Research classified by Journal of Economic Literature (JEL) codes

2015

• Thomas Bollinger & Axel Kind, 2015, "Risk Premiums in the Cross-Section of Commodity Convenience Yields," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2015-17, Aug.
• Mehmet I. Canayaz & Jose V. Martinez & Han N. Ozsoylev, 2015, "Is the revolving door of Washington a back door to excess corporate returns?," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1507, May.
• Alper Veli ÇAM, 2015, "Notes on the2015 Finance Symposium," Journal of Economics Library, KSP Journals, volume 2, issue 4, pages 378-379, December.
• Benjamin Falkeborg, 2015, "Dealing with Dynamic Agency," Discussion Papers, University of Copenhagen. Department of Economics, number 15-04, Feb.
• Katsutoshi Wakai, 2015, "Equilibrium Alpha in Asset Pricing in an Ambiguity-averse Economy," Discussion papers, Graduate School of Economics , Kyoto University, number e-15-010, Nov.
• Katsumasa Nishide & Yuan Tian, 2015, "Auction versus Dealership Markets: Impact of Proprietary Trading with Transaction Fees," KIER Working Papers, Kyoto University, Institute of Economic Research, number 922, Apr.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015, "The Effectiveness of the ECB’s Asset Purchase Programs of 2009 to 2012," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 15/24, Nov.
• Yuanyuan Shen & Lu Yang, 2015, "Does Capital Account Liberalization Affect the Financial Stability: Evidence from China," Journal of Reviews on Global Economics, Lifescience Global, volume 4, pages 152-158.
• Ying-Jen Chen & Jen-Sin Lee, 2015, "Turnover Premium, Foreign Institutional Ownership, and Time-Varying Risk Premium in Taiwan Equity Markets," Journal of Reviews on Global Economics, Lifescience Global, volume 4, pages 8-20.
• Gideon Boako, 2015, "The response of stock prices to dividend news on the Ghana stock market: An empirical assessment," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 3, issue 2, pages 78-85, April.
• Md. Al Mamun & Md. Abu Syeed & Farida Yasmeen, 2015, "Are investors rational, irrational or normal?," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 3, issue 4, pages 1-15, August.
• Edirisinghe U. C & Nimal P.D, 2015, "Stock Price Reaction to Announcements of Right Issues and Debenture Issues: Evidence from Colombo Stock Exchange," International Journal of Business and Social Research, LAR Center Press, volume 5, issue 2, pages 67-76, February.
• Simon Dietz & Christian Gollier & Louise Kessler, 2015, "The climate beta," GRI Working Papers, Grantham Research Institute on Climate Change and the Environment, number 190, Apr.
• Pierre Chaigneau & Louis Eeckhoudt, 2015, "Downside Risk Neutral Probabilities," Cahiers de recherche, CIRPEE, number 1521.
• Sreejata Banerjee & Divya Sinha, 2015, "Effect of Macroeconomic News Releases on Bond Yields in India China and Japan," Working Papers, Madras School of Economics,Chennai,India, number 2015-125, Oct.
• Ekta Selarka & Subhra Choudhury, 2015, "Related Party Transactions and Stock Price Crash Risk: Evidence from India," Working Papers, Madras School of Economics,Chennai,India, number 2015-129, Oct.
• Sebastian Eichfelder & Mona Lau, 2015, "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 150019, Dec.
• Benjamin Käfer, 2015, "Estimating Group Support for German Landesbanken," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201525.
• Seifoddini, Jalal & Rahnamay Roodposhti, Fraydoon & Nikoomaram, Hashem, 2015, "Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 10, issue 4, pages 29-50, October.
• Barbara Fidanza & Ottorino Morresi, 2015, "Does the Fama-Franch three-factor model work in the financial industry? Evidence from European bank stocks," Working Papers, Macerata University, Department of Studies on Economic Development (DiSSE), number 47-2015, May, revised May 2015.
• Daniel Harenberg & Ludwig, Alexander, 2015, "Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy, number 201403, May.
