Research classified by Journal of Economic Literature (JEL) codes

2015

• M. Dujardin. & A. Kelber. & A. Lalliard., 2015, "Overvaluation in the housing market and returns on residential real estate in the euro area: insights from data in euro per square metre," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 37, pages 49-63, spring.
• Klaus Adam & Johannes Beutel & Albert Marcet, 2015, "Stock Price Booms and Expected Capital Gains," Working Papers, Barcelona School of Economics, number 757, Sep.
• Klaus Adam & Johannes Beutel & Sebastian Merkel & Albert Marcet, 2015, "Can a Financial Transaction Tax Prevent Stock Price Booms?," Working Papers, Barcelona School of Economics, number 840, Sep.
• Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2015, "The hunt for duration: not waving but drowning?," BIS Working Papers, Bank for International Settlements, number 519, Oct.
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2015, "The supply side of household finance," BIS Working Papers, Bank for International Settlements, number 531, Dec.
• Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2015, "Mortgage risk and the yield curve," BIS Working Papers, Bank for International Settlements, number 532, Dec.
• Maria Victoria Landaberry & Magdalena Tubio, 2015, "Estimación de índice de precios de inmuebles en Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2015011.
• Pilar Abad & M. Dolores Robles, 2015, "The Risk–Return Binomial After Rating Changes," Economic Notes, Banca Monte dei Paschi di Siena SpA, volume 44, issue 2, pages 249-274, July.
• Robert J. Barro, 2015, "Environmental Protection, Rare Disasters and Discount Rates," Economica, London School of Economics and Political Science, volume 82, issue 325, pages 1-23, January.
• Marcin Jaskowski & Michael McAleer, 2015, "Volatility smirk as an externality of agency conflict and growing debt," International Journal of Economic Theory, The International Society for Economic Theory, volume 11, issue 4, pages 389-404, December.
• Hideyuki Takamizawa, 2015, "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., volume 15, issue 3, pages 347-386, September.
• Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2015, "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," Journal of Finance, American Finance Association, volume 70, issue 5, pages 1903-1948, October.
• Giovanni Cespa & Xavier Vives, 2015, "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2099-2154, October.
• Jakub W. Jurek & Erik Stafford, 2015, "The Cost of Capital for Alternative Investments," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2185-2226, October.
• Rui Albuquerue & Neng Wang, 2015, "Agency Conflicts, Investment, and Asset Pricing: Erratum," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2347-2348, October.
• Bo Tang, 2015, "Exchange Rate Exposure of Chinese Firms at the Industry and Firm Level," Review of Development Economics, Wiley Blackwell, volume 19, issue 3, pages 592-607, August.
• Martin Hoesli & Kustrim Reka, 2015, "Contagion Channels between Real Estate and Financial Markets," Real Estate Economics, American Real Estate and Urban Economics Association, volume 43, issue 1, pages 101-138, March.
• Paolo Gelain & Kevin J. Lansing & Gisle J. Natvik, 2015, "Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach," Working Paper, Norges Bank, number 2015/11, Jun.
• Davide Pettenuzzo & Francesco Ravazzolo, 2015, "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 9/2015, Aug.
• Michael Chin & Christopher Polk, 2015, "A forecast evaluation of expected equity return measures," Bank of England working papers, Bank of England, number 520, Jan.
• Evangelos Benos & James Brugler & Erik Hjalmarsson & Filip Zikes, 2015, "Interactions among high-frequency traders," Bank of England working papers, Bank of England, number 523, Feb.
• Martin M Andreasen & Andrew Meldrum, 2015, "Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach," Bank of England working papers, Bank of England, number 541, Aug.
• James Brugler, 2015, "Into the light: dark pool trading and intraday market quality on the primary exchange," Bank of England working papers, Bank of England, number 545, Sep.
• Richard D. F. Harris & Linh H Nguyen & Evarist Stoja, 2015, "Extreme downside risk and financial crises," Bank of England working papers, Bank of England, number 547, Sep.
• Christopher Jackson & Joseph Noss, 2015, "A heterogeneous agent model for assessing the effects of capital regulation on the interbank money market under a corridor system," Bank of England working papers, Bank of England, number 548, Sep.
• Martin M Andreasen & Andrew Meldrum, 2015, "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers, Bank of England, number 550, Sep.
