Research classified by Journal of Economic Literature (JEL) codes

2014

• 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.
• Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo, 2014, "Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective," Macroeconomics Working Papers, East Asian Bureau of Economic Research, number 24516, Sep.
• FOUCAULT, Thierry & DUGAST, Jérôme, 2014, "False News, Informational Efficiency, and Price Reversals," HEC Research Papers Series, HEC Paris, number 1036, Feb.
• Lovo , Stefano & Spaenjers , Christophe, 2014, "Unique Durable Assets," HEC Research Papers Series, HEC Paris, number 1037, Apr.
• Calvet , Laurent & Betermier , Sebastien, 2014, "Who Are the Value and Growth Investors?," HEC Research Papers Series, HEC Paris, number 1043, Apr.
• Juan Equiza Goni, 2014, "Sovereign Debt Maturity and Debt-to GDP Dynamics in Six Euro Area Countries," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2014-44, Oct.
• Caterina Mendicino, 2014, "House prices and expectations," Research Bulletin, European Central Bank, volume 21, pages 12-15.
• Giuliodori, Massimo & Beetsma, Roel & de Jong, Frank & Widijanto, Daniel, 2014, "The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market," Working Paper Series, European Central Bank, number 1629, Jan.
• Manganelli, Simone & Idier, Julien & Vergote, Olivier & Ghysels, Eric, 2014, "A high frequency assessment of the ECB securities markets programme," Working Paper Series, European Central Bank, number 1642, Feb.
• Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2014, "Commonality in hedge fund returns: driving factors and implications," Working Paper Series, European Central Bank, number 1658, Mar.
• Claeys, Peter & Vašíček, Bořek, 2014, "Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe," Working Paper Series, European Central Bank, number 1666, Apr.
• Grothe, Magdalena & Lejsgaard Autrup, Søren, 2014, "Economic surprises and inflation expectations: Has anchoring of expectations survived the crisis?," Working Paper Series, European Central Bank, number 1671, Apr.
• Hoerova, Marie & Bekaert, Geert, 2014, "The VIX, the variance premium and stock market volatility," Working Paper Series, European Central Bank, number 1675, May.
• Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014, "Margin regulation and volatility," Working Paper Series, European Central Bank, number 1698, Jul.
• Camba-Méndez, Gonzalo & Serwa, Dobromil, 2014, "Market perception of sovereign credit risk in the euro area during the financial crisis," Working Paper Series, European Central Bank, number 1710, Aug.
• De Santis, Roberto A. & Stein, Michael, 2014, "Financial indicators signalling correlation changes in sovereign bond markets," Working Paper Series, European Central Bank, number 1746, Dec.
• Bakshi, Gurdip & Chabi-Yo, Fousseni, 2014, "New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2014-07, May.
• Belo, Frederico & Lin, Xiaoji & Yang, Fan, 2014, "External Equity Financing Shocks, Financial Flows, and Asset Prices," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2014-08, Sep.
• Kaplan, Steven N. & Sensoy, Berk A., 2014, "Private Equity Performance: A Survey," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-10, Oct.
• Favilukis, Jack & Lin, Xiaoji & Zhao, Xiaofei, 2014, "The Elephant in the Room: The Impact of Labor Obligations on Credit Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2015-17, Dec.
• Lambert, Nicolas & Ostrovsky, Michael & Panov, Mikhail, 2014, "Strategic Trading in Informationally Complex Environments," Research Papers, Stanford University, Graduate School of Business, number 3021, Jan.
• Barth, Mary E. & Gomez-Biscarri, Javier & Kasznik, Ron & Lopez-Espinosa, German, 2014, "Bank Earnings and Regulatory Capital Management Using Available for Sale Securities," Research Papers, Stanford University, Graduate School of Business, number 3047.
• Koudijs, Peter & Voth, Hans-Joachim, 2014, "Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending," Research Papers, Stanford University, Graduate School of Business, number 3103, Feb.
• Duffie, Darrell & Dworczak, Piotr, 2018, "Robust Benchmark Design," Research Papers, Stanford University, Graduate School of Business, number 3175, Mar.
