Research classified by Journal of Economic Literature (JEL) codes

2015

• Agostino Capponi & Martin Larsson, 2015, "Price Contagion through Balance Sheet Linkages," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 227-253.
• Max Gillman & Michal Kejak & Michal Pakoš, 2015, "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Review of Finance, European Finance Association, volume 19, issue 3, pages 1053-1104.
• James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2015, "Improved Portfolio Choice Using Second-Order Stochastic Dominance," Review of Finance, European Finance Association, volume 19, issue 4, pages 1623-1647.
• Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2015, "Convective Risk Flows in Commodity Futures Markets," Review of Finance, European Finance Association, volume 19, issue 5, pages 1733-1781.
• Martin T. Bohl & Nicole Branger & Mark Trede, 2015, "The Case of Herding ist Stronger than You Think," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3715, Jan.
• Philipp Adämmer & Martin T. Bohl & Christian Gross, 2015, "Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3915, Apr.
• Benedikt Rotermann & Bernd Wilfling, 2015, "Estimating rational stock-market bubbles with sequential Monte Carlo methods," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4015, May.
• Philipp Adämmer & Martin T. Bohl, 2015, "Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 4415, Dec.
• Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu, 2015, "Monetary Policy with Diverse Private Expectations," DISCE - Working Papers del Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE), number def022, Jan.
• Manuel A. Zambrano-Monserrate & Daniel A. Sanchez-Loor, 2015, "Factores determinantes del salario del sector privado en el Ecuador para el año 2014: un caso de estudio en la ciudad de Guayaquil," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 38, issue 108, pages 139-151, Septiembr.
• David Chinarro & Eduardo Martínez & Simón J. Sosvilla, 2015, "Analysis of the evolution of sovereign bond yields by wavelet techniques," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 38, issue 108, pages 152-162, Septiembr.
• Andrea Beccarini, 2015, "Another Look at the Boom and Bust of Financial Bubbles," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 417-423, November.
• Ki Beom Binh & Hogyu Jhang, 2015, "Extraneous Risk: Pricing of Non-Systematic Risk," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 335-352, November.
• Qin Wang & Yiheng Zou & Yu Ren & Zhuo Huang, 2015, "The Spirit of Capitalism and the Equity Premium," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 493-513, November.
• Zhaojun Yang & Chunhong Zhang, 2015, "The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model," Annals of Economics and Finance, Society for AEF, volume 16, issue 2, pages 371-392, November.
• Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015, "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 676.
• Hilscher, Jens & Pollet, Joshua M. & Wilson, Mungo, 2015, "Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 50, issue 3, pages 543-567, June.
• Yeo, Michelle & Fletcher, Tristan & Shawe-Taylor, John, 2015, "Machine Learning in Fine Wine Price Prediction," Journal of Wine Economics, Cambridge University Press, volume 10, issue 2, pages 151-172, November.
• Bocart, Fabian Y.R.P. & Hafner, Christian M., 2015, "Fair Revaluation of Wine as an Investment," Journal of Wine Economics, Cambridge University Press, volume 10, issue 2, pages 190-203, November.
• Alper Veli AM, 2015, "Notes on the2015 Finance Symposium," Journal of Economics Library, EconSciences Journals, volume 2, issue 4, pages 378-379, December.
• Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2015, "Investment Horizons and Price Indeterminacy in Financial Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2001, Jun.
• Dirk Bergemann & Tibor Heumann & Stephen Morris, 2015, "Information and Market Power," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2017, Aug.
• Dirk Bergemann & Tibor Heumann & Stephen Morris, 2015, "Information and Market Power," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2017R, Aug, revised Oct 2017.
• Leung, H. & Ton, T., 2015, "The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 85516, Jun.
• Nicolas Boitout & Fabrice Hervé & Mohamed Zouaoui, 2015, "Médias et sentiment sur les marchés actions européens - Impact of sentiment media on European stock markets," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1150101, Jan.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015, "Long-Term Price Overreactions: Are Markets Inefficient?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1444.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015, "The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1458.
• Benjamin Beckers, 2015, "The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1496.
• Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2015, "The EMBI in Latin America: Fractional Integration, Non-linearities and Breaks," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1524.
