Research classified by Journal of Economic Literature (JEL) codes

2013

• Mohamed El Hedi Arouri & Amine Lahiani & Duc Khuong Nguyen, 2013, "World gold prices and stock returns in China: insights for hedging and diversification strategies," Working Papers, HAL, number hal-00798038, Mar.
• Anna Créti & Zied Ftiti & Khaleb Guesmi, 2013, "Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries," Working Papers, HAL, number hal-00822070, May.
• Edouard Challe & François Le Grand & Xavier Ragot, 2013, "Incomplete markets, liquidation risk, and the term structure of interest rates," Working Papers, HAL, number hal-00843147, Jul.
• Anurag Narayan Banerjee & Guillaume Chevillon & Marie Kratz, 2013, "Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model," Working Papers, HAL, number hal-00870795, Sep.
• Marc Busse & Michel Dacorogna & Marie Kratz, 2013, "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio," Working Papers, HAL, number hal-00914844, Dec.
• Roger E.A. Farmer & Carine Nourry & Alain Venditti, 2013, "The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World," Working Papers, HAL, number halshs-00796672, Feb.
• Syed Muhammad Noaman Ahmed Shah & Mazen Kebewar, 2013, "US Corporate Bond Yield Spread: A default risk debate," Working Papers, HAL, number halshs-00798660, Mar.
• Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2013, "Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-517, Aug.
• Baetje, Fabian & Menkhoff, Lukas, 2013, "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-520, Oct.
• John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013, "Macroeconomic Drivers of Bond and Equity Risks," Harvard Business School Working Papers, Harvard Business School, number 14-031, Sep, revised Aug 2018.
• Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013, "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Working Papers, Lund University, Department of Economics, number 2013:10, Apr, revised 11 Jun 2013.
• Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger, 2013, "Does Commonality in Illiquidity Matter to Investors?," Working Papers, Lund University, Department of Economics, number 2013:24, May.
• Yinxia G. Nielsen , Caren, 2013, "Is Default Risk Priced in Equity Returns?," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2013/2, Jan.
• Ding, Mingfa & Nilsson, Birger & Suardi, Sandy, 2013, "Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2013/14, Jun.
• Lundtofte, Frederik & Leoni, Patrick, 2013, "Growth Forecasts, Belief Manipulation and Capital Markets," Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies, number 2013/15, Sep.
• Aase, Knut K., 2013, "Recursive utility and disappearing puzzles for continuous-time models," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2013/2, May.
• Aase, Knut K., 2013, "Recursive utility and the equity premium puzzle: A discrete-time approach," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2013/3, May, revised 25 Mar 2015.
• Baum, Christopher & Karpava, Margarita & Schäfer, Dorothea & Stephan, Andreas, 2013, "Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises," Ratio Working Papers, The Ratio Institute, number 224, Nov.
• Hull, Isaiah, 2013, "Predicting the Spread of Financial Innovations: An Epidemiological Approach," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 279, Oct.
• Yury Dranev & Sofya Fomkina, 2013, "An asymmetric approach to the cost of equity estimation: empirical evidence from Russia," HSE Working papers, National Research University Higher School of Economics, number WP BRP 12/FE/2013.
• Victor Lapshin & Marat Kurbangaleev, 2013, "A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data," HSE Working papers, National Research University Higher School of Economics, number WP BRP 13/FE/2013.
• Dranev Yury & Fomkina Sofya, 2013, "Colog asset pricing, evidence from emerging markets," HSE Working papers, National Research University Higher School of Economics, number WP BRP 26/FE/2013.
• Saita, Yumi & Shimizu, Chihiro & Watanabe, Tsutomu, 2013, "Aging and Real Estate Prices: Evidence from Japanese and US Regional Data," HIT-REFINED Working Paper Series, Institute of Economic Research, Hitotsubashi University, number 2, Dec.
• Bordalo, Pedro & Gennaioli, Nicola & Shleifer, Andrei, 2013, "Salience and Asset Prices," Scholarly Articles, Harvard University Department of Economics, number 11688793.
• Campbell, John Y. & Giglio, Stefano & Polk, Christopher, 2013, "Hard Times," Scholarly Articles, Harvard University Department of Economics, number 12172786.