• Duffie, Darrell & Dworczak, Piotr & Zhu, Haoxiang, 2014, "Benchmarks in Search Markets," Research Papers, Stanford University, Graduate School of Business, number 3190, Nov.
• Ogneva, Maria & Piotroski, Joseph D. & Zakolyukina, Anastasia A., 2014, "When Is Distress Risk Priced? Evidence from Recessionary Failure Prediction," Research Papers, Stanford University, Graduate School of Business, number 3252, Sep.
• Hafiz Imtiaz AHMAD & Pascal ALPHONSE, 2014, "Stock Prices and Implied Abnormal Earnings Growth," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 1, pages 196-216.
• Chin-Sheng Huang & Chun-Fan You & Hueh-Chen Lin, 2014, "Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 2, pages 382-399.
• Shaen Corbet & Cian Twomey, 2014, "Quantifying the Effects of the Inclusion and Segregation of Contracts for Difference in Australian Equity Markets," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 2, pages 411-426.
• Selahattin GURIS & Aynur PALA, 2014, "Equity Returns, Firm-Specific Characteristics and Sector Rotation: Evidence from Turkey," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 2, pages 264-276.
• Shaen Corbet & Cian Twomey, 2014, "Have Exchange Traded Funds Influenced Commodity Market Volatility?," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 2, pages 323-335.
• Mustapha Chaffai & Imed Medhioub, 2014, "Behavioral Finance: An Empirical Study of the Tunisian Stock Market," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, volume 4, issue 3, pages 527-538.
• Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj, 2014, "Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2015-79, Sep.
• Füllbrunn, Sascha & Haruvy, Ernan, 2014, "The takeover game," Journal of Behavioral and Experimental Finance, Elsevier, volume 1, issue C, pages 85-98, DOI: 10.1016/j.jbef.2014.01.002.
• Potì, Valerio & Shefrin, Hersh, 2014, "The signature of sentiment in conditional consumption CAPM estimates: A note," Journal of Behavioral and Experimental Finance, Elsevier, volume 2, issue C, pages 1-9, DOI: 10.1016/j.jbef.2014.02.004.
• Stöckl, Thomas & Kirchler, Michael, 2014, "Trading behavior and profits in experimental asset markets with asymmetric information," Journal of Behavioral and Experimental Finance, Elsevier, volume 2, issue C, pages 18-30, DOI: 10.1016/j.jbef.2014.03.001.
• Talpsepp, Tõnn & Vlcek, Martin & Wang, Mei, 2014, "Speculating in gains, waiting in losses: A closer look at the disposition effect," Journal of Behavioral and Experimental Finance, Elsevier, volume 2, issue C, pages 31-43, DOI: 10.1016/j.jbef.2014.04.001.
• Fang, Jiali & Qin, Yafeng & Jacobsen, Ben, 2014, "Technical market indicators: An overview," Journal of Behavioral and Experimental Finance, Elsevier, volume 4, issue C, pages 25-56, DOI: 10.1016/j.jbef.2014.09.001.
• Michou, Maria & Mouselli, Sulaiman & Stark, Andrew, 2014, "On the differences in measuring SMB and HML in the UK – Do they matter?," The British Accounting Review, Elsevier, volume 46, issue 3, pages 281-294, DOI: 10.1016/j.bar.2014.03.004.
• Dorion, Christian & François, Pascal & Grass, Gunnar & Jeanneret, Alexandre, 2014, "Convertible debt and shareholder incentives," Journal of Corporate Finance, Elsevier, volume 24, issue C, pages 38-56, DOI: 10.1016/j.jcorpfin.2013.10.008.
• Cline, Brandon N. & Garner, Jacqueline L. & Yore, Adam S., 2014, "Exploitation of the internal capital market and the avoidance of outside monitoring," Journal of Corporate Finance, Elsevier, volume 25, issue C, pages 234-250, DOI: 10.1016/j.jcorpfin.2013.12.004.
• Xu, Nianhang & Li, Xiaorong & Yuan, Qingbo & Chan, Kam C., 2014, "Excess perks and stock price crash risk: Evidence from China," Journal of Corporate Finance, Elsevier, volume 25, issue C, pages 419-434, DOI: 10.1016/j.jcorpfin.2014.01.006.