• Westerlund, Joakim & Narayan, Paresh & Zheng, Xinwei, 2015, "Testing for stock return predictability in a large Chinese panel," Working Papers, Deakin University, Department of Economics, number fe_2015_11, Jan, DOI: 10.1016/j.ememar.2015.05.004.
• Imane El Ouadghiri & Remzi Uctum, 2015, "Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-14.
• Fredj Jawadi & Georges Prat, 2015, "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-16.
• Imane El Ouadghiri, 2015, "Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2015-17.
• Adam Goliński & João Madeira & Dooruj Rambaccussing, 2015, "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 284, Feb.
• Dooruj Rambaccussing, 2015, "Revisiting Shiller’s excess volatility hypothesis," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 287, Feb.
• Dooruj McRambaccussing, 2015, "Moment Matching in the Present Value identity, and a New Model," Dundee Discussion Papers in Economics, Economic Studies, University of Dundee, number 291, Oct.
• Lescourret, Laurence & Moinas, Sophie, 2015, "Liquidity Supply across Multiple Trading Venues," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1505, Mar.
• Thesmar , David & Landier , Augustin, 2015, "The Capacity of Trading Strategies," HEC Research Papers Series, HEC Paris, number 1089, Mar.
• Laura Ballotta & Griselda Deelstra & Grégory Rayée, 2015, "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2015-36, Oct.
• Falagiarda, Matteo & Gregori, Wildmer Daniel, 2015, "The impact of fiscal policy announcements by the Italian government on the sovereign spread: a comparative analysis," Working Paper Series, European Central Bank, number 1782, Apr.
• De Santis, Roberto A., 2015, "A measure of redenomination risk," Working Paper Series, European Central Bank, number 1785, Apr.
• Walch, Florian & Lennkh, Rudolf Alvise, 2015, "Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral," Working Paper Series, European Central Bank, number 1793, May.
• Birru, Justin, 2015, "Psychological Barriers, Expectational Errors, and Underreaction to News," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2014-03, Jan.
• Lin, Xiaoji & Palazzo, Berardino, 2015, "Technology Adoption, External Financing Frictions, and the Cross Sectional Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2014-15, Jan.
• Hou, Kewei & Zhang, Yinglei & Zhuang, Zili, 2015, "Understanding the Variation in the Information Content of Earnings: A Return Decomposition Analysis," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-01, Jan.
• Chen, Jia & Hou, Kewei & Stulz, Rene M., 2015, "Are Firms in 'Boring' Industries Worth Less?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-02, Jan.
• Bai, Hang & Hou, Kewei & Kung, Howard & Zhang, Lu, 2015, "The CAPM Strikes Back? An Investment Model with Disasters," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-03, Mar.
• Werner, Ingrid M. & Wen, Yuanji & Rindi, Barbara & Consonni, Francesco & Buti, Sabrina, 2015, "Tick Size: Theory and Evidence," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-04, Mar.
• Hou, Kewei & Xue, Chen & Zhang, Lu, 2015, "A Comparison of New Factor Models," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-05, Jan.
• Beltratti, Andrea & Stulz, Rene M., 2015, "Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard durning the European Crisis," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-06, Apr.
• Bollen, Nicolas P. B. & Sensoy, Berk A., 2015, "How Much for a Haircut? Illiquidity, Secondary Markets, and the Value of Private Equity," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-08, May.
• Ben-David, Itzhak & Franzoni, Francesco A. & Moussawi, Rabih & Sedunov, John, III, 2015, "The Granular Nature of Large Institutional Investors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-09, Jun.
• Birru, Justin & Wang, Baolian, 2015, "The Nominal Price Premium," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-15, Oct.
• Bao, Jack & Chen, Jia & Hou, Kewei & Lu, Lei, 2015, "Prices and Volatilities in the Corporate Bond Market," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-18, Aug.
• Zhang, Lu, 2015, "The Investment CAPM," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-19, Dec.
• Berk, Jonathan B. & van Binsbergen, Jules H., 2015, "Assessing Asset Pricing Models Using Revealed Preference," Research Papers, Stanford University, Graduate School of Business, number 3130, Mar.
