Research classified by Journal of Economic Literature (JEL) codes

2015

• Mehmet I. Canayaz & Jose V. Martinez & Han N. Ozsoylev, 2015, "Is the revolving door of Washington a back door to excess corporate returns?," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1507, May.
• Alper Veli ÇAM, 2015, "Notes on the2015 Finance Symposium," Journal of Economics Library, KSP Journals, volume 2, issue 4, pages 378-379, December.
• Benjamin Falkeborg, 2015, "Dealing with Dynamic Agency," Discussion Papers, University of Copenhagen. Department of Economics, number 15-04, Feb.
• Katsutoshi Wakai, 2015, "Equilibrium Alpha in Asset Pricing in an Ambiguity-averse Economy," Discussion papers, Graduate School of Economics , Kyoto University, number e-15-010, Nov.
• Katsumasa Nishide & Yuan Tian, 2015, "Auction versus Dealership Markets: Impact of Proprietary Trading with Transaction Fees," KIER Working Papers, Kyoto University, Institute of Economic Research, number 922, Apr.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015, "The Effectiveness of the ECB’s Asset Purchase Programs of 2009 to 2012," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 15/24, Nov.
• Yuanyuan Shen & Lu Yang, 2015, "Does Capital Account Liberalization Affect the Financial Stability: Evidence from China," Journal of Reviews on Global Economics, Lifescience Global, volume 4, pages 152-158.
• Ying-Jen Chen & Jen-Sin Lee, 2015, "Turnover Premium, Foreign Institutional Ownership, and Time-Varying Risk Premium in Taiwan Equity Markets," Journal of Reviews on Global Economics, Lifescience Global, volume 4, pages 8-20.
• Gideon Boako, 2015, "The response of stock prices to dividend news on the Ghana stock market: An empirical assessment," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 3, issue 2, pages 78-85, April.
• Md. Al Mamun & Md. Abu Syeed & Farida Yasmeen, 2015, "Are investors rational, irrational or normal?," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 3, issue 4, pages 1-15, August.
• Edirisinghe U. C & Nimal P.D, 2015, "Stock Price Reaction to Announcements of Right Issues and Debenture Issues: Evidence from Colombo Stock Exchange," International Journal of Business and Social Research, LAR Center Press, volume 5, issue 2, pages 67-76, February.
• Simon Dietz & Christian Gollier & Louise Kessler, 2015, "The climate beta," GRI Working Papers, Grantham Research Institute on Climate Change and the Environment, number 190, Apr.
• Pierre Chaigneau & Louis Eeckhoudt, 2015, "Downside Risk Neutral Probabilities," Cahiers de recherche, CIRPEE, number 1521.
• Sreejata Banerjee & Divya Sinha, 2015, "Effect of Macroeconomic News Releases on Bond Yields in India China and Japan," Working Papers, Madras School of Economics,Chennai,India, number 2015-125, Oct.
• Ekta Selarka & Subhra Choudhury, 2015, "Related Party Transactions and Stock Price Crash Risk: Evidence from India," Working Papers, Madras School of Economics,Chennai,India, number 2015-129, Oct.
• Sebastian Eichfelder & Mona Lau, 2015, "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 150019, Dec.
• Benjamin Käfer, 2015, "Estimating Group Support for German Landesbanken," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201525.
• Seifoddini, Jalal & Rahnamay Roodposhti, Fraydoon & Nikoomaram, Hashem, 2015, "Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 10, issue 4, pages 29-50, October.
• Barbara Fidanza & Ottorino Morresi, 2015, "Does the Fama-Franch three-factor model work in the financial industry? Evidence from European bank stocks," Working Papers, Macerata University, Department of Studies on Economic Development (DiSSE), number 47-2015, May, revised May 2015.
• Daniel Harenberg & Ludwig, Alexander, 2015, "Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy, number 201403, May.