• Vojtěch Fiala & Svatopluk Kapounek & Ondřej Veselý, 2015, "Impact of Social Media on the Stock Market: Evidence from Tweets," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 1, issue 1, pages 24-35, DOI: 10.11118/ejobsat.v1i1.35.
• Norliza Che-Yahya & Ruzita Abdul-Rahim & Rasidah Mohd-Rashid, 2015, "Impact of Lock-Up Provision on Two IPO Anomalies in the Immediate Aftermarket," Capital Markets Review, Malaysian Finance Association, volume 23, issue 1&2, pages 25-39.
• Steve Fan & Scott Opsal & Linda Yu, 2015, "Equity Anomalies and Idiosyncratic Risk Around the World," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 1, pages 33-75, March.
• Lorne Switzer & Alan Picard, 2015, "Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 3, pages 169-221, September.
• Panayiotis Theodossiou, 2015, "Skewed Generalized Error Distribution of Financial Assets and Option Pricing," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 4, pages 223-266, December.
• Graham Bornholt & Paul Dou & Mirela Malin, 2015, "Trading Volume and Momentum: The International Evidence," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 4, pages 267-313, December.
• Gianluca Cassese, 2015, "Nonparametric Estimates of Option Prices Using Superhedging," Working Papers, University of Milano-Bicocca, Department of Economics, number 293, Feb, revised Feb 2015.
• Edirisinghe U. C & Nimal P.D, 2015, "Stock Price Reaction to Announcements of Right Issues and Debenture Issues: Evidence from Colombo Stock Exchange," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, volume 5, issue 2, pages 67-76, February.
• Kei Kawakami, 2015, "Market Size Matters:A Model of Excess Volatility in Large Markets," Department of Economics - Working Papers Series, The University of Melbourne, number 2003, Mar.
• Adam, Klaus & Marcet, Albert & Merkel, Sebastian & Beutel, Johannes, 2015, "Can a financial transaction tax prevent stock price booms?," Working Papers, University of Mannheim, Department of Economics, number 15-10.
• Carlo Alberto Magni, 2015, "Investment, financing and the role of ROA and WACC in value creation," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0050, Feb.
• Carlo Alberto Magni & Ken V. Peasnell, 2015, "The Term Structure of Capital Values:An accounting-based framework for measuring economic profitability," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0060, Sep.
• Seema Narayan & Russell Smyth, 2015, "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers, Monash University, Department of Economics, number 06-15, Jan.
• Luc Renneboog, 2015, "Investing in Diamonds," Business and Economic Research, Macrothink Institute, volume 5, issue 1, pages 166-195, June.
• KALNINA, Ilze & XIU, Dacheng, 2015, "Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2015-05.
• Ilze KALNINA & Dacheng XIU, 2015, "Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 09-2015.
• Qu FENG & Guiying Laura WU, 2015, "Bubble or Riddle? An Asset-Pricing Approach Evaluation on China’s Housing Market," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1501, Feb.
• Kristjanpoller Rodríguez Werner & Arenas Yáñez Teresita, 2015, "The turn of the month effect still exists in the main Latin American stock markets, including the level of individual stocks," Contaduría y Administración, Accounting and Management, volume 60, issue 1, pages 53-86, enero-mar.
• B. De Backer, 2015, "Decomposition of the dynamics of sovereign yield spreads in the euro area," Economic Review, National Bank of Belgium, issue i, pages 54-75, June.
• Georges Hübner & Thomas Lejeune, 2015, "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research, National Bank of Belgium, number 289, Oct.
• Marcin Kacperczyk & Jaromir Nosal & Luminita Stevens, 2015, "Investor sophistication and capital income inequality," NBP Working Papers, Narodowy Bank Polski, number 199.
• Mariusz Kapuściński, 2015, "Monetary policy and financial asset prices in Poland," NBP Working Papers, Narodowy Bank Polski, number 216.
