Research classified by Journal of Economic Literature (JEL) codes

2013

• Banu Simmons-Sueer, 2013, "Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich, number 13-328, Jan, DOI: 10.3929/ethz-a-007611520.
• Chia-Lin Chang & David E Allen & Michael McAleer, 2013, "Recent Developments in Financial Economics and Econometrics:An Overview," KIER Working Papers, Kyoto University, Institute of Economic Research, number 842, Jan.
• Robert J. Elliott & Katsumasa Nishide, 2013, "Pricing of Discount Bonds with a Markov Switching Regime　," KIER Working Papers, Kyoto University, Institute of Economic Research, number 859, Apr.
• Chiaki Hara, 2013, "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs　," KIER Working Papers, Kyoto University, Institute of Economic Research, number 862, Apr.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," KIER Working Papers, Kyoto University, Institute of Economic Research, number 873, Jul.
• Yawen Hudson & Christopher J. Green, 2013, "Born in the USA? Contagious investor sentiment and UK equity returns," Discussion Paper Series, Department of Economics, Loughborough University, number 2013_13, Nov, revised Nov 2013.
• Antony Jackson & Daniel Ladley, 2013, "Market Ecologies: The Interaction and Profitability of Technical Trading Strategies," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 13/02, Jan.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2013, "Fundamentally Wrong: Market Pricing Of Sovereigns And The Greek Financial Crisis," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 13/20, Sep.
• Michael McAleer & Kim Radalj, 2013, "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 307-329.
• Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova, 2013, "Sovereign Risk and Asset and Liability Management—Conceptual Issues," Journal of Reviews on Global Economics, Lifescience Global, volume 2, pages 330-355.
• Fabian Irek & Thorsten Lehnert, 2013, "Do Fund Investors Know that Risk is Sometimes not Priced?," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-1.
• Jean-François Carpantier & Christelle Sapata, 2013, "Empirical Welfare Analysis: When Preferences Matter," DEM Discussion Paper Series, Department of Economics at the University of Luxembourg, number 13-11.
• Jean-Sébastien Michel & J. Ari Pandes, 2013, "Why Do Analysts Disagree ?," Cahiers de recherche, CIRPEE, number 1305.
• Georges Dionne & Olfa Maalaoui Chun, 2013, "Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period," Cahiers de recherche, CIRPEE, number 1322.
• David Ardia & Kris Boudt, 2013, "Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy," Cahiers de recherche, CIRPEE, number 1328.
• Bianca De Paoli & Pawel Zabczyk, 2013, "Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 1, pages 1-36, February, DOI: j.1538-4616.2012.00560.x.
• Chang-Jin Kim & Cheolbeom Park, 2013, "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 5, pages 933-952, August.
• Mohammad R. Jahan-Parvar & Xuan Liu & Philip Rothman, 2013, "Equity Returns and Business Cycles in Small Open Economies," Journal of Money, Credit and Banking, Blackwell Publishing, volume 45, issue 6, pages 1117-1146, September.
• Shiba Suzuki, 2013, "An Exploration of the Effect of Doubt During Disasters on Equity Premiums," Discussion Papers, Meisei University, School of Economics, number 22, Feb.
• David S. Sun & Shih-Chuan Tsai & Wei Wang, 2013, "Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 49, issue S3, pages 47-61, July.
• Dimitrios V Kousenidis & Christos Negakis, 2013, "The Underperformance of Young Closed-End Funds in Greece," Multinational Finance Journal, Multinational Finance Journal, volume 17, issue 1-2, pages 107-148, March - J.
• Claudio Morana, 2013, "The oil price-macroeconomy relationship since the mid-1980s: A global perspective," Working Papers, University of Milano-Bicocca, Department of Economics, number 223, Feb, revised Feb 2013.
• Fabio C. Bagliano & Claudio Morana, 2013, "Determinants of US Financial fragility conditions," Working Papers, University of Milano-Bicocca, Department of Economics, number 224, Feb, revised Feb 2013.
