Research classified by Journal of Economic Literature (JEL) codes

2014

• Fabrice Hervé & Mohamed Zouaoui, 2014, "Quand la psychologie et la linguistique rencontrent la finance:le cas de la France," Revue Finance Contrôle Stratégie, revues.org, volume 17, issue 1, pages 25-46, March.
• Anton Velinov & Wenjuan Chen, 2014, "Are There Bubbles in Stock Prices?: Testing for Fundamental Shocks," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1375.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2014, "Intraday Anomalies and Market Efficiency: A Trading Robot Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1377.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2014, "The Weekend Effect: A Trading Robot and Fractional Integration Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1386.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2014, "Short-Term Price Overreaction: Identification, Testing, Exploitation," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1423.
• Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014, "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2014-20.
• Salem Boubakri & Cécile Couharde & Hélène Raymond, 2014, "Financial integration, financial turmoil and risk premia in emerging markets," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2014-52.
• Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo, 2014, "Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective," Finance Working Papers, East Asian Bureau of Economic Research, number 24516, Sep.
• Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo, 2014, "Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 24516, Sep.
• FOUCAULT, Thierry & DUGAST, Jérôme, 2014, "False News, Informational Efficiency, and Price Reversals," HEC Research Papers Series, HEC Paris, number 1036, Feb.
• Lovo , Stefano & Spaenjers , Christophe, 2014, "Unique Durable Assets," HEC Research Papers Series, HEC Paris, number 1037, Apr.
• Calvet , Laurent & Betermier , Sebastien, 2014, "Who Are the Value and Growth Investors?," HEC Research Papers Series, HEC Paris, number 1043, Apr.
• Juan Equiza Goni, 2014, "Sovereign Debt Maturity and Debt-to GDP Dynamics in Six Euro Area Countries," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-44, Oct.
• Caterina Mendicino, 2014, "House prices and expectations," Research Bulletin, European Central Bank, volume 21, pages 12-15.
• Giuliodori, Massimo & Beetsma, Roel & de Jong, Frank & Widijanto, Daniel, 2014, "The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market," Working Paper Series, European Central Bank, number 1629, Jan.
• Manganelli, Simone & Idier, Julien & Vergote, Olivier & Ghysels, Eric, 2014, "A high frequency assessment of the ECB securities markets programme," Working Paper Series, European Central Bank, number 1642, Feb.
• Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2014, "Commonality in hedge fund returns: driving factors and implications," Working Paper Series, European Central Bank, number 1658, Mar.
• Claeys, Peter & Vašíček, Bořek, 2014, "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series, European Central Bank, number 1666, Apr.
• Grothe, Magdalena & Lejsgaard Autrup, Søren, 2014, "Economic surprises and inflation expectations: Has anchoring of expectations survived the crisis?," Working Paper Series, European Central Bank, number 1671, Apr.
• Hoerova, Marie & Bekaert, Geert, 2014, "The VIX, the variance premium and stock market volatility," Working Paper Series, European Central Bank, number 1675, May.
• Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014, "Margin regulation and volatility," Working Paper Series, European Central Bank, number 1698, Jul.
• Camba-Méndez, Gonzalo & Serwa, Dobromil, 2014, "Market perception of sovereign credit risk in the euro area during the financial crisis," Working Paper Series, European Central Bank, number 1710, Aug.
• De Santis, Roberto A. & Stein, Michael, 2014, "Financial indicators signalling correlation changes in sovereign bond markets," Working Paper Series, European Central Bank, number 1746, Dec.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2014, "New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2014-07, May.
• Belo, Frederico & Lin, Xiaoji & Yang, Fan, 2014, "External Equity Financing Shocks, Financial Flows, and Asset Prices," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2014-08, Sep.
• Kaplan, Steven N. & Sensoy, Berk A., 2014, "Private Equity Performance: A Survey," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-10, Oct.
• Favilukis, Jack & Lin, Xiaoji & Zhao, Xiaofei, 2014, "The Elephant in the Room: The Impact of Labor Obligations on Credit Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-17, Dec.