• Kim, Dong H. & Stock, Duane, 2014, "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, volume 26, issue C, pages 20-35, DOI: 10.1016/j.jcorpfin.2014.02.005.
• Jared DeLisle, R. & Morscheck, J.D. & Nofsinger, John R., 2014, "Share repurchases and institutional supply," Journal of Corporate Finance, Elsevier, volume 27, issue C, pages 216-230, DOI: 10.1016/j.jcorpfin.2014.05.010.
• Butler, Alexander W. & Keefe, Michael O'Connor & Kieschnick, Robert, 2014, "Robust determinants of IPO underpricing and their implications for IPO research," Journal of Corporate Finance, Elsevier, volume 27, issue C, pages 367-383, DOI: 10.1016/j.jcorpfin.2014.06.002.
• Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014, "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, volume 38, issue C, pages 87-104, DOI: 10.1016/j.jedc.2013.09.006.
• Ludwig, Alexander & Zimper, Alexander, 2014, "Biased Bayesian learning with an application to the risk-free rate puzzle," Journal of Economic Dynamics and Control, Elsevier, volume 39, issue C, pages 79-97, DOI: 10.1016/j.jedc.2013.11.007.
• Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne, 2014, "Credit risk and asymmetric information: A simplified approach," Journal of Economic Dynamics and Control, Elsevier, volume 39, issue C, pages 98-112, DOI: 10.1016/j.jedc.2013.11.006.
• Baur, Dirk G. & Glover, Kristoffer J., 2014, "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 116-133, DOI: 10.1016/j.jedc.2014.01.001.
• Joshi, Mark & Tang, Robert, 2014, "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 25-45, DOI: 10.1016/j.jedc.2013.12.001.
• Challe, Edouard & Giannitsarou, Chryssi, 2014, "Stock prices and monetary policy shocks: A general equilibrium approach," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 46-66, DOI: 10.1016/j.jedc.2013.12.005.
• Schied, Alexander, 2014, "Model-free CPPI," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 84-94, DOI: 10.1016/j.jedc.2013.12.010.
• Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus, 2014, "Cross-hedging minimum return guarantees: Basis and liquidity risks," Journal of Economic Dynamics and Control, Elsevier, volume 41, issue C, pages 93-109, DOI: 10.1016/j.jedc.2014.02.010.
• Dewachter, Hans & Wouters, Raf, 2014, "Endogenous risk in a DSGE model with capital-constrained financial intermediaries," Journal of Economic Dynamics and Control, Elsevier, volume 43, issue C, pages 241-268, DOI: 10.1016/j.jedc.2014.03.004.
• Malkhozov, Aytek, 2014, "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, volume 45, issue C, pages 180-193, DOI: 10.1016/j.jedc.2014.05.011.
• Schmitt, Noemi & Westerhoff, Frank, 2014, "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, volume 45, issue C, pages 262-288, DOI: 10.1016/j.jedc.2014.05.009.
• Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2014, "No-Arbitrage ROM simulation," Journal of Economic Dynamics and Control, Elsevier, volume 45, issue C, pages 66-79, DOI: 10.1016/j.jedc.2014.05.017.
• Bottazzi, Giulio & Dindo, Pietro, 2014, "Evolution and market behavior with endogenous investment rules," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 121-146, DOI: 10.1016/j.jedc.2014.08.012.
• Gan, Quan, 2014, "Location-scale portfolio selection with factor-recentered skew normal asset returns," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 176-187, DOI: 10.1016/j.jedc.2014.09.002.
• Di Guilmi, Corrado & He, Xue-Zhong & Li, Kai, 2014, "Herding, trend chasing and market volatility," Journal of Economic Dynamics and Control, Elsevier, volume 48, issue C, pages 349-373, DOI: 10.1016/j.jedc.2014.07.008.
• Yang, Chunpeng & Li, Jinfang, 2014, "Two-period trading sentiment asset pricing model with information," Economic Modelling, Elsevier, volume 36, issue C, pages 1-7, DOI: 10.1016/j.econmod.2013.09.018.
