Research classified by Journal of Economic Literature (JEL) codes

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Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G12: Asset Pricing; Trading Volume; Bond Interest Rates

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Most recent items first, undated at the end.

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2016 Financialisation in Emerging Economies: A Systematic Overview and Comparison with Anglo-Saxon Economies
by Karwowski, Ewa & Stockhammer, Engelbert

2016 Is Inflation Persistence Different in Reality?
by Nikolaos Antonakakis & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta

2016 Periodically Collapsing Bubbles in the South African Stock Market
by Mehmet Balcilar & Rangan Gupta & Charl Jooste & Mark E. Wohar

2016 Convergence Patterns in Sovereign Bond Yield Spreads: Evidence from the Euro Area
by Nikolaos Antonakakis & Christina Christou & Juncal Cunado & Rangan Gupta

2016 Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations
by Mehmet Balcilar & Riza Demirer & Rangan Gupta

2016 Private Equity Capital Commitments: An Options- Private Equity Capital Commitments: An Options-Theoretic Risk Management Approach
by Freeman, Andrew & Wilford, D. Sykes

2016 Get Bold with Blockchain
by Jessel, Benjamin & Marshall, Tommy

2016 Do Bondholder Relations Efforts Pay Off for German Firms? An Em-pirical Approach
by Steve Janner

2016 Asymmetric information in frictional markets for liquidity: on the non-equivalence between collateralized credit and immediate settlement
by Florian Madison

2016 Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods
by Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Uno, Jun & Yuferova, Darya

2016 Spoilt for choice: Order routing decisions in fragmented equity markets
by Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian

2016 Commodities, financialization, and heterogeneous agents
by Branger, Nicole & Grüning, Patrick & Schlag, Christian

2016 Optimal consumption and portfolio choice with loss aversion
by Curatola, Giuliano

2016 Investment-specific shocks, business cycles, and asset prices
by Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick & Meinerding, Christoph

2016 Preference evolution and the dynamics of capital markets
by Curatola, Giuliano

2016 Competition in treasury auctions
by Elsinger, Helmut & Schmidt-Dengler, Philipp & Zulehner, Christine

2016 Coinvestment and risk taking in private equity funds
by Bienz, Carsten & Thorburn, Karin & Walz, Uwe

2016 The intended and unintended consequences of financial-market regulations: A general equilibrium analysis
by Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory

2016 Media coverage and stock returns on the London Stock Exchange, 1825-70
by Turner, John D. & Ye, Qing & Walker, Clive B.

2016 A Market-based Indicator of Currency Risk: Evidence from American Depositary Receipts
by Eichler, Stefan & Roevekamp, Ingmar

2016 An incomplete markets explanation of the UIP puzzle
by Rabitsch, Katrin

2016 The pricing of sentiment risk in European stock markets
by Keiber, Karl Ludwig & Samyschew, Helene

2016 Jumps and Information Asymmetry in the US Treasury Market
by Dumitru, Ana-Maria & Urga, Giovanni

2016 Why does idiosyncratic risk increase with market risk?
by Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M.

2016 A heterogeneous agents equilibrium model for the term structure of bond market liquidity
by Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese

2016 Investitionsrechnerische Bewertung von ausfallgefährdeten Krediten
by Nippel, Peter

2016 High-frequency trading in the Bund futures market
by Schlepper, Kathi

2016 Credit risk interconnectedness: What does the market really know?
by Abbassi, Puriya & Brownlees, Christian & Hans, Christina & Podlich, Natalia

2016 Inflation anchoring in the euro area
by Speck, Christian

2016 Arbitrage and nonlinear tax scales
by Becker, Marcus & Löffler, Andreas

2016 Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

2016 Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

2016 Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

2016 A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
by Alessandro Gnoatto & Martino Grasselli & Eckhard Platen

2016 Trading Heterogeneity under Information Uncertainty
by Xue-Zhong He & Huanhuan Zheng

2016 Pricing of Catastrophe Risk and the Implied Volatility Smile
by Ben Ammar, Semir

2016 Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions
by Mirkov, Nikola & Pozdeev, Igor & Soderlind, Paul

2016 Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution
by Ranaldo, Angelo & Rossi, Enzo

2016 A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
by Abdi, Farshid & Ranaldo, Angelo

2016 Fragility of Money Markets
by Ranaldo, Angelo & Rupprecht, Matthias & Wrampelmeyer, Jan

2016 Puzzles in the Tokyo Fixing in the Forex Market: Order Imbalances and Bank Pricing
by Takatoshi Ito & Masahiro Yamada

