Research classified by Journal of Economic Literature (JEL) codes

2014

• 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.
• Meglena Jeleva & Jean-Marc Tallon, 2014, "Ambiguïté, comportements et marchés financiers," Post-Print, HAL, number halshs-01109639, Jul.
• Fabrice Hervé & Mohamed Zouaoui, 2014, "Quand la psychologie et la linguistique rencontrent la finance : le cas de la France," Post-Print, HAL, number halshs-01288095, Mar, DOI: 10.4000/fcs.1458.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014, "Rock around the clock: an agent-based model of low- and high-frequency trading," Sciences Po Economics Publications (main), HAL, number hal-01070542, Feb.
• Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014, "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," Sciences Po Economics Publications (main), HAL, number hal-03393013, Nov, DOI: 10.1016/j.jet.2014.09.011.
• Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014, "Nonlinearities in sovereign risk pricing the role of cds index contracts," Sciences Po Economics Publications (main), HAL, number hal-03460263, Aug.
• Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014, "A general HJM framework for multiple yield curve modeling," Working Papers, HAL, number hal-01011752, Jun.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2014, "Rock around the clock: an agent-based model of low- and high-frequency trading," Working Papers, HAL, number hal-01070542, Feb.
• Raphaël Homayoun Boroumand & Stéphane Goutte & Simon Porcher & Thomas Porcher, 2014, "A Conditional Markov Regime Switching Model to Study Margins: Application to the French Fuel Retail Markets," Working Papers, HAL, number hal-01090837, Nov.
• Philippe Charlot & Olivier Darné & Zakaria Moussa, 2014, "Commodity returns co-movements: Fundamentals or "style" effect?," Working Papers, HAL, number hal-01093631, Dec.
• Jjrrme Dugast & Thierry Foucault, 2014, "False News, Informational Efficiency, and Price Reversals," Working Papers, HAL, number hal-02058260, Feb, DOI: 10.2139/ssrn.2398904.
• Sebastien Betermier & Laurent E. Calvet & Paolo Sodini, 2014, "Who Are the Value and Growth Investors?," Working Papers, HAL, number hal-02058282, Apr, DOI: 10.2139/ssrn.2426823.
• Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014, "Nonlinearities in sovereign risk pricing the role of cds index contracts," Working Papers, HAL, number hal-03460263, Aug.
• Salem Boubakri & Cécile Couharde & Hélène Raymond, 2014, "Financial integration, financial turmoil and risk premia in emerging markets," Working Papers, HAL, number hal-04141291.
• Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2014, "On the impact of macroeconomic news surprises on Treasury-bond yields," Working Papers, HAL, number hal-04141345.
• Vivien Lespagnol & Juliette Rouchier, 2014, "Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals," Working Papers, HAL, number halshs-00997573, May.
• Quoreshi, A.M.M. Shahiduzzaman, 2014, "Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data," Working Papers, Blekinge Institute of Technology, Department of Industrial Economics, number 2014/03, Apr.
• Waldenström, Daniel, 2014, "Swedish Stock and Bond Returns, 1856–2012," Working Paper Series, Research Institute of Industrial Economics, number 1027, Jun.
• Bergh, Andreas, 2014, "Trust Us to Repay: Social Trust, Long-Term Interest Rates and Sovereign Credit Ratings," Working Paper Series, Research Institute of Industrial Economics, number 1039, Sep.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2014, "Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification," Working Papers, Lund University, Department of Economics, number 2014:37, Nov.
• Ding, Mingfa, 2014, "Political Connections and Stock Liquidity: Political Network, Hierarchy and Intervention," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2014/7, Dec.
• Aase, Knut K., 2014, "Recursive utility using the stochastic maximum principle," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2014/3, Feb, revised 25 Mar 2015.
• Aase, Knut K., 2014, "Heterogeneity and limited stock market Participation," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2014/5, Feb, revised 25 Mar 2015.
• Aase, Knut K., 2014, "Recursive utility and jump-diffusions," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2014/9, Mar.
• de Oliveira Souza, Thiago, 2014, "Discount rates, market frictions, and the mystery of the size premium," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 15/2014, Sep.
