Research classified by Journal of Economic Literature (JEL) codes

2014

• Tolga Cenesizoglu & Georges Dionne & Xiaozhou Zhou, 2014, "Effects of the Limit Order Book on Price Dynamics," Cahiers de recherche, CIRPEE, number 1426.
• Matthias Held & Marcel Omachel, 2014, "Up- and Downside Variance Risk Premia in Global Equity Markets," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 140009, Sep.
• Jalali-Naini, Ahmad-Reza & Naderian, Mohammad-Amin, 2014, "Social Value of Information and Optimal Communication Policy of Central Banks," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 9, issue 3, pages 31-57, April.
• Eleonora Cutrini and Giorgio Galeazzi, 2014, "Contagion in the Euro crisis: capital flows and trade linkages," Working Papers, Macerata University, Department of Studies on Economic Development (DiSSE), number 44-2014, Oct, revised Nov 2014.
• Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini, 2014, "Contagion across Eurozone's sovereign spreads and the Core-Periphery divide," Working Papers, Macerata University, Department of Studies on Economic Development (DiSSE), number 45-2014, Dec, revised Jan 2015.
• Harenberg, Daniel & Ludwig, Alexander, 2014, "Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy, number 201413, Sep.
• Sha Liu, 2014, "The Impact of Textual Sentiment on Sovereign Bond Yield Spreads: Evidence from the Eurozone Crisis," Multinational Finance Journal, Multinational Finance Journal, volume 18, issue 3-4, pages 215-248, September.
• Ibrahim Mohammed & Chioma Nwafor, 2014, "Stock Market Consequences of the Suspension of the Central Bank of Nigeria’s Governor," Managing Global Transitions, University of Primorska, Faculty of Management Koper, volume 12, issue 4 (Winter, pages 371-394.
• Alessia Paccagnini, 2014, "The Macroeconomic Determinants of the US Term-Structure during the Great Moderation," Working Papers, University of Milano-Bicocca, Department of Economics, number 274, Jun, revised Jun 2014.
• Lorenzo Menna & Patrizio Tirelli, 2014, "The Equity Premium in a DSGE Model with Limited Asset Market Participation," Working Papers, University of Milano-Bicocca, Department of Economics, number 275, Jun, revised Jun 2014.
• Gianluca Cassese, 2014, "Option pricing in an imperfect world," Working Papers, University of Milano-Bicocca, Department of Economics, number 277, Jun, revised Jun 2014.
• Giulia RIVOLTA, 2014, "An Event Study Analysis of ECB Unconventional Monetary Policy," Departmental Working Papers, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano, number 2014-02, Feb.
• Kei Kawakami, 2014, "Excessive Dynamic Trading: Propagation of Belief Shocks in Small Markets," Department of Economics - Working Papers Series, The University of Melbourne, number 1188, Dec.
• Adam, Klaus & Beutel, Johannes & Marcet, Albert, 2014, "Stock price booms and expected capital gains," Working Papers, University of Mannheim, Department of Economics, number 14-12.
• Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014, "Communication impacting financial markets," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14029, Apr, DOI: 10.1209/0295-5075/108/28007.
• Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014, "Impact of information cost and switching of trading strategies in an artificial stock market," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14031, Apr, DOI: 10.1016/j.physa.2014.04.004.
• Meglena Jeleva & Jean-Marc Tallon, 2014, "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14064, Jul, DOI: 10.7202/1039881ar.
• Peter Martey Addo & Philippe De Peretti, 2014, "Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14069, Oct.
• Peter Martey Addo & Philippe De Peretti & Hayette Gatfaoui & Jakob Runge, 2014, "The kiss of information theory that captures systemic risk," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14069r, Oct, revised Mar 2015.
• Raphaël Douady, 2014, "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14091, Dec, DOI: 10.1007/978-3-319-02069-3_10.
• Stéphane Crépey & Raphaël Douady, 2014, "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 14092, Dec.
• H. Youn Kim & Keith R. McLaren & K.K. Gary Wong, 2014, "Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 4/14.