• Claudio Morana, 2013, "Oil price dynamics, macro-finance interactions and the role of financial speculation," Working Papers, University of Milano-Bicocca, Department of Economics, number 225, Nov, revised Nov 2013.
• Ahmad Naimzada & Marina Pireddu, 2013, "Dynamic behavior of real and stock markets with a varying degree of interaction," Working Papers, University of Milano-Bicocca, Department of Economics, number 245, Jun, revised Jun 2013.
• Claudio Morana, 2013, "Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," Working Papers, University of Milano-Bicocca, Department of Economics, number 264, Dec, revised Dec 2013.
• Szilárd Erhart & Imre Ligeti & Zoltán Molnár, 2013, "Reasons for the LIBOR review and its effects on international interbank reference rate quotations," MNB Bulletin (discontinued), Magyar Nemzeti Bank (Central Bank of Hungary), volume 8, issue 1, pages 23-34, January.
• Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2013, "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0038, Jul.
• Lisa Mattioli & Riccardo Ferretti, 2013, "La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi", number 0039, Aug.
• Shin-ichi Fukuda & Mariko Tanaka, 2013, "Financial Crises and Risk Premiums in International Interbank Markets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 1, pages 117-138, January.
• Seiichiro Iwasawa & Tomonori Uchiyama, 2013, "A Behavioral Economics Exploration into the "Volatility Anomaly" ``," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 457-490, September.
• Kozo Omori, 2013, "The Risk Parity Portfolio and the Low-Risk Asset Anomaly," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 491-514, September.
• Toshiki Honda, 2013, "Risk and Return in Japanese Equity Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 515-530, September.
• Satoshi Sakamaki, 2013, "The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, volume 9, issue 3, pages 531-552, September.
• Svetlana Maslyuka & Kristian Rotarub & Alexander Dokumentovc, 2013, "Price Discontinuities in Energy Spot and Futures Prices," Monash Economics Working Papers, Monash University, Department of Economics, number 33-13, Jul.
• Flavio Bazzana & Eleonora Broccardo, 2013, "The role of bondholder coordination in freeze-out exchange offers," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 67-84, January.
• Nadia Linciano & Luca Giordano & Paola Soccorso, 2013, "Sovereign risk premia in the Euro Area and the role of contagion," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 85-114, January.
• Dennis W. Jansen, 2013, "Understanding the Sum of Perpetuities Method for Valuing Stock Prices," Journal of Economic Insight, Missouri Valley Economic Association, volume 39, issue 1, pages 65-72.
• Kristjanpoller Rodríguez Werner, 2013, "Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos," Contaduría y Administración, Accounting and Management, volume 58, issue 1, pages 37-62, enero-mar.
• Schauten Marc B. J., 2013, "Three discount methods for valuing projects and the required return on equity," Contaduría y Administración, Accounting and Management, volume 58, issue 1, pages 63-85, enero-mar.
• De la Torre Torres Oscar Valdemar & Martínez Torre Enciso, María Isabel, 2013, "¿Han sido el IBEX35 y el IPC definiciones financieramente eficientes del portafolio de mercado?," Contaduría y Administración, Accounting and Management, volume 58, issue 4, pages 223-252, octubre-d.
• Agnieszka Tułodziecka & Agnieszka Nierodka, 2013, "Activating the covered bonds market in Poland – the need for regulatory improvements," Chapters from NBP Conference Publications, Narodowy Bank Polski, chapter 10, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski, "Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis, 2013".
• Martin Lux & Petr Sunega, 2013, "Impact of the economic crisis on house prices in the Czech Republic measured on hedonic price index on bank data," Chapters from NBP Conference Publications, Narodowy Bank Polski, chapter 17, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski, "Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis, 2013".
• Rafał Sieradzki, 2013, "Does it pay to invest in IPOs? Evidence from the Warsaw Stock Exchange," NBP Working Papers, Narodowy Bank Polski, number 139.
