Research classified by Journal of Economic Literature (JEL) codes

2015

• Merdad, Hesham Jamil & Kabir Hassan, M. & Hippler, William J., 2015, "The Islamic risk factor in expected stock returns: an empirical study in Saudi Arabia," Pacific-Basin Finance Journal, Elsevier, volume 34, issue C, pages 293-314, DOI: 10.1016/j.pacfin.2015.04.001.
• Umutlu, Mehmet & Shackleton, Mark B., 2015, "Stock-return volatility and daily equity trading by investor groups in Korea," Pacific-Basin Finance Journal, Elsevier, volume 34, issue C, pages 43-70, DOI: 10.1016/j.pacfin.2015.05.003.
• Kim, Min-Su & Kim, Woojin & Lee, Dong Wook, 2015, "Stock return commonality within business groups: Fundamentals or sentiment?," Pacific-Basin Finance Journal, Elsevier, volume 35, issue PA, pages 198-224, DOI: 10.1016/j.pacfin.2015.01.001.
• Bissoondoyal-Bheenick, Emawtee & Brooks, Robert, 2015, "The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan," Pacific-Basin Finance Journal, Elsevier, volume 35, issue PA, pages 37-55, DOI: 10.1016/j.pacfin.2014.09.001.
• Vu, Van & Chai, Daniel & Do, Viet, 2015, "Empirical tests on the liquidity-adjusted capital asset pricing model," Pacific-Basin Finance Journal, Elsevier, volume 35, issue PA, pages 73-89, DOI: 10.1016/j.pacfin.2014.10.007.
• Hurst, Gareth & Docherty, Paul, 2015, "Trend salience, investor behaviours and momentum profitability," Pacific-Basin Finance Journal, Elsevier, volume 35, issue PB, pages 471-484, DOI: 10.1016/j.pacfin.2015.08.001.
• Falagiarda, Matteo & Gregori, Wildmer Daniel, 2015, "The impact of fiscal policy announcements by the Italian government on the sovereign spread: A comparative analysis," European Journal of Political Economy, Elsevier, volume 39, issue C, pages 288-304, DOI: 10.1016/j.ejpoleco.2015.07.002.
• Magni, Carlo Alberto, 2015, "Aggregate Return On Investment for investments under uncertainty," International Journal of Production Economics, Elsevier, volume 165, issue C, pages 29-37, DOI: 10.1016/j.ijpe.2015.03.010.
• Tola, Albi & Wälti, Sébastien, 2015, "Deciphering financial contagion in the euro area during the crisis," The Quarterly Review of Economics and Finance, Elsevier, volume 55, issue C, pages 108-123, DOI: 10.1016/j.qref.2014.09.009.
• Leone, Vitor & de Medeiros, Otavio Ribeiro, 2015, "Signalling the Dotcom bubble: A multiple changes in persistence approach," The Quarterly Review of Economics and Finance, Elsevier, volume 55, issue C, pages 77-86, DOI: 10.1016/j.qref.2014.08.006.
• Li, Wei-Xuan & Chen, Clara Chia-Sheng & French, Joseph J., 2015, "Toward an early warning system of financial crises: What can index futures and options tell us?," The Quarterly Review of Economics and Finance, Elsevier, volume 55, issue C, pages 87-99, DOI: 10.1016/j.qref.2014.07.004.
• Stucchi, Patrizia, 2015, "A unified approach to portfolio selection in a tracking error framework with additional constraints on risk," The Quarterly Review of Economics and Finance, Elsevier, volume 56, issue C, pages 165-174, DOI: 10.1016/j.qref.2014.09.008.
• Rocha Armada, Manuel J. & Sousa, Ricardo M. & Wohar, Mark E., 2015, "Consumption growth, preference for smoothing, changes in expectations and risk premium," The Quarterly Review of Economics and Finance, Elsevier, volume 56, issue C, pages 80-97, DOI: 10.1016/j.qref.2014.09.005.
• Frühwirth, Manfred & Sögner, Leopold, 2015, "Weather and SAD related mood effects on the financial market," The Quarterly Review of Economics and Finance, Elsevier, volume 57, issue C, pages 11-31, DOI: 10.1016/j.qref.2015.02.003.
• Arnold, Lutz G. & Brunner, Stephan, 2015, "The economics of rational speculation in the presence of positive feedback trading," The Quarterly Review of Economics and Finance, Elsevier, volume 57, issue C, pages 161-174, DOI: 10.1016/j.qref.2014.11.005.
• Rahman, M. Arifur & Chowdhury, Shah Saeed Hassan & Shibley Sadique, M., 2015, "Herding where retail investors dominate trading: The case of Saudi Arabia," The Quarterly Review of Economics and Finance, Elsevier, volume 57, issue C, pages 46-60, DOI: 10.1016/j.qref.2015.01.002.