• Vichet Sum, 2013, "Employee Benefits And Stock Returns: A Look At Health Care Benefits," Accounting & Taxation, The Institute for Business and Finance Research, volume 5, issue 1, pages 1-8.
• Abdelmoneim Youssef & Giuseppe Galloppo, 2013, "The Efficiency Of Emerging Stock Markets: Evidence From Asia And Africa," Global Journal of Business Research, The Institute for Business and Finance Research, volume 7, issue 4, pages 1-17.
• Sandip Mukherji & Youngho Lee, 2013, "Explanatory Factors for Market Multiples and Expected Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 1, pages 45-54.
• Sanjay Sehgal & Sakshi Jain & Pr Laurence the Porteu de la Morandiere, 2013, "Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 2, pages 53-78.
• Paulo Alves, 2013, "The Fama French Model or the Capital Asset Pricing Model: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 2, pages 79-89.
• Guangdi Chang & Yi-Tsuo Chang, 2013, "Time-Varying Risk Premia for Size Effects on Equity REITS," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 4, pages 13-28.
• Steve Fan & Linda Yu, 2013, "Accrual Anomaly and Idiosyncratic Risk: International Evidence," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 4, pages 63-75.
• Stoyu I. Ivanov, 2013, "Analysis of the Effects of Pre Announcement of S&P 500 Index Changes," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 7, issue 5, pages 1-10.
• Xiaodong Qiu, 2013, "Corporate Philanthropic Disaster Response And Post Performance: Evidence From China," International Journal of Management and Marketing Research, The Institute for Business and Finance Research, volume 6, issue 2, pages 39-51.
• Jelena Minovic & Vlastimir Vukovic, 2013, "Analysis of the Serbian Capital Market," Economic Analysis, Institute of Economic Sciences, volume 46, issue 1-2, pages 1-11.
• Cortazar, Gonzalo & Beuermann, Diether & Bernales, Alejandro, 2013, "Risk Management with Thinly Traded Securities: Methodology and Implementation," IDB Publications (Working Papers), Inter-American Development Bank, number 4647, Oct, DOI: http://dx.doi.org/10.18235/0011507.
• Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh, 2013, "Sovereign bond market reactions to fiscal rules and no-bailout clauses – The Swiss experience," Working Papers, Institut d'Economia de Barcelona (IEB), number 2013/27.
• Christian A. L. Hilber & Wouter Vermeulen, 2013, "The impact of supply constraints on house prices in England," Working Papers, Institut d'Economia de Barcelona (IEB), number 2013/28.
• Heejoon Han & Dennis Kristensen, 2013, "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies, number CWP18/13, May.
• Paolo Manasse & Luca Zavalloni, 2013, "Sovereign Contagion in Europe: Evidence from the CDS Market," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 471.
• Sabrina Buti & Barbara Rindi & Yuanji Wen & Ingrid M. Werner, 2013, "Tick Size Regulation and Sub-Penny Trading," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 492.
• Emilio Bisetti & Carlo A. Favero & Giacomo Nocera & Claudio Tebaldi, 2013, "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 503.
• Andrew Hughes Hallett & Juan Carlos Martinez Oliva, 2013, "The Importance of Trade and Capital Imbalances in the European Debt Crisis," Working Paper Series, Peterson Institute for International Economics, number WP13-1, Jan.
• K. Ozgur DEMİRTAS & Yigit ATILGAN, 2013, "Reward-to-Risk Ratios in Turkish Financial Markets," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 28, issue 323, pages 9-32.
• Belma ÖZTÜRKKAL, 2013, "Bireysel Yatırımcı Davranışı Analizi: Anket Çalışması," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 28, issue 326, pages 67-92.
• Işıl EROL & Adem İLERİ, 2013, "What Determines REIT Returns in Turkey? An Application of Time-Varying Arbitrage Pricing Model in an Emerging REIT Market," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 28, issue 331, pages 09-32.
• Abhilash S. Nair, 2013, "Existence Of Capital Market Equilibrium In The Presence Of Herding And Feedback Trading," Working papers, Indian Institute of Management Kozhikode, number 121.
• Alan M. Rai, 2013, "The Impact of Policy Initiatives on Credit Spreads during the 2007-09 Financial Crisis," International Journal of Central Banking, International Journal of Central Banking, volume 9, issue 1, pages 45-104, March.
