Research classified by Journal of Economic Literature (JEL) codes

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.
• Mr. Tamon Asonuma, 2016, "Sovereign Defaults, External Debt, and Real Exchange Rate Dynamics," IMF Working Papers, International Monetary Fund, number 2016/037, Feb.
• Deniz Anginer & Mr. Eugenio M Cerutti & Maria Soledad Martinez Peria, 2016, "Foreign Bank Subsidiaries’ Default Risk during the Global Crisis: What Factors Help Insulate Affiliates from their Parents?," IMF Working Papers, International Monetary Fund, number 2016/109, Jun.
• Mauricio Cervantes & Miguel Ángel Montoya & L. Arturo Bernal Ponce, 2016, "Effect of the Business Cycle on Investment Strategies: Evidence from Mexico," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 11, issue 2, pages 39-49, Julio-Sep.
• Manuel Andrés Martínez Patiño & Miller Janny Ariza Garzón, 2016, "Pronóstico de un título de renta fija en Colombia," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 11, issue 3, pages 47-65, Octubre-D.
• Martin Geiger & Richard Hule, 2016, "Correlation and coordination risk," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2016-19, Jun.
• Eduardo Walker, 2016, "Cost of Capital in Emerging Markets: Bridging Gaps between Theory and Practice," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 53, issue 1, pages 111-147, December.
• Ahdi Noomen Ajmi & Shawkat Hammoudeh & Duc Khuong Nguyen & Soodabeh Sarafrazi, 2013, "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Working Papers, Department of Research, Ipag Business School, number 2013-35, Jan.
• Tsangyao Chang & Wen Yi Chen & Rangan Gupta & Duc Khuong Nguyen, 2013, "Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test," Working Papers, Department of Research, Ipag Business School, number 2013-36, Jan.
• López-Herrera, Francisco & Valencia-Herrera, Humberto, 2016, "Hacia un Modelo de Valuación de Activos de Capital para México: Análisis de Activos Individuales con Coeficientes Variantes en el Tiempo," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 22, pages 75-103, primer se.
• Stefan Nagel, 2016, "The Liquidity Premium of Near-Money Assets," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 131, issue 4, pages 1927-1971.
• Samuel M. Hartzmark, 2016, "Economic Uncertainty and Interest Rates," The Review of Asset Pricing Studies, Society for Financial Studies, volume 6, issue 2, pages 179-220.
• Kee H. Chung & Sahn-Wook Huh, 2016, "The Noninformation Cost of Trading and Its Relative Importance inAsset Pricing," The Review of Asset Pricing Studies, Society for Financial Studies, volume 6, issue 2, pages 261-302.
• Mark Rachwalski & Quan Wen, 2016, "Idiosyncratic Risk Innovations and the Idiosyncratic Risk-ReturnRelation," The Review of Asset Pricing Studies, Society for Financial Studies, volume 6, issue 2, pages 303-328.
• Roberto Marfè, 2016, "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, volume 20, issue 2, pages 855-905.
• Michael Ehrmann & David-Jan Jansen, 2016, "It Hurts (Stock Prices) When Your Team is about to Lose a Soccer Match," Review of Finance, European Finance Association, volume 20, issue 3, pages 1215-1233.
• Christopher N. Avery & Judith A. Chevalier & Richard J. Zeckhauser, 2016, "The "CAPS" Prediction System and Stock Market Returns," Review of Finance, European Finance Association, volume 20, issue 4, pages 1363-1381.
• Alex Edmans & Mirko S. Heinle & Chong Huang, 2016, "The Real Costs of Financial Efficiency When Some Information Is Soft," Review of Finance, European Finance Association, volume 20, issue 6, pages 2151-2182.
• Pauline Shum & Walid Hejazi & Edgar Haryanto & Arthur Rodier, 2016, "Intraday Share Price Volatility and Leveraged ETF Rebalancing," Review of Finance, European Finance Association, volume 20, issue 6, pages 2379-2409.
• Brad M. Barber & Xing Huang & Terrance Odean, 2016, "Which Factors Matter to Investors? Evidence from Mutual Fund Flows," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 10, pages 2600-2642.
• Hans B. Christensen & Luzi Hail & Christian Leuz, 2016, "Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 11, pages 2885-2924.