• Zhuoshi Liu & Elisabetta Vangelista & Iryna Kaminska & Jon Relleen, 2015, "The informational content of market-based measures of inflation expectations derived from govenment bonds and inflation swaps in the United Kingdom," Bank of England working papers, Bank of England, number 551, Sep.
• Marek Raczko, 2015, "Volatility contagion: new evidence from market pricing of volatility risk," Bank of England working papers, Bank of England, number 552, Sep.
• Matthieu Chavaz & Marc Flandreau, 2015, "‘High and dry’: the liquidity and credit of colonial and foreign government debt in the London Stock Exchange (1880–1910)," Bank of England working papers, Bank of England, number 555, Oct.
• Andrew Meldrum & Matt Roberts-Sklar, 2015, "Long-run priors for term structure models," Bank of England working papers, Bank of England, number 575, Dec.
• Iryna Kaminska & Matt Roberts-Sklar, 2015, "A global factor in variance risk premia and local bond pricing," Bank of England working papers, Bank of England, number 576, Dec.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015, "The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012," Working Papers, Bank of Greece, number 199, Nov.
• Itamar Caspi, 2015, "Testing for a Housing Bubble at the National and Regional Level: The Case of Israel," Bank of Israel Working Papers, Bank of Israel, number 2015.05, Jul.
• Emanuel Barnea & Yigal Menashe, 2015, "Banks Strategies and Credit Spreads as Leading Indicators for the Real Business Cycles Fluctuations," Bank of Israel Working Papers, Bank of Israel, number 2015.07, Oct.
• Kei Imakubo & Jouchi Nakajima, 2015, "What do negative inflation risk premia tell us?," Bank of Japan Research Laboratory Series, Bank of Japan, number 15-E-4, Jul.
• Ichiro Fukunaga & Naoya Kato, 2015, "Quantitative and Qualitative Monetary Easing and Long-Term Interest Rates: The Effects through the Stock of "Net Supply" and Maturity Structure of Japanese Government Bonds," Bank of Japan Research Laboratory Series, Bank of Japan, number 15-E-7, Dec.
• Kei Imakubo & Jouchi Nakajima, 2015, "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model," Bank of Japan Working Paper Series, Bank of Japan, number 15-E-1, Apr.
• Tetsuo Kurosaki & Yusuke Kumano & Kota Okabe & Teppei Nagano, 2015, "Liquidity in JGB Markets: An Evaluation from Transaction Data," Bank of Japan Working Paper Series, Bank of Japan, number 15-E-2, May.
• Kyu Ho Kang & Hyung Suk Oh, 2015, "The Effect of U.S. Long-Term Interest Rates on the Term Structure of Korean Interest Rates (in Korean)," Working Papers, Economic Research Institute, Bank of Korea, number 2015-2, Jan.
• Nasif Ozkan & Mustafa Mesut Kayali, 2015, "The accrual anomaly: Evidence from Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 2, pages 115-125, June.
• Mouna Boujelbene Abbes & Yousra Trichilli, 2015, "Islamic stock markets and potential diversification benefits," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 2, pages 93-105, June.
• Zhongjun Qu & Denis Tkachenko, 2015, "Global Identification in DSGE Models Allowing for Indeterminacy," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2015-001, Aug.
• Cho Daniel & Hanewald Katja & Sherris Michael, 2015, "Risk Analysis for Reverse Mortgages with Different Payout Designs," Asia-Pacific Journal of Risk and Insurance, De Gruyter, volume 9, issue 1, pages 77-105, January, DOI: 10.1515/apjri-2014-0012.
• Argyropoulos Efthymios & Tzavalis Elias, 2015, "Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 1, pages 49-70, February, DOI: 10.1515/snde-2012-0024.
• Chen Jau-er, 2015, "Factor instrumental variable quantile regression," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 1, pages 71-92, February, DOI: 10.1515/snde-2013-0014.
• Gong Jinguo & Wu Weiou & McMillan David & Shi Daimin, 2015, "Non-parametric estimation of copula parameters: testing for time-varying correlation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 1, pages 93-106, February, DOI: 10.1515/snde-2012-0089.
• Abdymomunov Azamat & Kang Kyu Ho, 2015, "The effects of monetary policy regime shifts on the term structure of interest rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 2, pages 183-207, April, DOI: 10.1515/snde-2013-0031.