• Dariusz Gatarek & Juliusz Jabłecki, 2013, "A model for dependent defaults and pricing contingent claims with counterparty risk," NBP Working Papers, Narodowy Bank Polski, number 150.
• Edward L. Glaeser & Todd Sinai, 2013, "Housing and the Financial Crisis," NBER Books, National Bureau of Economic Research, Inc, number glae11-1, December.
• Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2014, "Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files," NBER Chapters, National Bureau of Economic Research, Inc, "The Economics of Food Price Volatility".
• Venky Venkateswaran & Randall Wright, 2013, "Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2013, Volume 28".
• Martin Lettau & Sydney C. Ludvigson, 2013, "Shocks and Crashes," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2013, Volume 28".
• Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2013, "The Impact of Treasury Supply on Financial Sector Lending and Stability," NBER Chapters, National Bureau of Economic Research, Inc, "New Perspectives on Corporate Capital Structure".
• Jordi Galí & Luca Gambetti, 2013, "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Chapters, National Bureau of Economic Research, Inc, "Lessons from the Financial Crisis for Monetary Policy".
• Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013, "Winners and Losers: Creative Destruction and the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 18671, Jan.
• James J. Choi & Li Jin & Hongjun Yan, 2013, "Informed Trading and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18680, Jan.
• Robin Greenwood & Andrei Shleifer, 2013, "Expectations of Returns and Expected Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18686, Jan.
• Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer, 2013, "Salience and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 18708, Jan.
• Gary B. Gorton & Guillermo Ordoñez, 2013, "The Supply and Demand for Safe Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 18732, Jan.
• Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon, 2013, "Measuring Sovereign Contagion in Europe," NBER Working Papers, National Bureau of Economic Research, Inc, number 18741, Jan.
• Robert J. Barro & Sanjay P. Misra, 2013, "Gold Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 18759, Feb.
• John H. Cochrane, 2013, "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 18768, Feb.
• Urban Jermann, 2013, "A Production-Based Model for the Term Structure," NBER Working Papers, National Bureau of Economic Research, Inc, number 18774, Feb.
• Holger Kraft & Eduardo S. Schwartz & Farina Weiss, 2013, "Growth Options and Firm Valuation," NBER Working Papers, National Bureau of Economic Research, Inc, number 18836, Feb.
• Martin Lettau & Matteo Maggiori & Michael Weber, 2013, "Conditional Risk Premia in Currency Markets and Other Asset Classes," NBER Working Papers, National Bureau of Economic Research, Inc, number 18844, Feb.
• Wei Xiong, 2013, "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 18905, Mar.
• Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," NBER Working Papers, National Bureau of Economic Research, Inc, number 18922, Mar.
• Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist, 2013, "Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," NBER Working Papers, National Bureau of Economic Research, Inc, number 18984, Apr.
• Geert Bekaert & Marie Hoerova, 2013, "The VIX, the Variance Premium and Stock Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 18995, Apr.
• Venky Venkateswaran & Randall Wright, 2013, "Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity," NBER Working Papers, National Bureau of Economic Research, Inc, number 19009, May.
• Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2013, "Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files," NBER Working Papers, National Bureau of Economic Research, Inc, number 19065, May.
• Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame, 2013, "'Lucas' In The Laboratory," NBER Working Papers, National Bureau of Economic Research, Inc, number 19068, May.
• Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2013, "Flights to Safety," NBER Working Papers, National Bureau of Economic Research, Inc, number 19095, May.
• Rajnish Mehra, 2013, "Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 19146, Jun.
• Adrian Buss & Bernard Dumas, 2013, "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers, National Bureau of Economic Research, Inc, number 19155, Jun.
• Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz, 2013, "Commodity and Asset Pricing Models: An Integration," NBER Working Papers, National Bureau of Economic Research, Inc, number 19167, Jun.
• Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2013, "X-CAPM: An Extrapolative Capital Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 19189, Jun.
• Andrew Ang & Neil Nabar & Sam Wald, 2013, "Search for a Common Factor in Public and Private Real Estate Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 19194, Jul.
