Research classified by Journal of Economic Literature (JEL) codes

2016

• 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.
• Matthias Weber & John Duffy & Arthur Schram, 2016, "An Experimental Study of Bond Market Pricing," Working Papers, University of California-Irvine, Department of Economics, number 161701, Aug.
• António Afonso, & Manuel Reis, 2016, "Revisiting Sovereign Bond Spreads’Determinants in the EMU," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2016/08, Apr.
• Mariya Gubareva & Maria Rosa Borges, 2016, "Interest Rate (In)sensitivity of Emerging Market Corporate Debt: Economic Analysis based on 2002-2015 Empirical Evidence," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2016/21, Oct.
• Mariya Gubareva & Maria Rosa Borges, 2016, "Governed by the Cycle: Direct and Inverted Interest-Rate Sensitivity of Emerging Market Corporate Debt," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2016/22, Oct.
• NAKABAYASHI, Masaki, 2016, "Self-fulfilling Distortion and Ownership Structure: Market Discipline and Owner fs Dominance at the Dawn of the Japanese Capitalism," ISS Discussion Paper Series (series F), Institute of Social Science, The University of Tokyo, number f181, Sep, revised 05 Feb 2018.
• Fesselmeyer, Eric & Liu, Haoming & Salvo, Alberto, 2016, "How Do Households Discount over Centuries? Evidence from Singapore's Private Housing Market," IZA Discussion Papers, IZA Network @ LISER, number 9862, Apr.
• Maria Cristina Recchioni & Gabriele Tedeschi, 2016, "From bond yield to macroeconomic instability: The effect of negative interest rates," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2016/06.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena & Mauro Gallegati, 2016, "Long-run expectations in a Learning-to-Forecast Experiment," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2016/26.
• Mohammad Jizi & Rabih Nehme & Aly Salama, 2016, "Do social responsibility disclosures show improvements on stock price?," Journal of Developing Areas, Tennessee State University, College of Business, volume 50, issue 2, pages 77-95, April-Jun.
• Ikechukwu Kelikume, 2016, "New evidence from the efficient market hypothesis for the Nigerian stock index using the wavelet unit root test approach," Journal of Developing Areas, Tennessee State University, College of Business, volume 50, issue 5, pages 185-197, Special I.
• Othman Yong, 2016, "Cheap IPO: Does it matter?," Journal of Developing Areas, Tennessee State University, College of Business, volume 50, issue 5, pages 453-460, Special I.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2016, "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2016-03, Dec.
• Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2016, "On the impact of macroeconomic news surprises on Treasury-bond returns," Annals of Finance, Springer, volume 12, issue 1, pages 29-53, February, DOI: 10.1007/s10436-015-0271-3.
• Dilip B. Madan, 2016, "Risk premia in option markets," Annals of Finance, Springer, volume 12, issue 1, pages 71-94, February, DOI: 10.1007/s10436-016-0273-9.
• Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter, 2016, "Relative asset price bubbles," Annals of Finance, Springer, volume 12, issue 2, pages 135-160, May, DOI: 10.1007/s10436-016-0274-8.
• Ryoichi Ikeda & Yoske Igarashi, 2016, "Credit risk analysis with creditor’s option to extend maturities," Annals of Finance, Springer, volume 12, issue 3, pages 275-304, December, DOI: 10.1007/s10436-016-0281-9.
• Kenneth Bruhn & Ninna Reitzel Jensen & Mogens Steffensen, 2016, "Smooth investment," Annals of Finance, Springer, volume 12, issue 3, pages 335-361, December, DOI: 10.1007/s10436-016-0283-7.
• Gustavo Fruet Dias & Cristina M. Scherrer & Fotis Papailias, 2016, "Volatility Discovery," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-07, Feb.
• Tom Engsted & Thomas Q. Pedersen, 2016, "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-11, Apr.
• Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen, 2016, "The Local Fractional Bootstrap," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-15, May.