• Vojtěch Fiala & Svatopluk Kapounek & Ondřej Veselý, 2015, "Impact of Social Media on the Stock Market: Evidence from Tweets," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 1, issue 1, pages 24-35, DOI: 10.11118/ejobsat.v1i1.35.
• Norliza Che-Yahya & Ruzita Abdul-Rahim & Rasidah Mohd-Rashid, 2015, "Impact of Lock-Up Provision on Two IPO Anomalies in the Immediate Aftermarket," Capital Markets Review, Malaysian Finance Association, volume 23, issue 1&2, pages 25-39.
• Steve Fan & Scott Opsal & Linda Yu, 2015, "Equity Anomalies and Idiosyncratic Risk Around the World," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 1, pages 33-75, March.
• Lorne Switzer & Alan Picard, 2015, "Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 3, pages 169-221, September.
• Panayiotis Theodossiou, 2015, "Skewed Generalized Error Distribution of Financial Assets and Option Pricing," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 4, pages 223-266, December.
• Graham Bornholt & Paul Dou & Mirela Malin, 2015, "Trading Volume and Momentum: The International Evidence," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 4, pages 267-313, December.
• Gianluca Cassese, 2015, "Nonparametric Estimates of Option Prices Using Superhedging," Working Papers, University of Milano-Bicocca, Department of Economics, number 293, Feb, revised Feb 2015.
• Edirisinghe U. C & Nimal P.D, 2015, "Stock Price Reaction to Announcements of Right Issues and Debenture Issues: Evidence from Colombo Stock Exchange," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, volume 5, issue 2, pages 67-76, February.
• Kei Kawakami, 2015, "Market Size Matters:A Model of Excess Volatility in Large Markets," Department of Economics - Working Papers Series, The University of Melbourne, number 2003, Mar.
• Adam, Klaus & Marcet, Albert & Merkel, Sebastian & Beutel, Johannes, 2015, "Can a financial transaction tax prevent stock price booms?," Working Papers, University of Mannheim, Department of Economics, number 15-10.
• Carlo Alberto Magni, 2015, "Investment, financing and the role of ROA and WACC in value creation," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0050, Feb.
• Carlo Alberto Magni & Ken V. Peasnell, 2015, "The Term Structure of Capital Values:An accounting-based framework for measuring economic profitability," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0060, Sep.
• Seema Narayan & Russell Smyth, 2015, "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers, Monash University, Department of Economics, number 06-15, Jan.
• Luc Renneboog, 2015, "Investing in Diamonds," Business and Economic Research, Macrothink Institute, volume 5, issue 1, pages 166-195, June.
• KALNINA, Ilze & XIU, Dacheng, 2015, "Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2015-05.
• Ilze KALNINA & Dacheng XIU, 2015, "Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 09-2015.
• Qu FENG & Guiying Laura WU, 2015, "Bubble or Riddle? An Asset-Pricing Approach Evaluation on China’s Housing Market," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1501, Feb.
• Kristjanpoller Rodríguez Werner & Arenas Yáñez Teresita, 2015, "The turn of the month effect still exists in the main Latin American stock markets, including the level of individual stocks," Contaduría y Administración, Accounting and Management, volume 60, issue 1, pages 53-86, enero-mar.
• B. De Backer, 2015, "Decomposition of the dynamics of sovereign yield spreads in the euro area," Economic Review, National Bank of Belgium, issue i, pages 54-75, June.
• Georges Hübner & Thomas Lejeune, 2015, "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research, National Bank of Belgium, number 289, Oct.
• Marcin Kacperczyk & Jaromir Nosal & Luminita Stevens, 2015, "Investor sophistication and capital income inequality," NBP Working Papers, Narodowy Bank Polski, number 199.
• Mariusz Kapuściński, 2015, "Monetary policy and financial asset prices in Poland," NBP Working Papers, Narodowy Bank Polski, number 216.
• Łukasz Gątarek & Marcin Wojtowicz, 2015, "The relation between sovereign credit default swap premium and banking sector risk in Poland," NBP Working Papers, Narodowy Bank Polski, number 222.