• Nicolas Petrosky-Nadeau & Lu Zhang, 2013, "Unemployment Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 19207, Jul.
• Robin Greenwood & Samuel Hanson, 2013, "Waves in Ship Prices and Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 19246, Jul.
• Robert J. Barro, 2013, "Environmental Protection, Rare Disasters, and Discount Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 19258, Jul.
• Luigi Guiso & Paola Sapienza & Luigi Zingales, 2013, "Time Varying Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 19284, Aug.
• Yen-cheng Chang & Harrison Hong & Inessa Liskovich, 2013, "Regression Discontinuity and the Price Effects of Stock Market Indexing," NBER Working Papers, National Bureau of Economic Research, Inc, number 19290, Aug.
• Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013, "Asset Pricing in the Dark: The Cross Section of OTC Stocks," NBER Working Papers, National Bureau of Economic Research, Inc, number 19309, Aug.
• Arthur Korteweg & Stefan Nagel, 2013, "Risk-Adjusting the Returns to Venture Capital," NBER Working Papers, National Bureau of Economic Research, Inc, number 19347, Aug.
• Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner, 2013, "The Twilight Zone: OTC Regulatory Regimes and Market Quality," NBER Working Papers, National Bureau of Economic Research, Inc, number 19358, Aug.
• David Backus & Mikhail Chernov & Stanley E. Zin, 2013, "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 19360, Aug.
• Robert Ready & Nikolai Roussanov & Colin Ward, 2013, "Commodity Trade and the Carry Trade: a Tale of Two Countries," NBER Working Papers, National Bureau of Economic Research, Inc, number 19371, Aug.
• Bryan Kelly & Hao Jiang, 2013, "Tail Risk and Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 19375, Aug.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2013, "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," NBER Working Papers, National Bureau of Economic Research, Inc, number 19381, Aug.
• Avanidhar Subrahmanyam & Sheridan Titman, 2013, "Financial Market Shocks and the Macroeconomy," NBER Working Papers, National Bureau of Economic Research, Inc, number 19383, Aug.
• Yuming Fu & Wenlan Qian & Bernard Yeung, 2013, "Speculative Investors and Tobin's Tax in the Housing Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 19400, Sep.
• Ian Dew-Becker & Stefano Giglio, 2013, "Asset Pricing in the Frequency Domain: Theory and Empirics," NBER Working Papers, National Bureau of Economic Research, Inc, number 19416, Sep.
• Lauren Cohen & Dong Lou & Christopher Malloy, 2013, "Playing Favorites: How Firms Prevent the Revelation of Bad News," NBER Working Papers, National Bureau of Economic Research, Inc, number 19429, Sep.
• Andrew Ang & Dimitris Papanikolaou & Mark Westerfield, 2013, "Portfolio Choice with Illiquid Assets," NBER Working Papers, National Bureau of Economic Research, Inc, number 19436, Sep.
• Andrew Ang & Richard C. Green & Yuhang Xing, 2013, "Advance Refundings of Municipal Bonds," NBER Working Papers, National Bureau of Economic Research, Inc, number 19459, Sep.
• Linda S. Goldberg & Christian Grisse, 2013, "Time Variation in Asset Price Responses to Macro Announcements," NBER Working Papers, National Bureau of Economic Research, Inc, number 19523, Oct.
• Yacine Aït-Sahalia & Mehmet Saglam, 2013, "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers, National Bureau of Economic Research, Inc, number 19531, Oct.
• Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici, 2013, "The Joint Cross Section of Stocks and Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 19590, Oct.
• Sang Byung Seo & Jessica A. Wachter, 2013, "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 19611, Nov.
• Pierre Collin-Dufresne & Vyacheslav Fos, 2013, "Moral Hazard, Informed Trading, and Stock Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 19619, Nov.
• Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013, "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers, National Bureau of Economic Research, Inc, number 19623, Nov.