• Feunou Bruno & Tafolong Ernest, 2015, "Fourier inversion formulas for multiple-asset option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 5, pages 531-559, December, DOI: 10.1515/snde-2014-0034.
• Taamouti Abderrahim, 2015, "Stock market’s reaction to money supply: a nonparametric analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 19, issue 5, pages 669-689, December, DOI: 10.1515/snde-2013-0059.
• Daniel Tortorice, 2015, "Long Run Expectations, Learning and the U.S. Housing Market," Working Papers, Brandeis University, Department of Economics and International Business School, number 85, May.
• Alberto Ronchi Neto & Osvaldo Candido, 2015, "Evaluating interest rate term-structure using extensions of the Diebold and Li three factors model," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 2, pages 251-287.
• Antonio Zoratto Sanvicente, 2015, "The Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 4, pages 631-649.
• Andrea Pinna, 2015, "Price Formation of Pledgeable Securities," BEMPS - Bozen Economics & Management Paper Series, Faculty of Economics and Management at the Free University of Bozen, number BEMPS26, Jan.
• Zoe Knight, 2015, "Le développement d'une « finance 2 °C » et l'exemple des green bonds," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 155-174.
• Anne Gerardi & Alain Grandjean & Emmanuel Martinez, 2015, "La quantification des émissions de gaz à effet de serre des institutions financières," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 189-204.
• Marie-Laure Barut-Etherington & Denis Beau, 2015, "Liquidité des marchés obligataires et innovation technologique," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 127-142.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015, "An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1552, Mar.
• Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton, 2015, "Nonparametric Euler Equation Identification andEstimation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1560, Oct.
• Roberto Marfè, 2015, "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 407.
• Roberto Marfè, 2015, "Survey Expectations and the Equilibrium Risk-Return Trade Off," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 408.
• Roberto Marfè, 2015, "Corporate Fraction and the Equilibrium Term-Structure of Equity Risk," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 409.
• Michael Hasler & Roberto Marfè, 2015, "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 410.
• Roberto Marfè, 2015, "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 429.
• Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015, "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 439.
• Somnath Chatterjee, 2015, "Modelling credit risk," Handbooks, Centre for Central Banking Studies, Bank of England, number 34, April.
• Athanasios Geromichalos & Lucas Herrenbrueck, 2015, "A Tractable Model of Indirect Asset Liquidity," Working Papers, University of California, Davis, Department of Economics, number 126, Oct.
• Ahdi Noomen Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta, 2015, "Causality between US economic policy and equity market uncertainties: Evidence from linear and nonlinear tests," Journal of Applied Economics, Universidad del CEMA, volume 18, pages 225-246, November.
• Yunus Aksoy & Henrique S. Basso, 2015, "Securitization and Asset Prices," CESifo Working Paper Series, CESifo, number 5213.
• Michael D. Bauer, 2015, "Restrictions on Risk Prices in Dynamic Term Structure Models," CESifo Working Paper Series, CESifo, number 5241.
• Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu, 2015, "Monetary Policy with Diverse Private Expectations," CESifo Working Paper Series, CESifo, number 5252.
• Gianluca Cafiso, 2015, "Treasury Auctions and Secondary Market Dynamics. An Analysis Based on the MTS Market for Italy," CESifo Working Paper Series, CESifo, number 5357.
• Nadjeschda Arnold & Ray Rees, 2015, "The Sovereign Default Problem in the Eurozone: An Insurance-Based Approach," CESifo Working Paper Series, CESifo, number 5389.
• Casper De Vries & Xuedong Wang & Casper G, de Vries, 2015, "Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates," CESifo Working Paper Series, CESifo, number 5421.
• Stefano Giglio & Matteo Maggiori & Johannes Ströbel & Andreas Weber, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," CESifo Working Paper Series, CESifo, number 5608.
• Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2015, "The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks," CESifo Working Paper Series, CESifo, number 5630.
• Bård Misund & Petter Osmundsen, 2015, "Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas," CESifo Working Paper Series, CESifo, number 5687.
• Petra Gerlach-Kristen & Robert N McCauley & Kazuo Ueda, 2015, "Currency intervention and the global portfolio balance effect: Japanese lessons," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, number CARF-F-373, Oct.