• Lee, Huai-I & Hsieh, Tsung-Yu & Kuo, Wen-Hsiu & Hsu, Hsinan, 2015, "Can a path-dependent strategy outperform a path-independent strategy?," The Quarterly Review of Economics and Finance, Elsevier, volume 58, issue C, pages 119-127, DOI: 10.1016/j.qref.2015.01.004.
• Zheng, Yao, 2015, "The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach," The Quarterly Review of Economics and Finance, Elsevier, volume 58, issue C, pages 128-142, DOI: 10.1016/j.qref.2015.02.008.
• Hung, Weifeng & Huang, Sheng-Tang & Lu, Chia-Chi & Liu, Nathan, 2015, "Trading behavior and stock returns in Japan," The Quarterly Review of Economics and Finance, Elsevier, volume 58, issue C, pages 200-212, DOI: 10.1016/j.qref.2015.03.004.
• Davis, Morris A. & Van Nieuwerburgh, Stijn, 2015, "Housing, Finance, and the Macroeconomy," Handbook of Regional and Urban Economics, Elsevier, chapter 0, in: Gilles Duranton & J. V. Henderson & William C. Strange, "Handbook of Regional and Urban Economics", DOI: 10.1016/B978-0-444-59531-7.00012-0.
• Suh, Sangwon, 2015, "Measuring sovereign risk contagion in the Eurozone," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 45-65, DOI: 10.1016/j.iref.2014.09.002.
• Kuo, Su-Wen & Huang, Chin-Sheng & Jhang, Guan-Cih, 2015, "Liquidity, delistings, and credit risk premium," International Review of Economics & Finance, Elsevier, volume 35, issue C, pages 78-89, DOI: 10.1016/j.iref.2014.09.005.
• Chen, Lin & Qin, Lu & Zhu, Hongquan, 2015, "Opinion divergence, unexpected trading volume and stock returns: Evidence from China," International Review of Economics & Finance, Elsevier, volume 36, issue C, pages 119-127, DOI: 10.1016/j.iref.2014.11.012.
• Chen, Cathy Yi-Hsuan & Kuo, I-Doun, 2015, "Survey sentiment and interest rate option smile," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 125-137, DOI: 10.1016/j.iref.2014.11.018.
• Wang, Juan & Zhang, Dongxiang & Zhang, Jian, 2015, "Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 157-164, DOI: 10.1016/j.iref.2014.11.020.
• Jin, Xiaoye, 2015, "Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 340-353, DOI: 10.1016/j.iref.2014.12.005.
• Gospodinov, Nikolay & Jamali, Ibrahim, 2015, "The response of stock market volatility to futures-based measures of monetary policy shocks," International Review of Economics & Finance, Elsevier, volume 37, issue C, pages 42-54, DOI: 10.1016/j.iref.2014.11.001.
• Gerlach, Richard & Obaydin, Ivan & Zurbruegg, Ralf, 2015, "The impact of leverage on the idiosyncratic risk and return relationship of REITs around the financial crisis," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 207-219, DOI: 10.1016/j.iref.2015.02.029.
• Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015, "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 291-307, DOI: 10.1016/j.iref.2015.03.005.
• Wu, Shue-Jen & Lee, Wei-Ming, 2015, "Intertemporal risk–return relationships in bull and bear markets," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 308-325, DOI: 10.1016/j.iref.2015.03.008.
• Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel, 2015, "Equity premia and state-dependent risks," International Review of Economics & Finance, Elsevier, volume 38, issue C, pages 393-409, DOI: 10.1016/j.iref.2015.04.001.
• Chen, Qian & Lv, Xin, 2015, "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, volume 39, issue C, pages 121-132, DOI: 10.1016/j.iref.2015.03.007.
• Vortelinos, Dimitrios I. & Lakshmi, Geeta, 2015, "Market risk of BRIC Eurobonds in the financial crisis period," International Review of Economics & Finance, Elsevier, volume 39, issue C, pages 295-310, DOI: 10.1016/j.iref.2015.04.012.
• Balli, Faruk & Hajhoj, Hassan Rafdan & Basher, Syed Abul & Ghassan, Hassan Belkacem, 2015, "An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries," International Review of Economics & Finance, Elsevier, volume 39, issue C, pages 311-325, DOI: 10.1016/j.iref.2015.04.013.
• Bai, Min & Qin, Yafeng, 2015, "Commonality in liquidity in emerging markets: Another supply-side explanation," International Review of Economics & Finance, Elsevier, volume 39, issue C, pages 90-106, DOI: 10.1016/j.iref.2015.06.005.
• Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2015, "Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 204-216, DOI: 10.1016/j.iref.2015.02.019.
• Marrero, Gustavo A. & Puch, Luis A. & Ramos-Real, Francisco J., 2015, "Mean-variance portfolio methods for energy policy risk management," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 246-264, DOI: 10.1016/j.iref.2015.02.013.
• Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015, "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 338-352, DOI: 10.1016/j.iref.2015.10.042.