• Łukasz Gątarek & Marcin Wojtowicz, 2015, "The relation between sovereign credit default swap premium and banking sector risk in Poland," NBP Working Papers, Narodowy Bank Polski, number 222.
• Lorenzo Bretscher & Christian Julliard & Carlo Rosa, 2016, "Human Capital and International Portfolio Diversification: A Reappraisal," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2015".
• Shin-ichi Fukuda, 2015, "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Chapters, National Bureau of Economic Research, Inc, "International Finance in the Global Markets".
• Monika Piazzesi & Martin Schneider & Johannes Stroebel, 2015, "Segmented Housing Search," NBER Working Papers, National Bureau of Economic Research, Inc, number 20823, Jan.
• Roger E.A. Farmer, 2015, "Global Sunspots and Asset Prices in a Monetary Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20831, Jan.
• Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015, "Long-run Bulls and Bears," NBER Working Papers, National Bureau of Economic Research, Inc, number 20858, Jan.
• Jia Chen & Kewei Hou & René M. Stulz, 2015, "Are Firms in "Boring" Industries Worth Less?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20880, Jan.
• Jerry Tsai & Jessica A. Wachter, 2015, "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 20926, Feb.
• Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015, "The Real Value of China's Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 20957, Feb.
• Denis Gromb & Dimitri Vayanos, 2015, "The Dynamics of Financially Constrained Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 20968, Feb.
• Robert Novy-Marx, 2015, "Fundamentally, Momentum is Fundamental Momentum," NBER Working Papers, National Bureau of Economic Research, Inc, number 20984, Feb.
• Robert Novy-Marx, 2015, "How Can a Q-Theoretic Model Price Momentum?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20985, Feb.
• Hang Bai & Kewei Hou & Howard Kung & Lu Zhang, 2015, "The CAPM Strikes Back? An Investment Model with Disasters," NBER Working Papers, National Bureau of Economic Research, Inc, number 21016, Mar.
• Francesco Bianchi, 2015, "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 21056, Mar.
• Gian Luca Clementi & Berardino Palazzo, 2015, "Investment and The Cross-Section of Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 21064, Apr.
• Takatoshi Ito & Masahiro Yamada, 2015, "High-frequency, Algorithmic Spillovers Between NASDAQ and Forex," NBER Working Papers, National Bureau of Economic Research, Inc, number 21122, Apr.
• Andrea Beltratti & René M. Stulz, 2015, "Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 21150, May.
• George M. Constantinides & Lei Lian, 2015, "The Supply and Demand of S&P 500 Put Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21161, May.
• Harrison Hong & Weikai Li & Sophie X. Ni & Jose A. Scheinkman & Philip Yan, 2015, "Days to Cover and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 21166, May.
• Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015, "The Price of Variance Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 21182, May.
• Sunil Kanwar & Bronwyn H. Hall, 2015, "The Market Value of R&D in Weak Innovation Regimes: Evidence from India," NBER Working Papers, National Bureau of Economic Research, Inc, number 21196, May.
• Erik Eyster & Matthew Rabin & Dimitri Vayanos, 2015, "Financial Markets where Traders Neglect the Informational Content of Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 21224, May.
• Lucian A. Bebchuk & Alon Brav & Wei Jiang, 2015, "The Long-Term Effects of Hedge Fund Activism," NBER Working Papers, National Bureau of Economic Research, Inc, number 21227, Jun.
• Jules H. van Binsbergen & Ralph S.J. Koijen, 2015, "The Term Structure of Returns: Facts and Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 21234, Jun.
• Mark Huggett & Greg Kaplan, 2015, "How Large is the Stock Component of Human Capital?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21238, Jun.
• Geetesh Bhardwaj & Gary Gorton & Geert Rouwenhorst, 2015, "Facts and Fantasies about Commodity Futures Ten Years Later," NBER Working Papers, National Bureau of Economic Research, Inc, number 21243, Jun.
• Wolfgang Keller & Carol H. Shiue & Xin Wang, 2015, "Capital Markets in China and Britain, 18th and 19th Century: Evidence from Grain Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 21349, Jul.
• Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015, "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers, National Bureau of Economic Research, Inc, number 21449, Aug.
• Joel M. David & Ina Simonovska, 2015, "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 21480, Aug.
• Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015, "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers, National Bureau of Economic Research, Inc, number 21487, Aug.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015, "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21491, Aug.
• Grace Xing Hu & Jun Pan & Jiang Wang, 2015, "Tri-Party Repo Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 21502, Aug.
• Takatoshi Ito & Masahiro Yamada, 2015, "Was the Forex Fixing Fixed?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21518, Sep.
• Ricardo Lagos & Shengxing Zhang, 2015, "Monetary Exchange in Over-the-Counter Markets: A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 21528, Sep.
• Robert F. Stambaugh & Yu Yuan, 2015, "Mispricing Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 21533, Sep.
• Ravi Jagannathan & Binying Liu, 2015, "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 21557, Sep.
• Nicolae B. Gârleanu & Lasse H. Pedersen, 2015, "Efficiently Inefficient Markets for Assets and Asset Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 21563, Sep.
• Mete Kilic & Jessica A. Wachter, 2015, "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 21575, Sep.
• Peter N. Ireland, 2015, "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 21576, Sep.
• Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2015, "Phasing Out the GSEs," NBER Working Papers, National Bureau of Economic Research, Inc, number 21626, Oct.
• Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2015, "The Choice Channel of Financial Innovation," NBER Working Papers, National Bureau of Economic Research, Inc, number 21686, Oct.
• Francisco Barillas & Jay Shanken, 2015, "Which Alpha?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21698, Nov.
• William Goetzmann & Simon Huang, 2015, "Momentum in Imperial Russia," NBER Working Papers, National Bureau of Economic Research, Inc, number 21700, Nov.
• Darrell Duffie & Lei Qiao & Yeneng Sun, 2015, "Dynamic Directed Random Matching," NBER Working Papers, National Bureau of Economic Research, Inc, number 21731, Nov.
• Ralph S.J. Koijen & Motohiro Yogo, 2015, "A Demand System Approach to Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 21749, Nov.
• Robin Greenwood & Samuel Hanson & Dimitri Vayanos, 2015, "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," NBER Working Papers, National Bureau of Economic Research, Inc, number 21750, Dec.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Andreas Weber, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," NBER Working Papers, National Bureau of Economic Research, Inc, number 21767, Nov.
• Francisco Barillas & Jay Shanken, 2015, "Comparing Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 21771, Dec.
• Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015, "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21803, Dec.
• Adam Hayes, 2015, "A Cost of Production Model for Bitcoin," Working Papers, New School for Social Research, Department of Economics, number 1505, Mar.
• Bill Gibson & Mark Setterfield, 2015, "Real and financial crises in the Keynes-Kalecki structuralist model: An agent-based approach," Working Papers, New School for Social Research, Department of Economics, number 1517, Aug.
• Levy, Moshe & Roll, Richard, 2015, "(Im)Possible Frontiers: A Comment," Critical Finance Review, now publishers, volume 4, issue 1, pages 139-148, June, DOI: 10.1561/104.00000015.
• Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2015, "Seasonal Variation in Treasury Returns," Critical Finance Review, now publishers, volume 4, issue 1, pages 45-115, June, DOI: 10.1561/104.00000021.
• Lewellen, Jonathan, 2015, "The Cross-section of Expected Stock Returns," Critical Finance Review, now publishers, volume 4, issue 1, pages 1-44, June, DOI: 10.1561/104.00000024.
• Greene, Jason T. & Rakowski, David, 2015, "A Note on the Sources of Portfolio Returns: Underlying Stock Returns and the Excess Growth Rate," Critical Finance Review, now publishers, volume 4, issue 1, pages 117-138, June, DOI: 10.1561/104.00000025.
• Brennan, Thomas J. & Lo, Andrew W., 2015, "Reply to “(Im)Possible Frontiers: A Commentâ€," Critical Finance Review, now publishers, volume 4, issue 1, pages 157-171, June, DOI: 10.1561/104.00000026.