• Martin M. Andreasen & Kasper Jørgensen, 2016, "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-16, May.
• Tim Bollerslev & Jia Li & Yuan Xue, 2016, "Volume, Volatility and Public News Announcements," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-19, Jun.
• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016, "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-20, Jun.
• Mikkel Bennedsen, 2016, "Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-21, Aug.
• Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016, "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2016-26, Aug.
• Shabir Ahmad Hakim & Zarinah Hamid & Ahamed Kameel Mydin Meera, 2016, "Capital Asset Pricing Model and Pricing of Islamic Financial Instruments نموذج تسعير الأصول الرأسمالية وتسعير الأدوات المالية الإسلامية," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., volume 29, issue 1, pages 21-39, January, DOI: 10.4197/Islec.29-1.2.
• Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016, "Beliefs Aggregation and Return Predictability," Working Papers, New Economic School (NES), number w0231, Aug.
• Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016, "Invariance of buy-sell switching points," Working Papers, New Economic School (NES), number w0232, Oct.
• Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016, "Do We Need High Frequency Data to Forecast Variances?," Annals of Economics and Statistics, GENES, issue 123-124, pages 135-174, DOI: 10.15609/annaeconstat2009.123-124.0.
• Patrick Gagliardini & Christian Gouriéroux, 2016, "Spread Term Structure and Default Correlation," Annals of Economics and Statistics, GENES, issue 123-124, pages 175-223, DOI: 10.15609/annaeconstat2009.123-124.0.
• Serge Darolles & Jérémy Dudek & Gaëlle Le Fol, 2016, "Gauging Liquidity Risk in Emerging Market Bond Index Funds," Annals of Economics and Statistics, GENES, issue 123-124, pages 247-269, DOI: 10.15609/annaeconstat2009.123-124.0.
• Jérôme Lahaye, 2016, "Currency Risk: Comovements and Intraday Cojumps," Annals of Economics and Statistics, GENES, issue 123-124, pages 53-76, DOI: 10.15609/annaeconstat2009.123-124.0.
• Florian Schulz, 2016, "On the Timing and Pricing of Dividends: Comment," American Economic Review, American Economic Association, volume 106, issue 10, pages 3185-3223, October.
• Jules H. van Binsbergen & Ralph S. J. Koijen, 2016, "On the Timing and Pricing of Dividends: Reply," American Economic Review, American Economic Association, volume 106, issue 10, pages 3224-3237, October.
• Peter Koudijs & Hans-Joachim Voth, 2016, "Leverage and Beliefs: Personal Experience and Risk-Taking in Margin Lending," American Economic Review, American Economic Association, volume 106, issue 11, pages 3367-3400, November.
• Yuriy Gorodnichenko & Michael Weber, 2016, "Are Sticky Prices Costly? Evidence from the Stock Market," American Economic Review, American Economic Association, volume 106, issue 1, pages 165-199, January.
• Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2016, "Parameter Learning in General Equilibrium: The Asset Pricing Implications," American Economic Review, American Economic Association, volume 106, issue 3, pages 664-698, March.
• Tobias Adrian & Markus K. Brunnermeier, 2016, "CoVaR," American Economic Review, American Economic Association, volume 106, issue 7, pages 1705-1741, July.
• Neil Bhutta & Benjamin J. Keys, 2016, "Interest Rates and Equity Extraction during the Housing Boom," American Economic Review, American Economic Association, volume 106, issue 7, pages 1742-1774, July.
• Rhys Bidder & Ian Dew-Becker, 2016, "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, volume 106, issue 9, pages 2494-2527, September.
• Ana Fostel & John Geanakoplos, 2016, "Financial Innovation, Collateral, and Investment," American Economic Journal: Macroeconomics, American Economic Association, volume 8, issue 1, pages 242-284, January.
• Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016, "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, volume 8, issue 2, pages 111-136, April.
• Demian Pouzo & Ignacio Presno, 2016, "Sovereign Default Risk and Uncertainty Premia," American Economic Journal: Macroeconomics, American Economic Association, volume 8, issue 3, pages 230-266, July.