• Bouwman, Kees & Buis, Boyd & Pieterse-Bloem, Mary & Tham, Wing Wah, 2015, "A practical approach to constructing price-based funding liquidity factors," International Review of Economics & Finance, Elsevier, volume 40, issue C, pages 90-97, DOI: 10.1016/j.iref.2015.02.007.
• Ismail, Ashraf & Oh, Seunghack & Arsyad, Nuruzzaman, 2015, "Split ratings and debt-signaling in bond markets: A note," Review of Financial Economics, Elsevier, volume 24, issue C, pages 36-41, DOI: 10.1016/j.rfe.2014.12.003.
• Karagiannidis, Iordanis & Sykes Wilford, D., 2015, "Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets," Review of Financial Economics, Elsevier, volume 25, issue C, pages 19-26, DOI: 10.1016/j.rfe.2015.02.005.
• Orlowski, Lucjan T., 2015, "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, Elsevier, volume 25, issue C, pages 3-9, DOI: 10.1016/j.rfe.2015.02.001.
• Huang, Emily J., 2015, "The role of institutional investors and individual investors in financial markets: Evidence from closed-end funds," Review of Financial Economics, Elsevier, volume 26, issue C, pages 1-11, DOI: 10.1016/j.rfe.2015.05.001.
• Halbritter, Gerhard & Dorfleitner, Gregor, 2015, "The wages of social responsibility — where are they? A critical review of ESG investing," Review of Financial Economics, Elsevier, volume 26, issue C, pages 25-35, DOI: 10.1016/j.rfe.2015.03.004.
• Alhenawi, Yasser, 2015, "On the interaction between momentum effect and size effect," Review of Financial Economics, Elsevier, volume 26, issue C, pages 36-46, DOI: 10.1016/j.rfe.2015.03.005.
• Thimme, Julian & Völkert, Clemens, 2015, "High order smooth ambiguity preferences and asset prices," Review of Financial Economics, Elsevier, volume 27, issue C, pages 1-15, DOI: 10.1016/j.rfe.2015.05.003.
• Agbeyegbe, Terence D., 2015, "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, volume 27, issue C, pages 28-45, DOI: 10.1016/j.rfe.2015.08.001.
• Xie, Zixiong & Chen, Shyh-Wei, 2015, "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, volume 33, issue C, pages 17-31, DOI: 10.1016/j.ribaf.2014.06.003.
• Butt, Hilal Anwar, 2015, "A comparison among various dimensions of illiquidity effect: A case study of Finland," Research in International Business and Finance, Elsevier, volume 33, issue C, pages 204-220, DOI: 10.1016/j.ribaf.2014.09.002.
• Saade, Samer, 2015, "Investor sentiment and the underperformance of technology firms initial public offerings," Research in International Business and Finance, Elsevier, volume 34, issue C, pages 205-232, DOI: 10.1016/j.ribaf.2015.02.005.
• Demirovic, Amer & Tucker, Jon & Guermat, Cherif, 2015, "Accounting data and the credit spread: An empirical investigation," Research in International Business and Finance, Elsevier, volume 34, issue C, pages 233-250, DOI: 10.1016/j.ribaf.2015.02.013.
• Teplova, Tamara & Mikova, Evgeniya, 2015, "New evidence on determinants of price momentum in the Japanese stock market," Research in International Business and Finance, Elsevier, volume 34, issue C, pages 84-109, DOI: 10.1016/j.ribaf.2014.12.001.
• Abramov, Alexander & Radygin, Alexander & Chernova, Maria, 2015, "Long-term portfolio investments: New insight into return and risk," Russian Journal of Economics, Elsevier, volume 1, issue 3, pages 273-293, DOI: 10.1016/j.ruje.2015.12.001.
• Leo Krippner, 2015, "A comment on Wu and Xia (2015), and the case for two-factor Shadow Short Rates," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2015-48, Dec.
• Goran Trbojevic (ed.), 2015, "Poslovanje na burzama - nacela i praksa," Effectus - Series in Finance and Law, Effectus - University College for Law and Finance, number 005, edition 1, ISBN: ARRAY(0x7f6bdbd8).
• Sesar Andrijana & Tomic Bojan, 2015, "Basic Characteristics of Bonds and their Dynamics on the Croatian Secondary Market," FIP - Journal of Finance and Law, Effectus - University College for Law and Finance, volume 4, issue 1, pages 115-132.
• Chabakauri, Georgy, 2015, "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119001, Mar.
• Lou, Dong & Polk, Christopher & Skouras, Spyros, 2015, "A tug of war: overnight versus intraday expected returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119010, Mar.
• Gromb, Denis & Vayanos, Dimitri, 2015, "The dynamics of financially constrained arbitrage," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119012, Feb.
• Danilova, Albina & Julliard, Christian, 2015, "Information asymmetries, volatility, liquidity and the Tobin Tax," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119016, Feb.