• Golez, Benjamin & Koudijs, Peter, 2015, "Four Centuries of Return Predictability," Research Papers, Stanford University, Graduate School of Business, number 3259, Jan.
• Krishnamurthy, Arvind & Vissing-Jorgensen, Annette, 2015, "The Impact of Treasury Supply on Financial Sector Lending and Stability," Research Papers, Stanford University, Graduate School of Business, number 3276, Apr.
• He, Zhiguo & Krishnamurthy, Arvind, 2015, "A Macroeconomic Framework for Quantifying Systemic Risk," Research Papers, Stanford University, Graduate School of Business, number 3277, Mar.
• Ogneva, Maria & Piotroski, Joseph D. & Zakolyukina, Anastasia A., 2015, "When Is Distress Risk Priced? Evidence from Recessionary Failure Prediction," Research Papers, Stanford University, Graduate School of Business, number 3333, May.
• Duffie, Darrell & Qiao, Lei & Sun, Yeneng, 2015, "Dynamic Directed Random Matching," Research Papers, Stanford University, Graduate School of Business, number 3359, Nov.
• Chien, YiLi & Lustig, Hanno & Naknoi, Kanda, 2015, "Why Are Exchange Rates So Smooth? A Segmented Asset Markets Explanation," Research Papers, Stanford University, Graduate School of Business, number 3414, Nov.
• Brown, Jeffrey A. & McGourty, Brad & Schuermann, Til, 2015, "Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 15-01, Jan.
• Li, Jian & Li, Chongguang & Chavas, Jean-Paul, 2015, "Food Price Bubbles and Government Intervention: Is China Different?," Staff Paper Series, University of Wisconsin, Agricultural and Applied Economics, number 579, Jun.
• Chyi-Lun Chiou, 2015, "Understanding the Cash Flow-Fundamental Ratio," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 1, pages 148-157.
• Fethi Belhaj & Ezzeddine Abaoub, 2015, "A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 354-364.
• Mohamed Naceur Mahjoubi & Ezzeddine Abaoub, 2015, "Earnings Response Coefficient as a Measure of Market Expectations: Evidence from Tunis Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 2, pages 377-389.
• Georgeta Vintila & Elena Alexandra Nenu, 2015, "An Analysis of Determinants of Corporate Financial Performance: Evidence from the Bucharest Stock Exchange Listed Companies," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 3, pages 732-739.
• Brooke Alexandra Maeda, 2015, "Flight to Liquidity on the Tokyo Stock Exchange during the 2008 Share Market Crashes," International Journal of Economics and Financial Issues, Econjournals, volume 5, issue 3, pages 790-801.
• Laura Cueppers & Dieter Smeets, 2015, "How Do Oil Price Changes Affect German Stock Returns?," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 1, pages 321-334.
• Pasrun Adam & Usman Rianse & Edi Cahyono & Manat Rahim, 2015, "Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 2, pages 550-557.
• Nnaemeka Vincent Emodi & Kyung-Jin Boo, 2015, "Sustainable Energy Development in Nigeria: Overcoming Energy Poverty," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 2, pages 580-597.
• Ayman Omar, 2015, "West Texas Intermediate and Brent Spread during Organization of the Petroleum Exporting Countries Supply Disruptions," International Journal of Energy Economics and Policy, Econjournals, volume 5, issue 3, pages 693-703.
• Téllez de Vettori, Giannio & Chávez-Bedoya, Luis & Loaiza Alamo, Carlos, 2015, "Precios de adjudicación y componentes del spread en la Bolsa de Valores de Lima," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
• Téllez de Vettori, Giannio & Chávez-Bedoya, Luis & Loaiza Alamo, Carlos, 2015, "Pricing and spread components at the Lima Stock Exchange," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
• Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015, "Co-Movement, Spillovers and Excess Returns in Global Bond Markets," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-75, Jun.
• Owyong, David & Wong, Wing-Keung & Horowitz, Ira, 2015, "Cointegration and causality among the onshore and offshore markets for China's currency," Journal of Asian Economics, Elsevier, volume 41, issue C, pages 20-38, DOI: 10.1016/j.asieco.2015.10.004.