• Paolo Gelain & Kevin J. Lansing & Caterina Mendicino, 2013, "House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy," International Journal of Central Banking, International Journal of Central Banking, volume 9, issue 2, pages 219-276, June.
• Mr. Raphael A Espinoza & Mr. Dimitrios P. Tsomocos, 2013, "Monetary Transaction Costs and the Term Premium," IMF Working Papers, International Monetary Fund, number 2013/085, Apr.
• Ila Patnaik & Ajay Shah, 2013, "The Investment Technology of Foreign and Domestic Institutional Investors in an Emerging Market," IMF Working Papers, International Monetary Fund, number 2013/090, Apr.
• Mr. Luis Brandão-Marques & Mr. Gaston Gelos & Ms. Natalia Melgar, 2013, "Country Transparency and the Global Transmission of Financial Shocks," IMF Working Papers, International Monetary Fund, number 2013/156, Jul.
• Mirko Abbritti & Mr. Salvatore Dell'Erba & Mr. Antonio Moreno & Mr. Sergio Sola, 2013, "Global Factors in the Term Structure of Interest Rates," IMF Working Papers, International Monetary Fund, number 2013/223, Nov.
• Rossi, S & Tinn, K, 2012, "Man or Machine? Rational trading without information about fundamentals," Working Papers, Imperial College, London, Imperial College Business School, number 12194, Dec.
• Esther Guadalupe Carmona Vega, 2013, "Ajuste a la Calificación del Riesgo del Mercado de las Acciones más Volátiles que Conforman el Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores, con la Implementación de una Red Neuronal Artificial," 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 8, issue 1, pages 25-51, Enero-Jun.
• María Isabel Martínez Torre-Enciso & Oscar V. De la Torre Torres, 2013, "¿Son los Índices IPC Mexicano e IBEX35 Español una Adecuada Definición de Cartera de Mercado? Una Revisión de este Supuesto Empleando el Estadístico de Kandel y Stambugh en un Contexto Muestral," 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 8, issue 2, pages 227-247, Julio-Dic.
• Natasha Agarwal et al, 2013, "A Systematic approach to identify systemically important firms," Indira Gandhi Institute of Development Research, Mumbai Working Papers, Indira Gandhi Institute of Development Research, Mumbai, India, number 2013-021, Oct.
• Thomas Stöckl, 2013, "Price efficiency and trading behavior in limit order markets with competing insiders," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2013-11, May.
• Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013, "Semiparametric Estimation Of Risk-Return Relationships," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2013-004, Sep.
• Eduardo Schwartz, 2013, "The Real Options Approach to Valuation: Challenges and Opportunities," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 50, issue 2, pages 163-177, November.
• Jaime Casassus & Freddy Higuera, 2013, "The Economic Impact of Oil on Industry Portfolios," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 433.
• Alen Bobetko & Mirna Dumicic & Josip Funda, 2013, "Fiscal determinants of government borrowing costs: do we have only ourselves to blame?," Financial Theory and Practice, Institute of Public Finance, volume 37, issue 2, pages 135-159.
• Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013, "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers, Department of Research, Ipag Business School, number 2013-20, Jan.
• Morales-Pelagio, Ricardo Cristhian & López-Herrera, Francisco & Cabrera-Llanos, Agustín Ignacio, 2013, "Eficiencia de las principales acciones de la bolsa mexicana de valores: 2001-2012," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, volume 0, issue 37, pages 55-75, primer tr.
• Peter Claeys & Borek Vašícek, 2013, "“How systemic is Spain for Europe?”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201301, Feb, revised Feb 2013.
• António Afonso, & Michael G. Arghyrou, & George Bagdatoglou, & Alexandros Kontonikas, 2013, "On the time-varying relationship between EMU sovereign spreads and their determinants," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2013/05, Feb.
• Serguey Khovansky & Zhylyevskyy, Oleksandr, 2013, "Impact of idiosyncratic volatility on stock returns: A cross-sectional study," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 35915, Jun.
• Andrew Y. Chen, 2013, "External Habit in a Production Economy," 2013 Papers, Job Market Papers, number pch1244, Oct.
• Thiago de Oliveira Souza, 2013, "Discount rates, market frictions and the mystery of the size premium," 2013 Papers, Job Market Papers, number pde868, Nov.
• Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013, "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, volume 37, issue 9, pages 3704-3715, DOI: 10.1016/j.jbankfin.2013.04.034.
• Wang, Yudong & Wu, Chongfeng & Yang, Li, 2013, "Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries," Journal of Comparative Economics, Elsevier, volume 41, issue 4, pages 1220-1239, DOI: 10.1016/j.jce.2012.12.004.
• Calice, Giovanni & Chen, Jing & Williams, Julian, 2013, "Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 122-143, DOI: 10.1016/j.jebo.2011.10.013.
• Ebrahim, M. Shahid & Mathur, Ike, 2013, "On the efficiency of the UPREIT organizational form: Implications for the subprime crisis and CDO's," Journal of Economic Behavior & Organization, Elsevier, volume 85, issue C, pages 286-305, DOI: 10.1016/j.jebo.2012.02.015.
• McAlvanah, Patrick & Moul, Charles C., 2013, "The house doesn’t always win: Evidence of anchoring among Australian bookies," Journal of Economic Behavior & Organization, Elsevier, volume 90, issue C, pages 87-99, DOI: 10.1016/j.jebo.2013.03.009.
• Hüsler, A. & Sornette, D. & Hommes, C.H., 2013, "Super-exponential bubbles in lab experiments: Evidence for anchoring over-optimistic expectations on price," Journal of Economic Behavior & Organization, Elsevier, volume 92, issue C, pages 304-316, DOI: 10.1016/j.jebo.2013.06.005.
• Bayar, Onur, 2013, "Liquidity provision in a limit order book without adverse selection," Journal of Economics and Business, Elsevier, volume 66, issue C, pages 98-124, DOI: 10.1016/j.jeconbus.2013.01.001.
• Hammami, Yacine & Lindahl, Anna, 2013, "Estimating and testing beta pricing models on industries," Journal of Economics and Business, Elsevier, volume 69, issue C, pages 45-63, DOI: 10.1016/j.jeconbus.2013.05.003.
• Oberndorfer, Ulrich & Schmidt, Peter & Wagner, Marcus & Ziegler, Andreas, 2013, "Does the stock market value the inclusion in a sustainability stock index? An event study analysis for German firms," Journal of Environmental Economics and Management, Elsevier, volume 66, issue 3, pages 497-509, DOI: 10.1016/j.jeem.2013.04.005.
• Loewenstein, Mark & Willard, Gregory A., 2013, "Consumption and bubbles," Journal of Economic Theory, Elsevier, volume 148, issue 2, pages 563-600, DOI: 10.1016/j.jet.2012.07.001.
• Challe, Edouard & Le Grand, François & Ragot, Xavier, 2013, "Incomplete markets, liquidation risk, and the term structure of interest rates," Journal of Economic Theory, Elsevier, volume 148, issue 6, pages 2483-2519, DOI: 10.1016/j.jet.2013.10.003.
• Wahal, Sunil & Yavuz, M. Deniz, 2013, "Style investing, comovement and return predictability," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 136-154, DOI: 10.1016/j.jfineco.2012.08.005.
• Asquith, Paul & Au, Andrea S. & Covert, Thomas & Pathak, Parag A., 2013, "The market for borrowing corporate bonds," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 155-182, DOI: 10.1016/j.jfineco.2012.08.007.
• Shive, Sophie & Yun, Hayong, 2013, "Are mutual funds sitting ducks?," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 220-237, DOI: 10.1016/j.jfineco.2012.08.012.
• Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2013, "Market skewness risk and the cross section of stock returns," Journal of Financial Economics, Elsevier, volume 107, issue 1, pages 46-68, DOI: 10.1016/j.jfineco.2012.07.002.
• Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013, "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 284-304, DOI: 10.1016/j.jfineco.2012.08.015.
• Belo, Frederico & Gala, Vito D. & Li, Jun, 2013, "Government spending, political cycles, and the cross section of stock returns," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 305-324, DOI: 10.1016/j.jfineco.2012.08.016.
• Ai, Hengjie & Kiku, Dana, 2013, "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 325-349, DOI: 10.1016/j.jfineco.2012.08.009.
• Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona, 2013, "Growth options, macroeconomic conditions, and the cross section of credit risk," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 350-385, DOI: 10.1016/j.jfineco.2012.08.017.
