas W. Rathgeber & David Rudolph & Stefan Stöckl, 2015, "Pricing Anomaly at the First Sight: Same Borrower in Different Currencies Faces Different Credit Spreads―An Explanation by Means of a Quanto Option," Post-Print, HAL, number hal-01371712, DOI: 10.1007/s11147-014-9106-z.
• A. Leonhardt & Andreas W. Rathgeber & J. Stadler & Stefan Stöckl, 2015, "Pricing fx Forwards in OTC Markets," Post-Print, HAL, number hal-01371713, DOI: 10.1080/00036846.2015.1011309.
• Imane El Ouadghiri & Remzi Uctum, 2015, "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print, HAL, number hal-01411808.
• Anna Creti & Khaled Guesmi, 2015, "International CAPM and Oil Price: Evidence from Selected OPEC Countries," Post-Print, HAL, number hal-01438377.
• Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2015, "Measuring the Liquidity Part of Volume," Post-Print, HAL, number hal-01632766, DOI: 10.1016/j.jbankfin.2014.09.007.
• Eser Arisoy & Aslihan Altay-Salih & Levent Akdeniz, 2015, "Aggregate Volatility Expectations and Threshold CAPM," Post-Print, HAL, number hal-01634175, DOI: 10.1016/j.najef.2015.09.013.
• Remzi Uctum & Imane El Ouadghiri, 2015, "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Post-Print, HAL, number hal-01638221.
• Tim Xiao, 2015, "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," Post-Print, HAL, number hal-01812928, DOI: 10.1504/IJFMD.2015.066436.
• Gulten Mero & S. Darolles & Gaëlle Le Fol, 2015, "Measuring the Liquidity Part of Volume," Post-Print, HAL, number hal-02979999, Dec.
• Giorgio Fagiolo & Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini, 2015, "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," Post-Print, HAL, number hal-03411703, Aug, DOI: 10.1007/s00191-015-0418-4.
• Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2015, "Competing for Order Flow in OTC Markets," Post-Print, HAL, number hal-04149211, DOI: 10.1111/jmcb.12215.
• Amal Aouadi & Mohamed Arouri & Frédéric Teulon, 2015, "Investor Following And Volatility: A GARCH Approach," Post-Print, HAL, number hal-04516520.
• Elyes Jouini & Clotilde Napp, 2015, "Gurus and belief manipulation," Post-Print, HAL, number halshs-01250251, Sep, DOI: 10.1016/j.econmod.2015.03.013.
• André Orléan, 2015, "La valeur économique comme fait social : la preuve par les évaluations boursières," Post-Print, HAL, number halshs-01313727, Oct.
• Giovanni Favara & Jean Imbs, 2015, "Credit Supply and the Price of Housing," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-01301589, Mar, DOI: 10.1257/aer.20121416.
• Giorgio Fagiolo & Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini, 2015, "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," Sciences Po Economics Publications (main), HAL, number hal-03411703, Aug, DOI: 10.1007/s00191-015-0418-4.
• François Legrand & Xavier Ragot, 2015, "Incomplete markets and derivative assets," Sciences Po Economics Publications (main), HAL, number halshs-01513312, DOI: 10.1007/s00199-015-0912-9.
• François Legendre & Djibril Togola, 2015, "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Working Papers, HAL, number hal-01117787, May, DOI: 10.13140/2.1.4715.3449.
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• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working Papers, HAL, number hal-04141411.
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• Green, Rikard, 2015, "No 2015:3 Closed Form Valuation of Three-Asset Spread Options With a view towards Clean Dark Spreads," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2015/3, May.
• Alfranseder, Emanuel & zhang, Xiang, 2015, "The Effect of Pessimism and Doubt on the Equity Premium," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2015/5, Apr.
• Aase, Knut K., 2015, "Recursive utility and jump-diffusions," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2015/6, Jan.
• Aase, Knut K. & Lillestøl, Jostein, 2015, "Beyond the local mean-variance analysis in continuous time: The problem of non-normality," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2015/11, Feb.
• Aase, Knut K., 2015, "The equity premium in a production economy; A new perspective involving recursive utility," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2015/15, Apr.
• De Rezende, Rafael B., 2015, "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 295, Feb.
• Misund, Bård, 2015, "Reserves Replacement and Oil and Gas Company Shareholder returns," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/11, Dec.
• Misund, Bård, 2015, "Vertical Integration and Value Relevance: Empirical Evidence from Oil and Gas Producers," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/14, Dec.
• Misund, Bård, 2015, "Accounting for Oil and Gas Exploration Activities: A Triumph of Economics over Politics," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/15, Dec.
• Asche, Frank & Misund, Bard, 2015, "Who's a major? A novel approach to peer group selection: Empirical evidence from oil and gas companies," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/18, Dec.
• Misund, Bård & Osmundsen, Petter, 2015, "The Value Relevance of Accounting Figures in the Oil & Gas Industry: Cash Flow or Accruals?," UiS Working Papers in Economics and Finance, University of Stavanger, number 2015/19, Dec.