• Luca D'Agostino, 2014, "Life insurance profit testing in the Solvency II framework," Banca Impresa Società, Società editrice il Mulino, issue 1, pages 43-78.
• Joanna Olbry�, 2014, "Is illiquidity risk priced? The case of the Polish medium-size emerging stock market," Bank i Kredyt, Narodowy Bank Polski, volume 45, issue 6, pages 513�536-5.
• Christopher F Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephen, 2014, "Credit rating agency downgrades and the Eurozone sovereign debt crises," NBP Working Papers, Narodowy Bank Polski, number 177.
• Dariusz Gatarek & Juliusz Jabłecki, 2014, "Estimating the risk of joint defaults: an application to central bank collateralized lending operations," NBP Working Papers, Narodowy Bank Polski, number 181.
• Gonzalo Camba-Méndez & Dobromił Serwa, 2014, "Market perception of sovereign credit risk in the euro area during the financial crisis," NBP Working Papers, Narodowy Bank Polski, number 185.
• Gonzalo Camba-Méndez & Konrad Kostrzewa & Anna Mospan & Dobromił Serwa, 2014, "Pricing sovereign credit risk of an emerging market," NBP Working Papers, Narodowy Bank Polski, number 189.
• Jonathan A. Parker & Michael Woodford, 2014, "NBER Macroeconomics Annual 2013, Volume 28," NBER Books, National Bureau of Economic Research, Inc, number park13-1, January.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2014, "Dynamic Dispersed Information and the Credit Spread Puzzle," NBER Working Papers, National Bureau of Economic Research, Inc, number 19788, Jan.
• Hyun-Soo Choi & Harrison Hong & Jeffrey Kubik & Jeffrey P. Thompson, 2014, "When Real Estate is the Only Game in Town," NBER Working Papers, National Bureau of Economic Research, Inc, number 19798, Jan.
• Bryan Kelly & Lubos Pastor & Pietro Veronesi, 2014, "The Price of Political Uncertainty: Theory and Evidence from the Option Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 19812, Jan.
• Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2014, "Origins of Stock Market Fluctuations," NBER Working Papers, National Bureau of Economic Research, Inc, number 19818, Jan.
• Alexander Ljungqvist & Wenlan Qian, 2014, "How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation," NBER Working Papers, National Bureau of Economic Research, Inc, number 19834, Jan.
• Fatih Guvenen & Greg Kaplan & Jae Song, 2014, "How Risky Are Recessions for Top Earners?," NBER Working Papers, National Bureau of Economic Research, Inc, number 19864, Jan.
• Robert E. Hall, 2014, "High Discounts and High Unemployment," NBER Working Papers, National Bureau of Economic Research, Inc, number 19871, Jan.
• Mervyn King & David Low, 2014, "Measuring the ''World'' Real Interest Rate," NBER Working Papers, National Bureau of Economic Research, Inc, number 19887, Feb.
• Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2014, "Foreign Ownership of U.S. Safe Assets: Good or Bad?," NBER Working Papers, National Bureau of Economic Research, Inc, number 19917, Feb.
• Péter Kondor & Dimitri Vayanos, 2014, "Liquidity Risk and the Dynamics of Arbitrage Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 19931, Feb.
• Peter Koudijs & Hans-Joachim Voth, 2014, "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," NBER Working Papers, National Bureau of Economic Research, Inc, number 19957, Mar.
• Roger Farmer, 2014, "Asset Prices in a Lifecycle Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 19958, Mar.
• Esben Hedegaard & Robert J. Hodrick, 2014, "Estimating the Risk-Return Trade-off with Overlapping Data Inference," NBER Working Papers, National Bureau of Economic Research, Inc, number 19969, Mar.
• Yehuda Izhakian & David Yermack, 2014, "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 19975, Mar.
• Jordi Gali & Luca Gambetti, 2014, "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 19981, Mar.
• Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014, "Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts," NBER Working Papers, National Bureau of Economic Research, Inc, number 19985, Mar.