• Ramadorai, Tarun, 2013, "Capacity constraints, investor information, and hedge fund returns," Journal of Financial Economics, Elsevier, volume 107, issue 2, pages 401-416, DOI: 10.1016/j.jfineco.2012.08.020.
• Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin, 2013, "The “out-of-sample” performance of long run risk models," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 537-556, DOI: 10.1016/j.jfineco.2012.09.006.
• Polkovnichenko, Valery & Zhao, Feng, 2013, "Probability weighting functions implied in options prices," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 580-609, DOI: 10.1016/j.jfineco.2012.09.008.
• Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013, "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 632-654, DOI: 10.1016/j.jfineco.2012.09.011.
• Li, Yan & Yang, Liyan, 2013, "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 715-739, DOI: 10.1016/j.jfineco.2012.11.002.
• Favilukis, Jack, 2013, "Inequality, stock market participation, and the equity premium," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 740-759, DOI: 10.1016/j.jfineco.2012.10.008.
• Bonaparte, Yosef & Kumar, Alok, 2013, "Political activism, information costs, and stock market participation," Journal of Financial Economics, Elsevier, volume 107, issue 3, pages 760-786, DOI: 10.1016/j.jfineco.2012.09.012.
• Novy-Marx, Robert, 2013, "The other side of value: The gross profitability premium," Journal of Financial Economics, Elsevier, volume 108, issue 1, pages 1-28, DOI: 10.1016/j.jfineco.2013.01.003.
• Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander, 2013, "Anomalies and financial distress," Journal of Financial Economics, Elsevier, volume 108, issue 1, pages 139-159, DOI: 10.1016/j.jfineco.2012.10.005.
• Cao, Jie & Han, Bing, 2013, "Cross section of option returns and idiosyncratic stock volatility," Journal of Financial Economics, Elsevier, volume 108, issue 1, pages 231-249, DOI: 10.1016/j.jfineco.2012.11.010.
• Israel, Ronen & Moskowitz, Tobias J., 2013, "The role of shorting, firm size, and time on market anomalies," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 275-301, DOI: 10.1016/j.jfineco.2012.11.005.
• Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D., 2013, "Connecting two markets: An equilibrium framework for shorts, longs, and stock loans," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 302-322, DOI: 10.1016/j.jfineco.2012.12.006.
• Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y., 2013, "Learning and the disappearing association between governance and returns," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 323-348, DOI: 10.1016/j.jfineco.2012.10.004.
• Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George, 2013, "Risk and return: Long-run relations, fractional cointegration, and return predictability," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 409-424, DOI: 10.1016/j.jfineco.2013.01.002.
• D’Amico, Stefania & King, Thomas B., 2013, "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 425-448, DOI: 10.1016/j.jfineco.2012.11.007.
• Watanabe, Akiko & Xu, Yan & Yao, Tong & Yu, Tong, 2013, "The asset growth effect: Insights from international equity markets," Journal of Financial Economics, Elsevier, volume 108, issue 2, pages 529-563, DOI: 10.1016/j.jfineco.2012.12.002.
• Strebulaev, Ilya A. & Yang, Baozhong, 2013, "The mystery of zero-leverage firms," Journal of Financial Economics, Elsevier, volume 109, issue 1, pages 1-23, DOI: 10.1016/j.jfineco.2013.02.001.
• Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013, "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, volume 109, issue 1, pages 224-249, DOI: 10.1016/j.jfineco.2013.02.018.
• Jermann, Urban J., 2013, "A production-based model for the term structure," Journal of Financial Economics, Elsevier, volume 109, issue 2, pages 293-306, DOI: 10.1016/j.jfineco.2013.03.001.
• Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013, "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 604-622, DOI: 10.1016/j.jfineco.2013.04.004.
• Hartzmark, Samuel M. & Solomon, David H., 2013, "The dividend month premium," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 640-660, DOI: 10.1016/j.jfineco.2013.02.015.
• Filipović, Damir & Trolle, Anders B., 2013, "The term structure of interbank risk," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 707-733, DOI: 10.1016/j.jfineco.2013.03.014.
• Edelman, Daniel & Fung, William & Hsieh, David A., 2013, "Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 734-758, DOI: 10.1016/j.jfineco.2013.04.003.