• Melissa Porras Prado & Pedro A. C. Saffi & Jason Sturgess, 2016, "Ownership Structure, Limits to Arbitrage, and Stock Returns: Evidence from Equity Lending Markets," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 12, pages 3211-3244.
• Nicole Branger & Holger Kraft & Christoph Meinerding, 2016, "The Dynamics of Crises and the Equity Premium," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 1, pages 232-270.
• Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2016, "Mortgage Risk and the Yield Curve," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 5, pages 1220-1253.
• Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2016, "The Euro Interbank Repo Market," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 7, pages 1747-1779.
• Ian Dew-Becker & Stefano Giglio, 2016, "Asset Pricing in the Frequency Domain: Theory and Empirics," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 8, pages 2029-2068.
• Pasquale Della Corte & Steven J. Riddiough & Lucio Sarno, 2016, "Currency Premia and Global Imbalances," The Review of Financial Studies, Society for Financial Studies, volume 29, issue 8, pages 2161-2193.
• Silvia Ghi?ã-Mitrescu & Cristina Duhnea, 2016, "The Adjusted Net Asset Valuation Method – Connecting the dots between Theory and Practice," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 521-526, July.
• Amos Nadler & Veronika Alexander & Cameron J. Johnson & Paul J. Zak, 2016, "The Bull of Wall Street: Experimental Analysis of Testosterone and Asset Trading," Economics Series Working Papers, University of Oxford, Department of Economics, number 806, Oct.
• Andre Veiga & Ansgar Walther, 2016, "Social Media, News Media and the Stock Market," Economics Series Working Papers, University of Oxford, Department of Economics, number Paper-805, Oct.
• González-Fernández, Marcos & González-Velasco, Carmen, 2016, "Which countries pay more or less for their long term debt? A CART approach || ¿Qué países pagan más o menos por su deuda a largo plazo? Una aproximación a través de la metodología CART," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 21, issue 1, pages 103-116, June.
• Ziemowit Bednarek & Pratish Patel & Cyrus A. Ramezani, 2016, "Time aggregation of the Sharpe ratio," Journal of Asset Management, Palgrave Macmillan, volume 17, issue 7, pages 540-555, December, DOI: 10.1057/s41260-016-0003-x.
• Emanuel Bagna & Enrico Cotta Ramusino, 2016, "Accounting-Based Valuation Using Market Multiples: The Case Of Cyclical Companies," DEM Working Papers Series, University of Pavia, Department of Economics and Management, number 126, Oct.
• Gabriel Rodriguez & Willy Alanya, 2016, "Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-413.
• Gabriel Rodríguez & Dennis Alvaro & Ángel Guillén, 2016, "Modelling the Volatility of Commodities Prices using a Stochastic Volatility Model with Random Level Shifts," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-414.
• Gabriel Rodríguez & José Carlos Gonzáles Tanaka, 2016, "An Empirical Application of a Random Level Shifts Model with Time-Varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns [Una aplicación empírica de un modelo de cambios de nivel aleatorios con probabilidades," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-415.
• Gabriel Rodríguez, 2016, "Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y cambiarios en América Latina: Aplicación empírica de ," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2016-416.
• Murat Akbalik & K. Batu Tunay, 2016, "An Analysis Of Ramadan Effect By Gjr-Garch Model: Case Of Borsa Istanbul," Oeconomia Copernicana, Institute of Economic Research, volume 7, issue 4, pages 593-612, December, DOI: 10.12775/OeC.2016.033.
• Lai, Ping-fu (Brian) & Cho, Kwai-yee (Kevin), 2016, "Relationships Between Stock Returns and Corporate Financial Ratios Based on a Statistical Analysis of Corporate Data from the Hong Kong Stock Market," Public Finance Quarterly, Corvinus University of Budapest, volume 61, issue 1, pages 110-123.
• Ewa Karwowski & Engelbert Stockhammer, 2016, "Financialisation in emerging economies: a systematic overview and comparison with Anglo-Saxon economies," Working Papers, Post Keynesian Economics Society (PKES), number PKWP1616, Aug.
• Ana Isabel Ramos Domingues & António de Melo da Costa Cerqueira & Elísio Fernando Moreira Brandão, 2016, "Idiosyncratic Volatility and Earnings Quality: Evidence from United Kingdom," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 579, Oct.