2016 Oil price volatility and stock returns in the G7 economies
by Elena María Díaz & Juan Carlos Molero & Fernando Pérez de Gracia

2016 Modeling farmers’ decisions on tea varieties in Vietnam: a multinomial logit analysis
by Phu Nguyen-Van & Cyrielle Poiraud & Nguyen To-The

2016 The Macroeconomic Determinants of the US Term-Structure During The Great Moderation
by Alessia Paccagnini

2016 How are VIX and Stock Index ETF Related?
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer

2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

2016 The Intervaling Effect on Higher-Order Co-Moments
by Thomas Conlon & John Cotter & Chenglu Jin

2016 Grexit News and Stock Returns
by Andreas Haupenthal & Matthias Neuenkirch

2016 An Experimental Study of Bond Market Pricing
by Matthias Weber & John Duffy & Arthur Schram

2016 Single Stock Call Options as Lottery Tickets
by Luiz Félix & Roman Kräussl & Philip Stork

2016 How are VIX and Stock Index ETF related?
by Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer

2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?
by Massimiliano Caporin & Chia-Lin Chang & Michael McAleer

2016 Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter
by Roman Frydman & Joshua R. Stillwagon

2016 Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading
by Sandrine Jacob Leal & Mauro Napoletano

2016 Networks and lending conditions: Empirical evidence from the Swiss franc money markets
by Silvio Schumacher

2016 Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions
by Nikola Mirkov & Igor Pozdeev & Paul Söderlind

2016 Cross-border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices
by Severin Bernhard & Till Ebner

2016 Uniform-price auctions for Swiss government bonds: Origin and evolution
by Angelo Ranaldo & Enzo Rossi

2016 Idiosyncratic risk and stock returns: a quantile regression approach
by Tariq Aziz & Valeed Ahmad Ansari

2016 Sovereign CDS Spread Determinants and Spill-Over Effects
by Spyros Spyrou & Emilios Galariotis & Panagiota Makrichoriti

2016 Granger Causality between Stock Prices and Trading Volume: Evidence from Turkey
by Elif Akben-Selcuk

2016 Fishing the Corporate Social Responsibility Risk Factors
by Leonardo Becchetti & Rocco Ciciretti & Ambrogio D'Alò

2016 Endogenous Stock Price Fluctuations with Dynamic Self-Control Preferences
by Airaudo, Marco

2016 Dynamic Inefficiency in Decentralized Capital Markets
by Kurmann, André & Rabinovich, Stanislav

2016 Can Higher-Order Risks Explain the Credit Spread Puzzle?
by Okou, Cedric & Maalaoui Chun, Olfa & Dionne, Georges & Li, Jingyuan

2016 The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis
by Dionne, Georges & Zhou, Xiaozhou

2016 Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies
by Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko

2016 Pricing of Idiosyncratic Equity and Variance Risks
by Elise Gourier

2016 Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets
by Chris Bardgett & Elise Gourier & Markus Leippold

2016 Has Canadian House Price Growth been Excessive?
by Allen Head & Huw Lloyd-Ellis

2016 Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers
by Jakree Koosakul

2016 Macroprudential Policy in a Bubble-Creation Economy
by Pongsak Luangaram & Athakrit Thepmongkol

2016 Money, Asset Prices and the Liquidity Premium
by Lee, Seungduck

2016 Money, Asset Prices and the Liquidity Premium
by Lee, Seungduck

2016 The Impacts of the 2008 and 2011 Crises on the Japan REIT Market
by Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai

2016 Measuring the inadequacy of IRR in PFI schemes using profitability index and AIRR
by Cuthbert, James R. & Magni, Carlo Alberto

2016 Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets
by Hasbullah, Faruq & Masih, Mansur

2016 Power Style Contracts Under Asymmetric Lévy Processes
by Fajardo, José

2016 Price Dynamics and Consumption Smoothing in Experimental Asset Markets
by Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan

2016 Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?
by Jiranyakul, Komain