• Hudson, Yawen & Green, Christopher J., 2015, "Is investor sentiment contagious? International sentiment and UK equity returns," Journal of Behavioral and Experimental Finance, Elsevier, volume 5, issue C, pages 46-59, DOI: 10.1016/j.jbef.2015.02.004.
• Gutierrez, Jose & Stretcher, Robert, 2015, "Mad Money: Does the combination of stock recommendation and show segment matter?," Journal of Behavioral and Experimental Finance, Elsevier, volume 6, issue C, pages 80-92, DOI: 10.1016/j.jbef.2015.03.005.
• Kumari, Jyoti & Mahakud, Jitendra, 2015, "Does investor sentiment predict the asset volatility? Evidence from emerging stock market India," Journal of Behavioral and Experimental Finance, Elsevier, volume 8, issue C, pages 25-39, DOI: 10.1016/j.jbef.2015.10.001.
• Carraro, Alessandro & Ricchiuti, Giorgio, 2015, "Heterogeneous fundamentalists and market maker inventories," Chaos, Solitons & Fractals, Elsevier, volume 79, issue C, pages 73-82, DOI: 10.1016/j.chaos.2015.05.031.
• Hillier, David & Korczak, Adriana & Korczak, Piotr, 2015, "The impact of personal attributes on corporate insider trading," Journal of Corporate Finance, Elsevier, volume 30, issue C, pages 150-167, DOI: 10.1016/j.jcorpfin.2014.12.003.
• Blau, Benjamin M. & DeLisle, Jared R. & Price, S. McKay, 2015, "Do sophisticated investors interpret earnings conference call tone differently than investors at large? Evidence from short sales," Journal of Corporate Finance, Elsevier, volume 31, issue C, pages 203-219, DOI: 10.1016/j.jcorpfin.2015.02.003.
• Finnerty, John D., 2015, "Valuing convertible bonds and the option to exchange bonds for stock," Journal of Corporate Finance, Elsevier, volume 31, issue C, pages 91-115, DOI: 10.1016/j.jcorpfin.2014.12.012.
• Cumming, Douglas & Dannhauser, Robert & Johan, Sofia, 2015, "Financial market misconduct and agency conflicts: A synthesis and future directions," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 150-168, DOI: 10.1016/j.jcorpfin.2015.07.016.
• Bernile, Gennaro & Sulaeman, Johan & Wang, Qin, 2015, "Institutional trading during a wave of corporate scandals: “Perfect Payday”?," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 191-209, DOI: 10.1016/j.jcorpfin.2015.07.004.
• Zhou, Xinghua & Reesor, R. Mark, 2015, "Misrepresentation and capital structure: Quantifying the impact on corporate debt value," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 293-310, DOI: 10.1016/j.jcorpfin.2015.07.007.
• Aitken, Michael & Cumming, Douglas & Zhan, Feng, 2015, "Exchange trading rules, surveillance and suspected insider trading," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 311-330, DOI: 10.1016/j.jcorpfin.2015.07.013.
• Rao, Ramesh K.S., 2015, "The public corporation as an intermediary between “Main Street” and “Wall Street”," Journal of Corporate Finance, Elsevier, volume 34, issue C, pages 64-82, DOI: 10.1016/j.jcorpfin.2015.07.015.
• Cheung, William Mingyan & Chung, Richard & Fung, Scott, 2015, "The effects of stock liquidity on firm value and corporate governance: Endogeneity and the REIT experiment," Journal of Corporate Finance, Elsevier, volume 35, issue C, pages 211-231, DOI: 10.1016/j.jcorpfin.2015.09.001.
• Hsu, Po-Hsuan & Lee, Hsiao-Hui & Liu, Alfred Zhu & Zhang, Zhipeng, 2015, "Corporate innovation, default risk, and bond pricing," Journal of Corporate Finance, Elsevier, volume 35, issue C, pages 329-344, DOI: 10.1016/j.jcorpfin.2015.09.005.
• Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015, "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, volume 51, issue C, pages 218-239, DOI: 10.1016/j.jedc.2014.10.007.