• Green, T. Clifton & Jame, Russell, 2013, "Company name fluency, investor recognition, and firm value," Journal of Financial Economics, Elsevier, volume 109, issue 3, pages 813-834, DOI: 10.1016/j.jfineco.2013.04.007.
• Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013, "Pricing the term structure with linear regressions," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 110-138, DOI: 10.1016/j.jfineco.2013.04.009.
• Bakshi, Gurdip & Panayotov, George, 2013, "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 139-163, DOI: 10.1016/j.jfineco.2013.04.010.
• Yang, Fan, 2013, "Investment shocks and the commodity basis spread," Journal of Financial Economics, Elsevier, volume 110, issue 1, pages 164-184, DOI: 10.1016/j.jfineco.2013.04.012.
• Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013, "The economics of hedge funds," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 300-323, DOI: 10.1016/j.jfineco.2013.05.004.
• Aharoni, Gil & Grundy, Bruce & Zeng, Qi, 2013, "Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 347-357, DOI: 10.1016/j.jfineco.2013.08.003.
• Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013, "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 358-386, DOI: 10.1016/j.jfineco.2013.08.002.
• Li, Yan & Ng, David T. & Swaminathan, Bhaskaran, 2013, "Predicting market returns using aggregate implied cost of capital," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 419-436, DOI: 10.1016/j.jfineco.2013.06.006.
• Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013, "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, volume 110, issue 2, pages 457-477, DOI: 10.1016/j.jfineco.2013.07.006.
• van Binsbergen, Jules & Hueskes, Wouter & Koijen, Ralph & Vrugt, Evert, 2013, "Equity yields," Journal of Financial Economics, Elsevier, volume 110, issue 3, pages 503-519, DOI: 10.1016/j.jfineco.2013.08.017.
• Pástor, Ľuboš & Veronesi, Pietro, 2013, "Political uncertainty and risk premia," Journal of Financial Economics, Elsevier, volume 110, issue 3, pages 520-545, DOI: 10.1016/j.jfineco.2013.08.007.
• Hong, Harrison & Sraer, David, 2013, "Quiet bubbles," Journal of Financial Economics, Elsevier, volume 110, issue 3, pages 596-606, DOI: 10.1016/j.jfineco.2013.07.002.
• Kitsul, Yuriy & Wright, Jonathan H., 2013, "The economics of options-implied inflation probability density functions," Journal of Financial Economics, Elsevier, volume 110, issue 3, pages 696-711, DOI: 10.1016/j.jfineco.2013.08.013.
• Chang, Sanders S., 2013, "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 1079-1096, DOI: 10.1016/j.jimonfin.2012.09.002.
• De Moor, Lieven & Sercu, Piet, 2013, "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, volume 32, issue C, pages 129-155, DOI: 10.1016/j.jimonfin.2012.04.002.
• Dieckmann, Stephan & Gallmeyer, Michael, 2013, "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, volume 33, issue C, pages 163-187, DOI: 10.1016/j.jimonfin.2012.11.017.
• Acker, Daniella & Duck, Nigel W., 2013, "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, volume 33, issue C, pages 235-254, DOI: 10.1016/j.jimonfin.2012.11.018.
• Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2013, "Spread the news: The impact of news on the European sovereign bond markets during the crisis," Journal of International Money and Finance, Elsevier, volume 34, issue C, pages 83-101, DOI: 10.1016/j.jimonfin.2012.11.005.
• Díaz, Antonio & Groba, Jonatan & Serrano, Pedro, 2013, "What drives corporate default risk premia? Evidence from the CDS market," Journal of International Money and Finance, Elsevier, volume 37, issue C, pages 529-563, DOI: 10.1016/j.jimonfin.2013.07.003.
• ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013, "Dynamic expectation formation in the foreign exchange market," Journal of International Money and Finance, Elsevier, volume 37, issue C, pages 75-97, DOI: 10.1016/j.jimonfin.2013.06.001.
• King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013, "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, volume 38, issue C, pages 95-119, DOI: 10.1016/j.jimonfin.2013.05.004.
• Patnaik, Ila & Shah, Ajay, 2013, "The investment technology of foreign and domestic institutional investors in an emerging market," Journal of International Money and Finance, Elsevier, volume 39, issue C, pages 65-88, DOI: 10.1016/j.jimonfin.2013.06.019.