• Ingersoll, Jr., Jonathan E., 2015, "Always Possible Frontiers," Critical Finance Review, now publishers, volume 4, issue 1, pages 149-155, June, DOI: 10.1561/104.00000027.
• Petre Prisecaru, 2015, "Is Quantitative Easing An Appropriate Way For The Success Of Monetary Policy In A Post-Crisis Period?," Global Economic Observer, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences;Institute for World Economy of the Romanian Academy, volume 3, issue 2, pages 27-35, November.
• Roman Šperka & Irena Szarowská, 2015, "Impact of a Financial Transaction Tax on a Financial Market," Working Papers, Silesian University, School of Business Administration, number 0013, Jul.
• Hada Teodor & Avram Teodora Maria, 2015, "Annual Financial Statements, Information Sources For Risk Determination In The Case Of Saturn J.S. Alba Iulia," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 440-447, December.
• Xiao, Tim, 2015, "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," arabixiv.org, Center for Open Science, number rdega, Jul, DOI: 10.31221/osf.io/rdega.
• Xiao, Tim, 2015, "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," FrenXiv, Center for Open Science, number k6zj3, Jul, DOI: 10.31226/osf.io/k6zj3.
• Dilip B. Madan, 2015, "Recovering Statistical Theory in the Context of Model Calibrations," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 2, pages 260-292.
• Joakim Westerlund & Paresh Narayan, 2015, "A Random Coefficient Approach to the Predictability of Stock Returns in Panels," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 3, pages 605-664.
• Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2015, "Risk Measures for Autocorrelated Hedge Fund Returns," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 4, pages 868-895.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2015, "Editor's Choice Very Long-Run Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 130, issue 1, pages 1-53.
• Robin Greenwood & Samuel G. Hanson, 2015, "Waves in Ship Prices and Investment," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 130, issue 1, pages 55-109.
• José L. Fillat & Stefania Garetto, 2015, "Risk, Returns, and Multinational Production," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 130, issue 4, pages 2027-2073.
• Antje Berndt, 2015, "A Credit Spread Puzzle for Reduced-Form Models," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 1, pages 48-91.
• Kuntara Pukthuanthong & Richard Roll, 2015, "Internationally Correlated Jumps," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 1, pages 92-111.
• Hitesh Doshi & Redouane Elkamhi & Mikhail Simutin, 2015, "Managerial Activeness and Mutual Fund Performance," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 156-184.
• Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai, 2015, "The Impact of Hedge Funds on Asset Markets," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 185-226.
• Agostino Capponi & Martin Larsson, 2015, "Price Contagion through Balance Sheet Linkages," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 227-253.
• Max Gillman & Michal Kejak & Michal Pakoš, 2015, "Learning about Rare Disasters: Implications For Consumption and Asset Prices," Review of Finance, European Finance Association, volume 19, issue 3, pages 1053-1104.
• James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova, 2015, "Improved Portfolio Choice Using Second-Order Stochastic Dominance," Review of Finance, European Finance Association, volume 19, issue 4, pages 1623-1647.
• Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2015, "Convective Risk Flows in Commodity Futures Markets," Review of Finance, European Finance Association, volume 19, issue 5, pages 1733-1781.
• Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015, "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 11, pages 3073-3108.
• Narasimhan Jegadeesh & Roman Kräussl & Joshua M. Pollet, 2015, "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 12, pages 3269-3302.
• Yen-Cheng Chang & Harrison Hong & Inessa Liskovich, 2015, "Regression Discontinuity and the Price Effects of Stock Market Indexing," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 1, pages 212-246.
• Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015, "Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 3, pages 706-742.
• Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015, "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 3, pages 791-837.
• John Cotter & Stuart Gabriel & Richard Roll, 2015, "Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 3, pages 913-936.
• Halep Maria, 2015, "The IFRS9 Standard: Assessment of the Impacts on the European Banking Industry," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 930-935, May.
• 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.