• Hunter, John & Wu, Feng, 2014, "Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies," Economic Modelling, Elsevier, volume 36, issue C, pages 557-565, DOI: 10.1016/j.econmod.2013.10.001.
• Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco, 2014, "Oil price risk in the Spanish stock market: An industry perspective," Economic Modelling, Elsevier, volume 37, issue C, pages 280-290, DOI: 10.1016/j.econmod.2013.11.014.
• Yang, Chunpeng & Zhang, Rengui, 2014, "Dynamic sentiment asset pricing model," Economic Modelling, Elsevier, volume 37, issue C, pages 362-367, DOI: 10.1016/j.econmod.2013.11.041.
• Abid, Ilyes & Kaabia, Olfa & Guesmi, Khaled, 2014, "Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia," Economic Modelling, Elsevier, volume 37, issue C, pages 408-416, DOI: 10.1016/j.econmod.2013.11.015.
• Al-Shboul, Mohammad & Anwar, Sajid, 2014, "Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market," Economic Modelling, Elsevier, volume 37, issue C, pages 451-463, DOI: 10.1016/j.econmod.2013.11.034.
• Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek, 2014, "The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?," Economic Modelling, Elsevier, volume 37, issue C, pages 518-530, DOI: 10.1016/j.econmod.2013.08.013.
• Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong, 2014, "Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market," Economic Modelling, Elsevier, volume 37, issue C, pages 89-102, DOI: 10.1016/j.econmod.2013.11.002.
• Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2014, "The conditional equity premium, cross-sectional returns and stochastic volatility," Economic Modelling, Elsevier, volume 38, issue C, pages 316-327, DOI: 10.1016/j.econmod.2014.01.009.
• Jouini, Jamel & Harrathi, Nizar, 2014, "Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation," Economic Modelling, Elsevier, volume 38, issue C, pages 486-494, DOI: 10.1016/j.econmod.2014.02.001.
• Shamsuddin, Abul, 2014, "Are Dow Jones Islamic equity indices exposed to interest rate risk?," Economic Modelling, Elsevier, volume 39, issue C, pages 273-281, DOI: 10.1016/j.econmod.2014.03.007.
• Demir, İshak, 2014, "Monetary policy responses to the exchange rate: Empirical evidence from the ECB," Economic Modelling, Elsevier, volume 39, issue C, pages 63-70, DOI: 10.1016/j.econmod.2014.02.024.
• Yang, Chunpeng & Cai, Chuangqun, 2014, "Higher order expectations in sentiment asset pricing model," Economic Modelling, Elsevier, volume 39, issue C, pages 95-100, DOI: 10.1016/j.econmod.2014.02.033.
• Dong, Yinghui & Wang, Guojing, 2014, "Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain," Economic Modelling, Elsevier, volume 40, issue C, pages 91-100, DOI: 10.1016/j.econmod.2014.03.004.
• Lai, Hung-Cheng & Wang, Kuan-Min, 2014, "Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns," Economic Modelling, Elsevier, volume 41, issue C, pages 156-165, DOI: 10.1016/j.econmod.2014.05.007.
• Borenstein, Eliezer & Elkayam, David, 2014, "The equity premium in a small open economy and an application to Israel," Economic Modelling, Elsevier, volume 43, issue C, pages 81-99, DOI: 10.1016/j.econmod.2014.07.047.
• Wang, Yuming & Ma, Jinpeng, 2014, "Excess volatility and the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, volume 27, issue C, pages 1-16, DOI: 10.1016/j.najef.2013.10.003.
• Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos, 2014, "Institutional changes of Specified Purpose Acquisition Companies (SPACs)," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 149-169, DOI: 10.1016/j.najef.2014.03.002.
• Liu, Qiang & Guo, Shuxin, 2014, "Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 77-89, DOI: 10.1016/j.najef.2014.02.002.
• Zhang, Tai-Wei & Wu, Wei-Hwa, 2014, "The asymmetric predictability of high-yield bonds," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 146-155, DOI: 10.1016/j.najef.2014.06.001.
• Hunzinger, Chadd B. & Labuschagne, Coenraad C.A., 2014, "The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 200-217, DOI: 10.1016/j.najef.2014.06.002.