• Luis Ceballos & Alberto Naudon & Damián Romero, 2015, "Nominal Term Structure and Term Premia: Evidence from Chile," Working Papers Central Bank of Chile, Central Bank of Chile, number 752, Feb.
• Elías Albagli & Luis Ceballos & Sebastián Claro & Damián Romero, 2015, "Channels of US Monetary Policy Spillovers into International Bond Markets," Working Papers Central Bank of Chile, Central Bank of Chile, number 771, Sep.
• Yuki SATO, 2015, "Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-06, Feb.
• Markus LEIPPOLD & Nikola VASILJEVIC, 2015, "Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-08, Feb, revised Mar 2015.
• Rajna GIBSON BRANDON & Christopher HEMMENS & Mathieu TRÉPANIER, 2015, "Does Market Irrationality in the Media Affect Stock Returns?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-25, Jul.
• Peter S. SCHMIDT & Urs VON ARX & Andreas SCHRIMPF & Alexander F. WAGNER & Andreas ZIEGLER, 2015, "Size and Momentum Profitability in International Stock Markets," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-29, Jul.
• Diego ARDILA-ALVAREZ & Zalàn FORRÒ & Didier SORNETTE, 2015, "The Acceleration Effect and Gamma Factor in Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-30, Aug.
• Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI, 2015, "The Price of the Smile and Variance Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-36, Sep.
• Arvind KRISHNAMURTHY & Annette VISSING-JORGENSEN, 2015, "The Impact of Treasury Supply on Financial Sector Lending and Stability," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-46, Nov.
• Eric JONDEAU & Qunzi ZHANG, 2015, "Average Skewness Matters!," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-47, Nov.
• Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner, 2015, "Has the Pricing of Stocks Become More Global?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-48, Nov, revised Apr 2016.
• Carlo Sala & Giovanni Barone-Adesi, 2015, "Conditioning the Information in Portfolio Optimization," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-50, Oct, revised Apr 2016.
• Ciprian Necula & Elise Gourier & Robert Huitema & Walter Farkas, 2015, "A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-54, Oct, revised Jun 2016.
• Carlo Sala & Giovanni Barone-Adesi, 2015, "Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel Onto a Smaller Filtration Set," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-58, Oct, revised May 2016.
• Walter Farkas & Ciprian Necula & Boris Waelchli, 2015, "Herding and Stochastic Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-59, Oct.
• Paul Schneider & Fabio Trojani, 2015, "Divergence and the Price of Uncertainty," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-60, Nov.
• Itzhak Ben-DAVID & Francesco A. FRANZONI & Rabih MOUSSAWI & John SEDUNOV III, 2015, "The Granular Nature of Large Institutional Investors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-67, Jun, revised Apr 2016.
• Vince Bourke & David Porter, 2015, "The Effects of Make and Take Fees in Experimental Markets," Working Papers, Chapman University, Economic Science Institute, number 15-19.
• Marlène Isoré & Urszula Szczerbowicz, 2015, "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers, CEPII research center, number 2015-16, Sep.
• Francesco Molteni, 2015, "Liquidity, Government Bonds and Sovereign Debt Crises," Working Papers, CEPII research center, number 2015-32, Dec.
• Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi, 2015, "The scale of predictability," CIRANO Working Papers, CIRANO, number 2015s-21, May.
• Dirk Bergemann & Tibor Heumann & Stephen Morris, 2015, "Information and Market Power," Levine's Bibliography, UCLA Department of Economics, number 786969000000001101, Sep.
• Cristina CIUMAȘ & Diana-Maria CHIȘ, 2015, "Modelling The Guarantee Liability Under Unit-Linked Contracts," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 165-170, April.
• Gerardo Licandro & Jorge Ponce (ed.), 2015, "Precios de activos internos, fundamentos globales y estabilidad financiera," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, number 4sp, edition 1, ISBN: ARRAY(0x70e1a128), December.
• A. Pinna, 2015, "Price Formation of Pledgeable Securities," Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia, number 201511.
• Gustavo Peralta, 2015, "Network-based Measures as Leading Indicators of Market Instability: The case of the Spanish Stock," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no 59.
• Gibran Watfe, 2015, "The Impact of the ECB's Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area," Bruges European Economic Research Papers, European Economic Studies Department, College of Europe, number 35, Sep.