• Jakub W. Jurek & Erik Stafford, 2013, "The Cost of Capital for Alternative Investments," NBER Working Papers, National Bureau of Economic Research, Inc, number 19643, Nov.
• Andrea Frazzini & David Kabiller & Lasse H. Pedersen, 2013, "Buffett's Alpha," NBER Working Papers, National Bureau of Economic Research, Inc, number 19681, Nov.
• Efstathios Avdis & Jessica A. Wachter, 2013, "Maximum likelihood estimation of the equity premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 19684, Nov.
• Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2013, "Parameter Learning in General Equilibrium: The Asset Pricing Implications," NBER Working Papers, National Bureau of Economic Research, Inc, number 19705, Dec.
• Marzena Rostek & Ji Hee Yoon, 2013, "Private Information in Markets: A Market Design Perspective," Working Papers, NET Institute, number 13-21, Sep.
• Petru CATAN & Viorica ŞEPTELICI, 2013, "Financial Stability Review Of The Microfinance Sector In Moldova," ECONOMY AND SOCIOLOGY: Theoretical and Scientifical Journal, Socionet;Complexul Editorial "INCE", issue 3, pages 89-95.
• Patnaik, Ila & Shah, Ajay, 2013, "The investment technology of foreign and domestic institutional investors in an emerging market," Working Papers, National Institute of Public Finance and Policy, number 13/124, Jun.
• G. Lamé, 2013, "Was there a « Greenspan Conundrum » in the Euro area?," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2013-10.
• Luis Alberiko Gil-Alaña & Trilochan Tripathy, 2013, "Modelling volatility persistence and asymmetry: a study on selected Indian non-ferrous metals markets," NCID Working Papers, Navarra Center for International Development, University of Navarra, number 11/2013, Dec.
• Leo Krippner, 2013, "A tractable framework for zero lower bound Gaussian term structure models," Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand, number DP2013/02, Jan.
• Łukasz Rawdanowicz & Romain Bouis & Shingo Watanabe, 2013, "The Benefits and Costs of Highly Expansionary Monetary Policy," OECD Economics Department Working Papers, OECD Publishing, number 1082, Aug, DOI: 10.1787/5k41zq8lwj9v-en.
• Stephan Barisitz, 2013, "Nonperforming Loans in Western Europe – A Selective Comparison of Countries and National Definitions," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 28-47.
• Stephan Barisitz, 2013, "Nonperforming Loans in CESEE – An Even Deeper Definitional Comparison," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 67-84.
• Martin Schneider, 2013, "Are Recent Increases of Residential Property Prices in Vienna and Austria Justified by Fundamentals?," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 29-46.
• Thomas Breuer & Martin Summer & Hans-Joachim Vollbrecht, 2013, "Endogenous Leverage and Asset Pricing in Double Auctions," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 184, Jul.
• BAKO Elena Dana & SECHEL Ioana Cristina, 2013, "Technical And Fundamental Anomalies. Paradoxes Of Modern Stock Exchange Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 37-43, July.
• Copil Crina Angela, 2013, "Investment Funds In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 608-617, July.
• CIOBANU Gheorghe & SECHEL Ioana Cristina, 2013, "Paradoxes Of Modern Stock Exchange Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 1, pages 89-96, July.
• Tarnaczi Tibor & Kulcsar Edina, 2013, "The Comparative Risk And Performance Analysis Of Hungarian And Romanian Exchange Indices," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 451-462, December.
• Burja Vasile, 2013, "Economic Value Added And Stakeholders Interests," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 512-522, December.
• Alain Monfort & Jean-Paul Renne, 2013, "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 2, pages 221-262, March.
• Erkko Etula, 2013, "Broker-Dealer Risk Appetite and Commodity Returns," Journal of Financial Econometrics, Oxford University Press, volume 11, issue 3, pages 486-521, June.
• Peter Carr & Liuren Wu, 2013, "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 1, pages 3-46, December.
• Bianca De Paoli & Pawel Zabczyk, 2013, "Policy design in a model with swings in risk appetite," Oxford Economic Papers, Oxford University Press, volume 65, issue suppl_1, pages 146-169, April.