• Simon Gilchrist & Benoît Mojon, 2014, "Credit Risk in the Euro Area," NBER Working Papers, National Bureau of Economic Research, Inc, number 20041, Apr.
• Jess Benhabib & Pengfei Wang, 2014, "Private Information and Sunspots in Sequential Asset Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20044, Apr.
• Jerry Tsai & Jessica A. Wachter, 2014, "Rare Booms and Disasters in a Multi-sector Endowment Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20062, Apr.
• John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014, "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 20070, Apr.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2014, "Do ETFs Increase Volatility?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20071, Apr.
• Robert F. Stambaugh, 2014, "Investment Noise and Trends," NBER Working Papers, National Bureau of Economic Research, Inc, number 20072, Apr.
• Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014, "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers, National Bureau of Economic Research, Inc, number 20076, Apr.
• Lynn M. Fisher & Lauren Lambie-Hanson & Paul S. Willen, 2014, "The Role of Proximity in Foreclosure Externalities: Evidence from Condominiums," NBER Working Papers, National Bureau of Economic Research, Inc, number 20080, Apr.
• George M. Constantinides & Anisha Ghosh, 2014, "Asset Pricing with Countercyclical Household Consumption Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 20110, May.
• Drew D. Creal & Jing Cynthia Wu, 2014, "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 20115, May.
• Jing Cynthia Wu & Fan Dora Xia, 2014, "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound," NBER Working Papers, National Bureau of Economic Research, Inc, number 20117, May.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014, "Very Long-Run Discount Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 20133, May.
• Jonathan B. Berk & Jules H. van Binsbergen & Binying Liu, 2014, "Matching Capital and Labor," NBER Working Papers, National Bureau of Economic Research, Inc, number 20138, May.
• Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014, "A Model of Monetary Policy and Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 20141, May.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2014, "No-Bubble Condition: Model-free Tests in Housing Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20154, May.
• Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014, "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 20187, Jun.
• Daniel Andrei & Bruce Carlin & Michael Hasler, 2014, "Model Disagreement and Economic Outlook," NBER Working Papers, National Bureau of Economic Research, Inc, number 20190, Jun.
• David le Bris & William N. Goetzmann & Sébastien Pouget, 2014, "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers, National Bureau of Economic Research, Inc, number 20199, Jun.
• Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman, 2014, "Misspecified Recovery," NBER Working Papers, National Bureau of Economic Research, Inc, number 20209, Jun.
• Frederico Belo & Xiaoji Lin & Fan Yang, 2014, "External Equity Financing Shocks, Financial Flows, and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 20210, Jun.
• Esben Hedegaard & Robert J. Hodrick, 2014, "Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances," NBER Working Papers, National Bureau of Economic Research, Inc, number 20245, Jun.
• Marcin Kacperczyk & Jaromir B. Nosal & Luminita Stevens, 2014, "Investor Sophistication and Capital Income Inequality," NBER Working Papers, National Bureau of Economic Research, Inc, number 20246, Jun.
• Stefan Nagel, 2014, "The Liquidity Premium of Near-Money Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20265, Jun.
• Itamar Drechsler & Qingyi Freda Drechsler, 2014, "The Shorting Premium and Asset Pricing Anomalies," NBER Working Papers, National Bureau of Economic Research, Inc, number 20282, Jul.
• Morris A. Davis & Stijn Van Nieuwerburgh, 2014, "Housing, Finance and the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20287, Jul.
• Tarek A. Hassan & Rui C. Mano, 2014, "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers, National Bureau of Economic Research, Inc, number 20294, Jul.
• Alex Edmans & Lucius Li & Chendi Zhang, 2014, "Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World," NBER Working Papers, National Bureau of Economic Research, Inc, number 20300, Jul.
• Frank Schorfheide & Dongho Song & Amir Yaron, 2014, "Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 20303, Jul.
• David Backus & Axelle Ferriere & Stanley Zin, 2014, "Risk and Ambiguity in Models of Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc, number 20319, Jul.