• Bretscher, Lorenzo & Julliard, Christian & Rosa, Carlo, 2015, "Human capital and international portfolio diversification: a reappraisal," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119454, Oct.
• Chabakauri, Georgy, 2015, "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60737, Jan.
• Chabakauri, Georgy, 2015, "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 62003, Mar.
• Malkhozov, Aytek & Tamoni, Andrea, 2015, "News shocks and asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 62004, Mar.
• Bretscher, Lorenzo & Julliard, Christian & Rosa, Carlo, 2015, "Human capital and international portfolio diversification: a reappraisal," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65091, Oct.
• Miralles Marcelo, José Luis & Miralles Quirós, María Mar & Oliveira, Célia, 2015, "Systematic liquidity: commonality and inter-temporal variation in the Portuguese stock market," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2015, "The Supply Side of Household Finance," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1507, revised Jul 2015.
• 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.
• Paul Bedón Garcia & Gabriel Rodriguez, 2015, "Univariate Autoregressive Conditional Heteroskedasticity Models: An Application to the Peruvian Stock Market Returns," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2015-400.
• Adam Zaremba & Andrzej Nowak, 2015, "Skewness preference across countries," Business and Economic Horizons (BEH), Prague Development Center, volume 11, issue 2, pages 115-130, July.
• Jakub Marszalek, 2015, "Design of convertible debt financing - some observations from the American market," Business and Economic Horizons (BEH), Prague Development Center, volume 11, issue 2, pages 64-75, July.
• Stojan Debarliev & Aleksandra Janeska-Iliev & Tihona Bozhinovska & Viktorija Ilieva, 2015, "Antecedents of entrepreneurial intention: Evidence from Republic of Macedonia," Business and Economic Horizons (BEH), Prague Development Center, volume 11, issue 3, pages 143-161, October.
• Peter Julian Cayton & Dennis Mapa, 2015, "Time-varying conditional Johnson Su density in Value-at-Risk methodology," Philippine Review of Economics, University of the Philippines School of Economics and Philippine Economic Society, volume 51, issue 1, pages 23-44, June.
• Salmanov, Oleg & Babina, Natalia & Bashirova, Svetlana & Samoshkina, Marina, 2015, "Multiples for Valuation Estimates of Companies in the Technology Sector of Emerging Markets," MPRA Paper, University Library of Munich, Germany, number 112271, Mar, revised 20 Mar 2015.
• Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015, "Price Discovery in the Dual-Platform US Treasury Market," MPRA Paper, University Library of Munich, Germany, number 61440.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2015, "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," MPRA Paper, University Library of Munich, Germany, number 61865, Jan.
• García Muñoz, Luis Manuel & de Lope Contreras, Fernando & Palomar Burdeus, Juan Esteban, 2015, "Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA," MPRA Paper, University Library of Munich, Germany, number 62086, Feb.
• Malefaki, Valia, 2015, "On Flexible Linear Factor Stochastic Volatility Models," MPRA Paper, University Library of Munich, Germany, number 62216, Jan.
• Siddiqi, Hammad, 2015, "Relative Risk Perception and the Puzzle of Covered Call writing," MPRA Paper, University Library of Munich, Germany, number 62763, Mar.
• Fotis, Panagiotis & Pekka, Victoria & Polemis, Michael, 2015, "Intervalling-effect bias and evidences for competition policy," MPRA Paper, University Library of Munich, Germany, number 63211, Mar.
• Camilleri, Silvio John, 2015, "The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension," MPRA Paper, University Library of Munich, Germany, number 63240, revised 2015.
• Siddiqi, Hammad, 2015, "Explaining the Smile in Currency Options: Is it Anchoring?," MPRA Paper, University Library of Munich, Germany, number 63528, Apr.
• Dhaoui, Abderrazak & Saidi, Youssef, 2015, "Oil supply and demand shocks and stock price: Evidence for some OECD countries," MPRA Paper, University Library of Munich, Germany, number 63556, Apr.
• Sinha, Pankaj & Mathur, Kritika, 2015, "Impact of Commodities Transaction Tax on Indian Commodity Futures," MPRA Paper, University Library of Munich, Germany, number 63677, Feb.
• Cayton, Peter Julian, 2015, "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper, University Library of Munich, Germany, number 63755, Apr.
• Faruk, Balli & Syed Abul, Basher & Hassan, Ghassan & Hassan, Hajhoj, 2015, "An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries," MPRA Paper, University Library of Munich, Germany, number 63847, Apr.
• Remorov, Alexander, 2015, "Dynamic Trading When You May Be Wrong," MPRA Paper, University Library of Munich, Germany, number 63964, Apr, revised 27 Apr 2015.
• Siakoulis, Vasilios, 2015, "Modeling bank default intensity in the USA using autoregressive duration models," MPRA Paper, University Library of Munich, Germany, number 64526, May.
• Isoré, Marlène & Szczerbowicz, Urszula, 2015, "Disaster risk and preference shifts in a New Keynesian model," MPRA Paper, University Library of Munich, Germany, number 65643, Jul.