• Lambert, Nicolas & Ostrovsky, Michael & Panov, Mikhail, 2014, "Strategic Trading in Informationally Complex Environments," Research Papers, Stanford University, Graduate School of Business, number 3021, Jan.
• Barth, Mary E. & Gomez-Biscarri, Javier & Kasznik, Ron & Lopez-Espinosa, German, 2014, "Bank Earnings and Regulatory Capital Management Using Available for Sale Securities," Research Papers, Stanford University, Graduate School of Business, number 3047.
• Koudijs, Peter & Voth, Hans-Joachim, 2014, "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," Research Papers, Stanford University, Graduate School of Business, number 3103, Feb.
• Duffie, Darrell & Dworczak, Piotr, 2018, "Robust Benchmark Design," Research Papers, Stanford University, Graduate School of Business, number 3175, Mar.
• Duffie, Darrell & Dworczak, Piotr & Zhu, Haoxiang, 2014, "Benchmarks in Search Markets," Research Papers, Stanford University, Graduate School of Business, number 3190, Nov.
• Ogneva, Maria & Piotroski, Joseph D. & Zakolyukina, Anastasia A., 2014, "When Is Distress Risk Priced? Evidence from Recessionary Failure Prediction," Research Papers, Stanford University, Graduate School of Business, number 3252, Sep.
• Hafiz Imtiaz AHMAD & Pascal ALPHONSE, 2014, "Stock Prices and Implied Abnormal Earnings Growth," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 1, pages 196-216.
• Chin-Sheng Huang & Chun-Fan You & Hueh-Chen Lin, 2014, "Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 2, pages 382-399.
• Shaen Corbet & Cian Twomey, 2014, "Quantifying the Effects of the Inclusion and Segregation of Contracts for Difference in Australian Equity Markets," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 2, pages 411-426.
• Selahattin GURIS & Aynur PALA, 2014, "Equity Returns, Firm-Specific Characteristics and Sector Rotation: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 2, pages 264-276.
• Shaen Corbet & Cian Twomey, 2014, "Have Exchange Traded Funds Influenced Commodity Market Volatility?," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 2, pages 323-335.
• Mustapha Chaffai & Imed Medhioub, 2014, "Behavioral Finance: An Empirical Study of the Tunisian Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 4, issue 3, pages 527-538.
• Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014, "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-79, Sep.
• Füllbrunn, Sascha & Haruvy, Ernan, 2014, "The takeover game," Journal of Behavioral and Experimental Finance, Elsevier, volume 1, issue C, pages 85-98, DOI: 10.1016/j.jbef.2014.01.002.
• Potì, Valerio & Shefrin, Hersh, 2014, "The signature of sentiment in conditional consumption CAPM estimates: A note," Journal of Behavioral and Experimental Finance, Elsevier, volume 2, issue C, pages 1-9, DOI: 10.1016/j.jbef.2014.02.004.
• Stöckl, Thomas & Kirchler, Michael, 2014, "Trading behavior and profits in experimental asset markets with asymmetric information," Journal of Behavioral and Experimental Finance, Elsevier, volume 2, issue C, pages 18-30, DOI: 10.1016/j.jbef.2014.03.001.
• Talpsepp, Tõnn & Vlcek, Martin & Wang, Mei, 2014, "Speculating in gains, waiting in losses: A closer look at the disposition effect," Journal of Behavioral and Experimental Finance, Elsevier, volume 2, issue C, pages 31-43, DOI: 10.1016/j.jbef.2014.04.001.
• Fang, Jiali & Qin, Yafeng & Jacobsen, Ben, 2014, "Technical market indicators: An overview," Journal of Behavioral and Experimental Finance, Elsevier, volume 4, issue C, pages 25-56, DOI: 10.1016/j.jbef.2014.09.001.
• Michou, Maria & Mouselli, Sulaiman & Stark, Andrew, 2014, "On the differences in measuring SMB and HML in the UK – Do they matter?," The British Accounting Review, Elsevier, volume 46, issue 3, pages 281-294, DOI: 10.1016/j.bar.2014.03.004.