• John Muellbauer, 2013, "Conditional eurobonds and the eurozone sovereign debt crisis," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, volume 29, issue 3, pages 610-645, AUTUMN.
• Alp Simsek, 2013, "Speculation and Risk Sharing with New Financial Assets," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 128, issue 3, pages 1365-1396.
• Jonathan B. Berk & Johan Walden, 2013, "Limited Capital Market Participation and Human Capital Risk," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 1, pages 1-37.
• Michael Brennan & Sahn-Wook Huh & Avanidhar Subrahmanyam, 2013, "An Analysis of the Amihud Illiquidity Premium," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 1, pages 133-176.
• Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013, "The Wealth-Consumption Ratio," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 1, pages 38-94.
• John Y. Campbell & Stefano Giglio & Christopher Polk, 2013, "Hard Times," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 1, pages 95-132.
• Eugene F. Fama, 2013, "Does the Fed Control Interest Rates?," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 2, pages 180-199.
• James S. Doran & Andy Fodor & Danling Jiang, 2013, "Call-Put Implied Volatility Spreads and Option Returns," The Review of Asset Pricing Studies, Society for Financial Studies, volume 3, issue 2, pages 258-290.
• Gary B. Gorton & Fumio Hayashi & K. Geert Rouwenhorst, 2013, "The Fundamentals of Commodity Futures Returns," Review of Finance, European Finance Association, volume 17, issue 1, pages 35-105.
• Elyès Jouini & Clotilde Napp & Yannick Viossat, 2013, "Evolutionary Beliefs and Financial Markets," Review of Finance, European Finance Association, volume 17, issue 2, pages 727-766.
• Pavel Bandarchuk & Jens Hilscher, 2013, "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Review of Finance, European Finance Association, volume 17, issue 2, pages 809-845.
• James J. Choi & Li Jin & Hongjun Yan, 2013, "What Does Stock Ownership Breadth Measure?," Review of Finance, European Finance Association, volume 17, issue 4, pages 1239-1278.
• Avanidhar Subrahmanyam & Sheridan Titman, 2013, "Financial Market Shocks and the Macroeconomy," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 11, pages 2687-2717.
• Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013, "Asset Pricing in the Dark: The Cross-Section of OTC Stocks," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 12, pages 2985-3028.
• Ron Kaniel & Péter Kondor, 2013, "The Delegated Lucas Tree," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 4, pages 929-984.
• Alex Edmans & Vivian W. Fang & Emanuel Zur, 2013, "The Effect of Liquidity on Governance," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 6, pages 1443-1482.
• Cristina Cella & Andrew Ellul & Mariassunta Giannetti, 2013, "Investors' Horizons and the Amplification of Market Shocks," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 7, pages 1607-1648.
• Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013, "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 8, pages 1914-1961.
• Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013, "Macro-expectations, aggregate uncertainty, and expected term premia," European Economic Review, Elsevier, volume 58, issue C, pages 58-80, DOI: 10.1016/j.euroecorev.2012.11.005.
• Zervou, Anastasia S., 2013, "Financial market segmentation, stock market volatility and the role of monetary policy," European Economic Review, Elsevier, volume 63, issue C, pages 256-272, DOI: 10.1016/j.euroecorev.2013.06.005.
• Kinnunen, Jyri, 2013, "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, volume 15, issue C, pages 107-121, DOI: 10.1016/j.ememar.2012.12.001.
• Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013, "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, volume 15, issue C, pages 122-135, DOI: 10.1016/j.ememar.2013.01.002.
• Blitz, David & Pang, Juan & van Vliet, Pim, 2013, "The volatility effect in emerging markets," Emerging Markets Review, Elsevier, volume 16, issue C, pages 31-45, DOI: 10.1016/j.ememar.2013.02.004.
• Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas, 2013, "Credit cycle dependent spread determinants in emerging sovereign debt markets," Emerging Markets Review, Elsevier, volume 17, issue C, pages 209-223, DOI: 10.1016/j.ememar.2013.03.002.
• Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos, 2013, "Aggregational Gaussianity and barely infinite variance in financial returns," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 102-108, DOI: 10.1016/j.jempfin.2012.11.003.
• Du, Ding, 2013, "Another look at the cross-section and time-series of stock returns: 1951 to 2011," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 130-146, DOI: 10.1016/j.jempfin.2012.12.001.
• Muñoz, Francisco, 2013, "Liquidity and firm investment: Evidence for Latin America," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 18-29, DOI: 10.1016/j.jempfin.2012.10.001.
• Perron, Pierre & Chun, Sungju & Vodounou, Cosme, 2013, "Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2012.10.002.
• Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle, 2013, "A global approach to mutual funds market timing ability," Journal of Empirical Finance, Elsevier, volume 20, issue C, pages 96-101, DOI: 10.1016/j.jempfin.2012.11.001.
• Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013, "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 102-120, DOI: 10.1016/j.jempfin.2012.12.003.
• Blau, Benjamin M. & Pinegar, J. Michael, 2013, "Are short sellers incrementally informed prior to earnings announcements?," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 142-155, DOI: 10.1016/j.jempfin.2013.01.005.
• Zinna, Gabriele, 2013, "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 15-35, DOI: 10.1016/j.jempfin.2012.12.006.
• Becker, Christoph & Schmidt, Wolfgang M., 2013, "Stressing correlations and volatilities — A consistent modeling approach," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 174-194, DOI: 10.1016/j.jempfin.2012.12.009.
• Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien, 2013, "An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 195-213, DOI: 10.1016/j.jempfin.2013.01.003.
• Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg, 2013, "Does monetary policy determine stock market liquidity? New evidence from the euro zone," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 54-68, DOI: 10.1016/j.jempfin.2012.12.008.
• Wagner, Niklas & Winter, Elisabeth, 2013, "A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 69-85, DOI: 10.1016/j.jempfin.2012.12.005.
• Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R., 2013, "What do the Fama–French factors add to C-CAPM?," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 113-127, DOI: 10.1016/j.jempfin.2013.04.002.
• Li, Minqiang, 2013, "An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 128-139, DOI: 10.1016/j.jempfin.2013.04.004.
• Baele, Lieven & Londono, Juan M., 2013, "Understanding industry betas," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 30-51, DOI: 10.1016/j.jempfin.2013.02.003.
• Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y., 2013, "Does mortality improvement increase equity risk premiums? A risk perception perspective," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 67-77, DOI: 10.1016/j.jempfin.2013.03.002.
• Kim, Hwagyun & Park, Hail, 2013, "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 78-93, DOI: 10.1016/j.jempfin.2013.03.003.
• Rossi, Eduardo & Santucci de Magistris, Paolo, 2013, "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, volume 22, issue C, pages 94-112, DOI: 10.1016/j.jempfin.2013.03.004.
• Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2013, "Illiquidity shocks and the comovement between stocks: New evidence using smooth transition," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 1-15, DOI: 10.1016/j.jempfin.2013.04.001.
• Ammann, Manuel & Buesser, Ralf, 2013, "Variance risk premiums in foreign exchange markets," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 16-32, DOI: 10.1016/j.jempfin.2013.04.006.
• Post, Thierry & Kopa, Miloš, 2013, "Aggregate investor preferences and beliefs: A comment," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 187-190, DOI: 10.1016/j.jempfin.2013.06.003.
• Lambert, M. & Hübner, G., 2013, "Comoment risk and stock returns," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 191-205, DOI: 10.1016/j.jempfin.2013.07.001.
• Romano, Joseph P. & Wolf, Michael, 2013, "Testing for monotonicity in expected asset returns," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 93-116, DOI: 10.1016/j.jempfin.2013.05.001.