• Dhaoui, Abderrazak & Audi, Mohamed & Ouled Ahmed Ben Ali, Raja, 2015, "Revising empirical linkages between direction of Canadian stock price index movement and Oil supply and demand shocks: Artificial neural network and support vector machines approaches," MPRA Paper, University Library of Munich, Germany, number 66029, Aug.
• Carrasco Gutierrez, Carlos Enrique & Issler, João Victor, 2015, "Evaluating the effectiveness of Common-Factor Portfolios," MPRA Paper, University Library of Munich, Germany, number 66077.
• Kroujiline, Dimitri & Gusev, Maxim & Ushanov, Dmitry & Sharov, Sergey V. & Govorkov, Boris, 2015, "Forecasting stock market returns over multiple time horizons," MPRA Paper, University Library of Munich, Germany, number 66175, Aug.
• Mehta, Deepshikha, 2015, "Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices," MPRA Paper, University Library of Munich, Germany, number 66494, Aug.
• Colasante, Annarita & Palestrini, Antonio & Russo, Alberto & Gallegati, Mauro, 2015, "Heterogeneous Adaptive Expectations and Coordination in a Learning-to-Forecast Experiment," MPRA Paper, University Library of Munich, Germany, number 66578, Sep.
• Hattori, Takahiro & Miyake, Hiroki, 2015, "Empirical Analysis of Yield Determinants in Japan’s Municipal Bond Market: Does Credit Risk Premium Exist?," MPRA Paper, University Library of Munich, Germany, number 67127, Oct.
• Stefanescu, Razvan & Dumitriu, Ramona, 2015, "Conţinutul analizei seriilor de timp financiare
  [The Essentials of the Analysis of Financial Time Series]," MPRA Paper, University Library of Munich, Germany, number 67175, Oct.
• Escobari, Diego & Jafarinejad, Mohammad, 2015, "Date Stamping Bubbles in Real Estate Investment Trusts," MPRA Paper, University Library of Munich, Germany, number 67372, Oct.
• Hammad, Siddiqi, 2015, "Anchoring Adjusted Capital Asset Pricing Model," MPRA Paper, University Library of Munich, Germany, number 67403, Oct.
• Jung, Kuk Mo, 2015, "Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns," MPRA Paper, University Library of Munich, Germany, number 67416, Oct.
• Lim, Kian-Ping & Thian, Tze-Chung & Hooy, Chee-Wooi, 2015, "Corporate Shareholdings and the Liquidity of Malaysian Stocks: Investor Heterogeneity, Trading Account Types and the Underlying Channels," MPRA Paper, University Library of Munich, Germany, number 67602, Jul.
• Hammad, Siddiqi, 2015, "Capital Asset Pricing Model Adjusted for Anchoring," MPRA Paper, University Library of Munich, Germany, number 67668, Oct.
• Pönkä, Harri, 2015, "Real oil prices and the international sign predictability of stock returns," MPRA Paper, University Library of Munich, Germany, number 68330, Dec.
• Ibanez, Francisco, 2015, "Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach," MPRA Paper, University Library of Munich, Germany, number 68377, Dec.
• Chong, Terence Tai Leung & Lin, Shiyu, 2015, "Predictive Models for Disaggregate Stock Market Volatility," MPRA Paper, University Library of Munich, Germany, number 68460, Nov.
• Herrenbrueck, Lucas & Geromichalos, Athanasios, 2015, "A Tractable Model of Indirect Asset Liquidity," MPRA Paper, University Library of Munich, Germany, number 68521, Dec.
• Siddiqi, Hammad, 2015, "Anchoring Heuristic and the Equity Premium Puzzle," MPRA Paper, University Library of Munich, Germany, number 68537, Nov.
• Siddiqi, Hammad, 2015, "Anchoring and Adjustment Heuristic in Option Pricing," MPRA Paper, University Library of Munich, Germany, number 68595, Dec.
• Han, Han, 2015, "Over-the-Counter Markets, Intermediation, and Monetary Policy," MPRA Paper, University Library of Munich, Germany, number 68709, Dec.
• Siddiqi, Hammad, 2015, "Anchoring and Adjustment Heuristic: A Unified Explanation for Equity Puzzles," MPRA Paper, University Library of Munich, Germany, number 68729, Nov.
• Uddin, Md Akther & Sultan, Yousuf & Hosen, Mosharrof & Ullah, Nazim, 2015, "A critical analysis of Islamic bond: A case study on Sunway Treasury Sukuk," MPRA Paper, University Library of Munich, Germany, number 68785, Nov.
• Hirshleifer, David & Daniel, Kent, 2015, "Overconfident investors, predictable returns, and excessive trading," MPRA Paper, University Library of Munich, Germany, number 69002, Oct.
• Guesmi, Khaled & Kablan, Sandrine, 2015, "Financial integration and Japanese stock market," MPRA Paper, University Library of Munich, Germany, number 70206.