• Alexius, Annika & Spång, Daniel, 2015, "Stocks and GDP in the long run," Research Papers in Economics, Stockholm University, Department of Economics, number 2015:5, Jun.
• Marat Kurbangaleev & Victor Lapshin & Sergey N. Smirnov, 2015, "Study of Consistency of Bond and CDS Quotes," HSE Working papers, National Research University Higher School of Economics, number WP BRP 43/FE/2015.
• Victoria Dobrynskaya, 2015, "Upside and Downside Risks in Momentum Returns," HSE Working papers, National Research University Higher School of Economics, number WP BRP 50/FE/2015.
• Takamizawa, Hideyuki & 髙見澤, 秀幸, 2015, "Predicting Interest Rate Volatility: Using Information on the Yield Curve," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-9, May.
• Kim, Soo-Hyun & Kang, Hyoung-Goo, 2015, "Tactical Asset Allocation Using Investors' Sentiment," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 56, issue 2, pages 177-195, December, DOI: 10.15057/27601.
• Tarek Bouchaddekh & Abdelfatteh Bouri & Makram Nouaili, 2015, "Asset Pricing and Probability of Information-based Trading: Application to the Tunisian Stock Market," Oblik i finansi, Institute of Accounting and Finance, issue 1, pages 58-65, March.
• Xiaodong Du & David A. Hennessy & Hongli Feng, 2015, "Land Resilience and Tail Dependence among Crop Yield Distributions," Center for Agricultural and Rural Development (CARD) Publications, Center for Agricultural and Rural Development (CARD) at Iowa State University, number 15-wp556, Apr.
• Han-Ching Huang & Yong-Chern Su & Hsin-Ying Wang, 2015, "Market Efficiency around the Announcement Day of Self-Tender Offers," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 1, pages 121-128.
• Yufen Fu & George W. Blazenko, 2015, "Returns for Dividend-Paying and Non Dividend Paying Firms," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 2, pages 1-20.
• Jack J.W. Yang & Tsung-Hsin Wu, 2015, "Announcement Effect of Cash Dividend Changes around Ex-Dividend Days: Evidence from Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 2, pages 77-91.
• Mike Siew Wei Leong & Sheela Devi Sundarasen, 2015, "Ipo Initial Returns And Volatility: A Study In An Emerging Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 3, pages 71-82.
• Qi Sun, 2015, "Stock Price Discovery In Earnings Season," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 9, issue 5, pages 1-15.
• Larry Prober & Ilhan Meric & Gulser Meric, 2015, "Does Company Green Score Affect Stock Price?," Review of Business and Finance Studies, The Institute for Business and Finance Research, volume 6, issue 3, pages 11-19.
• Maria del Carmen Ruiz Sanchez, 2015, "Sources And Mechanisms Of Financing For Smes In Villavicencio, Colombia Fuentes Y Mecanismos De Financiacion En Las Pymes De Villavicencio (Colombia)," Revista Global de Negocios, The Institute for Business and Finance Research, volume 3, issue 3, pages 93-110.
• de Andrés Sánchez, Jorge, 2015, "Evaluación De La Sensibilidad De La Cuota De Los Préstamos A Interés Variable A La Variación Del Índice De Referencia. Evidencia Empírica En El Mercado Hipotecario Español En El Periodo 2009-2013 / Ev," Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 21, issue 3, pages 148-157.
• Al Muntasir, 2015, "Cross Border Portfolio Investment And The Volatility Of Stock Market Index And Rupiah’S Rate," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 17, issue 4, pages 403-432, April, DOI: https://doi.org/10.21098/bemp.v17i4.
• Tim Xiao, 2015, "Is the jump-diffusion model a good solution for credit risk modelling? The case of convertible bonds," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, volume 4, issue 1, pages 1-25.
• Popescu Oana Madalina, 2015, "The influence of the oil price on stocks listed at the Bucharest stock exchange," Impact of Socio-economic and Technological Transformations at National, European and International Level (ISETT), Institute for World Economy, Romanian Academy, volume 3.
• Sarmiza Pencea, 2015, "Turbulence in Chinese Stock Markets. Occurrence, Interventions, After-Effects," Revista de Economie Mondiala / The Journal of Global Economics, Institute for World Economy, Romanian Academy, volume 7, issue 3.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015, "An investigation into multivariate variance ratio statistics and their application to stock market predictability," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP13/15, Mar.
• Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015, "Nonparametric Euler equation identification and estimation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP61/15, Oct.
• Srinivasa Rao Dokku & Rajesh Choudary Jampala & P. Adi Lakshmi, 2015, "A Study on Performance Evaluation of Initial Public Offerings (IPOs) in India during 2007-13," International Journal of Asian Business and Information Management (IJABIM), IGI Global Scientific Publishing, volume 6, issue 1, pages 18-37, January.
• Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2015, "The Impact of Monetary Policy on Corporate Bonds under Regime Shifts," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 562.
• Alejandro Bernales & Massimo Guidolin, 2015, "Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 565.
• Hlouskova, Jaroslava & Sögner, Leopold, 2015, "GMM Estimation of Affine Term Structure Models," Economics Series, Institute for Advanced Studies, number 315, Sep.