• Ohad Kadan & Fang Liu & Suying Liu, 2016, "Generalized Systematic Risk," American Economic Journal: Microeconomics, American Economic Association, volume 8, issue 2, pages 86-127, May.
• Pithak Srisuksai & Vimut Vanitcharearntham, 2016, "Asset Pricing with Idiosyncratic Shocks," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 23, issue 1, pages 35-58, June.
• Li, Jian & Chavas, Jean-Paul & Etienne, Xiaoli & Li, Chongguang, 2016, "Commodity Price Bubbles and Macroeconomics: Evidence from Chinese Agricultural Markets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235068, DOI: 10.22004/ag.econ.235068.
• Serrao, Amilcar, 2016, "A controversial debate between financial speculation and changes in agricultural commodity spot prices," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 235638, DOI: 10.22004/ag.econ.235638.
• Miao, Ruiqing & Hennessy, David A. & Feng, Hongli, 2016, "Grassland Easement Evaluation and Acquisition: an Integrated Framework," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts, Agricultural and Applied Economics Association, number 236176, DOI: 10.22004/ag.econ.236176.
• Bargain, Olivier & Cardebat, Jean-Marie & Vignolles, Alexandra, 2016, "Crowdfunding in Wine," Working Papers, American Association of Wine Economists, number 234638, Apr, DOI: 10.22004/ag.econ.234638.
• Fei, Chengcheng & Gao, Chen & Hardin, Erin M. & Dharmasena, Senarath, 2016, "Application of Demand Analysis Framework to Understand the Price and Volume Movements of Exchange Traded Funds (ETFs)," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas, Southern Agricultural Economics Association, number 229798, DOI: 10.22004/ag.econ.229798.
• Siddiqi, Hammad, 2016, "Anchoring and Adjustment Heuristic: A Unified Explanation for Asset-Return Puzzles," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 229607, Jan, DOI: 10.22004/ag.econ.229607.
• Carlos CONTRERAS & Julio ANGULO, 2016, "How Do Credit Spreads Affect Risk Allocation In Public Ï¿½ Private Partnerships?," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 9, issue 9, pages 63-79, June.
• Goran KARANOVIĆ & Bisera KARANOVIĆ, 2016, "IPOs PERFORMANCE ANALYSIS: EVIDENCE FROM EMERGING MARKETS IN THE BALKANS," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 63, issue 3, pages 381-389, November.
• Dávid Kutasi & Milán Csaba Badics, 2016, "Valuation Methods for the Housing Market: Evidence from Budapest," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 66, issue 3, pages 527-546, September.
• Duong Thi Hieu, 2016, "Testing sovereign contagion via changes of CDS price in European debt crisis," Society and Economy, Akadémiai Kiadó, Hungary, volume 38, issue 1, pages 5-28, March.
• Daniel José Aromí, 2016, "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET), number 2016-15, Dec.
• Will Mackay & Tariq Haque, 2016, "A Study of Industry Cost of Equity in Australia Using the Fama and French 5 Factor Model and the Capital Asset Pricing Model (CAPM): A Pitch," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 15, issue 3, pages 618-623, September.
• Searat Ali, 2016, "Corporate Governance and Stock Liquidity in Australia: A Pitch," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 15, issue 3, pages 624-631, September.
• Ralph Sonenshine, 2016, "Effect of Utility Deregulation and Mergers on Consumer Welfare," Working Papers, American University, Department of Economics, number 2016-08, DOI: 10.17606/z6qa-0089.
• Wildmer Daniel Gregori & Wildmer Agnese Sacchi, 2016, "Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions," Mo.Fi.R. Working Papers, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences, number 134, Dec.