• Dorion, Christian & François, Pascal & Grass, Gunnar & Jeanneret, Alexandre, 2014, "Convertible debt and shareholder incentives," Journal of Corporate Finance, Elsevier, volume 24, issue C, pages 38-56, DOI: 10.1016/j.jcorpfin.2013.10.008.
• Cline, Brandon N. & Garner, Jacqueline L. & Yore, Adam S., 2014, "Exploitation of the internal capital market and the avoidance of outside monitoring," Journal of Corporate Finance, Elsevier, volume 25, issue C, pages 234-250, DOI: 10.1016/j.jcorpfin.2013.12.004.
• Xu, Nianhang & Li, Xiaorong & Yuan, Qingbo & Chan, Kam C., 2014, "Excess perks and stock price crash risk: Evidence from China," Journal of Corporate Finance, Elsevier, volume 25, issue C, pages 419-434, DOI: 10.1016/j.jcorpfin.2014.01.006.
• Kim, Dong H. & Stock, Duane, 2014, "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, volume 26, issue C, pages 20-35, DOI: 10.1016/j.jcorpfin.2014.02.005.
• Jared DeLisle, R. & Morscheck, J.D. & Nofsinger, John R., 2014, "Share repurchases and institutional supply," Journal of Corporate Finance, Elsevier, volume 27, issue C, pages 216-230, DOI: 10.1016/j.jcorpfin.2014.05.010.
• Butler, Alexander W. & Keefe, Michael O'Connor & Kieschnick, Robert, 2014, "Robust determinants of IPO underpricing and their implications for IPO research," Journal of Corporate Finance, Elsevier, volume 27, issue C, pages 367-383, DOI: 10.1016/j.jcorpfin.2014.06.002.
• Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014, "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, volume 38, issue C, pages 87-104, DOI: 10.1016/j.jedc.2013.09.006.
• Ludwig, Alexander & Zimper, Alexander, 2014, "Biased Bayesian learning with an application to the risk-free rate puzzle," Journal of Economic Dynamics and Control, Elsevier, volume 39, issue C, pages 79-97, DOI: 10.1016/j.jedc.2013.11.007.
• Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2014, "Credit risk and asymmetric information: A simplified approach," Journal of Economic Dynamics and Control, Elsevier, volume 39, issue C, pages 98-112, DOI: 10.1016/j.jedc.2013.11.006.
• Baur, Dirk G. & Glover, Kristoffer J., 2014, "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 116-133, DOI: 10.1016/j.jedc.2014.01.001.
• Joshi, Mark & Tang, Robert, 2014, "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 25-45, DOI: 10.1016/j.jedc.2013.12.001.
• Challe, Edouard & Giannitsarou, Chryssi, 2014, "Stock prices and monetary policy shocks: A general equilibrium approach," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 46-66, DOI: 10.1016/j.jedc.2013.12.005.
• Schied, Alexander, 2014, "Model-free CPPI," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 84-94, DOI: 10.1016/j.jedc.2013.12.010.
• Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus, 2014, "Cross-hedging minimum return guarantees: Basis and liquidity risks," Journal of Economic Dynamics and Control, Elsevier, volume 41, issue C, pages 93-109, DOI: 10.1016/j.jedc.2014.02.010.
• Dewachter, Hans & Wouters, Raf, 2014, "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Journal of Economic Dynamics and Control, Elsevier, volume 43, issue C, pages 241-268, DOI: 10.1016/j.jedc.2014.03.004.
• Malkhozov, Aytek, 2014, "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, volume 45, issue C, pages 180-193, DOI: 10.1016/j.jedc.2014.05.011.
• Schmitt, Noemi & Westerhoff, Frank, 2014, "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, volume 45, issue C, pages 262-288, DOI: 10.1016/j.jedc.2014.05.009.
• Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2014, "No-Arbitrage ROM simulation," Journal of Economic Dynamics and Control, Elsevier, volume 45, issue C, pages 66-79, DOI: 10.1016/j.jedc.2014.05.017.