• YiLi Chien & Harold L. Cole & Hanno Lustig, 2014, "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20328, Jul.
• Peter Benczur & Cosmin L. Ilut, 2014, "Evidence for Relational Contracts in Sovereign Bank Lending," NBER Working Papers, National Bureau of Economic Research, Inc, number 20391, Aug.
• Lars Peter Hansen, 2014, "Uncertainty Outside and Inside Economic Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 20394, Aug.
• Kent Daniel & Robert J. Hodrick & Zhongjin Lu, 2014, "The Carry Trade: Risks and Drawdowns," NBER Working Papers, National Bureau of Economic Research, Inc, number 20433, Aug.
• Jonathan B. Berk & Jules H. van Binsbergen, 2014, "Assessing Asset Pricing Models Using Revealed Preference," NBER Working Papers, National Bureau of Economic Research, Inc, number 20435, Aug.
• Lorenz Kueng, 2014, "Tax News: The Response of Household Spending to Changes in Expected Taxes," NBER Working Papers, National Bureau of Economic Research, Inc, number 20437, Aug.
• Kent Daniel & Tobias J. Moskowitz, 2014, "Momentum Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 20439, Aug.
• Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2014, "Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse," NBER Working Papers, National Bureau of Economic Research, Inc, number 20459, Sep.
• Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2014, "Asset Management Contracts and Equilibrium Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 20480, Sep.
• Nicolas S. Lambert & Michael Ostrovsky & Mikhail Panov, 2014, "Strategic Trading in Informationally Complex Environments," NBER Working Papers, National Bureau of Economic Research, Inc, number 20516, Sep.
• Darrell Duffie & Piotr Dworczak, 2014, "Robust Benchmark Design," NBER Working Papers, National Bureau of Economic Research, Inc, number 20540, Oct.
• Francis Longstaff, 2014, "Valuing Thinly-Traded Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20589, Oct.
• Robert Novy-Marx, 2014, "Understanding Defensive Equity," NBER Working Papers, National Bureau of Economic Research, Inc, number 20591, Oct.
• Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014, ". . . and the Cross-Section of Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 20592, Oct.
• Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill, 2014, "Competing for Order Flow in OTC Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20608, Oct.
• Darrell Duffie & Piotr Dworczak & Haoxiang Zhu, 2014, "Benchmarks in Search Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20620, Oct.
• Veronica Guerrieri & Robert Shimer, 2014, "Markets with Multidimensional Private Information," NBER Working Papers, National Bureau of Economic Research, Inc, number 20623, Oct.
• Hui Chen & Rui Cui & Zhiguo He & Konstantin Milbradt, 2014, "Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 20638, Oct.
• Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014, "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 20651, Oct.
• Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2014, "Momentum Trading, Return Chasing, and Predictable Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 20660, Nov.
• Daron Acemoglu & Tarek A. Hassan & Ahmed Tahoun, 2014, "The Power of the Street: Evidence from Egypt's Arab Spring," NBER Working Papers, National Bureau of Economic Research, Inc, number 20665, Nov.
• Anisha Ghosh & George M. Constantinides, 2014, "Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes," NBER Working Papers, National Bureau of Economic Research, Inc, number 20678, Nov.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2014, "Which Factors?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20682, Nov.
• Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014, "A Welfare Criterion for Models with Distorted Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 20691, Nov.
• Don H. Kim & Jonathan H. Wright, 2014, "Jumps in Bond Yields at Known Times," NBER Working Papers, National Bureau of Economic Research, Inc, number 20711, Nov.
• Robert Novy-Marx & Mihail Velikov, 2014, "A Taxonomy of Anomalies and their Trading Costs," NBER Working Papers, National Bureau of Economic Research, Inc, number 20721, Dec.
• Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014, "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 20744, Dec.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2014, "Heterogeneity in Decentralized Asset Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20746, Dec.
• Felix Gerding & Espen Henriksen & Ina Simonovska, 2014, "The Risky Capital of Emerging Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 20769, Dec.
• Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi, 2014, "Option-Based Credit Spreads," NBER Working Papers, National Bureau of Economic Research, Inc, number 20776, Dec.
• Sergey Chernenko & Samuel G. Hanson & Adi Sunderam, 2014, "The Rise and Fall of Demand for Securitizations," NBER Working Papers, National Bureau of Economic Research, Inc, number 20777, Dec.
• Benjamin Golez & Peter Koudijs, 2014, "Four Centuries of Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc, number 20814, Dec.
• Matti Keloharju & Juhani T. Linnainmaa & Peter Nyberg, 2014, "Common Factors in Return Seasonalities," NBER Working Papers, National Bureau of Economic Research, Inc, number 20815, Dec.
• Rudi Georgiev, 2014, "Valuation Issues Related To The Mutual Funds Assets," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, volume 10, issue 1, pages 2-10.
• Adam Hayes, 2014, "What Factors Give Cryptocurrencies Their Value: An Empirical Analysis," Working Papers, New School for Social Research, Department of Economics, number 1406, Dec, revised Mar 2015.
• Roseli da Silva & Mario Augusto Bertella & Renan de Almeida Magner Pereira, 2014, "Mercado de ações brasileiro: uma investigação empírica sobre suas relações de longo prazo e de precedência temporal précrise de 2008 [Brazilian stock market: An empirical investigation of its long-term relationships and 2008 pre-crisis temporal prece," Nova Economia, Economics Department, Universidade Federal de Minas Gerais (Brazil), volume 24, issue 2, pages 317-336, May-Augus.
• Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam, 2014, "The Empirical Analysis of Liquidity," Foundations and Trends(R) in Finance, now publishers, volume 8, issue 4, pages 263-365, December, DOI: 10.1561/0500000045.
• Secomandi, Nicola & Seppi, Duane J., 2014, "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, volume 6, issue 3-4, pages 161-331, July, DOI: 10.1561/0200000024.
• Evgeniya Mikova & Tamara Teplova, 2014, "Seasonal Effect for Explaining Price Momentum Failure in the Japanese Stock Market," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 3, pages 25-42, October.
• Dimiter Nenkov, 2014, "The Recent Records on the US Stock Market – High Intrinsic Value or Just Another Bubble?," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 5-16, December.
• Maryam Sami & Sandro Brusco, 2014, "Reputational Concerns and Price Comovements," Department of Economics Working Papers, Stony Brook University, Department of Economics, number 14-05.
• Anella Munro, 2014, "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2014/01, Jan.
• Sebastian Schich & Yesim Aydin, 2014, "Measurement and analysis of implicit guarantees for bank debt: OECD survey results," OECD Journal: Financial Market Trends, OECD Publishing, volume 2014, issue 1, pages 39-67, DOI: 10.1787/fmt-2014-5jxzbv3r9rf4.
• Sebastian Schich & Michiel Bijlsma & Remco Mocking, 2014, "Improving the monitoring of the value of implicit guarantees for bank debt," OECD Journal: Financial Market Trends, OECD Publishing, volume 2014, issue 1, pages 7-37, DOI: 10.1787/fmt-2014-5jxzmkgjnt9x.
• Eduardo Olaberría, 2014, "US Long Term Interest Rates and Capital Flows to Emerging Economies," OECD Economics Department Working Papers, OECD Publishing, number 1155, Jul, DOI: 10.1787/5jz0wh67l733-en.
• Fudulache Adina Elena, 2014, "Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]," Revista OEconomica, Romanian Society for Economic Science, Revista OEconomica, issue 02, June.
• Rui Albuquerque & Tarun Ramadorai & Sumudu W. Watugala, 2014, "Trade Credit and Cross-country Predictable Firm Returns," Staff Discussion Papers, Office of Financial Research, US Department of the Treasury, number 14-04, Nov.
• Teodor Hada & Teodora Maria Avram, 2014, "Aspects Concerning The Determination Of Bankruptcy Risk By Solvency And Liquidity Ratios In The Companies Listed On The Bucharest Stock Exchange," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 632-640, July.