• José E. Gómez-González & Jair N. Ojeda-Joya & Catalina Rey-Guerra & Natalia Sicard, 2015, "Testing for Bubbles in the Colombian Housing Market: A New Approach," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE.
• Juan Andr�s Espinosa-Torres & Luis Fernando Melo-Veland�a & Jos� Fernando Moreno-Guti�rrez, 2015, "Expectativas de inflaci�n, prima de riesgo inflacionario y prima de liquidez: una descomposici�n del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia, Banco de la Republica, number 13700, Sep.
• Ignacio Lozano & Norberto Rodr�guez, 2015, "Una Nota Sobre el Impacto del Gravamen a las Transacciones Financieras en los M�rgenes Bancarios en Colombia," Borradores de Economia, Banco de la Republica, number 13876, Oct.
• Diego Alejandro Mart�nez Cruz & Jos� Fernando Moreno Guti�rrez & Juan Sebasti�n Rojas Moreno, 2015, "Evoluci�n de la relaci�n entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia, Banco de la Republica, number 14112, Dec.
• Carlos S. García & Jimmy A. Saravia & David A. Yepes, 2015, "The weighted average cost of capital over the lifecycle of the firm: is the overinvestment problem of mature firms intensified by a higher WACC?," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 14082, Nov.
• Orlando E. Contreras & Roberto Stein Bronfman & Carlos E. Vecino Arenas, 2015, "Estrategia de inversión optimizando la relación rentabilidad-riesgo: evidencia en el mercado accionario colombiano," Estudios Gerenciales, Universidad Icesi, volume 31, issue 137, pages 383-392.
• Orlando E. Contreras & Roberto Stein Bronfman & Carlos E. Vecino Arenas, 2015, "Estrategia de inversión optimizando la relación rentabilidad-riesgo: evidencia en el mercado accionario colombiano," Estudios Gerenciales, Universidad Icesi, volume 31, issue 137, pages 383-392.
• Carlos Alberto Cuadros Lara, 2015, "Descomposicion de la estructura a terminos de la tasa de interes de los bonos soberanos de Estados Unidos y Colombia," Revista de Economía del Rosario, Universidad del Rosario, volume 18, issue 2, pages 309-342.
• Diego A. Restrepo-Tobón, 2015, "Evidence that Risk Adjustment is Unnecessary in Estimates of the User Cost of Money," Revista Ecos de Economía, Universidad EAFIT, volume 19, issue 41, pages 49-70.
• Andrés Mauricio Gómez Sánchez & Jos� Gabriel Astaiza G�mez, 2015, "Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 7, issue 1, pages 109-129.
• Jaime Andrés Vargas Vives & Juan Sergio Cruz Merch�n, 2015, "Generación del valor a partir de la gerencia del riesgo sistemático," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 7, issue 1, pages 55-82.
• Nancy van Beers & Michiel Bijlsma & Remco Mocking, 2015, "House Price Shocks and Household Savings: evidence from Dutch administrative data," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 299, Jan.
• Sabina Nowak & Joanna Olbrys, 2015, "Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, volume 15, pages 49-69.
• Kaniel, Ron & Yan, Hong & Carlson, Murray & Chapman, David A., 2015, "Asset Return Predictability in a Heterogeneous Agent Equilibrium Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10328, Jan.
• Gabaix, Xavier & Farhi, Emmanuel, 2015, "Rare Disasters and Exchange Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10334, Jan.
• Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015, "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10335, Jan.
• Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015, "Origins of Stock Market Fluctuations," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10336, Jan.
• Eichenbaum, Martin & Rebelo, Sérgio & Albuquerque, Rui & Papanikolaou, Dimitris, 2015, "Long-run bulls and bears," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10351, Jan.
• Farmer, Roger, 2015, "Global Sunspots and Asset Prices in a Monetary Economy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10402, Feb.
• Gomes, Francisco & Brown, Jeffrey & Fang, Chichun, 2015, "Risk and Returns to Education Over Time," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10416, Feb.
• Gromb, Denis & Vayanos, Dimitri, 2015, "The Dynamics of Financially Constrained Arbitrage," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10436, Feb.
• Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015, "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10437, Feb.