• Lorenzo Bretscher & Christian Julliard & Carlo Rosa, 2016, "Human Capital and International Portfolio Diversification: A Reappraisal," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2015".
• Shin-ichi Fukuda, 2015, "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Chapters, National Bureau of Economic Research, Inc, "International Finance in the Global Markets".
• Monika Piazzesi & Martin Schneider & Johannes Stroebel, 2015, "Segmented Housing Search," NBER Working Papers, National Bureau of Economic Research, Inc, number 20823, Jan.
• Roger E.A. Farmer, 2015, "Global Sunspots and Asset Prices in a Monetary Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20831, Jan.
• Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015, "Long-run Bulls and Bears," NBER Working Papers, National Bureau of Economic Research, Inc, number 20858, Jan.
• Jia Chen & Kewei Hou & René M. Stulz, 2015, "Are Firms in "Boring" Industries Worth Less?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20880, Jan.
• Jerry Tsai & Jessica A. Wachter, 2015, "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 20926, Feb.
• Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015, "The Real Value of China's Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 20957, Feb.
• Denis Gromb & Dimitri Vayanos, 2015, "The Dynamics of Financially Constrained Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 20968, Feb.
• Robert Novy-Marx, 2015, "Fundamentally, Momentum is Fundamental Momentum," NBER Working Papers, National Bureau of Economic Research, Inc, number 20984, Feb.
• Robert Novy-Marx, 2015, "How Can a Q-Theoretic Model Price Momentum?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20985, Feb.
• Hang Bai & Kewei Hou & Howard Kung & Lu Zhang, 2015, "The CAPM Strikes Back? An Investment Model with Disasters," NBER Working Papers, National Bureau of Economic Research, Inc, number 21016, Mar.
• Francesco Bianchi, 2015, "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 21056, Mar.
• Gian Luca Clementi & Berardino Palazzo, 2015, "Investment and The Cross-Section of Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 21064, Apr.
• Takatoshi Ito & Masahiro Yamada, 2015, "High-frequency, Algorithmic Spillovers Between NASDAQ and Forex," NBER Working Papers, National Bureau of Economic Research, Inc, number 21122, Apr.
• Andrea Beltratti & René M. Stulz, 2015, "Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 21150, May.
• George M. Constantinides & Lei Lian, 2015, "The Supply and Demand of S&P 500 Put Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21161, May.
• Harrison Hong & Weikai Li & Sophie X. Ni & Jose A. Scheinkman & Philip Yan, 2015, "Days to Cover and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 21166, May.
• Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015, "The Price of Variance Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 21182, May.
• Sunil Kanwar & Bronwyn H. Hall, 2015, "The Market Value of R&D in Weak Innovation Regimes: Evidence from India," NBER Working Papers, National Bureau of Economic Research, Inc, number 21196, May.
• Erik Eyster & Matthew Rabin & Dimitri Vayanos, 2015, "Financial Markets where Traders Neglect the Informational Content of Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 21224, May.
• Lucian A. Bebchuk & Alon Brav & Wei Jiang, 2015, "The Long-Term Effects of Hedge Fund Activism," NBER Working Papers, National Bureau of Economic Research, Inc, number 21227, Jun.
• Jules H. van Binsbergen & Ralph S.J. Koijen, 2015, "The Term Structure of Returns: Facts and Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 21234, Jun.
• Mark Huggett & Greg Kaplan, 2015, "How Large is the Stock Component of Human Capital?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21238, Jun.
• Geetesh Bhardwaj & Gary Gorton & Geert Rouwenhorst, 2015, "Facts and Fantasies about Commodity Futures Ten Years Later," NBER Working Papers, National Bureau of Economic Research, Inc, number 21243, Jun.
• Wolfgang Keller & Carol H. Shiue & Xin Wang, 2015, "Capital Markets in China and Britain, 18th and 19th Century: Evidence from Grain Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 21349, Jul.
• Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015, "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers, National Bureau of Economic Research, Inc, number 21449, Aug.