• Chen, Sichong, 2013, "How do leverage ratios affect bank share performance during financial crises: The Japanese experience of the late 1990s," Journal of the Japanese and International Economies, Elsevier, volume 30, issue C, pages 1-18, DOI: 10.1016/j.jjie.2013.07.003.
• Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013, "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, volume 36, issue C, pages 33-50, DOI: 10.1016/j.jmacro.2013.01.002.
• McMillan, David G., 2013, "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, volume 36, issue C, pages 76-88, DOI: 10.1016/j.jmacro.2013.01.007.
• Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul, 2013, "Soft information and economic activity: Evidence from the Beige Book," Journal of Macroeconomics, Elsevier, volume 37, issue C, pages 81-92, DOI: 10.1016/j.jmacro.2013.01.004.
• Kivedal, Bjørnar Karlsen, 2013, "Testing for rational bubbles in the US housing market," Journal of Macroeconomics, Elsevier, volume 38, issue PB, pages 369-381, DOI: 10.1016/j.jmacro.2013.08.021.
• Humphreys, Brad R. & Paul, Rodney J. & Weinbach, Andrew P., 2013, "Consumption benefits and gambling: Evidence from the NCAA basketball betting market," Journal of Economic Psychology, Elsevier, volume 39, issue C, pages 376-386, DOI: 10.1016/j.joep.2013.05.010.
• Majumder, Debasish, 2013, "Towards an efficient stock market: Empirical evidence from the Indian market," Journal of Policy Modeling, Elsevier, volume 35, issue 4, pages 572-587, DOI: 10.1016/j.jpolmod.2011.08.016.
• Jouini, Jamel, 2013, "Return and volatility interaction between oil prices and stock markets in Saudi Arabia," Journal of Policy Modeling, Elsevier, volume 35, issue 6, pages 1124-1144, DOI: 10.1016/j.jpolmod.2013.08.003.
• Riedel, Frank & Herzberg, Frederik, 2013, "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, volume 49, issue 5, pages 398-404, DOI: 10.1016/j.jmateco.2013.07.001.
• Ang, Andrew & Longstaff, Francis A., 2013, "Systemic sovereign credit risk: Lessons from the U.S. and Europe," Journal of Monetary Economics, Elsevier, volume 60, issue 5, pages 493-510, DOI: 10.1016/j.jmoneco.2013.04.009.
• Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013, "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, volume 60, issue 7, pages 771-788, DOI: 10.1016/j.jmoneco.2013.06.003.
• Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang, 2013, "Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange," Journal of Multinational Financial Management, Elsevier, volume 23, issue 5, pages 394-414, DOI: 10.1016/j.mulfin.2013.08.001.
• Chae, Joon & Yang, Cheol-Won, 2013, "Commonality in individuals' trading: A systematic path between behavioral bias and expected returns," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1008-1023, DOI: 10.1016/j.pacfin.2012.07.003.
• Tswei, Keshin, 2013, "Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1062-1078, DOI: 10.1016/j.pacfin.2012.08.001.
• Doukas, John A. & Wang, Liu, 2013, "Information asymmetry, price discovery, and the Chinese B-share discount puzzle," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1116-1135, DOI: 10.1016/j.pacfin.2012.08.004.
• Nguyen, Nhut H. & Lo, Ka Hei, 2013, "Asset returns and liquidity effects: Evidence from a developed but small market," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1175-1190, DOI: 10.1016/j.pacfin.2012.05.002.
• Pan, Li & Tang, Ya & Xu, Jianguo, 2013, "Weekly momentum by return interval ranking," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1191-1208, DOI: 10.1016/j.pacfin.2012.06.001.
• Wang, Jianxin, 2013, "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1209-1231, DOI: 10.1016/j.pacfin.2012.06.003.
• Durand, Robert B. & Koh, SzeKee & Tan, Paul LiJian, 2013, "The price of sin in the Pacific-Basin," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 899-913, DOI: 10.1016/j.pacfin.2012.06.005.
• Tsai, Shih-Chuan, 2013, "Investors' information advantage and order choices in an order-driven market," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 932-951, DOI: 10.1016/j.pacfin.2012.07.001.
• Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon, 2013, "An empirical study of credit spreads in an emerging market: The case of Korea," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 952-966, DOI: 10.1016/j.pacfin.2012.07.005.