• Bottazzi, Giulio & Dindo, Pietro, 2014, "Evolution and market behavior with endogenous investment rules," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 121-146, DOI: 10.1016/j.jedc.2014.08.012.
• Gan, Quan, 2014, "Location-scale portfolio selection with factor-recentered skew normal asset returns," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 176-187, DOI: 10.1016/j.jedc.2014.09.002.
• Di Guilmi, Corrado & He, Xue-Zhong & Li, Kai, 2014, "Herding, trend chasing and market volatility," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 349-373, DOI: 10.1016/j.jedc.2014.07.008.
• Yang, Chunpeng & Li, Jinfang, 2014, "Two-period trading sentiment asset pricing model with information," Economic Modelling, Elsevier, volume 36, issue C, pages 1-7, DOI: 10.1016/j.econmod.2013.09.018.
• Hunter, John & Wu, Feng, 2014, "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, volume 36, issue C, pages 557-565, DOI: 10.1016/j.econmod.2013.10.001.
• Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco, 2014, "Oil price risk in the Spanish stock market: An industry perspective," Economic Modelling, Elsevier, volume 37, issue C, pages 280-290, DOI: 10.1016/j.econmod.2013.11.014.
• Yang, Chunpeng & Zhang, Rengui, 2014, "Dynamic sentiment asset pricing model," Economic Modelling, Elsevier, volume 37, issue C, pages 362-367, DOI: 10.1016/j.econmod.2013.11.041.
• Abid, Ilyes & Kaabia, Olfa & Guesmi, Khaled, 2014, "Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia," Economic Modelling, Elsevier, volume 37, issue C, pages 408-416, DOI: 10.1016/j.econmod.2013.11.015.
• Al-Shboul, Mohammad & Anwar, Sajid, 2014, "Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market," Economic Modelling, Elsevier, volume 37, issue C, pages 451-463, DOI: 10.1016/j.econmod.2013.11.034.
• Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek, 2014, "The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?," Economic Modelling, Elsevier, volume 37, issue C, pages 518-530, DOI: 10.1016/j.econmod.2013.08.013.
• Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014, "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, volume 37, issue C, pages 89-102, DOI: 10.1016/j.econmod.2013.11.002.
• Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2014, "The conditional equity premium, cross-sectional returns and stochastic volatility," Economic Modelling, Elsevier, volume 38, issue C, pages 316-327, DOI: 10.1016/j.econmod.2014.01.009.
• Jouini, Jamel & Harrathi, Nizar, 2014, "Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation," Economic Modelling, Elsevier, volume 38, issue C, pages 486-494, DOI: 10.1016/j.econmod.2014.02.001.
• Shamsuddin, Abul, 2014, "Are Dow Jones Islamic equity indices exposed to interest rate risk?," Economic Modelling, Elsevier, volume 39, issue C, pages 273-281, DOI: 10.1016/j.econmod.2014.03.007.
• Demir, İshak, 2014, "Monetary policy responses to the exchange rate: Empirical evidence from the ECB," Economic Modelling, Elsevier, volume 39, issue C, pages 63-70, DOI: 10.1016/j.econmod.2014.02.024.
• Yang, Chunpeng & Cai, Chuangqun, 2014, "Higher order expectations in sentiment asset pricing model," Economic Modelling, Elsevier, volume 39, issue C, pages 95-100, DOI: 10.1016/j.econmod.2014.02.033.
• Dong, Yinghui & Wang, Guojing, 2014, "Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain," Economic Modelling, Elsevier, volume 40, issue C, pages 91-100, DOI: 10.1016/j.econmod.2014.03.004.
• Lai, Hung-Cheng & Wang, Kuan-Min, 2014, "Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns," Economic Modelling, Elsevier, volume 41, issue C, pages 156-165, DOI: 10.1016/j.econmod.2014.05.007.
• Borenstein, Eliezer & Elkayam, David, 2014, "The equity premium in a small open economy and an application to Israel," Economic Modelling, Elsevier, volume 43, issue C, pages 81-99, DOI: 10.1016/j.econmod.2014.07.047.