• João Alberto Contim Martins & Francisco Vitorino da Silva Martins & Elísio Fernando Moreira Brandão, 2016, "Momentum: Strategies, Size and Risk Factor," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 582, Nov.
• Hirshleifer, David & Sheng, Jinfei, 2016, "Macro News and Micro News: Complements or Substitutes?," MPRA Paper, University Library of Munich, Germany, number 108224, Dec, revised 08 Jun 2021.
• S, Suresh Kumar & V, Joseph James, 2016, "Precision in Predicting the Stock Prices –An Empirical Approach to Accuracy in Forecasting," MPRA Paper, University Library of Munich, Germany, number 109026, Jun.
• S R, Shehnaz & S, Suresh Kumar, 2016, "Gold prices and Nifty – Unravelling of an intricately interwoven nexus," MPRA Paper, University Library of Munich, Germany, number 109184, Jun.
• Steve, Heinke & Niels, Warmuth, 2016, "A Rational Inattention Perspective on Equilibrium Asset Pricing under Heterogeneous Information with Structural Breaks and Market Efficiency," MPRA Paper, University Library of Munich, Germany, number 68715.
• Shaikh, Slam Ahmed, 2016, "Analysis & Test of Market Efficiency: A Case Study of KSE," MPRA Paper, University Library of Munich, Germany, number 68743, Jan.
• Naqi Shah, Sadia & Qayyum, Abdul, 2016, "Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan," MPRA Paper, University Library of Munich, Germany, number 68783, Jan.
• Blanco, Iván & Wehrheim, David, 2016, "The Bright Side of Financial Derivatives: Options Trading and Firm Innovation," MPRA Paper, University Library of Munich, Germany, number 69239, Feb.
• Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016, "Inflation expectations derived from a portfolio model," MPRA Paper, University Library of Munich, Germany, number 69489, Feb.
• Hattori, Takahiro & Miyake, Hiroki, 2016, "The Japan Municipal Bond Yield Curve: 2002 to the Present," MPRA Paper, University Library of Munich, Germany, number 69725, Feb.
• Charles, Amelie & Darne, Olivier & Kim, Jae, 2016, "Stock Return Predictability: Evaluation based on Prediction Intervals," MPRA Paper, University Library of Munich, Germany, number 70143, Mar.
• Yoshida, Yushi & Susai, Masayuki, 2016, "Stepping out of the limit order book: Empirical evidence from the EBS FX market," MPRA Paper, University Library of Munich, Germany, number 70291, Mar.
• Kim, Minseong, 2016, "Futures market approach to understanding equity premium puzzle," MPRA Paper, University Library of Munich, Germany, number 70310, Mar.
• Kim, Jae, 2016, "Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?," MPRA Paper, University Library of Munich, Germany, number 70692, Apr.
• García Muñoz, Luis Manuel & Palomar Burdeus, Juan Esteban & de Lope Contreras, Fernando, 2016, "The recursive nature of KVA: KVA mitigation from KVA," MPRA Paper, University Library of Munich, Germany, number 70927, Apr.
• Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016, "The Strategic Determination of the Supply of Liquid Assets," MPRA Paper, University Library of Munich, Germany, number 71454, May.
• Athanasios, Geromichalos & Kuk Mo, Jung, 2016, "Monetary Policy and Efficiency in Over-the-Counter Financial Trade," MPRA Paper, University Library of Munich, Germany, number 71455, May.
• Hattori, Takahiro & Miyake, Hiroki, 2016, "Yield Curve for Japanese Agency Bonds: From 2002 to the Present," MPRA Paper, University Library of Munich, Germany, number 71487, May.
• Jiranyakul, Komain, 2016, "Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?," MPRA Paper, University Library of Munich, Germany, number 71602, May.
• Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016, "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper, University Library of Munich, Germany, number 71631, May.
• Fajardo, José, 2016, "Power Style Contracts Under Asymmetric Lévy Processes," MPRA Paper, University Library of Munich, Germany, number 71813, May.
• Hasbullah, Faruq & Masih, Mansur, 2016, "Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets," MPRA Paper, University Library of Munich, Germany, number 72149, Jun.
• Cuthbert, James R. & Magni, Carlo Alberto, 2016, "Measuring the inadequacy of IRR in PFI schemes using profitability index and AIRR," MPRA Paper, University Library of Munich, Germany, number 72857.
• Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2016, "The Impacts of the 2008 and 2011 Crises on the Japan REIT Market," MPRA Paper, University Library of Munich, Germany, number 73463, May.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 73533, Aug.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 73707, Aug.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 74010, Aug.
• Clark, Ephraim & Qiao, Zhuo & Wong, Wing-Keung, 2016, "Theories of Risk: Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets," MPRA Paper, University Library of Munich, Germany, number 74344, Apr.
• Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016, "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper, University Library of Munich, Germany, number 74386, Oct.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 74615, Aug.
• Pandey, Ashish, 2016, "High Bids and Low Recovery: A Possible Case for Non-Performing Loan Auctions in India," MPRA Paper, University Library of Munich, Germany, number 75254, Nov.
• Rosas-Martinez, Victor H., 2016, "Expectations Over Durable Assets: How to Avoid the Formation of Value Bubbles," MPRA Paper, University Library of Munich, Germany, number 75350, Oct.
• Byrne, Joseph & Fu, Rong, 2016, "Stock Return Prediction with Fully Flexible Models and Coefficients," MPRA Paper, University Library of Munich, Germany, number 75366, Nov.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2016, "Common Information in Carry Trade Risk Factors," MPRA Paper, University Library of Munich, Germany, number 75367, Oct.
• Colasante, Annarita & Alfarano, Simone & Camacho-Cuena, Eva & Gallegati, Mauro, 2016, "Long-run expectations in a Learning-to-Forecast Experiment," MPRA Paper, University Library of Munich, Germany, number 75621.
• Valerio Filoso, Valerio & Panico, Carlo & Papagni, Erasmo & Francesco, Purificato & Vázquez Suarez, Marta, 2016, "Causes and timing of the European debt crisis: An econometric evaluation," MPRA Paper, University Library of Munich, Germany, number 75847, Dec.
• Lee, Seungduck, 2016, "Money, Asset Prices and the Liquidity Premium," MPRA Paper, University Library of Munich, Germany, number 75869, Oct.
• Li, Mengling & Zheng, Huanhuan & Chong, Terence Tai Leung & Zhang, Yang, 2016, "The Stock-Bond Comovements and Cross-Market Trading," MPRA Paper, University Library of Munich, Germany, number 75871, Sep.
• Xing, Victor, 2016, "Ultra-accommodative Monetary Policy and Unintentional Drags on Consumer Spending," MPRA Paper, University Library of Munich, Germany, number 77749, Apr.
• Toda, Alexis Akira & Walsh, Kieran James, 2016, "Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models," MPRA Paper, University Library of Munich, Germany, number 78980, Nov.
• Farmer, Leland & Toda, Alexis Akira, 2016, "Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments," MPRA Paper, University Library of Munich, Germany, number 78981, Nov.
• Parker, Edgar, 2016, "Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability," MPRA Paper, University Library of Munich, Germany, number 80039, Sep.
• Coskun, Yener & Seven, Unal, 2016, "Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi (Book Chapter)
  [Efficient Market Hypothesis and Weak Form Efficiency Analysis of Borsa Istanbul (Book Chapter)]," MPRA Paper, University Library of Munich, Germany, number 80263, May.
• Širůček, Martin & Galečka, Ondřej, 2016, "Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing," MPRA Paper, University Library of Munich, Germany, number 80526, Jun.
• He, Qing & Qian, Zongxin & Fei, Zhe & Chong, Terence Tai Leung, 2016, "Do Speculative Bubbles Migrate in the Chinese Stock Market?," MPRA Paper, University Library of Munich, Germany, number 80575, Dec.
• Tan, Zekuang, 2016, "Application of Discounted Cash Flow Model Valuation – Wal-Mart," MPRA Paper, University Library of Munich, Germany, number 83903, Dec.
• Nauta, Bert-Jan, 2016, "Multi-Curve Discounting," MPRA Paper, University Library of Munich, Germany, number 85657, Apr, revised 20 Feb 2018.
• Otero, Karina V., 2016, "Intensity of default in sovereign bonds: Estimation of an unobservable process," MPRA Paper, University Library of Munich, Germany, number 86782.