• Moench, Emanuel & Adrian, Tobias & Crump, Richard K., 2015, "Regression Based Estimation of Dynamic Asset Pricing Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10449, Mar.
• Ellul, Andrew & Lundblad, Christian T & Wang, Yihui & Jotikasthira, Chotibhak, 2015, "Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10450, Mar.
• Bianchi, Francesco, 2015, "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10520, Mar.
• Massa, Massimo & von Beschwitz, Bastian & Keim, Donald B, 2015, "First to ?Read? the News: News Analytics and Institutional Trading," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10534, Apr.
• Massa, Massimo & von Beschwitz, Bastian, 2015, "Biased Shorts: Stock Market Implications of Short Sellers? Disposition Effect," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10535, Apr.
• Massa, Massimo & Zhang, Lei, 2015, "Bank Credit Tightening, Debt Market Frictions and Corporate Yield Spreads," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10537, Apr.
• Faia, Ester & Bursian, Dirk, 2015, "Trust in the Monetary Authority," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10541, Apr.
• Gavazza, Alessandro, 2015, "An Empirical Equilibrium Model of a Decentralized Asset Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10546, Apr.
• Kosowski, Robert & Joenväärä, Juha, 2015, "Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10577, May.
• Favero, Carlo A. & Bisetti, Emilio & Nocera, Giacomo & Tebaldi, Claudio, 2015, "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10595, May.
• Weber, Martin & Jacobs, Heiko & Regele, Tobias, 2015, "Expected Skewness and Momentum," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10601, May.
• Vayanos, Dimitri & Rabin, Matthew & Eyster, Erik, 2015, "Financial Markets where Traders Neglect the Informational Content of Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10629, May.
• Koijen, Ralph & van Binsbergen, Jules, 2015, "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10633, May.
• Basak, Suleyman & Pavlova, Anna, 2015, "A Model of Financialization of Commodities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10651, Jun.
• Campbell, John Y & Polk, Christopher & Giglio, Stefano & Turley, Robert, 2015, "An Intertemporal CAPM with Stochastic Volatility," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10681, Jun.
• Guiso, Luigi & Mistrulli, Paolo Emilio & Gambacorta, Leonardo & Foà , Gabriele, 2015, "The supply side of household finance," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10714, Jul.
• Krishnamurthy, Arvind & Vissing-Jørgensen, Annette, 2015, "The Impact of Treasury Supply on Financial Sector Lending and Stability," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10717, Jul.
• Marcet, Albert & Adam, Klaus & Beutel, Johannes & Merkel, Sebastian, 2015, "Can a Financial Transaction Tax Prevent Stock Price Booms?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10727, Jul.
• Dumas, Bernard & Buss, Adrian, 2015, "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10737, Jul.
• Bergemann, Dirk & Morris, Stephen & Heumann, Tibor, 2015, "Information and Market Power," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10791, Aug.
• Wagner, Alexander F. & Schrimpf, Paul & Schmidt, Peter S. & von Arx, Urs & Ziegler, Andreas, 2015, "Size and Momentum Profitability in International Stock Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10804, Sep.
• Stork, Philip & Koedijk, Kees & Slager, Alfred, 2015, "Investing in Systematic Factor Premiums," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10824, Sep.
• Nimark, Kristoffer P & Barillas, Francisco, 2015, "Speculation and the Bond Market: An Empirical No-arbitrage Framework," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10892, Oct.
• Veronesi, Pietro & Pástor, LuboÅ¡, 2015, "Income Inequality and Asset Prices under Redistributive Taxation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10899, Oct.
• Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo & Weber, Andreas, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10958, Nov.
• Wagner, Alexander F. & Schrimpf, Paul & Petzev, Ivan, 2015, "Has the Pricing of Stocks Become More Global?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10966, Nov.
• Lundblad, Christian T & Jotikasthira, Chotibhak & Babina, Tania, 2015, "Heterogenous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 10971, Dec.
• Vayanos, Dimitri & Greenwood, Robin & Hanson, Samuel G, 2015, "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11005, Dec.
• Pedersen, Lasse Heje & Vestergaard Jensen, Mads, 2015, "Early Option Exercise: Never Say Never," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11019, Dec.
• Adrian, Tobias & Muir, Tyler, 2015, "The Cost of Capital of the Financial Sector," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 11031, Dec.