• Wang, Yuming & Ma, Jinpeng, 2014, "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, volume 27, issue C, pages 1-16, DOI: 10.1016/j.najef.2013.10.003.
• Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos, 2014, "Institutional changes of Specified Purpose Acquisition Companies (SPACs)," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 149-169, DOI: 10.1016/j.najef.2014.03.002.
• Liu, Qiang & Guo, Shuxin, 2014, "Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 77-89, DOI: 10.1016/j.najef.2014.02.002.
• Zhang, Tai-Wei & Wu, Wei-Hwa, 2014, "The asymmetric predictability of high-yield bonds," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 146-155, DOI: 10.1016/j.najef.2014.06.001.
• Hunzinger, Chadd B. & Labuschagne, Coenraad C.A., 2014, "The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 200-217, DOI: 10.1016/j.najef.2014.06.002.
• Boubaker, Sabri & Jouini, Jamel, 2014, "Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 322-335, DOI: 10.1016/j.najef.2014.06.004.
• Grobys, Klaus, 2014, "Momentum in global equity markets in times of troubles: Does the economic state matter?," Economics Letters, Elsevier, volume 123, issue 1, pages 100-103, DOI: 10.1016/j.econlet.2014.01.028.
• Chevapatrakul, Thanaset, 2014, "Monetary environments and stock returns revisited: A quantile regression approach," Economics Letters, Elsevier, volume 123, issue 2, pages 122-126, DOI: 10.1016/j.econlet.2014.01.033.
• Suzuki, Shiba, 2014, "An exploration of the effect of doubt during disasters on equity premiums," Economics Letters, Elsevier, volume 123, issue 3, pages 270-273, DOI: 10.1016/j.econlet.2014.02.010.
• Guo, Guixia & Wang, Frank Yong & Wei, Xu, 2014, "Optimal tranching with diverse beliefs," Economics Letters, Elsevier, volume 124, issue 2, pages 222-226, DOI: 10.1016/j.econlet.2014.05.030.
• Han, Heejoon & Park, Joon Y., 2014, "GARCH with omitted persistent covariate," Economics Letters, Elsevier, volume 124, issue 2, pages 248-254, DOI: 10.1016/j.econlet.2014.05.016.
• Back, Kerry, 2014, "A characterization of the coskewness–cokurtosis pricing model," Economics Letters, Elsevier, volume 125, issue 2, pages 219-222, DOI: 10.1016/j.econlet.2014.09.008.
• Nichol, Eoghan & Dowling, Michael, 2014, "Profitability and investment factors for UK asset pricing models," Economics Letters, Elsevier, volume 125, issue 3, pages 364-366, DOI: 10.1016/j.econlet.2014.10.013.
• Anastasios Evgenidis & Costas Siriopoulos, 2014, "A robust pricing of specific structured bonds with coupons," Journal of Risk Finance, Emerald Group Publishing Limited, volume 15, issue 3, pages 234-247, May, DOI: 10.1108/JRF-01-2014-0005.
• Jonas Lorson & Joël Wagner, 2014, "The pricing of hedging longevity risk with the help of annuity securitizations," Journal of Risk Finance, Emerald Group Publishing Limited, volume 15, issue 4, pages 385-416, August, DOI: 10.1108/JRF-02-2014-0016.
• Christina E. Bannier & Thomas Heidorn & Heinz-Dieter Vogel, 2014, "Characteristics and development of corporate and sovereign CDS," Journal of Risk Finance, Emerald Group Publishing Limited, volume 15, issue 5, pages 482-509, November, DOI: 10.1108/JRF-06-2014-0077.
• Qiming Wang, 2014, "Evolution of integer price clustering of IPOs in the aftermarket," Nankai Business Review International, Emerald Group Publishing Limited, volume 5, issue 4, pages 365-381, October, DOI: 10.1108/NBRI-01-2014-0008.
• Carlo Massironi, 2014, "Philip Fisher’s sense of numbers," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, volume 6, issue 3, pages 302-331, November, DOI: 10.1108/QRFM-01-2013-0004.