• Koop, Gary & Tole, Lise, 2013, "Modeling the relationship between European carbon permits and certified emission reductions," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 166-181, DOI: 10.1016/j.jempfin.2013.10.005.
• Gourieroux, C. & Monfort, A., 2013, "Linear-price term structure models," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 24-41, DOI: 10.1016/j.jempfin.2013.07.004.
• Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013, "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 42-62, DOI: 10.1016/j.jempfin.2013.08.001.
• Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho, 2013, "Autocorrelation and partial price adjustment," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 78-93, DOI: 10.1016/j.jempfin.2013.08.003.
• Awartani, Basel & Maghyereh, Aktham Issa, 2013, "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, volume 36, issue C, pages 28-42, DOI: 10.1016/j.eneco.2012.11.024.
• Conlon, Thomas & Cotter, John, 2013, "Downside risk and the energy hedger's horizon," Energy Economics, Elsevier, volume 36, issue C, pages 371-379, DOI: 10.1016/j.eneco.2012.09.012.
• Koch, Nicolas & Bassen, Alexander, 2013, "Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments," Energy Economics, Elsevier, volume 36, issue C, pages 431-443, DOI: 10.1016/j.eneco.2012.09.019.
• Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd, 2013, "Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach," Energy Economics, Elsevier, volume 36, issue C, pages 491-502, DOI: 10.1016/j.eneco.2012.10.006.
• Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael, 2013, "Risk spillovers in oil-related CDS, stock and credit markets," Energy Economics, Elsevier, volume 36, issue C, pages 526-535, DOI: 10.1016/j.eneco.2012.10.010.
• Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013, "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, volume 36, issue C, pages 97-107, DOI: 10.1016/j.eneco.2012.12.004.
• Talbot, Edward & Artiach, Tracy & Faff, Robert, 2013, "What drives the commodity price beta of oil industry stocks?," Energy Economics, Elsevier, volume 37, issue C, pages 1-15, DOI: 10.1016/j.eneco.2013.01.004.
• Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M., 2013, "From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks," Energy Economics, Elsevier, volume 37, issue C, pages 40-51, DOI: 10.1016/j.eneco.2013.01.006.
• Fink, Jason D. & Fink, Kristin E., 2013, "Hurricane forecast revisions and petroleum refiner equity returns," Energy Economics, Elsevier, volume 38, issue C, pages 1-11, DOI: 10.1016/j.eneco.2013.02.005.
• Cifarelli, Giulio, 2013, "Smooth transition regime shifts and oil price dynamics," Energy Economics, Elsevier, volume 38, issue C, pages 160-167, DOI: 10.1016/j.eneco.2013.03.006.
• Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert, 2013, "The liquidity of energy stocks," Energy Economics, Elsevier, volume 38, issue C, pages 168-175, DOI: 10.1016/j.eneco.2013.02.015.
• Asteriou, Dimitrios & Bashmakova, Yuliya, 2013, "Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries," Energy Economics, Elsevier, volume 38, issue C, pages 204-211, DOI: 10.1016/j.eneco.2013.02.011.
• Chang, Kuang-Liang & Yu, Shih-Ti, 2013, "Does crude oil price play an important role in explaining stock return behavior?," Energy Economics, Elsevier, volume 39, issue C, pages 159-168, DOI: 10.1016/j.eneco.2013.05.008.
• Coulon, Michael & Powell, Warren B. & Sircar, Ronnie, 2013, "A model for hedging load and price risk in the Texas electricity market," Energy Economics, Elsevier, volume 40, issue C, pages 976-988, DOI: 10.1016/j.eneco.2013.05.020.
• Vivian, Andrew & Wohar, Mark E., 2013, "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, volume 26, issue C, pages 40-50, DOI: 10.1016/j.irfa.2012.05.002.
• Realdon, Marco, 2013, "Credit risk, valuation and fundamental analysis," International Review of Financial Analysis, Elsevier, volume 27, issue C, pages 77-90, DOI: 10.1016/j.irfa.2012.10.001.