• Guesmi, Khaled & Kablan, Sandrine & Belgacem, Aymen, 2015, "The regional pricing of risk: An empirical investigation of the MENA equity determinants," MPRA Paper, University Library of Munich, Germany, number 70271, revised 2015.
• Owyong, David & Wong, Wing-Keung & Horowitz, Ira, 2015, "Cointegration and Causality among the Onshore and Offshore Markets for China's Currency," MPRA Paper, University Library of Munich, Germany, number 71107, Oct.
• Khan, Dr. Muhammad Irfan & Syed, Muhammad Salman, 2015, "Comparison between Forecasted Stock Prices and Original Stock Prices in the Karachi Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 72647, Jan, revised Jul 2015.
• Bell, Peter N, 2015, "Effects of Long Cycles in Cash Flows on Present Value," MPRA Paper, University Library of Munich, Germany, number 72681, Nov.
• Uslu, Semih, 2015, "Pricing and Liquidity in Decentralized Asset Markets," MPRA Paper, University Library of Munich, Germany, number 73901, Nov, revised 21 Sep 2016.
• Toda, Alexis Akira, 2015, "A Note on the Size Distribution of Consumption: More Double Pareto than Lognormal," MPRA Paper, University Library of Munich, Germany, number 78979, Oct.
• Cayton, Peter Julian & Ho, Kin-Yip, 2015, "A Nonparametric Option Pricing Model Using Higher Moments," MPRA Paper, University Library of Munich, Germany, number 79134, Apr.
• Deng, Binbin, 2015, "Regime Learning and Asset Prices in A Long-run Model: Theory," MPRA Paper, University Library of Munich, Germany, number 79960.
• Camilleri, Silvio John, 2015, "Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India," MPRA Paper, University Library of Munich, Germany, number 95301.
• Vassilios Babalos & Clement Kyei & Evangelos I. Poutos, 2015, "Causality and Contagion in EMU Sovereign Bonds Revisited: Novel Evidence from Nonlinear Causality Tests," Working Papers, University of Pretoria, Department of Economics, number 201514, Mar.
• Luis A. Gil-Alana & Juncal Cunado & Rangan Gupta, 2015, "Evidence of Persistence in U.S. Short and Long-Term Interest Rates Using Long-Span Monthly and Annual Data," Working Papers, University of Pretoria, Department of Economics, number 201553, Jul.
• Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2015, "South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201570, Oct.
• Mehmet Balcilar & Rangan Gupta & Won Joong Kim & Clement Kyei, 2015, "The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach," Working Papers, University of Pretoria, Department of Economics, number 201586, Nov.
• Mehmet Balcilar & Rangan Gupta & Mampho P. Modise & John W. Muteba Mwamba, 2015, "Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model," Working Papers, University of Pretoria, Department of Economics, number 201596, Dec.
• Shaen Corbet & Cian Twomey, 2015, "European Equity Market Contagion: An Empirical Application to Ireland's Sovereign Debt Crisis," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2015, issue 3, pages 15-34, DOI: 10.18267/j.efaj.143.
• Osabuohien-Irabor Osarumwense, 2015, "Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2015, issue 4, pages 33-44, DOI: 10.18267/j.efaj.148.
• Pavel Svačina, 2015, "An Empirical Analysis of Factors Affecting Prices of Intangible Assets: A Preliminary Testing in Consumer Durables Sector," Prague Economic Papers, Prague University of Economics and Business, volume 2015, issue 3, pages 354-363, DOI: 10.18267/j.pep.523.
• Serkan Yilmaz Kandir & Ahmet Erismis & Ilhan Ozturk, 2015, "Investigating Exchange Rate Exposure of Energy Firms: Evidence from Turkey," Prague Economic Papers, Prague University of Economics and Business, volume 2015, issue 6, pages 729-743, DOI: 10.18267/j.pep.532.
• Jaroslav Borovicka & Lars Peter Hansen & Jose A. Scheinkman, 2015, "Misspecified Recovery," Working Papers, Princeton University, Department of Economics, Econometric Research Program., number 063_2014, Oct.
• Bruno Bonizzi, 2015, "Capital Market Inflation in Emerging Markets: the Cases of Brazil and South Korea," PSL Quarterly Review, Economia civile, volume 68, issue 273, pages 115-150.
• Obiyathulla Ismath Bacha, Abbas Mirakhor, Hossein Askari, 2015, "Risk Sharing in Corporate and Public Finance: The Contribution of Islamic Finance," PSL Quarterly Review, Economia civile, volume 68, issue 274, pages 187-213.
• Tosapol Apaitan, 2015, "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 4, Sep.
• Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015, "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers, Queen Mary University of London, School of Economics and Finance, number 755, Sep.
• Marcelo Fernandes & João Mergulhão, 2015, "Anticipatory Effects in the FTSE 100 Index Revisions," Working Papers, Queen Mary University of London, School of Economics and Finance, number 773, Dec.