• Silvio John Camilleri & Christopher J. Green, 2014, "Stock market predictability," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 31, issue 4, pages 354-370, September, DOI: 10.1108/SEF-06-2012-0070.
• Verwijmeren, P., 2014, "Forensic Finance," ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam., number EIA-2014-058-F&A, Sep.
• Ikram ul Haq & Kashif Rashid, 2014, "Stock Market Efficiency and Size of the Firm: Empirical Evidence from Pakistan," Oeconomics of Knowledge, Saphira Publishing House, volume 6, issue 1, pages 10-31, March.
• Dayong ZHANG & David C. Broadstock, 2014, "Impact of International Oil Price Shocks on Consumption Expenditures in ASEAN and East Asia," Working Papers, Economic Research Institute for ASEAN and East Asia (ERIA), number DP-2014-24.
• Riza Demirer & Shrikant P. Jategaonka & Ahmed Khalifa, 2014, "Oil Price Risk Exposure and the Cross-section of Stock Returns: The Case of Net Exporting Countries," Working Papers, Economic Research Forum, number 858, Nov, revised Nov 2014.
• Márcio Poletti Laurini & Armênio Dias Westin Neto, 2014, "Arbitrage In The Term Structure Of Interest Rates: A Bayesian Approach," International Econometric Review (IER), Economic Research Association, volume 6, issue 2, pages 77-99, September.
• Daniel Harenberg & Alexander Ludwig, 2014, "Social Security and the Interactions Between Aggregate and Idiosyncratic Risk," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 14/193, Mar.
• Daniel Harenberg & Alexander Ludwig, 2014, "Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk," CER-ETH Economics working paper series, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich, number 14/204, Sep.
• Jonathan E. Alevy & Michael K. Price, 2014, "Advice in the Marketplace: A Laboratory Study," Experimental Economics Center Working Paper Series, Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University, number 2014-03, Apr.
• Lawrence C. Y. Choo, 2014, "Trading Participation Rights to the “Red Hat Puzzle”. An Experiment," Discussion Papers, University of Exeter, Department of Economics, number 1408.
• Baki Demirel, 2014, "Finansal Kriz Sonrası GIIPS Hazine Bonosu Risk Primi (Spreads) Genişlemesinin Belirleyicileri," Ekonomik Yaklasim, Ekonomik Yaklasim Association, volume 25, issue 92, pages 69-86, DOI: 10.5455/ey.35513.
• Jiri NOVAK, 2014, "Does Stock Liquidity Explain the Premium for Stock Price Momentum?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 64, issue 1, pages 79-95, February.
• Petra Andrlíková, 2014, "Is Barrier version of Merton model more realistic? Evidence from Europe," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/11, Apr, revised Apr 2014.
• Petra Buzková, 2014, "Has the Relationship Between Market and Model CDS Price Changed during the EMU Debt Crisis?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/15, Apr, revised Apr 2014.
• Jakub Cerny & Jiri Witzany, 2014, "Interest Rate Swap Credit Valuation Adjustment," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2014/16, May, revised May 2014.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgo Fagiolo, 2014, "Rock around the clock :An agent-based model of low-and high frequency trading," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2014-03, Feb.
• Anne Laure Delatte, 2014, "Nonlinearities in sovereign risk pricing the role of cds index contracts," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2014-08, Mar.
• Mark J. Jensen & John M. Maheu, 2014, "Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-6, Jun.
• Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2014, "Spurious Inference in Unidentified Asset-Pricing Models," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-12, Oct.
• Nikolay Gospodinov & Ibrahim Jamali, 2014, "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2014-14, Aug.
• Stephanie Lo & J. Christina Wang, 2014, "Bitcoin as money?," Current Policy Perspectives, Federal Reserve Bank of Boston, number 14-4, Sep.
• Claire Greene & Marc Rysman & Scott Schuh & Oz Shy, 2014, "Costs and benefits of building faster payment systems: the U.K. experience and implications for the United States," Current Policy Perspectives, Federal Reserve Bank of Boston, number 14-5, Oct.