• Urszula Gołaszewska-Kaczan & Jarosław Kilon & Jacek Marcinkiewicz, 2016, "Ocena atrakcyjnosci inwestycji w akcje spolek spolecznie odpowiedzialnych na podstawie indeksu RECPECT / An Assessment of the Attractiveness of Investments in the Shares of Socially Responsible Businesses Based on the RESPECT Index," Annales. Ethics in Economic Life, University of Lodz, Faculty of Economics and Sociology, volume 19, issue 3, pages 113-127, September.
• Rodrigo De Losso Da Silveira Bueno & Joelson Sampaio, 2016, "Trust In The Judicial System: Evidence From Brazil," Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], number 098.
• Anna Paulson & Richard Rosen, 2016, "The Life Insurance Industry and Systemic Risk: A Bond Market Perspective," Annual Review of Financial Economics, Annual Reviews, volume 8, issue 1, pages 155-174, October.
• S.P. Kothari & Eric So & Rodrigo Verdi, 2016, "Analysts’ Forecasts and Asset Pricing: A Survey," Annual Review of Financial Economics, Annual Reviews, volume 8, issue 1, pages 197-219, October.
• Geert Bekaert & Campbell R. Harvey & Andrea Kiguel & Xiaozheng Wang, 2016, "Globalization and Asset Returns," Annual Review of Financial Economics, Annual Reviews, volume 8, issue 1, pages 221-288, October.
• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016, "Copula--based Specification of vector MEMs," Papers, arXiv.org, number 1604.01338, Apr.
• Ricardo T. Fernholz & Christoffer Koch, 2016, "The Rank Effect for Commodities," Papers, arXiv.org, number 1607.07510, Jul.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016, "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Papers, arXiv.org, number 1608.04683, Aug, revised Mar 2018.
• Matthias Raddant & Friedrich Wagner, 2016, "Multivariate Garch with dynamic beta," Papers, arXiv.org, number 1609.07051, Sep, revised Nov 2019.
• Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi, 2016, "Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion," Papers, arXiv.org, number 1612.01979, Dec.
• Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016, "A diagnostic criterion for approximate factor structure," Papers, arXiv.org, number 1612.04990, Dec, revised Aug 2017.
• Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2016, "Investor Experiences and Financial Market Dynamics," Papers, arXiv.org, number 1612.09553, Dec, revised Feb 2019.
• Bill Francis & Iftekhar Hasan & Suresh Babu Mani & An Yan, 2016, "Externality of Stock Liquidity to the Cost of Borrowing," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1642.
• Vitaliy Semenyuk, 2016, "Pragmatics Of Using A Modified Capm Model For Estimating Cost Of Equity On Emerging Markets," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", volume 2, issue 2, DOI: 10.30525/2256-0742/2016-2-2-135-142.
• Pasqualina Porretta & Francesco Giannone, 2016, "Market liquidity risk measurement and adjusted VaR," BANCARIA, Bancaria Editrice, volume 10, pages 14-43, October.
• Francesco Campanella & Mario Mustilli & Eugenio D¡¯Angelo, 2016, "Efficient Market Hypothesis and Fundamental Analysis: An Empirical Test in the European Securities Market," Review of Economics & Finance, Better Advances Press, Canada, volume 6, pages 27-42, February.
• Bruce Morley & Dennis Thomas, 2016, "An Empirical Analysis of UK House Price Risk Variation by Property Type," Review of Economics & Finance, Better Advances Press, Canada, volume 6, pages 45-56, May.
• Haibin Xie & Qilin Qin & Shouyang Wang, 2016, "Is Halloween Effect a New Puzzle? Evidence from Price Gap," Review of Economics & Finance, Better Advances Press, Canada, volume 6, pages 19-31, November.
• Dimitar Nenkov, 2016, "Growth Policy and Value Creation in Companies," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 36-65.
• Doncho Donev, 2016, "Applying the stock evaluation models on the Bulgarian stock market," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 109-124.
• Kimberly Berg & Nelson C. Mark, 2016, "Global Macro Risks in Currency Excess Returns," Staff Working Papers, Bank of Canada, number 16-32, DOI: 10.34989/swp-2017-32.
• Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai, 2016, "Time-Varying Crash Risk: The Role of Stock Market Liquidity," Staff Working Papers, Bank of Canada, number 16-35, DOI: 10.34989/swp-2017-35.
• Jean-Sébastien Fontaine, 2016, "What Fed Funds Futures Tell Us About Monetary Policy Uncertainty," Staff Working Papers, Bank of Canada, number 16-61, DOI: 10.34989/swp-2017-61.
• Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2016, "Fiscal policy and the cycle in Latin America: the role of financing conditions and fiscal rules," Working Papers, Banco de España, number 1604, Feb.
• Omar Rachedi, 2016, "Portfolio rebalancing and asset pricing with heterogeneous inattention," Working Papers, Banco de España, number 1633, Dec.
• Max Bruche & Anatoli Segura, 2016, "Debt maturity and the liquidity of secondary debt markets," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1049, Jan.
• Onofrio Panzarino & Francesco Potente & Alfonso Puorro, 2016, "BTP futures and cash relationships: a high frequency data analysis," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1083, Sep.
• Aguilar-Argaez Ana María & Elizondo Rocío & Roldán-Peña Jessica, 2016, "Break-Even-Inflation's Decomposition in Mexico," Working Papers, Banco de México, number 2016-22, Dec.
• Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2016, "When Bubble Meets Bubble: Contagion in OECD Countries," Borradores de Economia, Banco de la Republica de Colombia, number 942, May, DOI: 10.32468/be.942.
• Jimmy Melo, 2016, "Precios de los activos bajo ambigüedad estructural: portafolios cautelosos, prudenciales y conservadores," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, volume 34, issue 80, pages 91-102, June, DOI: 10.1016/j.espe.2016.02.003.
• Wendy C.Y. Li & Bronwyn H. Hall, 2016, "Depreciation of Business R&D Capital," BEA Working Papers, Bureau of Economic Analysis, number 0135, Aug.
• Marija Đorđević, 2016, "Consumption-Based Macroeconomic Models Of Asset Pricing Theory," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 61, issue 211, pages 7-28, October -.
• Guillaume Horny & M. Manganelli & Benoit Mojon, 2016, "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," Working papers, Banque de France, number 582.
• A. Carriero & Sarah Mouabbi & E. Vangelista, 2016, "UK term structure decompositions at the zero lower bound," Working papers, Banque de France, number 589.
• M. Ben Salem & Barbara Castelletti-Font, 2016, "Which combination of fiscal and external imbalances to determine the long-run dynamics of sovereign bond yields?," Working papers, Banque de France, number 606.
• Virginie Coudert & Julien Idier, 2016, "An Early Warning System for Macro-prudential Policy in France," Working papers, Banque de France, number 609.
• M. Isor & Urzula Szczerbowicz, 2016, "Disaster Risk and Preference Shifts in a New Keynesian Model," Working papers, Banque de France, number 614.
• Buttin, E., 2016, "Les green bonds : solution au financement de la transition ou effet de mode ?," Bulletin de la Banque de France, Banque de France, issue 208, pages 21-28.
• E. Buttin, 2016, "Green bonds: a solution for financing the energy transition or a simple buzzword?," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 44, pages 20-27, Winter.
• William Fuchs & Brett Green & Vladimir Asriyan, 2015, "Information Spillovers in Asset Markets with Correlated Values," Working Papers, Barcelona School of Economics, number 827, Sep.
• Ariadna Dumitrescu & Jordi Caballé, 2016, "Disclosure of Corporate Tax Reports, Tax Enforcement, and Insider Trading," Working Papers, Barcelona School of Economics, number 911, Jul.
• Francesco Cerigioni, 2016, "Dual Decision Processes and Noise Trading," Working Papers, Barcelona School of Economics, number 925, Sep.