• Boubaker, Sabri & Jouini, Jamel, 2014, "Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework," The North American Journal of Economics and Finance, Elsevier, volume 29, issue C, pages 322-335, DOI: 10.1016/j.najef.2014.06.004.
• Grobys, Klaus, 2014, "Momentum in global equity markets in times of troubles: Does the economic state matter?," Economics Letters, Elsevier, volume 123, issue 1, pages 100-103, DOI: 10.1016/j.econlet.2014.01.028.
• Chevapatrakul, Thanaset, 2014, "Monetary environments and stock returns revisited: A quantile regression approach," Economics Letters, Elsevier, volume 123, issue 2, pages 122-126, DOI: 10.1016/j.econlet.2014.01.033.
• Suzuki, Shiba, 2014, "An exploration of the effect of doubt during disasters on equity premiums," Economics Letters, Elsevier, volume 123, issue 3, pages 270-273, DOI: 10.1016/j.econlet.2014.02.010.
• Guo, Guixia & Wang, Frank Yong & Wei, Xu, 2014, "Optimal tranching with diverse beliefs," Economics Letters, Elsevier, volume 124, issue 2, pages 222-226, DOI: 10.1016/j.econlet.2014.05.030.
• Han, Heejoon & Park, Joon Y., 2014, "GARCH with omitted persistent covariate," Economics Letters, Elsevier, volume 124, issue 2, pages 248-254, DOI: 10.1016/j.econlet.2014.05.016.
• Back, Kerry, 2014, "A characterization of the coskewness–cokurtosis pricing model," Economics Letters, Elsevier, volume 125, issue 2, pages 219-222, DOI: 10.1016/j.econlet.2014.09.008.
• Nichol, Eoghan & Dowling, Michael, 2014, "Profitability and investment factors for UK asset pricing models," Economics Letters, Elsevier, volume 125, issue 3, pages 364-366, DOI: 10.1016/j.econlet.2014.10.013.
• António Afonso & Maria João Guedes, 2014, "EU Finance Ministers, Capital Markets and Fiscal Outcomes," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2014/01, Jan.
• Pyo, Dong-Jin, 2014, "A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 37358, Mar.
• Daniela Di Cagno & Tibor Neugebauer & Carlos Rodriguez-Palmero & Abdolkarim Sadrieh, 2014, "Recall Searching with and without Recall," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2014/14.
• Bruce Hearn, 2014, "Size and liquidity effects in Nigeria: an industrial sector study," Journal of Developing Areas, Tennessee State University, College of Business, volume 48, issue 3, pages 1-30, July-Sept.
• Chan R. Mang, 2014, "Uncertain Risk and Return in Bond Markets, I," 2014 Papers, Job Market Papers, number pma1706, Dec.
• Nellinger Ludwig, 2014, "Literaturbeitrag / Review Book. Über die Natur und das Wesen des Geldes – J. H. von Thünens unveröffentlichtes Manuskript zur Geldtheorie / The Nature and the Essence of Money – J. H. von Thuenen’s unpublished Manuscript on Monetary Economics," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, volume 234, issue 1, pages 85-110, February, DOI: 10.1515/jbnst-2014-0107.
• Ernst Eberlein & Dilip Madan & Martijn Pistorius & Wim Schoutens & Marc Yor, 2014, "Two price economies in continuous time," Annals of Finance, Springer, volume 10, issue 1, pages 71-100, February, DOI: 10.1007/s10436-013-0228-3.
• Stefano d’Addona & Christos Giannikos, 2014, "Asset pricing and the role of macroeconomic volatility," Annals of Finance, Springer, volume 10, issue 2, pages 197-215, May, DOI: 10.1007/s10436-013-0237-2.
• Masataka Suzuki, 2014, "Hidden persistent disasters and asset prices," Annals of Finance, Springer, volume 10, issue 3, pages 395-418, August, DOI: 10.1007/s10436-013-0226-5.
• Robert Elliott & Katsumasa Nishide, 2014, "Pricing of discount bonds with a Markov switching regime," Annals of Finance, Springer, volume 10, issue 3, pages 509-522, August, DOI: 10.1007/s10436-013-0244-3.