• Joel M. David & Ina Simonovska, 2015, "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 21480, Aug.
• Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015, "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers, National Bureau of Economic Research, Inc, number 21487, Aug.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015, "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21491, Aug.
• Grace Xing Hu & Jun Pan & Jiang Wang, 2015, "Tri-Party Repo Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 21502, Aug.
• Takatoshi Ito & Masahiro Yamada, 2015, "Was the Forex Fixing Fixed?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21518, Sep.
• Ricardo Lagos & Shengxing Zhang, 2015, "Monetary Exchange in Over-the-Counter Markets: A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 21528, Sep.
• Robert F. Stambaugh & Yu Yuan, 2015, "Mispricing Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 21533, Sep.
• Ravi Jagannathan & Binying Liu, 2015, "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 21557, Sep.
• Nicolae B. Gârleanu & Lasse H. Pedersen, 2015, "Efficiently Inefficient Markets for Assets and Asset Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 21563, Sep.
• Mete Kilic & Jessica A. Wachter, 2015, "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 21575, Sep.
• Peter N. Ireland, 2015, "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 21576, Sep.
• Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2015, "Phasing Out the GSEs," NBER Working Papers, National Bureau of Economic Research, Inc, number 21626, Oct.
• Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2015, "The Choice Channel of Financial Innovation," NBER Working Papers, National Bureau of Economic Research, Inc, number 21686, Oct.
• Francisco Barillas & Jay Shanken, 2015, "Which Alpha?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21698, Nov.
• William Goetzmann & Simon Huang, 2015, "Momentum in Imperial Russia," NBER Working Papers, National Bureau of Economic Research, Inc, number 21700, Nov.
• Darrell Duffie & Lei Qiao & Yeneng Sun, 2015, "Dynamic Directed Random Matching," NBER Working Papers, National Bureau of Economic Research, Inc, number 21731, Nov.
• Ralph S.J. Koijen & Motohiro Yogo, 2015, "A Demand System Approach to Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 21749, Nov.
• Robin Greenwood & Samuel Hanson & Dimitri Vayanos, 2015, "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," NBER Working Papers, National Bureau of Economic Research, Inc, number 21750, Dec.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Andreas Weber, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," NBER Working Papers, National Bureau of Economic Research, Inc, number 21767, Nov.
• Francisco Barillas & Jay Shanken, 2015, "Comparing Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 21771, Dec.
• Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015, "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21803, Dec.
• Adam Hayes, 2015, "A Cost of Production Model for Bitcoin," Working Papers, New School for Social Research, Department of Economics, number 1505, Mar.
• Bill Gibson & Mark Setterfield, 2015, "Real and financial crises in the Keynes-Kalecki structuralist model: An agent-based approach," Working Papers, New School for Social Research, Department of Economics, number 1517, Aug.
• A. Abramov & A. Radygin & M. Chernova, 2015, "Long-term Portfolio investment: New insight into Return and Risk," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 10, DOI: 10.32609/0042-8736-2015-10-54-77.
• Levy, Moshe & Roll, Richard, 2015, "(Im)Possible Frontiers: A Comment," Critical Finance Review, now publishers, volume 4, issue 1, pages 139-148, June, DOI: 10.1561/104.00000015.
• Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2015, "Seasonal Variation in Treasury Returns," Critical Finance Review, now publishers, volume 4, issue 1, pages 45-115, June, DOI: 10.1561/104.00000021.
• Lewellen, Jonathan, 2015, "The Cross-section of Expected Stock Returns," Critical Finance Review, now publishers, volume 4, issue 1, pages 1-44, June, DOI: 10.1561/104.00000024.
• Greene, Jason T. & Rakowski, David, 2015, "A Note on the Sources of Portfolio Returns: Underlying Stock Returns and the Excess Growth Rate," Critical Finance Review, now publishers, volume 4, issue 1, pages 117-138, June, DOI: 10.1561/104.00000025.