• Velinov, Anton & Chen, Wenjuan, 2015, "Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis," Journal of Economics and Business, Elsevier, volume 80, issue C, pages 1-20, DOI: 10.1016/j.jeconbus.2015.02.001.
• Michelfelder, Richard A., 2015, "Empirical analysis of the generalized consumption asset pricing model: Estimating the cost of capital," Journal of Economics and Business, Elsevier, volume 80, issue C, pages 37-50, DOI: 10.1016/j.jeconbus.2015.04.001.
• Fitwi, Abrar M. & Hein, Scott E. & Mercer, Jeffrey M., 2015, "The U.S. housing price bubble: Bernanke versus Taylor," Journal of Economics and Business, Elsevier, volume 80, issue C, pages 62-80, DOI: 10.1016/j.jeconbus.2015.05.001.
• Gollier, Christian, 2015, "Discounting, inequality and economic convergence," Journal of Environmental Economics and Management, Elsevier, volume 69, issue C, pages 53-61, DOI: 10.1016/j.jeem.2014.10.005.
• Hugonnier, Julien & Malamud, Semyon & Morellec, Erwan, 2015, "Credit market frictions and capital structure dynamics," Journal of Economic Theory, Elsevier, volume 157, issue C, pages 1130-1158, DOI: 10.1016/j.jet.2014.09.021.
• Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M., 2015, "Put–Call Parity and market frictions," Journal of Economic Theory, Elsevier, volume 157, issue C, pages 730-762, DOI: 10.1016/j.jet.2014.12.011.
• Benhabib, Jess & Wang, Pengfei, 2015, "Private information and sunspots in sequential asset markets," Journal of Economic Theory, Elsevier, volume 158, issue PB, pages 558-584, DOI: 10.1016/j.jet.2014.12.003.
• Farhi, Emmanuel & Tirole, Jean, 2015, "Liquid bundles," Journal of Economic Theory, Elsevier, volume 158, issue PB, pages 634-655, DOI: 10.1016/j.jet.2014.09.002.
• Albagli, Elias, 2015, "Investment horizons and asset prices under asymmetric information," Journal of Economic Theory, Elsevier, volume 158, issue PB, pages 787-837, DOI: 10.1016/j.jet.2014.12.008.
• Qin, Jie, 2015, "A model of regret, investor behavior, and market turbulence," Journal of Economic Theory, Elsevier, volume 160, issue C, pages 150-174, DOI: 10.1016/j.jet.2015.08.010.
• Easley, David & Yang, Liyan, 2015, "Loss aversion, survival and asset prices," Journal of Economic Theory, Elsevier, volume 160, issue C, pages 494-516, DOI: 10.1016/j.jet.2015.08.013.
• Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2015, "X-CAPM: An extrapolative capital asset pricing model," Journal of Financial Economics, Elsevier, volume 115, issue 1, pages 1-24, DOI: 10.1016/j.jfineco.2014.08.007.
• Møller, Stig V. & Rangvid, Jesper, 2015, "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, volume 115, issue 1, pages 136-154, DOI: 10.1016/j.jfineco.2014.08.006.
• Kung, Howard, 2015, "Macroeconomic linkages between monetary policy and the term structure of interest rates," Journal of Financial Economics, Elsevier, volume 115, issue 1, pages 42-57, DOI: 10.1016/j.jfineco.2014.09.006.
• Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015, "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, volume 115, issue 1, pages 58-83, DOI: 10.1016/j.jfineco.2014.09.004.
• Eun, Cheol S. & Wang, Lingling & Xiao, Steven C., 2015, "Culture and R2," Journal of Financial Economics, Elsevier, volume 115, issue 2, pages 283-303, DOI: 10.1016/j.jfineco.2014.09.003.
• Kwan, Amy & Masulis, Ronald & McInish, Thomas H., 2015, "Trading rules, competition for order flow and market fragmentation," Journal of Financial Economics, Elsevier, volume 115, issue 2, pages 330-348, DOI: 10.1016/j.jfineco.2014.09.010.
• Jeong, Daehee & Kim, Hwagyun & Park, Joon Y., 2015, "Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility," Journal of Financial Economics, Elsevier, volume 115, issue 2, pages 361-382, DOI: 10.1016/j.jfineco.2014.10.003.