• Ciumas Cristina & Chis Diana-Maria, 2014, "Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 864-873, July.
• Thomas Goda & Photis Lysandrou, 2014, "The contribution of wealth concentration to the subprime crisis: a quantitative estimation," Cambridge Journal of Economics, Cambridge Political Economy Society, volume 38, issue 2, pages 301-327.
• Richard S. Grossman & Ronan C. Lyons & Kevin Hjortshøj O'rourke & Madalina A. Ursu, 2014, "A monthly stock exchange index for Ireland, 1864–1930," European Review of Economic History, European Historical Economics Society, volume 18, issue 3, pages 248-276.
• Peter Carr & Liuren Wu, 2014, "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 3-46.
• Rama Cont & Arseniy Kukanov & Sasha Stoikov, 2014, "The Price Impact of Order Book Events," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 47-88.
• Christian Gourieroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2014, "Regime Switching and Bond Pricing," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 2, pages 237-277.
• Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014, "A Welfare Criterion For Models With Distorted Beliefs," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 129, issue 4, pages 1753-1797.
• Ariel M. Viale & Luis Garcia-Feijoo & Antoine Giannetti, 2014, "Safety First, Learning Under Ambiguity, and the Cross-Section of Stock Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 4, issue 1, pages 118-159.
• Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi & Tan Wang, 2014, "Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity," The Review of Asset Pricing Studies, Society for Financial Studies, volume 4, issue 1, pages 39-77.
• Thomas Gilbert & Christopher Hrdlicka & Jonathan Kalodimos & Stephan Siegel, 2014, "Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas," The Review of Asset Pricing Studies, Society for Financial Studies, volume 4, issue 1, pages 78-117.
• Zhihua Chen & Aziz A. Lookman & Norman Schürhoff & Duane J. Seppi, 2014, "Rating-Based Investment Practices and Bond Market Segmentation," The Review of Asset Pricing Studies, Society for Financial Studies, volume 4, issue 2, pages 162-205.
• Peter O. Christensen & Kasper Larsen, 2014, "Incomplete Continuous-Time Securities Markets with Stochastic Income Volatility," The Review of Asset Pricing Studies, Society for Financial Studies, volume 4, issue 2, pages 247-285.
• Kenneth Kasa & Todd B. Walker & Charles H. Whiteman, 2014, "Heterogeneous Beliefs and Tests of Present Value Models," The Review of Economic Studies, Review of Economic Studies Ltd, volume 81, issue 3, pages 1137-1163.
• Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014, "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, volume 18, issue 1, pages 219-269.
• Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014, "International Diversification Benefits with Foreign Exchange Investment Styles," Review of Finance, European Finance Association, volume 18, issue 5, pages 1847-1883.
• Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2014, "The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 9803, Feb.
• Veronesi, Pietro & Pástor, LuboÅ¡ & Kelly, Bryan, 2014, "The Price of Political Uncertainty: Theory and Evidence from the Option Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 9822, Feb.
• Nakov, Anton & Nuño, Galo, 2014, "Learning from Experience in the Stock Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 9845, Feb.
• Accominotti, Olivier & Chambers, David, 2014, "Out-of-Sample Evidence on the Returns to Currency Trading," CEPR Discussion Papers, Centre for Economic Policy Research, number 9852, Mar.
• Vayanos, Dimitri & Kondor, Péter, 2014, "Liquidity Risk and the Dynamics of Arbitrage Capital," CEPR Discussion Papers, Centre for Economic Policy Research, number 9885, Mar.
• Gehrig, Thomas & Haas, Marlene, 2014, "Lehman Brothers: What Did Markets Know?," CEPR Discussion Papers, Centre for Economic Policy Research, number 9893, Mar.
• Farmer, Roger, 2014, "Asset Prices in a Lifecycle Economy," CEPR Discussion Papers, Centre for Economic Policy Research, number 9897, Mar.