• Barik Kumar & M. Supriya, 2014, "Evidence on Hedging Effectiveness in Indian Derivatives Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 21, issue 2, pages 121-131, May, DOI: 10.1007/s10690-014-9179-6.
• Christopher Duquette & Franklin Mixon & Richard Cebula & Kamal Upadhyaya, 2014, "Prediction Markets and Election Polling: Granger Causality Tests Using InTrade and RealClearPolitics Data," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 42, issue 4, pages 357-366, December, DOI: 10.1007/s11293-014-9430-6.
• Adrian Stoian, 2014, "Public Messages and Asset Prices," Atlantic Economic Journal, Springer;International Atlantic Economic Society, volume 42, issue 4, pages 441-454, December, DOI: 10.1007/s11293-014-9431-5.
• Xiaojing Xi & Rogemar Mamon, 2014, "Capturing the Regime-Switching and Memory Properties of Interest Rates," Computational Economics, Springer;Society for Computational Economics, volume 44, issue 3, pages 307-337, October, DOI: 10.1007/s10614-013-9396-5.
• Dirk Broeders & Paul Hilbers & David Rijsbergen & Ningli Shen, 2014, "What Drives Pension Indexation in Turbulent Times? An Empirical Examination of Dutch Pension Funds," De Economist, Springer, volume 162, issue 1, pages 41-70, March, DOI: 10.1007/s10645-014-9223-y.
• Nick Draper & Casper Ewijk & Marcel Lever & Roel Mehlkopf, 2014, "Stochastic Generational Accounting Applied to Reforms of Dutch Occupational Pensions," De Economist, Springer, volume 162, issue 3, pages 287-307, September, DOI: 10.1007/s10645-014-9232-x.
• Sonali Das & Rangan Gupta & Patrick Kanda & Monique Reid & Christian Tipoy & Mulatu Zerihun, 2014, "Real interest rate persistence in South Africa: evidence and implications," Economic Change and Restructuring, Springer, volume 47, issue 1, pages 41-62, February, DOI: 10.1007/s10644-012-9132-5.
• Jiye Hu, 2014, "An empirical approach on regulating China’s pension investment," European Journal of Law and Economics, Springer, volume 37, issue 3, pages 495-516, June, DOI: 10.1007/s10657-013-9427-7.
• Thomas Stöckl, 2014, "Price efficiency and trading behavior in limit order markets with competing insiders," Experimental Economics, Springer;Economic Science Association, volume 17, issue 2, pages 314-334, June, DOI: 10.1007/s10683-013-9369-5.
• Christian Klein & Christoph Stellner, 2014, "The systematic risk of corporate bonds: default risk, term risk, and index choice," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 28, issue 1, pages 29-61, February, DOI: 10.1007/s11408-013-0222-9.
• Christian Gabriel & Christian Lau, 2014, "On the distribution of government bond returns: evidence from the EMU," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 28, issue 2, pages 181-203, May, DOI: 10.1007/s11408-014-0228-y.
• Yacine Hammami, 2014, "An empirical investigation of asset pricing models under divergent lending and borrowing rates," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 28, issue 3, pages 263-279, August, DOI: 10.1007/s11408-014-0233-1.
• Jonas Gusset & Heinz Zimmermann, 2014, "Why not use SDF rather than beta models in performance measurement?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 28, issue 4, pages 307-336, November, DOI: 10.1007/s11408-014-0235-z.
• Thomas Walker & Kerstin Lopatta & Thomas Kaspereit, 2014, "Corporate sustainability in asset pricing models and mutual funds performance measurement," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 28, issue 4, pages 363-407, November, DOI: 10.1007/s11408-014-0237-x.
• Alexander Kerl & Carolin Schürg & Andreas Walter, 2014, "The impact of Financial Times Deutschland news on stock prices: post-announcement drifts and inattention of investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 28, issue 4, pages 409-436, November, DOI: 10.1007/s11408-014-0238-9.
• Jonathan Fletcher & Andrew Marshall, 2014, "Investor Heterogeneity and the Cross-section of U.K. Investment Trust Performance," Journal of Financial Services Research, Springer;Western Finance Association, volume 45, issue 1, pages 67-89, February, DOI: 10.1007/s10693-013-0159-1.