• Michelle L. Barnes, 2014, "Let's talk about it: what policy tools should the Fed \\"normally\\" use?," Current Policy Perspectives, Federal Reserve Bank of Boston, number 14-12, Dec.
• Ali Ozdagli, 2014, "Financial frictions and the reaction of stock prices to monetary policy shocks," Working Papers, Federal Reserve Bank of Boston, number 14-6, Jul.
• Yasushi Asako & Kozo Ueda, 2014, "The boy who cried bubble: public warnings against riding bubbles," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 167, Jan, DOI: 10.24149/gwp167.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014, "Very long-run discount rates," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 182, May, DOI: 10.24149/gwp182.
• Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2014, "Can Spanned Term Structure Factors Drive Stochastic Yield Volatility?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2014-3, Jan, DOI: 10.24148/wp2014-03.
• Jens H. E. Christensen & Signe Krogstrup, 2014, "Transmission of Quantitative Easing: The Role of Central Bank Reserves," Working Paper Series, Federal Reserve Bank of San Francisco, number 2014-18, Aug, DOI: 10.24148/wp2014-18.
• Don H. Kim & Jonathan H. Wright, 2014, "Jumps in Bond Yields at Known Times," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-100, Nov.
• Vladimir Yankov, 2014, "In Search of a Risk-free Asset," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-108, Aug.
• Vincent Brousseau & Kleopatra Nikolaou & Huw Pill, 2014, "Modeling Money Market Spreads: What Do We Learn about Refinancing Risk?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-112, Nov.
• Stefania D'Amico & Don H. Kim & Min Wei, 2014, "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-24, Jan.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2014, "Flights to Safety," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-46, Jun.
• Zhaogang Song & Haoxiang Zhu, 2014, "QE Auctions of Treasury Bonds," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-48, Jun.
• Laura Coroneo & Domenico Giannone & Michele Modugno, 2014, "Unspanned macroeconomic factors in the yield curve," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-57, Jul.
• Zhaogang Song & Dacheng Xiu, 2014, "A Tale of Two Option Markets: Pricing Kernels and Volatility Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-58, Jan.
• Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2014, "The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-60, May.
• Oliver de Groot, 2014, "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-71, Aug.
• Dan Li & Norman Schurhoff, 2014, "Dealer Networks," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-95, Nov.
• Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014, "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1103, May.
• Ergys Islamaj & Maziar Kazemi, 2014, "Returns to Active Management: The Case of Hedge Funds," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1112, Aug.
• Stefania D'Amico & Athanasios Orphanides, 2014, "Inflation Uncertainty and Disagreement in Bond Risk Premia," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2014-24, Jan.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014, "Momentum Trading, Return Chasing and Predictable Crashes," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2014-27, Nov.
• YiLi Chien, 2014, "The cost of business cycles with heterogeneous trading technologies," Working Papers, Federal Reserve Bank of St. Louis, number 2014-15, Jun, DOI: 10.20955/wp.2014.015.
• Matthew Famiglietti & Yuliya Ivanova & Christopher J. Neely & Paul A. Weller, 2014, "Can risk explain the profitability of technical trading in currency markets?," Working Papers, Federal Reserve Bank of St. Louis, number 2014-033, Oct, revised 12 Jun 2020, DOI: 10.20955/wp.2014.033.
• J. Benson Durham, 2014, "Arbitrage-free affine models of the forward price of foreign currency," Staff Reports, Federal Reserve Bank of New York, number 665, Feb.
• David Hou & David R. Skeie, 2014, "LIBOR: origins, economics, crisis, scandal, and reform," Staff Reports, Federal Reserve Bank of New York, number 667, Mar.
• Nina Boyarchenko & Andreas Fuster & David O. Lucca, 2014, "Understanding mortgage spreads," Staff Reports, Federal Reserve Bank of New York, number 674, May.
• Marianne Andries & Thomas M. Eisenbach & Martin C. Schmalz, 2014, "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," Staff Reports, Federal Reserve Bank of New York, number 703, Dec.