• Santiago García-Verdú & Manuel Ramos-Francia, 2016, "On the costs of deflation: a consumption-based approach," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Inflation mechanisms, expectations and monetary policy".
• Marlene Amstad & Eli M Remolona & Jimmy Shek, 2016, "How do global investors differentiate between sovereign risks? The new normal versus the old," BIS Working Papers, Bank for International Settlements, number 541, Jan.
• Enrique Alberola-Ila & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2016, "Fiscal policy and the cycle in Latin America: the role of financing conditions and fiscal rules," BIS Working Papers, Bank for International Settlements, number 543, Jan.
• Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner, 2016, "Has the pricing of stocks become more global?," BIS Working Papers, Bank for International Settlements, number 560, May.
• Francis Breedon & Philip Turner, 2016, "On the transactions costs ofquantitative easing," BIS Working Papers, Bank for International Settlements, number 571, Jul.
• Lubos Komarek & Kristyna Ters, 2016, "Intraday dynamics of euro area sovereign credit risk contagion," BIS Working Papers, Bank for International Settlements, number 573, Jul.
• Agić-Šabeta Elma, 2016, "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets," Business Systems Research, Sciendo, volume 7, issue 1, pages 59-80, March, DOI: 10.1515/bsrj-2016-0005.
• Škrinjarić Tihana & Šego Boško, 2016, "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach," Business Systems Research, Sciendo, volume 7, issue 2, pages 78-90, September, DOI: 10.1515/bsrj-2016-0014.
• Ephraim Clark & Zhuo Qiao & Wing-Keung Wong, 2016, "Theories Of Risk: Testing Investor Behavior On The Taiwan Stock And Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, volume 54, issue 2, pages 907-924, April.
• Charles N. Noussair & Steven Tucker, 2016, "Cash Inflows And Bubbles In Asset Markets With Constant Fundamental Values," Economic Inquiry, Western Economic Association International, volume 54, issue 3, pages 1596-1606, July.
• Kees G. Koedijk & Alfred M.H. Slager & Philip A. Stork, 2016, "Investing in Systematic Factor Premiums," European Financial Management, European Financial Management Association, volume 22, issue 2, pages 193-234, March, DOI: 10.1111/eufm.12081.
• Tom Engsted, 2016, "Fama On Bubbles," Journal of Economic Surveys, Wiley Blackwell, volume 30, issue 2, pages 370-376, April.
• Péter Benczúr & Cosmin L. Ilut, 2016, "Evidence For Relational Contracts In Sovereign Bank Lending," Journal of the European Economic Association, European Economic Association, volume 14, issue 2, pages 375-404, April.
• Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2016, "Stock Market Volatility and Learning," Journal of Finance, American Finance Association, volume 71, issue 1, pages 33-82, February.
• Arthur Korteweg & Stefan Nagel, 2016, "Risk‐Adjusting the Returns to Venture Capital," Journal of Finance, American Finance Association, volume 71, issue 3, pages 1437-1470, June, DOI: 10.1111/jofi.12390.
• Suleyman Basak & Anna Pavlova, 2016, "A Model of Financialization of Commodities," Journal of Finance, American Finance Association, volume 71, issue 4, pages 1511-1556, August.
• Harrison Hong & David A. Sraer, 2016, "Speculative Betas," Journal of Finance, American Finance Association, volume 71, issue 5, pages 2095-2144, October.
• Bryan Kelly & Ľuboš Pástor & Pietro Veronesi, 2016, "The Price of Political Uncertainty: Theory and Evidence from the Option Market," Journal of Finance, American Finance Association, volume 71, issue 5, pages 2417-2480, October.
• Jaroslav Borovička & Lars Peter Hansen & José A. Scheinkman, 2016, "Misspecified Recovery," Journal of Finance, American Finance Association, volume 71, issue 6, pages 2493-2544, December, DOI: 10.1111/jofi.12404.
• Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2016, "“Lucas” in the Laboratory," Journal of Finance, American Finance Association, volume 71, issue 6, pages 2727-2780, December, DOI: 10.1111/jofi.12392.