• Misund, Bard & Mohn, Klaus, 2014, "Exploration Risk in Oil & Gas Shareholder Returns," UiS Working Papers in Economics and Finance, University of Stavanger, number 2014/4, Mar.
• Waldenström, Daniel, 2014, "Swedish stock and bond returns, 1856–2012," Working Paper Series, Uppsala University, Department of Economics, number 2014:5, Jun.
• Victor A. Lapshin & Vadim Ya. Kaushanskiy, 2014, "A Nonparametric Method For Term Structure Fitting With Automatic Smoothing," HSE Working papers, National Research University Higher School of Economics, number WP BRP 39/FE/2014.
• Misumi, Takashi & 三隅, 隆司 & Nakamura, Hisashi & 中村, 恒 & Takaoka, Koichiro & 高岡, 浩一郎, 2014, "Moral-Hazard Premium," Working Paper Series, Hitotsubashi University Center for Financial Research, number G-1-7, Mar.
• David Leung & John Fu, 2014, "Interactions between CNY and CNH Money and Forward Exchange Markets," Working Papers, Hong Kong Institute for Monetary Research, number 132014, Jun.
• Dong He & Xiangrong Yu, 2014, "Network Effects in Currency Internationalisation: Insights from BIS Triennial Surveys and Implications for the Renminbi," Working Papers, Hong Kong Institute for Monetary Research, number 242014, Sep.
• Greenwood, Robin Marc & Shleifer, Andrei, 2014, "Expectations of Returns and Expected Returns," Scholarly Articles, Harvard University Department of Economics, number 11880390.
• Epstein, Larry G. & Farhi, Emmanuel & Strzalecki, Tomasz, 2014, "How Much Would You Pay to Resolve Long-Run Risk?," Scholarly Articles, Harvard University Department of Economics, number 12967842.
• Dragos Stefan Oprea, 2014, "Does Investor Sentiment Matter in Post-Communist East European Stock Markets?," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, volume 4, issue 8, pages 356-366, August.
• Ebrahim Abbasi & Behrooz Ebrahimzadeh & Amir Mohammadzadeh, 2014, "The Effects of Stock Dividend on Stock Return in Tehran Stock Exchange," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, volume 2, issue 2, pages 11-16, June.
• Paula – Angela VIDRASCU, 2014, "Valuation of Intangible Assets the Main Pawn for New Challenges Related to the Knowledge Era," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, volume 2, issue 4, pages 63-69, December.
• M. Zahid Hasan & Ronald A. Ratti, 2014, "Australian Coal Company Risk Factors: Coal and Oil Prices," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 8, issue 1, pages 57-67.
• Rashiqa Kamal, 2014, "New Evidence from S&P 500 Index Deletions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 8, issue 2, pages 1-10.
• Sanjay Sehgal & Srividya Subramaniam & Florent Deisting, 2014, "Tests of Equity Market Anomalies for Select Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 8, issue 3, pages 27-46.
• Omar Gharaibeh & Graham Bornholt & Michael Dempsey, 2014, "Evidence on Industry Cost of Equity Estimators," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 8, issue 4, pages 1-15.
• Surya Chelikani & Frank P. D'Souza, 2014, "The Effect of Regulation Fair Disclosure on Market Integration," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 8, issue 4, pages 43-62.
• Jack J.W. Yang & Tsung-Shin Wu, 2014, "Price and Volume Reactions to Cash Dividend Announcements: Evidence from Taiwan," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 8, issue 4, pages 83-96.
• Juan Benjamin Duarte Duarte & Zulay Yesenia Ramirez Leon & Katherine Julieth Sierra Suarez, 2014, "Size Effect Study In The Major Stock Market Of America, Estudio Del Efecto Tamano En Los Principales Mercados Bursatiles De Latinoamerica," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, volume 7, issue 5, pages 41-50.
• Sead Omerhodzic, 2014, "Identification and Evaluation of Factors of Dividend Policy," Economic Analysis, Institute of Economic Sciences, volume 47, issue 1-2, pages 42-58.
• Gollier, Christian, 2014, "Gamma discounters are short-termist," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 828, Jun, revised Oct 2014.