• Robert J. Barro & Tao Jin, 2016, "Rare Events and Long-Run Risks," Working Paper, Harvard University OpenScholar, number 115371, Jan.
• Matteo Maggiori & Stefano Giglio & Johannes Stroebel & Andreas Weber, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," Working Paper, Harvard University OpenScholar, number 323746, Jan.
• Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2015, "Extrapolation and Bubbles," Working Paper, Harvard University OpenScholar, number 357401, Dec.
• Castillo, Paul & Luna, Miriam & Vega, Hugo, 2015, "Tendencias de las emisiones de bonos en el exterior de empresas en América Latina," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 30, pages 57-72.
• Frank de Jong & Joost Driessen, 2015, "Can Large Long-Term Investors Capture Illiquidity Premiums?," Bankers, Markets & Investors, ESKA Publishing, issue 134, pages 34-60, January-F.
• Karim Ben Khediri & Souad Lajili Jarjir, 2015, "New Insights on Corporate SocialResponsibility and Country-level Institutions in Western Europe," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 20-40, May-June.
• Abdoul K. Cissé & Patrice Fontaine, 2015, "Consequences of Voluntary Stock Exchange Section Switching on Stock Prices, Liquidity and Volatility," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 42-62, May-June.
• Anna Creti & Khaled Guesmi, 2015, "International CAPM and Oil Price: Evidence from Selected OPEC Countries," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 64-78, May-June.
• Ariane Szafarz, 2015, "Market Efficiency and Crises:Don’t Throw the Baby out with the Bathwater," Bankers, Markets & Investors, ESKA Publishing, issue 139, pages 20-26, November-.
• Chris Godfrey & Chris Brooks, 2015, "The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2015-07, Sep.
• Ryo Jinnai, 2015, "Innovation, Product Cycle, and Asset Prices," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 18, issue 3, pages 484-504, July, DOI: 10.1016/j.red.2014.10.002.
• Derek Stacey, 2015, "Advertised Prices in Decentralized Markets," 2015 Meeting Papers, Society for Economic Dynamics, number 1011.
• Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015, "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers, Society for Economic Dynamics, number 1069.
• Haoxiang Zhu & Bart Yueshen & Albert Menkveld, 2015, "Shades of Darkness: A Pecking Order of Trading Venues," 2015 Meeting Papers, Society for Economic Dynamics, number 1164.
• Steven Riddiough & Lucio Sarno & Pasquale Della Corte, 2015, "Currency Premia and Global Imbalances," 2015 Meeting Papers, Society for Economic Dynamics, number 1215.
• Anisha Ghosh & George Constantinides, 2015, "Asset Pricing with Countercyclical Household Consumption Risk," 2015 Meeting Papers, Society for Economic Dynamics, number 185.
• Jenny Tang, 2015, "FOMC Communication and Interest Rate Sensitivity to News," 2015 Meeting Papers, Society for Economic Dynamics, number 349.
• Kai Li & Fang Yang & Hengjie Ai, 2015, "Financial Intermediation and Capital Reallocation," 2015 Meeting Papers, Society for Economic Dynamics, number 429.
• Ian Dew-Becker & Rhys Bidder, 2015, "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers, Society for Economic Dynamics, number 490.
• Piotr Dworczak & Haoxiang Zhu & Darrell Duffie, 2015, "Benchmarks in Search Markets," 2015 Meeting Papers, Society for Economic Dynamics, number 51.
• Vladimir Asriyan, 2015, "Information Spillovers in Asset Markets with Correlated Values," 2015 Meeting Papers, Society for Economic Dynamics, number 711.
• Alexis Akira Toda & Kieran Walsh, 2015, "Asset Pricing and the One Percent," 2015 Meeting Papers, Society for Economic Dynamics, number 858.
• Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2015, "Phasing out the GSEs," 2015 Meeting Papers, Society for Economic Dynamics, number 977.
• A. Marcel Oestreich & Ilias Tsiakas, 2015, "Carbon Emissions and Stock Returns: Evidence from the EU Emissions Trading Scheme," Working Paper series, Rimini Centre for Economic Analysis, number 15-18, May.
• Sermin Gungor & Richard Luger, 2015, "Bootstrap Tests Of Mean-Variance Efficiency With Multiple Portfolio Groupings," L'Actualité Economique, Société Canadienne de Science Economique, volume 91, issue 1-2, pages 35-65.
• K. M. Zahidul Islam & Sayed Farrukh Ahmed, 2015, "Stock Market Crash and Stock Return Volatility: Empirical Evidence from Dhaka Stock Exchange," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), volume 38, issue 3, pages 25-34.
• Nazlı Kalfa Baş & Serra Eren Sarıoğlu, 2015, "Tracking Ability and Pricing Efficiency of Exchange Traded Funds: Evidence from Borsa Istanbul," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 1, pages 19-33.