• Rui Albuquerque & Martin Eichenbaum & Victor Xi Luo & Sergio Rebelo, 2016, "Valuation Risk and Asset Pricing," Journal of Finance, American Finance Association, volume 71, issue 6, pages 2861-2904, December, DOI: 10.1111/jofi.12437.
• BUNESCU Liliana, 2016, "Current Market Of Government Bonds In Romania: Key Issues," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 68, issue 3, pages 8-23, December.
• Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016, "Agreeing on disagreement: heterogeneity or uncertainty?," Working Paper, Norges Bank, number 2016/4, Feb.
• Dongho Song, 2016, "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics, Boston College Department of Economics, number 915, May, revised 19 Jul 2016.
• Evangelos Benos & Richard Payne & Michalis Vasios, 2016, "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act," Bank of England Staff Working Paper series, Bank of England, number 580, Jan.
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• Evangelos Benos & Filip Zikes, 2016, "Liquidity determinants in the UK gilt market," Bank of England Staff Working Paper series, Bank of England, number 600, May.
• Gabor Pinter, 2016, "The macroeconomic shock with the highest price of risk," Bank of England Staff Working Paper series, Bank of England, number 616, Sep.
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• Richard Harris & Evarist Stoja & Linh Nguyen, 2016, "Systematic tail risk," Bank of England Staff Working Paper series, Bank of England, number 637, Dec.
• James Benford & Mark Joy & Mark Kruger, 2016, "Sovereign GDP-linked bonds," Bank of England Financial Stability Papers, Bank of England, number 39, Sep.
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• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016, "Self-fulfilling dynamics: the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Working Papers, Bank of Greece, number 214, Nov.
• Itamar Caspi & Meital Graham, 2016, "Testing for Bubbles in Stock Markets With Irregular Dividend Distribution," Bank of Israel Working Papers, Bank of Israel, number 2016.06, Mar.
• Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2016, "Identifying Oil Price Shocks and Their Consequences:Role of Expectations and Financial Factors in the Crude Oil Market," Bank of Japan Working Paper Series, Bank of Japan, number 16-E-17, Nov.
• Zia-ur-Rehman Rao & Amjad Iqbal & Muhammad Zubair Tauni, 2016, "Performance persistence in institutional investment management: The case of Chinese equity funds," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 16, issue 3, pages 146-156, September.
• Oguz Ersan & Cumhur Ekinci, 2016, "Algorithmic and high-frequency trading in Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 16, issue 4, pages 233-248, December.
• Jianjun Miao & Jieran Wu & Eric Young, 2016, "Macro-Financial Volatility under Dispersed Information," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2019-10, Sep, revised May 2019.
• Jianjun Miao & Jieran Wu & Eric Young, 2016, "Macro-Financial Volatility under Dispersed Information," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2019-12, Sep, revised May 2019.
• Baglioni Angelo & Cherubini Umberto, 2016, "Eurobonds: A Quantitative Approach," Review of Law & Economics, De Gruyter, volume 12, issue 3, pages 507-521, November, DOI: 10.1515/rle-2016-0041.
• Weber Christoph S. & Nickol Philipp, 2016, "More on Calendar Effects on Islamic Stock Markets," Review of Middle East Economics and Finance, De Gruyter, volume 12, issue 1, pages 65-113, April, DOI: 10.1515/rmeef-2015-0039.
• Härdle Wolfgang Karl & Silyakova Elena, 2016, "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, volume 33, issue 1-2, pages 1-20, September, DOI: 10.1515/strm-2014-1176.
• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016, "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers, Brandeis University, Department of Economics and International Business School, number 99, Jan.
• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016, "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers, Brandeis University, Department of Economics and International Business School, number 99R, Jan, revised Aug 2016.
• Gyorgy Varga & Ricardo Dias de Oliveira Brito, 2016, "The Cross-Section of Expected Stock Returns in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, volume 14, issue 2, pages 151-187.