• Docherty, Paul & Chan, Howard & Easton, Steve, 2013, "Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, volume 22, issue C, pages 107-124, DOI: 10.1016/j.pacfin.2012.10.004.
• Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013, "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, volume 22, issue C, pages 69-87, DOI: 10.1016/j.pacfin.2012.10.002.
• Tang, Hui-wen & Chen, Anlin & Chang, Chong-Chuo, 2013, "Insider trading, accrual abuse, and corporate governance in emerging markets — Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, volume 24, issue C, pages 132-155, DOI: 10.1016/j.pacfin.2013.04.005.
• Shams, Syed M.M. & Gunasekarage, Abeyratna & Colombage, Sisira R.N., 2013, "Does the organisational form of the target influence market reaction to acquisition announcements? Australian evidence," Pacific-Basin Finance Journal, Elsevier, volume 24, issue C, pages 89-108, DOI: 10.1016/j.pacfin.2013.04.002.
• Nartea, Gilbert V. & Wu, Ji, 2013, "Is there a volatility effect in the Hong Kong stock market?," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 119-135, DOI: 10.1016/j.pacfin.2013.07.004.
• Inoguchi, Masahiro, 2013, "Interbank market, stock market, and bank performance in East Asia," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 136-156, DOI: 10.1016/j.pacfin.2013.08.006.
• Tseng, Yun-lan & Hu, Shing-yang, 2013, "Tax reform and the identity of marginal traders around ex-dividend days," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 181-199, DOI: 10.1016/j.pacfin.2013.08.009.
• Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng, 2013, "Capital gains, illiquidity, and stock returns," Pacific-Basin Finance Journal, Elsevier, volume 25, issue C, pages 273-293, DOI: 10.1016/j.pacfin.2013.10.001.
• Eichler, Stefan & Hofmann, Michael, 2013, "Sovereign default risk and decentralization: Evidence for emerging markets," European Journal of Political Economy, Elsevier, volume 32, issue C, pages 113-134, DOI: 10.1016/j.ejpoleco.2013.06.009.
• Salaber, Julie, 2013, "Religion and returns in Europe," European Journal of Political Economy, Elsevier, volume 32, issue C, pages 149-160, DOI: 10.1016/j.ejpoleco.2013.07.002.
• Zeng, Zheng, 2013, "New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 2, pages 125-139, DOI: 10.1016/j.qref.2013.02.005.
• Klein, Rudolf F. & Chow, Victor K., 2013, "Orthogonalized factors and systematic risk decomposition," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 2, pages 175-187, DOI: 10.1016/j.qref.2013.02.003.
• Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013, "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 3, pages 238-256, DOI: 10.1016/j.qref.2013.05.005.
• Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian, 2013, "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies," The Quarterly Review of Economics and Finance, Elsevier, volume 53, issue 4, pages 476-485, DOI: 10.1016/j.qref.2013.05.002.
• Cheng, Che-Hui & Wu, Po-Chin, 2013, "Nonlinear earnings persistence," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 156-168, DOI: 10.1016/j.iref.2012.07.003.
• Hueng, C. James & Yau, Ruey, 2013, "Country-specific idiosyncratic risk and global equity index returns," International Review of Economics & Finance, Elsevier, volume 25, issue C, pages 326-337, DOI: 10.1016/j.iref.2012.07.014.
• Gebka, Bartosz & Wohar, Mark E., 2013, "Causality between trading volume and returns: Evidence from quantile regressions," International Review of Economics & Finance, Elsevier, volume 27, issue C, pages 144-159, DOI: 10.1016/j.iref.2012.09.009.
• Demirer, Rıza & Jategaonkar, Shrikant P., 2013, "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, volume 22, issue 3, pages 125-134, DOI: 10.1016/j.rfe.2013.04.004.
• Giovannetti, Bruno C., 2013, "Asset pricing under quantile utility maximization," Review of Financial Economics, Elsevier, volume 22, issue 4, pages 169-179, DOI: 10.1016/j.rfe.2013.05.008.
• Walkshäusl, Christian, 2013, "The high returns to low volatility stocks are actually a premium on high quality firms," Review of Financial Economics, Elsevier, volume 22, issue 4, pages 180-186, DOI: 10.1016/j.rfe.2013.06.001.