• Hugonnier, Julien & Prieto, Rodolfo, 2015, "Asset pricing with arbitrage activity," Journal of Financial Economics, Elsevier, volume 115, issue 2, pages 411-428, DOI: 10.1016/j.jfineco.2014.10.001.
• Hanson, Samuel G. & Stein, Jeremy C., 2015, "Monetary policy and long-term real rates," Journal of Financial Economics, Elsevier, volume 115, issue 3, pages 429-448, DOI: 10.1016/j.jfineco.2014.11.001.
• Albuquerque, Rui & Ramadorai, Tarun & Watugala, Sumudu W., 2015, "Trade credit and cross-country predictable firm returns," Journal of Financial Economics, Elsevier, volume 115, issue 3, pages 592-613, DOI: 10.1016/j.jfineco.2014.10.007.
• Fama, Eugene F. & French, Kenneth R., 2015, "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, volume 116, issue 1, pages 1-22, DOI: 10.1016/j.jfineco.2014.10.010.
• Barroso, Pedro & Santa-Clara, Pedro, 2015, "Momentum has its moments," Journal of Financial Economics, Elsevier, volume 116, issue 1, pages 111-120, DOI: 10.1016/j.jfineco.2014.11.010.
• Conrad, Jennifer & Wahal, Sunil & Xiang, Jin, 2015, "High-frequency quoting, trading, and the efficiency of prices," Journal of Financial Economics, Elsevier, volume 116, issue 2, pages 271-291, DOI: 10.1016/j.jfineco.2015.02.008.
• Dow, James & Han, Jungsuk, 2015, "Contractual incompleteness, limited liability and asset price bubbles," Journal of Financial Economics, Elsevier, volume 116, issue 2, pages 383-409, DOI: 10.1016/j.jfineco.2015.02.002.
• Schneider, Paul, 2015, "Generalized risk premia," Journal of Financial Economics, Elsevier, volume 116, issue 3, pages 487-504, DOI: 10.1016/j.jfineco.2015.03.003.
• Lyle, Matthew R. & Wang, Charles C.Y., 2015, "The cross section of expected holding period returns and their dynamics: A present value approach," Journal of Financial Economics, Elsevier, volume 116, issue 3, pages 505-525, DOI: 10.1016/j.jfineco.2015.03.001.
• Ball, Ray & Gerakos, Joseph & Linnainmaa, Juhani T. & Nikolaev, Valeri V., 2015, "Deflating profitability," Journal of Financial Economics, Elsevier, volume 117, issue 2, pages 225-248, DOI: 10.1016/j.jfineco.2015.02.004.
• Hendershott, Terrence & Livdan, Dmitry & Schürhoff, Norman, 2015, "Are institutions informed about news?," Journal of Financial Economics, Elsevier, volume 117, issue 2, pages 249-287, DOI: 10.1016/j.jfineco.2015.03.007.
• Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015, "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, volume 117, issue 2, pages 350-368, DOI: 10.1016/j.jfineco.2015.04.005.
• Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015, "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, volume 117, issue 2, pages 369-397, DOI: 10.1016/j.jfineco.2015.05.004.
• Banerjee, Snehal & Green, Brett, 2015, "Signal or noise? Uncertainty and learning about whether other traders are informed," Journal of Financial Economics, Elsevier, volume 117, issue 2, pages 398-423, DOI: 10.1016/j.jfineco.2015.05.003.
• Fama, Eugene F. & French, Kenneth R., 2015, "Incremental variables and the investment opportunity set," Journal of Financial Economics, Elsevier, volume 117, issue 3, pages 470-488, DOI: 10.1016/j.jfineco.2015.05.001.
• Beber, Alessandro & Brandt, Michael W. & Luisi, Maurizio, 2015, "Distilling the macroeconomic news flow," Journal of Financial Economics, Elsevier, volume 117, issue 3, pages 489-507, DOI: 10.1016/j.jfineco.2015.05.005.
• Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor, 2015, "The risk premia embedded in index options," Journal of Financial Economics, Elsevier, volume 117, issue 3, pages 558-584, DOI: 10.1016/j.jfineco.2015.06.005.
• Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015, "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, volume 118, issue 1, pages 113-134, DOI: 10.1016/j.jfineco.2015.02.010.