• Erik Vogt, 2014, "Option-implied term structures," Staff Reports, Federal Reserve Bank of New York, number 706, Dec.
• Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2014, "Competing for order flow in OTC markets," Working Papers, Federal Reserve Bank of Philadelphia, number 14-9, Mar.
• Péter Kondor & Dimitri Vayanos, 2014, "Liquidity Risk and the Dynamics of Arbitrage Capital," FMG Discussion Papers, Financial Markets Group, number dp730.
• Alessandro Carraro & Giorgio Ricchiuti, 2014, "Heterogeneous Fundamentalists and Market Maker Inventories," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2014_16.rdf.
• David E. Allen & Michael McAleer & Marcel Scharth, 2014, "Asymmetric Realized Volatility Risk," JRFM, MDPI, volume 7, issue 2, pages 1-30, June.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2014, "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Risks, MDPI, volume 2, issue 3, pages 1-17, July.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014, "Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2014-21, Jun.
• Peter Martey Addo & Philippe de Peretti & Hayette Gatfaoui & Jakob Runge, 2014, "The kiss of information theory that captures systemic risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01110712, Oct.
• Raphaël Douady, 2014, "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01151276, Dec.
• Stéphane Crépey & Raphaël Douady, 2014, "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01151315, Dec.
• Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014, "Communication impacting financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01215750, DOI: 10.1209/0295-5075/108/28007.
• Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014, "Communication impacting financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00982959, Apr.
• Meglena Jeleva & Jean-Marc Tallon, 2014, "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-01109639, Jul.
• Peter Martey Addo & Philippe de Peretti & Hayette Gatfaoui & Jakob Runge, 2014, "The kiss of information theory that captures systemic risk," Post-Print, HAL, number hal-01110712, Oct.
• Raphaël Douady, 2014, "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Post-Print, HAL, number hal-01151276, Dec.
• Stéphane Crépey & Raphaël Douady, 2014, "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Post-Print, HAL, number hal-01151315, Dec.
• Sabri Boubaker & Jamel Jouini, 2014, "Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework," Post-Print, HAL, number hal-01158111.
• Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014, "Communication impacting financial markets," Post-Print, HAL, number hal-01215750, DOI: 10.1209/0295-5075/108/28007.
• Ilyes Abid & Khaled Guesmi & Olfa Kaabia, 2014, "Stock Market Integration and Risk Premium: Empirical Evidence for Emerging Economies of South Asia," Post-Print, HAL, number hal-01410604.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014, "Rock around the clock: An agent-based model of low- and high-frequency trading," Post-Print, HAL, number hal-01515227.
• Anna Creti & Zied Ftiti & Khaled Guesmi, 2014, "Oil price and financial markets: Multivariate dynamic frequency analysis," Post-Print, HAL, number hal-01517425, DOI: 10.1016/j.enpol.2014.05.057.
• Eser Arisoy & Aslihan Altay-Salih & Mustafa Pinar, 2014, "Optimal Multi-Period Consumption and Investment with Short-Sale Constraints," Post-Print, HAL, number hal-01634168, Mar, DOI: 10.1016/j.frl.2013.05.007.
• Sanjay Sehgal & Srividya Subramaniam & Florent Deisting, 2014, "Tests Of Equity Market Anomalies For Select Emerging Markets," Post-Print, HAL, number hal-01881907.
• Alain François-Heude & Ouidad Yousfi, 2014, "On the liquidity of CAC 40 index options market," Post-Print, HAL, number hal-02050806, Aug, DOI: 10.1057/jdhf.2014.18.
• Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014, "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," Post-Print, HAL, number hal-03393013, Nov, DOI: 10.1016/j.jet.2014.09.011.
• Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2014, "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Post-Print, HAL, number hal-04582298, Dec.
• Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014, "Communication impacting financial markets," Post-Print, HAL, number halshs-00982959, Apr.
• Rudy de Winne & Carole Gresse & Isabelle Platten, 2014, "Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index," Post-Print, HAL, number halshs-00997859, Dec, DOI: 10.1016/j.irfa.2014.04.003.