• Olkhov, Victor, 2016, "On Hidden Problems of Option Pricing," MPRA Paper, University Library of Munich, Germany, number 87173, Aug.
• Barinov, Alexander & Park, Shawn Saeyeul & Yildizhan, Celim, 2016, "Firm Complexity and Post-Earnings-Announcement Drift," MPRA Paper, University Library of Munich, Germany, number 89919, Apr, revised 09 Nov 2018.
• Barinov, Alexander & Park, Shawn Saeyeul & Yildizhan, Celim, 2016, "Firm Complexity and Post-Earnings-Announcement Drift," MPRA Paper, University Library of Munich, Germany, number 91421, Apr, revised 14 Dec 2018.
• Nauta, Bert-Jan, 2016, "A Model for the Valuation of Assets with Liquidity Risk," MPRA Paper, University Library of Munich, Germany, number 92493, Sep.
• Mehmet Balcilar & Riza Demirer & Rangan Gupta, 2016, "Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations," Working Papers, University of Pretoria, Department of Economics, number 201609, Feb.
• Nikolaos Antonakakis & Christina Christou & Juncal Cunado & Rangan Gupta, 2016, "Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area," Working Papers, University of Pretoria, Department of Economics, number 201616, Mar.
• Mehmet Balcilar & Rangan Gupta & Charl Jooste & Mark E. Wohar, 2016, "Periodically Collapsing Bubbles in the South African Stock Market," Working Papers, University of Pretoria, Department of Economics, number 201624, Mar.
• Nikolaos Antonakakis & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2016, "Is Inflation Persistence Different in Reality?," Working Papers, University of Pretoria, Department of Economics, number 201663, Aug.
• Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2016, "The Relationship between Stock Market Volatility and Trading Volume: Evidence from South Africa," Working Papers, University of Pretoria, Department of Economics, number 201689, Dec.
• Andrea Klimešová & Tomáš Václavík, 2016, "Gas Swing Options: Introduction and Pricing using Monte Carlo Methods," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2016, issue 1, pages 15-32, DOI: 10.18267/j.aop.496.
• Jana Marková & Božena Hrvoľová, 2016, "Share Valuation Using the Comparative Method
  [Ohodnocovanie akcií porovnávacou metódou]," Acta Oeconomica Pragensia, Prague University of Economics and Business, volume 2016, issue 6, pages 16-37, DOI: 10.18267/j.aop.544.
• Edyta Marcinkiewicz, 2016, "Short Sale and Index Futures Mispricing: Evidence from the Warsaw Stock Exchange," Prague Economic Papers, Prague University of Economics and Business, volume 2016, issue 5, pages 547-559, DOI: 10.18267/j.pep.579.
• Dejan Živkov & Jovan Njegić & Vera Mirović, 2016, "Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies," Prague Economic Papers, Prague University of Economics and Business, volume 2016, issue 6, pages 686-705, DOI: 10.18267/j.pep.591.
• Božena Chovancová & Peter Árendáš, 2016, "Akciový trh verzus reálna ekonomika a jej indikátor HDP
  [The Stock Market versus the Real Economy and its Indicator GDP]," Politická ekonomie, Prague University of Economics and Business, volume 2016, issue 8, pages 939-952, DOI: 10.18267/j.polek.1119.
• Pongsak Luangaram & Athakrit Thepmongkol, 2016, "Macroprudential Policy in a Bubble-Creation Economy," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 22, Mar.
• Jakree Koosakul, 2016, "Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 30, Jun.
• Allen Head & Huw Lloyd-Ellis, 2016, "Has Canadian House Price Growth Been Excessive?," Working Paper, Economics Department, Queen's University, number 1331, Jan.
• Chris Bardgett & Elise Gourier & Markus Leippold, 2016, "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers, Queen Mary University of London, School of Economics and Finance, number 780, Jan.
• Elise Gourier, 2016, "Pricing of Idiosyncratic Equity and Variance Risks," Working Papers, Queen Mary University of London, School of Economics and Finance, number 781, Jan.
• Gordon Y. Liao, 2016, "Credit Migration and Covered Interest Rate Parity," Working Paper, Harvard University OpenScholar, number 468601, Oct.
• Spyridon Vrontos, 2016, "Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach," Bankers, Markets & Investors, ESKA Publishing, issue 140, pages 20-32, January-F.