• Brennan, Thomas J. & Lo, Andrew W., 2015, "Reply to “(Im)Possible Frontiers: A Commentâ€," Critical Finance Review, now publishers, volume 4, issue 1, pages 157-171, June, DOI: 10.1561/104.00000026.
• Ingersoll, Jr., Jonathan E., 2015, "Always Possible Frontiers," Critical Finance Review, now publishers, volume 4, issue 1, pages 149-155, June, DOI: 10.1561/104.00000027.
• Petre Prisecaru, 2015, "Is Quantitative Easing An Appropriate Way For The Success Of Monetary Policy In A Post-Crisis Period?," Global Economic Observer, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences;Institute for World Economy of the Romanian Academy, volume 3, issue 2, pages 27-35, November.
• Roman Šperka & Irena Szarowská, 2015, "Impact of a Financial Transaction Tax on a Financial Market," Working Papers, Silesian University, School of Business Administration, number 0013, Jul.
• Hada Teodor & Avram Teodora Maria, 2015, "Annual Financial Statements, Information Sources For Risk Determination In The Case Of Saturn J.S. Alba Iulia," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 440-447, December.
• Xiao, Tim, 2015, "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," arabixiv.org, Center for Open Science, number rdega, Jul, DOI: 10.31219/osf.io/rdega.
• Xiao, Tim, 2015, "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," FrenXiv, Center for Open Science, number k6zj3, Jul, DOI: 10.31219/osf.io/k6zj3.
• Dilip B. Madan, 2015, "Recovering Statistical Theory in the Context of Model Calibrations," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 2, pages 260-292.
• Joakim Westerlund & Paresh Narayan, 2015, "A Random Coefficient Approach to the Predictability of Stock Returns in Panels," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 3, pages 605-664.
• Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2015, "Risk Measures for Autocorrelated Hedge Fund Returns," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 4, pages 868-895.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2015, "Editor's Choice Very Long-Run Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 130, issue 1, pages 1-53.
• Robin Greenwood & Samuel G. Hanson, 2015, "Waves in Ship Prices and Investment," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 130, issue 1, pages 55-109.
• José L. Fillat & Stefania Garetto, 2015, "Risk, Returns, and Multinational Production," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 130, issue 4, pages 2027-2073.
• Antje Berndt, 2015, "A Credit Spread Puzzle for Reduced-Form Models," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 1, pages 48-91.
• Kuntara Pukthuanthong & Richard Roll, 2015, "Internationally Correlated Jumps," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 1, pages 92-111.
• Hitesh Doshi & Redouane Elkamhi & Mikhail Simutin, 2015, "Managerial Activeness and Mutual Fund Performance," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 156-184.
• Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai, 2015, "The Impact of Hedge Funds on Asset Markets," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 185-226.
• Agostino Capponi & Martin Larsson, 2015, "Price Contagion through Balance Sheet Linkages," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 227-253.
• Max Gillman & Michal Kejak & Michal Pakoš, 2015, "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Review of Finance, European Finance Association, volume 19, issue 3, pages 1053-1104.
• James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2015, "Improved Portfolio Choice Using Second-Order Stochastic Dominance," Review of Finance, European Finance Association, volume 19, issue 4, pages 1623-1647.
• Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2015, "Convective Risk Flows in Commodity Futures Markets," Review of Finance, European Finance Association, volume 19, issue 5, pages 1733-1781.
• Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015, "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 11, pages 3073-3108.
• Narasimhan Jegadeesh & Roman Kräussl & Joshua M. Pollet, 2015, "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 12, pages 3269-3302.
• Yen-Cheng Chang & Harrison Hong & Inessa Liskovich, 2015, "Regression Discontinuity and the Price Effects of Stock Market Indexing," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 1, pages 212-246.
• Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015, "Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 3, pages 706-742.
• Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015, "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 3, pages 791-837.
• John Cotter & Stuart Gabriel & Richard Roll, 2015, "Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 3, pages 913-936.