• Nakov, Anton & Nuño, Galo, 2015, "Learning from experience in the stock market," Journal of Economic Dynamics and Control, Elsevier, volume 52, issue C, pages 224-239, DOI: 10.1016/j.jedc.2014.11.017.
• de Groot, Oliver, 2015, "Solving asset pricing models with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, volume 52, issue C, pages 308-321, DOI: 10.1016/j.jedc.2015.01.001.
• Curatola, Giuliano, 2015, "Loss aversion, habit formation and the term structures of equity and interest rates," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 103-122, DOI: 10.1016/j.jedc.2015.02.009.
• Breuer, Thomas & Jandačka, Martin & Summer, Martin & Vollbrecht, Hans-Joachim, 2015, "Endogenous leverage and asset pricing in double auctions," Journal of Economic Dynamics and Control, Elsevier, volume 53, issue C, pages 144-160, DOI: 10.1016/j.jedc.2015.02.004.
• Lei, Yaoting & Xu, Jing, 2015, "Costly arbitrage through pairs trading," Journal of Economic Dynamics and Control, Elsevier, volume 56, issue C, pages 1-19, DOI: 10.1016/j.jedc.2015.04.006.
• Hansen, Simon Lysbjerg, 2015, "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 125-151, DOI: 10.1016/j.jedc.2015.06.003.
• Kishor, N. Kundan & Morley, James, 2015, "What factors drive the price–rent ratio for the housing market? A modified present-value analysis," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 235-249, DOI: 10.1016/j.jedc.2015.06.006.
• Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015, "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, volume 58, issue C, pages 34-57, DOI: 10.1016/j.jedc.2015.05.016.
• Ewald, Christian-Oliver & Yor, Marc, 2015, "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, volume 59, issue C, pages 22-36, DOI: 10.1016/j.jedc.2015.07.004.
• Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015, "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, volume 60, issue C, pages 134-151, DOI: 10.1016/j.jedc.2015.08.007.
• Isaenko, Sergey, 2015, "Equilibrium theory of stock market crashes," Journal of Economic Dynamics and Control, Elsevier, volume 60, issue C, pages 73-94, DOI: 10.1016/j.jedc.2015.08.004.
• Lo, Danny K. & Hall, Anthony D., 2015, "Resiliency of the limit order book," Journal of Economic Dynamics and Control, Elsevier, volume 61, issue C, pages 222-244, DOI: 10.1016/j.jedc.2015.09.012.
• Branger, Nicole & Schlag, Christian & Wu, Lue, 2015, "‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors," Journal of Economic Dynamics and Control, Elsevier, volume 61, issue C, pages 303-333, DOI: 10.1016/j.jedc.2015.08.005.
• El Hedi Arouri, Mohamed & Lahiani, Amine & Nguyen, Duc Khuong, 2015, "World gold prices and stock returns in China: Insights for hedging and diversification strategies," Economic Modelling, Elsevier, volume 44, issue C, pages 273-282, DOI: 10.1016/j.econmod.2014.10.030.
• Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2015, "On the time-varying relationship between EMU sovereign spreads and their determinants," Economic Modelling, Elsevier, volume 44, issue C, pages 363-371, DOI: 10.1016/j.econmod.2014.07.025.
• Feng, Qu & Wu, Guiying Laura, 2015, "Bubble or riddle? An asset-pricing approach evaluation on China's housing market," Economic Modelling, Elsevier, volume 46, issue C, pages 376-383, DOI: 10.1016/j.econmod.2015.02.004.
• Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati & Arouri, Mohamed & Teulon, Frédéric, 2015, "Stock returns and inflation in Pakistan," Economic Modelling, Elsevier, volume 47, issue C, pages 23-31, DOI: 10.1016/j.econmod.2014.12.043.
• Jouini, Elyès & Napp, Clotilde, 2015, "Gurus and belief manipulation," Economic Modelling, Elsevier, volume 49, issue C, pages 11-18, DOI: 10.1016/j.econmod.2015.03.013.
• Chen, Mei-Ping & Lin, Yu-Hui & Tseng, Chun-Yao & Chen, Wen-Yi, 2015, "Bubbles in health care: Evidence from the U.S., U.K., and German stock markets," The North American Journal of Economics and Finance, Elsevier, volume 31, issue C, pages 193-205, DOI: 10.1016/j.najef.2014.11.003.
• Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015, "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, volume 33, issue C, pages 115-133, DOI: 10.1016/j.najef.2015.04.001.
• Ma, Jingtang & Deng, Dongya & Lai, Yongzeng, 2015, "Explicit approximate analytic formulas for timer option pricing with stochastic interest rates," The North American Journal of Economics and Finance, Elsevier, volume 34, issue C, pages 1-21, DOI: 10.1016/j.najef.2015.07.002.
• Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015, "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, volume 34, issue C, pages 231-253, DOI: 10.1016/j.najef.2015.09.013.
• Grobys, Klaus, 2015, "Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy," Economics Letters, Elsevier, volume 127, issue C, pages 72-75, DOI: 10.1016/j.econlet.2014.12.034.
• Zhou, Qiankun & Yu, Jun, 2015, "Asymptotic theory for linear diffusions under alternative sampling schemes," Economics Letters, Elsevier, volume 128, issue C, pages 1-5, DOI: 10.1016/j.econlet.2014.12.015.
• Bilson, John F.O. & Kang, Sang Baum & Luo, Hong, 2015, "The term structure of implied dividend yields and expected returns," Economics Letters, Elsevier, volume 128, issue C, pages 9-13, DOI: 10.1016/j.econlet.2015.01.003.
• Engsted, Tom & Møller, Stig V., 2015, "Cross-sectional consumption-based asset pricing: A reappraisal," Economics Letters, Elsevier, volume 132, issue C, pages 101-104, DOI: 10.1016/j.econlet.2015.04.031.
• Rath, Subhrendu & Durand, Robert B., 2015, "Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model," Economics Letters, Elsevier, volume 132, issue C, pages 139-141, DOI: 10.1016/j.econlet.2015.05.003.
• Conrad, Christian & Loch, Karin, 2015, "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, volume 132, issue C, pages 56-60, DOI: 10.1016/j.econlet.2015.04.006.
• Herwartz, Helmut & Raters, Fabian H.C., 2015, "Copula-MGARCH with continuous covariance decomposition," Economics Letters, Elsevier, volume 133, issue C, pages 73-76, DOI: 10.1016/j.econlet.2015.05.023.
• Hatemi-J, Abdulnasser & El-Khatib, Youssef, 2015, "Portfolio selection: An alternative approach," Economics Letters, Elsevier, volume 135, issue C, pages 141-143, DOI: 10.1016/j.econlet.2015.08.021.
• Shamsuddin, Abul & Kim, Jae H., 2015, "Market sentiment and the Fama–French factor premia," Economics Letters, Elsevier, volume 136, issue C, pages 129-132, DOI: 10.1016/j.econlet.2015.09.021.
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• Jiri Novak, 2015, "Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 65, issue 2, pages 167-190, April.
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• Michael D. Plante, 2018, "OPEC in the News," Working Papers, Federal Reserve Bank of Dallas, number 1802, Feb, DOI: 10.24149/wp1802.
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• A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2015, "Measuring Ambiguity Aversion," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-105, Nov, DOI: 10.17016/FEDS.2015.105.
• Sirio Aramonte & Mohammad Jahan-Parvar & Justin Shugarman, 2015, "Institutions and return predictability in oil-exporting countries," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-14, Feb, DOI: 10.17016/FEDS.2015.014.
• Bruno Feunou & Mohammad Jahan-Parvar & Cedric Okou, 2015, "Downside Variance Risk Premium," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-20, Mar, DOI: 10.17016/FEDS.2015.020.
• J. David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2015, "Credit-Market Sentiment and the Business Cycle," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-28, Apr, DOI: 10.17016/FEDS.2015.028r1.
• David Aikman & Michael T. Kiley & Seung Jung Lee & Michael G. Palumbo & Missaka Warusawitharana, 2015, "Mapping Heat in the U.S. Financial System," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2015-59, Jun, DOI: 10.17016/FEDS.2015.059.
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• Luca Benzoni & Olena Chyruk, 2015, "The Value and Risk of Human Capital," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2015-6, Jul.
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