• Sheng Guo & William Hardin, 2014, "Wealth, Composition, Housing, Income and Consumption," The Journal of Real Estate Finance and Economics, Springer, volume 48, issue 2, pages 221-243, February, DOI: 10.1007/s11146-012-9390-z.
• Nusret Cakici & Isil Erol & Dogan Tirtiroglu, 2014, "Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs," The Journal of Real Estate Finance and Economics, Springer, volume 48, issue 3, pages 415-440, April, DOI: 10.1007/s11146-013-9410-7.
• Erik Devos & Thomas McInish & Michael McKenzie & James Upson, 2014, "Naked Short Selling and the Market Impact of Fails-to-Deliver: Evidence from the Trading of Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, volume 49, issue 4, pages 454-476, November, DOI: 10.1007/s11146-013-9438-8.
• Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Presbitero, 2014, "External Imbalances and Fiscal Fragility in the Euro Area," Open Economies Review, Springer, volume 25, issue 1, pages 3-34, February, DOI: 10.1007/s11079-013-9305-5.
• Tim Loughran & Bill McDonald, 2014, "Regulation and financial disclosure: The impact of plain English," Journal of Regulatory Economics, Springer, volume 45, issue 1, pages 94-113, February, DOI: 10.1007/s11149-013-9236-5.
• Ron Chan & Simon Hubbert, 2014, "Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme," Review of Derivatives Research, Springer, volume 17, issue 2, pages 161-189, July, DOI: 10.1007/s11147-013-9095-3.
• Ming-Hsien Chen & Vivian Tai, 2014, "The price discovery of day trading activities in futures market," Review of Derivatives Research, Springer, volume 17, issue 2, pages 217-239, July, DOI: 10.1007/s11147-014-9096-x.
• Jean-Paul Laurent & Philippe Amzelek & Joe Bonnaud, 2014, "An overview of the valuation of collateralized derivative contracts," Review of Derivatives Research, Springer, volume 17, issue 3, pages 261-286, October, DOI: 10.1007/s11147-014-9098-8.
• Robert Jarrow & Hao Li, 2014, "The impact of quantitative easing on the US term structure of interest rates," Review of Derivatives Research, Springer, volume 17, issue 3, pages 287-321, October, DOI: 10.1007/s11147-014-9099-7.
• Angelos Kanas, 2014, "Uncovering a positive risk-return relation: the role of implied volatility index," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 1, pages 159-170, January, DOI: 10.1007/s11156-012-0317-9.
• Ernest Biktimirov & Boya Li, 2014, "Asymmetric stock price and liquidity responses to changes in the FTSE SmallCap index," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 1, pages 95-122, January, DOI: 10.1007/s11156-012-0335-7.
• Jin-Ray Lu & Chih-Ming Chan, 2014, "Optimal portfolio choice of gold assets in the differential market and differential game structures," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 2, pages 309-325, February, DOI: 10.1007/s11156-013-0343-2.
• Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014, "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 3, pages 415-448, April, DOI: 10.1007/s11156-013-0348-x.
• Jeong-Bon Kim & Haina Shi & Jing Zhou, 2014, "International Financial Reporting Standards, institutional infrastructures, and implied cost of equity capital around the world," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 3, pages 469-507, April, DOI: 10.1007/s11156-013-0350-3.
• Tobias Schlueter & Soenke Sievers, 2014, "Determinants of market beta: the impacts of firm-specific accounting figures and market conditions," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 3, pages 535-570, April, DOI: 10.1007/s11156-013-0352-1.
• Christian Koziol, 2014, "A simple correction of the WACC discount rate for default risk and bankruptcy costs," Review of Quantitative Finance and Accounting, Springer, volume 42, issue 4, pages 653-666, May, DOI: 10.1007/s11156-013-0356-x.
• Seth Kopchak, 2014, "The absorption effect of US Treasury auctions," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 1, pages 21-44, July, DOI: 10.1007/s11156-013-0363-y.
• Ron Bird & Daniel Choi & Danny Yeung, 2014, "Market uncertainty, market sentiment, and the post-earnings announcement drift," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 1, pages 45-73, July, DOI: 10.1007/s11156-013-0364-x.