• Halep Maria, 2015, "The IFRS9 Standard: Assessment of the Impacts on the European Banking Industry," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 930-935, May.
• Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen, 2015, "Explosive bubbles in house prices? Evidence from the OECD countries," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-01, Jan.
• Alfonso Irarrazabal & Juan Carlos Parra-Alvarez, 2015, "Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-08, Feb.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2015, "Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-15, Mar.
• Henri Nyberg & Harri Pönkä, 2015, "International Sign Predictability of Stock Returns: The Role of the United States," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-20, May.
• Jonas Nygaard Eriksen, 2015, "Expected Business Conditions and Bond Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-44, Sep.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015, "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-54, Nov.
• Alex Edmans & Itay Goldstein & Wei Jiang, 2015, "Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage," American Economic Review, American Economic Association, volume 105, issue 12, pages 3766-3797, December.
• Marco Ottaviani & Peter Norman Sørensen, 2015, "Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal," American Economic Review, American Economic Association, volume 105, issue 1, pages 1-34, January.
• Alain Cohn & Jan Engelmann & Ernst Fehr & Michel André Maréchal, 2015, "Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals," American Economic Review, American Economic Association, volume 105, issue 2, pages 860-885, February.
• Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015, "Measuring Uncertainty," American Economic Review, American Economic Association, volume 105, issue 3, pages 1177-1216, March.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2015, "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," American Economic Review, American Economic Association, volume 105, issue 7, pages 1979-2010, July.
• Jordi Galí & Luca Gambetti, 2015, "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," American Economic Journal: Macroeconomics, American Economic Association, volume 7, issue 1, pages 233-257, January.
• Kevin J. Lansing, 2015, "Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks," American Economic Journal: Macroeconomics, American Economic Association, volume 7, issue 4, pages 67-103, October.
• Sivan Frenkel, 2015, "Repeated Interaction and Rating Inflation: A Model of Double Reputation," American Economic Journal: Microeconomics, American Economic Association, volume 7, issue 1, pages 250-280, February.
• Aurélien Baillon & Han Bleichrodt, 2015, "Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses," American Economic Journal: Microeconomics, American Economic Association, volume 7, issue 2, pages 77-100, May.
• Kent Daniel & David Hirshleifer, 2015, "Overconfident Investors, Predictable Returns, and Excessive Trading," Journal of Economic Perspectives, American Economic Association, volume 29, issue 4, pages 61-88, Fall.
• Suthawan Prukumpai, 2015, "Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 22, issue 2, pages 54-76, December.
• Mauricio Drelichman & Hans-Joachim Voth, 2015, "Risk sharing with the monarch: contingent debt and excusable defaults in the age of Philip II, 1556–1598," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), volume 9, issue 1, pages 49-75, January, DOI: 10.1007/s11698-014-0108-8.
• Vidal, R. & Ribal, J., 2015, "Contrastes no parametricos de multiplos fundamentales frente a multiplos bursatiles en empresas alimentarias europeas," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 15, issue 01, DOI: 10.22004/ag.econ.211281.
• Zaremba, Adam & Nowak, Andrzej, 2015, "Skewness preference across countries," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), volume 11, issue 2, pages 1-16, DOI: 10.22004/ag.econ.246154.
• Siddiqi, Hammad, 2015, "Relative Risk Perception and the Puzzle of Covered Call Writing," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 199882, Mar, DOI: 10.22004/ag.econ.199882.
• Siddiqi, Hammad, 2015, "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 207677, Jul, DOI: 10.22004/ag.econ.207677.
• Siddiqi, Hammad, 2015, "Anchoring Adjusted Capital Asset Pricing Model," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 211224, Oct, DOI: 10.22004/ag.econ.211224.
• Xavier Raurich & Thomas Seegmuller, 2015, "On the Interplay Between Speculative Bubbles and Productive Investment," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1542, Oct, revised 12 Oct 2015.