• İbrahim Bozkurt, 2015, "Investigation of the Anomaly Existence in the Advanced and Emerging Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 4, pages 19-37.
• Metin Tetik & Reşat Ceylan, 2015, "Analysis of the Effect of Interest Rate Corridor Strategy on Common Stock and Exchange Rate," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 6, issue 4, pages 55-69.
• Kin-Yip Ho & Jiyoun An & Lanyue Zhou, 2015, "The Book-to-Market Anomaly in the Chinese Stock Markets," East Asian Economic Review, Korea Institute for International Economic Policy, volume 19, issue 3, pages 223-241, DOI: 10.11644/KIEP.JEAI.2015.19.3.297.
• Arun Muralidhar & Kazuhiko Ohashi & Sunghwan Shin, 2015, "The relative asset pricing model: implications for asset allocation, rebalancing and asset pricing," Journal of Financial Perspectives, EY Global FS Institute, volume 3, issue 1, pages 197-224.
• Daly Vince & Seyyed Ali Paytakhti Oskooe, 2015, "Stock market efficiency in Iran: unit root testing with smooth structural breaks and non-trading days," Economics Discussion Papers, School of Economics, Kingston University London, number 2015-6, Sep.
• Azam Mohammadzadeh & Mohammad Nabi Shahikitash & Reza Roshan, 2015, "Comparison of Consumption Based Capital Asset Pricing (CCAPM) and Housing CCAPM (HCCAPM) Model in Explaining Stock Returns in Iran," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, volume 2, issue 3, pages 49-72.
• Elitsa PETROVA, 2015, "A brief overview of the types of ETFs," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, volume 6, issue 3, pages 39-45.
• Zoran Ivanovski & Nadica Ivanovska & Zoran Narasanov, 2015, "Application Of Dividend Discount Model Valuation At Macedonian Stock-Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 6, issue 1, pages 147-154.
• Denis Dolinar & Silvije Orsag & Paola Suman, 2015, "Test Of The Chen-Roll-Ross Macroeconomic Factor Model: Evidence From Croatian Stock Market," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 6, issue 2, pages 185-196.
• Zoran Ivanovski & Toni Stojanovski & Zoran Narasanov, 2015, "Volatility And Kurtosis Of Daily Stock Returns At Mse," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 6, issue 2, pages 209-221.
• Mine AKSOY & Veysel ULUSOY, 2015, "Analysis Of Relative Return Behaviour Of Borsa Istanbul Reit And Borsa Istanbul 100 Index," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 107-128, March.
• Ming-Cheng WU & I-Cheng LIN & Yi-Ting HUANG & Chang-Rong, 2015, "Forecasting Prices Of Presale Houses: A Real Option Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 143-158, March.
• Andrei ANGHEL & Dalina DUMITRESCU & Cristiana TUDOR, 2015, "Modeling Portfolio Returns On Bucharest Stock Exchange Using The Fama-French Multifactor Model," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 22-46, March.
• Murad A.Bein & Gulcay TUNA, 2015, "Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 2, pages 61-80, June.
• Adam ZAREMBA, 2015, "Low Risk Anomaly In The Cee Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 81-102, September.
• Emilian Dobrescu, 2015, "Comparative Price Level (Cpl) – A Representative Parameter of Economic Convergence," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 7-28, December.
• Orléan, André, 2015, "La valeur économique comme fait social : la preuve par les évaluations boursières," Revue de la Régulation - Capitalisme, institutions, pouvoirs, Association Recherche et Régulation, volume 18.
• Derek G. Stacey, 2015, "Posted Prices, Search and Bargaining," Working Papers, Toronto Metropolitan University, Department of Economics, number 059, Aug, revised May 2019.
• Adam Zaremba & Przemys³aw Konieczka, 2015, "The Profitability Of Following Analyst Recommendations On The Polish Stock Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 11, issue 1, pages 22-31, August.
• Greg Clinch & Robert E Verrecchia, 2015, "Voluntary disclosure and the cost of capital," Australian Journal of Management, Australian School of Business, volume 40, issue 2, pages 201-223, May, DOI: 10.1177/0312896214529441.
• Kathleen Walsh, 2015, "The investment horizon and asset pricing models," Australian Journal of Management, Australian School of Business, volume 40, issue 2, pages 277-294, May, DOI: 10.1177/0312896214521439.
• Zhanglong Wang & Kent Wang & Zheyao Pan, 2015, "Conditional equity risk premia and realized variance jump risk," Australian Journal of Management, Australian School of Business, volume 40, issue 2, pages 295-317, May, DOI: 10.1177/0312896214526602.
• Prashant Das & Alan Ziobrowski, 2015, "The Relationship between Indian Realty Stocks and Online Searches," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 14, issue 1, pages 1-19, April, DOI: 10.1177/0972652714567994.
• Seshadev Sahoo, 2015, "Subscription Rate and Volatility," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 14, issue 1, pages 20-58, April, DOI: 10.1177/0972652714567995.