• Cathy Chen & I-Doun Kuo, 2014, "Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 2, pages 367-391, August, DOI: 10.1007/s11156-013-0376-6.
• Tsung-Kang Chen & Hsien-Hsing Liao & Hsiao-Chun Huang, 2014, "Macroeconomic risks of supply chain counterparties and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 3, pages 463-481, October, DOI: 10.1007/s11156-013-0382-8.
• Stefano Gubellini, 2014, "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 3, pages 529-569, October, DOI: 10.1007/s11156-013-0384-6.
• Qi Zhang & Charlie Cai & Kevin Keasey, 2014, "The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 3, pages 605-625, October, DOI: 10.1007/s11156-013-0386-4.
• Tienyu Hwang & Simon Gao & Heather Owen, 2014, "Markowitz efficiency and size effect: evidence from the UK stock market," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 4, pages 721-750, November, DOI: 10.1007/s11156-013-0390-8.
• Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014, "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 4, pages 751-779, November, DOI: 10.1007/s11156-013-0391-7.
• Li Eng & Joohyung Ha & Sandeep Nabar, 2014, "The impact of regulation FD on the information environment: evidence from the stock market response to stock split announcements," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 4, pages 829-853, November, DOI: 10.1007/s11156-013-0394-4.
• Daniela Cagno & Tibor Neugebauer & Carlos Rodriguez-Palmero & Abdolkarim Sadrieh, 2014, "Recall searching with and without recall," Theory and Decision, Springer, volume 77, issue 3, pages 297-311, October, DOI: 10.1007/s11238-014-9444-1.
• Daniel Harenberg & Alexander Ludwig, 2014, "Social Security and the Interactions Between Aggregate and Idiosyncratic Risk," Working Paper Series in Economics, University of Cologne, Department of Economics, number 71, Mar.
• Falko Juessen & Ludger Linnemann & Andreas Schabert, 2014, "Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model," Working Paper Series in Economics, University of Cologne, Department of Economics, number 73, Jun.
• Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz, 2014, "The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2014-24, Dec.
• Hideaki Tamura & Yoichi Matsubayashi, 2014, "A New Solution to the Equity Premium Puzzle and the Risk-Free Rate Puzzle: Theory and Evidence," Discussion Papers, Graduate School of Economics, Kobe University, number 1422, Aug.
• Szabó, Zsolt, 2014, "A Fed szigorodó monetáris politikájának hatása az eszközárakra a feltörekvő piacokon
  [The effect of incipient tapering on asset prices in emerging markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 6, pages 693-718.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2014, "Are All Sovereigns Equal? A Test of the Common Determination of Sovereign Spreads in the Euro Area," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 14/06, Mar.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2014, "Doom-loops: The Role of Rating Agencies in the Euro Financial Crisis," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 14/16, Dec.
• Luciano Vereda & Hélio Lopes & Jessica Kubrusly & Adrian Pizzinga & Taofik Mohammed Ibrahim, 2014, "Yield Curve Forecasts and the Predictive Power of Macro Variables in a VAR Framework," Journal of Reviews on Global Economics, Lifescience Global, volume 3, pages 377-393.
• Harlan Platt, Licheng Cai & Licheng Cai & Marjorie Platt, 2014, "Mutual fund flows: Where does the money go?," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 2, issue 5, pages 59-69, October.
• Jean-Sébastien Michel, 2014, "Stock Market Overreaction to Management Earnings Forecasts," Cahiers de recherche, CIRPEE, number 1319.
• Pascal François & Alon Raviv, 2014, "Heterogeneous Beliefs and the Choice Between Private Restructuring and Formal Bankruptcy," Cahiers de recherche, CIRPEE, number 1401.
• Christian Dorion & Pascal François & Gunnar Grass & Alexandre Jeanneret, 2014, "Convertible Debt and Shareholder Incentives," Cahiers de recherche, CIRPEE, number 1403.
• Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014, "Nonlinear Kalman Filtering in Affine Term Structure Models," Cahiers de recherche, CIRPEE, number 1404.
• 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.