• Iulia-Oana Stefan, 2015, "The Place Of Bucharest Stock Exchange Amongst The Capital Markets From Central And Eastern Europe," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 43, pages 281-292.
• Dorel Berceanu & Nicolae Sichigea & Daniel Militaru, 2015, "Profitability And Risk Analysis Of Pharmaceutical Companies Listed On The Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 43, pages 36-42.
• Bocart, Fabian Y.R.P. & Hafner, Christian, 2015, "Fair Revaluation of Wine as an Investment," LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA), number 2015040, Jan.
• Teodor Hada & Emil Olteanu & Iulian Bogdan Dobra, 2015, "Analysis Of The Average Share Price Of Companies Listed On Bse Depending On The Profit And Exchange Segment. Different Techniques Of General Least Square And Computing Coefficient Covariance For Mean ," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 17, pages 1-7.
• Agliari, A. & Hommes, C.H. & Pecora, N., 2015, "Path Dependent Coordination of Expectations in Asset Pricing Experiments: a Behavioral Explanation," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 15-05.
• Annarita COLASANTE & Antonio PALESTRINI & Alberto RUSSO & Mauro GALLEGATI, 2015, "Adaptive Expectations with Correction Bias: Evidence from the lab," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 409, Jul.
• Sonia Wos, 2015, "Rynek Neuer Markt: droga od sukcesu do porażki / Neuer Markt: from Success to Failure," International Economics, University of Lodz, Faculty of Economics and Sociology, issue 11, pages 176-189, September.
• Luca Benzon & Olena Chyruk, 2015, "The Value and Risk of Human Capital," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 179-200, December, DOI: 10.1146/annurev-financial-110613-03.
• Robert A. Jarrow, 2015, "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 201-218, December, DOI: 10.1146/annurev-financial-030215-03.
• Jerry Tsai & Jessica A. Wachter, 2015, "Disaster Risk and Its Implications for Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 219-252, December, DOI: 10.1146/annurev-financial-111914-04.
• Douglas T. Breeden & Robert H. Litzenberger & Tingyan Jia, 2015, "Consumption-Based Asset Pricing, Part 1: Classic Theory and Tests, Measurement Issues, and Limited Participation," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 35-83, December, DOI: 10.1146/annurev-financial-111914-04.
• Andrew W. Lo & Mila Getmansky & Peter A. Lee, 2015, "Hedge Funds: A Dynamic Industry in Transition," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 483-577, December, DOI: 10.1146/annurev-financial-110311-10.
• Berk A. Sensoy & Steven N. Kaplan, 2015, "Private Equity Performance: A Survey," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 597-614, December, DOI: 10.1146/annurev-financial-111914-04.
• David Geltner, 2015, "Real Estate Price Indices and Price Dynamics: An Overview from an Investments Perspective," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 615-633, December, DOI: 10.1146/annurev-financial-111914-04.
• Douglas T. Breeden & Robert H. Litzenberger & Tingyan Jia, 2015, "Consumption-Based Asset Pricing, Part 2: Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 85-131, December, DOI: 10.1146/annurev-financial-091115-01.
• Gianluca Cassese, 2015, "Non Parametric Estimates of Option Prices Using Superhedging," Papers, arXiv.org, number 1502.03978, Feb.
• Franc{c}ois Legendre & Djibril Togola, 2015, "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers, arXiv.org, number 1504.03079, Apr.
• Matthias Raddant & Friedrich Wagner, 2015, "Transitions in the Stock Markets of the US, UK, and Germany," Papers, arXiv.org, number 1504.06113, Apr.
• Jaroslava Hlouskova & Leopold Sogner, 2015, "GMM Estimation of Affine Term Structure Models," Papers, arXiv.org, number 1508.01661, Aug.
• Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015, "Do investors trade too much? A laboratory experiment," Papers, arXiv.org, number 1512.03743, Dec.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015, "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers, Athens University of Economics and Business, number 1507, Feb.