• Portes, Richard & Delatte, Anne-Laure, 2014, "Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts," CEPR Discussion Papers, Centre for Economic Policy Research, number 9898, Mar.
• Campbell, John Y & Ranish, Benjamin, 2014, "Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience," CEPR Discussion Papers, Centre for Economic Policy Research, number 9907, Mar.
• Voth, Hans-Joachim & Koudijs, Peter, 2014, "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," CEPR Discussion Papers, Centre for Economic Policy Research, number 9920, Mar.
• Rossi, Stefano & Tinn, Katrin, 2014, "Man or machine? Rational trading without information about fundamentals," CEPR Discussion Papers, Centre for Economic Policy Research, number 9958, May.
• Giglio, Stefano & Ströbel, Johannes & Maggiori, Matteo, 2014, "No-Bubble Condition: Model-Free Tests in Housing Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 9978, May.
• Marcet, Albert & Adam, Klaus & Beutel, Johannes, 2014, "Stock Price Booms and Expected Capital Gains," CEPR Discussion Papers, Centre for Economic Policy Research, number 9988, May.
• Jan Voelzke, 2014, "Weakening the Gain-Loss-Ratio measure to make it stronger," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 3114, Jun.
• Kalle Rinne & Matti Suominen, 2014, "Mutual Funds’ Returns from Providing Liquidity and Costs of Immediacy," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 14-01.
• Roman Kräussl & Narasimhan Jegadeesh & Joshua M. Pollet, 2014, "Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 14-04.
• Christian Wolff & Thorsten Lehnert & Yuehao Lin, 2014, "Skewness Risk Premium: Theory and Empirical Evidence," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 14-05.
• Thorsten Lehnert & Gildas Blanchard & Dennis Bams, 2014, "Evaluating Option Pricing Model Performance Using Model Uncertainty," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 14-06.
• Roman Kräussl & Thorsten Lehnert & Nicolas Martelin, 2014, "Is there a Bubble in the Art Market?," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 14-07.
• Thorsten Lehnert & Yuehao Lin, 2014, "Skewness Term Structure Tests," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 14-08.
• Tibor Neugebauer & Daniela Di Cagno & Carlos Rodriguez-Palmero, & Abdolkarim Sadrieh, 2014, "Recall Searching with and without Recall," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 14-09.
• Denitsa Stefanova & Arjen Siegmann, 2014, "The Evolving Beta-Liquidity Relationship of Hedge Funds," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 14-12.
• Groba, Jonatan & Serrano, Pedro & Lafuente Luengo, Juan Ángel, 2014, "On the compensation for illiquidity in sovereign credit markets," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb142911, Oct.
• Julián Andrada-Félix & Adrián Fernández-Pérez & Fernando Fernández-Rodríguez, 2014, "La estructura temporal de los tipos de interés: estrategias de negociación en renta fija," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 37, issue 105, pages 131-149, Septiembr.
• Gagliardini, Patrick & Gourieroux, Christian, 2014, "Efficiency In Large Dynamic Panel Models With Common Factors," Econometric Theory, Cambridge University Press, volume 30, issue 5, pages 961-1020, October.
• Rangvid, Jesper & Schmeling, Maik & Schrimpf, Andreas, 2014, "Dividend Predictability Around the World," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 49, issue 5-6, pages 1255-1277, December.
• Chun, Olfa Maalaoui & Dionne, Georges & François, Pascal, 2014, "Detecting Regime Shifts in Credit Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 49, issue 5-6, pages 1339-1364, December.
• Parke, William R. & Waters, George A., 2014, "On The Evolutionary Stability Of Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, volume 18, issue 7, pages 1581-1606, October.
• J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello, 2014, "Discounting the Distant Future," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1951, Jul.
• Jouini, Elyès & Roon, Frans Adrianus de (ed.), 2014, "Portfolio choice and asset pricing with endogenous beliefs and skewness preference," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14624.
• Avouyi-Dovi, Sanvi (ed.), 2014, "Le système financier indien à l'épreuve de la crise," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14810.
• 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.