• Ron Bird & Krishna Reddy & Danny Yeung, 2014, "The relationship between uncertainty and the market reaction to information: Is it influenced by stock-specific characteristics?," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, volume 4, issue 2, pages 113-132.
• Cheolbeom Park & Dong-hun Shin, 2014, "Stock Market Predictability: Global Evidence and an Explanation," Discussion Paper Series, Institute of Economic Research, Korea University, number 1405.
• Seung Han Yoo, 2014, "Competition, Corruption and Institutional Design," Discussion Paper Series, Institute of Economic Research, Korea University, number 1406.
• Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014, "Multivariate variance ratio statistics," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP29/14, Jun.
• Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014, "The scale of predictability," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 509.
• Tolgahan YILMAZ & Sema DUBE, 2014, "Asset allocation and stock selection: Evidence from static and dynamic strategies in Turkish markets," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 29, issue 344, pages 73-94.
• Orhan ERDEM & Evren ARIK & Serkan YÜKSEL, 2014, "Trading Puzzle, Puzzling Trade," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 29, issue 345, pages 83-102.
• Jonathan A. Batten & Cetin Ciner & Brian M. Lucey, 2014, "Which Precious Metals Spill Over on Which, When and Why? – Some Evidence," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp460, Nov.
• Brian M. Lucey, 2014, "Return and Volatility Spillovers in Industrial Metals," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp463, Nov.
• Marcello Pericoli, 2014, "Real Term Structure and Inflation Compensation in the Euro Area," International Journal of Central Banking, International Journal of Central Banking, volume 10, issue 1, pages 1-42, March.
• Abderrazak Dhaoui & Naceur Khraief, 2014, "Does Human Psychology Drive Financial Markets? Evidence from International Markets," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), volume 2, issue 3, pages 100-108, March.
• Yoshihiko Uchida & Daisuke Yoshikawa, 2014, "A Pricing Theory under a Finite Number of Securities Issued: A Synthesis of "Market Microstructure" and "Mathematical Finance"," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 14-E-04, May.
• Ichiro Fukunaga & Naoya Kato, 2014, "Japanese Repo and Call Markets Before, During, and Emerging from the Financial Crisis," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 14-E-15, Dec.
• Ignacio Perrotini Hernández, 2014, "Precios de Activos y Política Monetaria en la Nueva Síntesis Neoclásica," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 9, issue 1, pages 89-102, Enero-Jun.
• Manish K. Singh & S. Ramann, 2014, "User right as a mezzanine capital investment: Innovations in infrastructure debt financing," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2014-027, Jul.
• Rohini Grover & Ajay Shah, 2014, "The imprecision of volatility indexes," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2014-031, Aug.
• Andrew Ang & Dimitris Papanikolaou & Mark M. Westerfield, 2014, "Portfolio Choice with Illiquid Assets," Management Science, INFORMS, volume 60, issue 11, pages 2737-2761, November, DOI: 10.1287/mnsc.2014.1986.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014, "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, volume 60, issue 7, pages 1772-1791, July, DOI: 10.1287/mnsc.2013.1838.
• Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014, "Nonlinear Kalman Filtering in Affine Term Structure Models," Management Science, INFORMS, volume 60, issue 9, pages 2248-2268, September, DOI: 10.1287/mnsc.2013.1870.
• Julia Auckenthaler & Alexander Kupfer & Rupert Sendlhofer, 2014, "The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2014-05, Mar.
• Mohamed El Hedi Arouri & Amine Lahiani & Duc Khuong Nguyen, 2014, "World gold prices and stock returns in China: insights for hedging and diversification strategies," Working Papers, Department of Research, Ipag Business School, number 2014-110, Jan.
• Anna Creti & Zied Ftiti & Khaled Guesmi, 2014, "Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis," Working Papers, Department of Research, Ipag Business School, number 2014-121, Jan.
• Salma Fattoum & Khaled Guesmi & Bruno-Laurent Moschetto, 2014, "The Evolution of Risk Premiums in Emerging Stock Markets: The Case of Latin America and Asia Region," Working Papers, Department of Research, Ipag Business School, number 2014-132, Jan.