• Conrad, Christian & Mammen , Enno, 2015, "Asymptotics for parametric GARCH-in-Mean Models," Working Papers, University of Heidelberg, Department of Economics, number 0579, Jan.
• Conrad, Christian & Loch, Karin, 2015, "The Variance Risk Premium and Fundamental Uncertainty," Working Papers, University of Heidelberg, Department of Economics, number 0583, Feb.
• 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, Institute for Fiscal Studies, number 13/15, Mar, DOI: 10.1920/wp.cem.2015.1315.
• Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015, "Nonparametric Euler equation identification and estimation," CeMMAP working papers, Institute for Fiscal Studies, number 61/15, Oct, DOI: 10.1920/wp.cem.2015.6115.
• Marcelo Bianconi & Joe Akira Yoshino, 2015, "Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies," Review of Economics & Finance, Better Advances Press, Canada, volume 5, pages 1-21, February.
• Jaroslaw Nowicki, 2015, "Shareholder Value Creation In Poland. Value Building And Its Transfer To Shareholders In Companies Listed On Warsaw Stock Exchange," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Bruno Feunou & Ernest Tafolong, 2015, "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers, Bank of Canada, number 15-11, DOI: 10.34989/swp-2015-11.
• Fuchun Li, 2015, "Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates," Staff Working Papers, Bank of Canada, number 15-17, DOI: 10.34989/swp-2015-17.
• Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou, 2015, "Downside Variance Risk Premium," Staff Working Papers, Bank of Canada, number 15-36, DOI: 10.34989/swp-2015-36.
• Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2015, "Option Valuation with Observable Volatility and Jump Dynamics," Staff Working Papers, Bank of Canada, number 15-39, DOI: 10.34989/swp-2015-39.
• Anh Le & Bruno Feunou & Christian Lundblad & Jean-Sébastien Fontaine, 2015, "Tractable Term Structure Models," Staff Working Papers, Bank of Canada, number 15-46, DOI: 10.34989/swp-2015-46.
• Mirta González & María Cecilia Pérez, 2015, "Simulation of the term structure. An application for measuring the interest rate risk," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201570, Nov.
• Erdinc ALTAY, 2015, "Knightian Uncertainty: The Effects of Risk and Ambiguity on Excess Returns of Borsa Istanbul," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 9, issue 2, pages 45-72.
• Yunus Aksoy & Henrique S. Basso, 2015, "Securitization and asset prices," Working Papers, Banco de España, number 1526, Sep.
• Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015, "Disagreement about inflation and the yield curve," Working Papers, Banco de España, number 1532, Nov.
• Marcello Pericoli & Marco Taboga, 2015, "Decomposing euro area sovereign spreads: credit, liquidity and convenience," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1021, Jul.
• Marcello Pericoli & Marco Taboga, 2015, "Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1023, Jul.
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2015, "The supply side of household finance," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1044, Nov.
• Zuccardi Huertas Igor Esteban, 2015, "Sovereign Spreads in the Eurozone: Is Market Discipline Working?," Working Papers, Banco de México, number 2015-20, Nov.
• Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015, "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia, Banco de la Republica de Colombia, number 903, Sep, DOI: 10.32468/be.903.
• Ignacio Lozano-Espitia & Hernando Vargas-Herrera & Norberto Rodríguez-Niño, 2015, "Financial Transaction Tax and Banking Margins: An Empirical Note for Colombia," Borradores de Economia, Banco de la Republica de Colombia, number 909, Oct, DOI: 10.32468/be.909.
• Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015, "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia, Banco de la Republica de Colombia, number 919, Dec, DOI: 10.32468/be.919.
• Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & G. Roussellet, 2015, "Staying at Zero with Affine Processes: An Application to Term Structure Modelling," Working papers, Banque de France, number 558.
• Dujardin, M. & Kelber, A. & Lalliard, A., 2015, "Surévaluation et rentabilité des biens immobiliers en zone euro : l’apport des données en euros par mètre carré," Bulletin de la Banque de France, Banque de France, issue 199, pages 77-88.