• Walter Gonçalves Junior & William Eid Junior, 2016, "Determinants of Foreign Investment in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 14, issue 2, pages 189-224.
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• Sébastien Galanti & Françoise Le Quéré, 2016, "Quelles incidences d’un élargissement du rôle des fonds d’investissement collectifs ?," Revue d'économie financière, Association d'économie financière, volume 0, issue 3, pages 235-254.
• Ito, R., 2016, "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1606, Jan.
• Pesaran, Hashem. & Johnsson. Ida., 2016, "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1679, Dec.
• Gonçalo Faria & Fabio Verona, 2016, "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 05, Oct.
• Gonçalo Faria & Fabio Verona, 2016, "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa, number 06, Dec.
• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016, "The ECB, Between Conservatism and Pragmatism," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 5, issue 1, pages 25-52.
• Muhammad Ali Nasir & Alaa M. Soliman & Milton Yago & Junjie Wu, 2016, "Macroeconomic Policies Interaction & the Symmetry of Financial Markets’ Responses," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 5, issue 1, pages 53-69.
• Velimir Lukić, 2016, "Integration of Government Bond Market in the Euro Area and Monetary Policy," Journal of Central Banking Theory and Practice, Central bank of Montenegro, volume 5, issue 1, pages 71-97.
• Jędrzej Białkowski & Laura T. Starks, 2016, "SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/11, Mar.
• Jędrzej Białkowski & Ehud I. Ronn, 2016, "Financial Markets in the Face of the Apocalypse," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 16/14, Apr.
• Elisa Luciano & Riccardo Giacomelli, 2016, "Equilibrium bid-ask spread and infrequent trade with outside options," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 445.
• Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016, "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 449.
• Michael Hasler & Roberto Marfè, 2016, "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 458.
• Roberto Marfè, 2016, "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 459.
• Roberto Marfè, 2016, "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 460.
• Roberto Marfè, 2016, "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 461.
• Roberto Marfè & Julien Penasse, 2016, "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 463.
• Elisa Luciano & Antonella Tolomeo, 2016, "Equilibrium bid-ask spreads and the effect of competitive trading delays," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 467.
• Athanasios Geromichalos & Lucas Herrenbrueck, 2016, "The Strategic Determination of the Supply of Liquid Assets," Working Papers, University of California, Davis, Department of Economics, number 183, May.
• Toda, Alexis Akira, 2016, "A Note On The Size Distribution Of Consumption: More Double Pareto Than Lognormal," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt4gm143d8, Sep.
• Christian A. L. Hilber & Olivier Schöni, 2016, "The Housing Market Impacts of Constraining Second Home Investments," SERC Discussion Papers, Centre for Economic Performance, LSE, number 0204, Aug.
• Suren Vardanyan, 2016, "Contagion in Experimental Financial Markets," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp580, Dec.
• Walter Kraemer, 2016, "A Neglected Semi-Stylized Fact of Daily Stock Returns," CESifo Working Paper Series, CESifo, number 5806.
• Martin G. Kocher & Konstantin E. Lucks & David Schindler, 2016, "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," CESifo Working Paper Series, CESifo, number 5812.
• Burkhard Heer & Alfred Maussner & Halvor Ruf, 2016, "Q-Targeting in New Keynesian Models," CESifo Working Paper Series, CESifo, number 5854.
• Guglielmo Maria Caporale & Alex Plastun, 2016, "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series, CESifo, number 5877.
• Magne Emhjellen & Petter Osmundsen, 2016, "Oil Project Selection by Metrics," CESifo Working Paper Series, CESifo, number 5898.
• Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Ströbel & Sam Ruiqing Cao, 2016, "Social Networks and Housing Markets," CESifo Working Paper Series, CESifo, number 5905.
• Michael Weber & Michael Weber, 2016, "Cash Flow Duration and the Term Structure of Equity Returns," CESifo Working Paper Series, CESifo, number 6043.