• Stelios Bekiros, 2014, "Detecting nonlinear dependencies in foreign exchange markets: A multistep filtering approach," Working Papers, Department of Research, Ipag Business School, number 2014-182, Jan.
• Khaled Guesmi & Frederic Teulon & Amine Lahiani, 2014, "Australia’s integration into the ASEAN- 5 Region," Working Papers, Department of Research, Ipag Business School, number 2014-207, Jan.
• Khaled Guesmi & Duc Khuong Nguyen, 2014, "L’intégration intra-régionale des marchés boursiers de l’Europe du sudest : une analyse multivariée," Working Papers, Department of Research, Ipag Business School, number 2014-219, Jan.
• Amal Aouadi & Mohamed Arouri & Frédéric Teulon, 2014, "Investor Following and Volatility: A GARCH Approach," Working Papers, Department of Research, Ipag Business School, number 2014-286, Jan.
• Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong, 2014, "Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets," Working Papers, Department of Research, Ipag Business School, number 2014-294, Jan.
• Farid Mkouar & Jean-Luc Prigent, 2014, "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers, Department of Research, Ipag Business School, number 2014-301, Jan.
• Anna Creti & Zied Ftiti & Khaled Guesmi, 2014, "Oil price impact on financial markets:," Working Papers, Department of Research, Ipag Business School, number 2014-435, Jan.
• Alain François-Heude & Ouidad Yous, 2014, "On the liquidity of CAC 40 index options Market," Working Papers, Department of Research, Ipag Business School, number 2014-445, Jan.
• Andrade, Sandro C. & Bernile, Gennaro & Hood, Frederick M., 2014, "SOX, corporate transparency, and the cost of debt," Journal of Banking & Finance, Elsevier, volume 38, issue C, pages 145-165, DOI: 10.1016/j.jbankfin.2013.10.001.
• Zhou, Yinggang, 2014, "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, volume 38, issue C, pages 216-228, DOI: 10.1016/j.jbankfin.2013.10.010.
• Hammami, Yacine & Lindahl, Anna, 2014, "An intertemporal capital asset pricing model with bank credit growth as a state variable," Journal of Banking & Finance, Elsevier, volume 39, issue C, pages 14-28, DOI: 10.1016/j.jbankfin.2013.10.008.
• Horst, Jenke ter & Salganik, Galla, 2014, "Style chasing by hedge fund investors," Journal of Banking & Finance, Elsevier, volume 39, issue C, pages 29-42, DOI: 10.1016/j.jbankfin.2013.10.009.
• Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel, 2014, "Modeling and predicting the CBOE market volatility index," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 1-10, DOI: 10.1016/j.jbankfin.2013.11.004.
• Chen, Peimin & Wu, Chunchi, 2014, "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 211-226, DOI: 10.1016/j.jbankfin.2013.11.036.
• Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George, 2014, "Are there common factors in individual commodity futures returns?," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 346-363, DOI: 10.1016/j.jbankfin.2013.11.034.
• Aboody, David & Hughes, John S. & Bugra Ozel, N., 2014, "Corporate bond returns and the financial crisis," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 42-53, DOI: 10.1016/j.jbankfin.2013.11.012.
• Shim, Ilhyock & Zhu, Haibin, 2014, "The impact of CDS trading on the bond market: Evidence from Asia," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 460-475, DOI: 10.1016/j.jbankfin.2013.07.001.
• Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2014, "Testing for a break in the persistence in yield spreads of EMU government bonds," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 109-118, DOI: 10.1016/j.jbankfin.2014.01.003.
• Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan, 2014, "An analysis of price discovery from panel data models of CDS and equity returns," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 167-177, DOI: 10.1016/j.jbankfin.2014.01.008.
• Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014, "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 178-193, DOI: 10.1016/j.jbankfin.2013.12.022.
• Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri, 2014, "The determinants of CDS spreads," Journal of Banking & Finance, Elsevier, volume 41, issue C, pages 271-282, DOI: 10.1016/j.jbankfin.2013.12.005.
• Walkshäusl, Christian, 2014, "The MAX effect: European evidence," Journal of Banking & Finance, Elsevier, volume 42, issue C, pages 1-10, DOI: 10.1016/j.jbankfin.2014.01.020.
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