2016 Yield Curve for Japanese Agency Bonds: From 2002 to the Present
by Hattori, Takahiro & Miyake, Hiroki

2016 Monetary Policy and Efficiency in Over-the-Counter Financial Trade
by Athanasios, Geromichalos & Kuk Mo, Jung

2016 The Strategic Determination of the Supply of Liquid Assets
by Geromichalos, Athanasios & Herrenbrueck, Lucas

2016 The recursive nature of KVA: KVA mitigation from KVA
by García Muñoz, Luis Manuel & Palomar Burdeus, Juan Esteban & de Lope Contreras, Fernando

2016 Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?
by Kim, Jae

2016 Futures market approach to understanding equity premium puzzle
by Kim, Minseong

2016 Stepping out of the limit order book: Empirical evidence from the EBS FX market
by Yoshida, Yushi & Susai, Masayuki

2016 Stock Return Predictability: Evaluation based on Prediction Intervals
by Charles, Amelie & Darne, Olivier & Kim, Jae

2016 The Japan Municipal Bond Yield Curve: 2002 to the Present
by Hattori, Takahiro & Miyake, Hiroki

2016 Inflation expectations derived from a portfolio model
by Covarrubias, Enrique & Hernández-del-Valle, Gerardo

2016 The Bright Side of Financial Derivatives: Options Trading and Firm Innovation
by Blanco, Iván & Wehrheim, David

2016 Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan
by Naqi Shah, Sadia & Qayyum, Abdul

2016 Analysis & Test of Market Efficiency: A Case Study of KSE
by Shaikh, Slam Ahmed

2016 A Rational Inattention Perspective on Equilibrium Asset Pricing under Heterogeneous Information with Structural Breaks and Market Efficiency
by Steve, Heinke & Niels, Warmuth

2016 Financialisation in emerging economies: a systematic overview and comparison with Anglo-Saxon economies
by Ewa Karwowski & Engelbert Stockhammer

2016 Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy
by Wenxin Du & Carolin E. Pflueger & Jesse Schreger

2016 The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds
by Jacob Boudoukh & Jordan Brooks & Matthew Richardson & Zhikai Xu

2016 Monetary Policy and Asset Valuation: Evidence From a Markov-Switching cay
by Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson

2016 Price of Long-Run Temperature Shifts in Capital Markets
by Ravi Bansal & Dana Kiku & Marcelo Ochoa

2016 Risk Preferences and The Macro Announcement Premium
by Hengjie Ai & Ravi Bansal

2016 Cash Flow Duration and the Term Structure of Equity Returns
by Michael Weber

2016 Why Does Idiosyncratic Risk Increase with Market Risk?
by Söhnke M. Bartram & Gregory Brown & René M. Stulz

2016 Macro-Finance
by John H. Cochrane

2016 Depreciation of Business R&D Capital
by Wendy C.Y. Li & Bronwyn H. Hall

2016 Long-Run Risk is the Worst-Case Scenario
by Rhys Bidder & Ian Dew-Becker

2016 Term Structure of Uncertainty in the Macroeconomy
by Jaroslav Borovička & Lars Peter Hansen

2016 Equity is Cheap for Large Financial Institutions: The International Evidence
by Priyank Gandhi & Hanno Lustig & Alberto Plazzi

2016 Housing and Macroeconomics
by Monika Piazzesi & Martin Schneider

2016 The Value of Trading Relationships in Turbulent Times
by Marco Di Maggio & Amir Kermani & Zhaogang Song

2016 A Model of the International Monetary System
by Emmanuel Farhi & Matteo Maggiori

2016 Social Networks and Housing Markets
by Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Stroebel

2016 The Granular Nature of Large Institutional Investors
by Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi & John Sedunov

2016 Pricing Assets in an Economy with Two Types of People
by Roger E.A. Farmer

2016 Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock
by Jeffrey Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan Stuart

2016 Volatility Managed Portfolios
by Alan Moreira & Tyler Muir

2016 Understanding the Decline in the Safe Real Interest Rate
by Robert E. Hall

2016 Bond Risk Premia in Consumption-based Models
by Drew D. Creal & Jing Cynthia Wu

2016 Term Structures of Asset Prices and Returns
by David Backus & Nina Boyarchenko & Mikhail Chernov

2016 Coordinated Noise Trading: Evidence from Pension Fund Reallocations
by Zhi Da & Borja Larrain & Clemens Sialm & José Tessada

2016 The Deposits Channel of Monetary Policy
by Itamar Drechsler & Alexi Savov & Philipp Schnabl

2016 Levered Returns
by Ivo Welch

2016 Rethinking Performance Evaluation
by Campbell R. Harvey & Yan Liu

2016 Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
by Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff

2016 Why Does Fast Loan Growth Predict Poor Performance for Banks?
by Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz

2016 Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
by Hanno Lustig & Adrien Verdelhan

2016 The Term Structure of Interest Rates in India
by Rajnish Mehra & Arunima Sinha

2016 The Demand for Diversification in Incomplete Markets
by Rajnish Mehra & Sunil Wahal & Daruo Xie

2016 Solution Methods for Models with Rare Disasters
by Jesús Fernández-Villaverde & Oren Levintal

2016 Financial Markets’ Views about the Euro-Swiss Franc Floor
by Urban J. Jermann

2016 Overconfident Investors, Predictable Returns, and Excessive Trading
by Kent Daniel & David Hirshleifer

2016 Extrapolation and Bubbles
by Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer

2016 Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates
by Shin-ichi Fukuda

2016 Intermediary Asset Pricing: New Evidence from Many Asset Classes
by Zhiguo He & Bryan Kelly & Asaf Manela

2016 What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending
by Kaiji Chen & Jue Ren & Tao Zha

2016 Options-Pricing Formula with Disaster Risk
by Robert J. Barro & Gordon Y. Liao

2016 Colonial Virginia's Paper Money Regime, 1755-1774: Value Decomposition and Performance
by Farley Grubb

2016 Credit-Market Sentiment and the Business Cycle
by David López-Salido & Jeremy C. Stein & Egon Zakrajšek

2016 Rare Events and Long-Run Risks
by Robert J. Barro & Tao Jin

2016 Synchronization in human decision making
by Yi-Fang Liu & Jørgen Vitting Andersen & Maxime Frolov & Philippe de Peretti

2016 Sensitivity analysis and investment decisions: NPV-consistency of rates of return
by Andrea Marchiioni & Carlo Alberto Magni

2016 A Term Structure of Interest Rates Model with Zero Lower Bound and the European Central Bank's Non-standard Monetary Policy Measures
by Viktors Ajevskis

2016 Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets
by Kocher, Martin G. & Lucks, Konstantin E. & Schindler, David

2016 The Empirics of Long-Term US Interest Rates
by Tanweer Akram & Huiqing Li

2016 Public Capital and Asset Prices: Time-series Evidence from Japan
by Kazuki Hiraga & Masafumi Kozuka & Tomomi Miyazaki

2016 The total benefit of alternative assets to pension fund portfolios
by Jens Carsten Jackwerth & Anna Slavutskaya

2016 The predictive power of the implied volatility of interest rates: Evidence from US Dollar, Euro, and Japanese Yen
by Takahiro Hattori

2016 From bond yield to macroeconomic instability: The effect of negative interest rates
by Maria Cristina Recchioni & Gabriele Tedeschi

2016 How Do Households Discount over Centuries? Evidence from Singapore's Private Housing Market
by Fesselmeyer, Eric & Liu, Haoming & Salvo, Alberto

2016 A Market-based Indicator of Currency Risk: Evidence from American Depositary Receipts
by Stefan Eichler & I. Roevekamp

2016 Revisiting Sovereign Bond Spreads’Determinants in the EMU
by António Afonso, & Manuel Reis

2016 An Experimental Study of Bond Market Pricing
by Matthias Weber & John Duffy & Arthur Schram

2016 Correlation and coordination risk
by Martin Geiger & Richard Hule

2016 The Intraday Market Liquidity of Japanese Government Bond Futures
by Naoshi Tsuchida & Toshiaki Watanabe & Toshinao Yoshiba

2016 Searching high and low: Extremal dependence of international sovereign bond markets
by Bojan Basrak & Petra Posedel & Marina Tkalec & Maruska Vizek

2016 Investor Sentiment and Sector Returns
by Ahmed Salhin & Mo Sherif & Edward Jones

2016 Irrational Exuberance and Herding in Financial Markets
by Christopher Boortz & & &

2016 Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries
by Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle &

2016 証券化による発行者の資産リスクの変動と資本市場の評価―J-Reitのケース・スタディ―
by 江上, 雅彦 & 細野, 薫

2016 Geography and Realty Prices: Evidence from International Transaction-Level Data
by Miyakawa, Daisuke & Shimizu, Chihiro & Uesugi, Iichiro

2016 On Persistence of Uncertainty Shocks
by Sergey Egiev

2016 Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations
by Liu, Yuna

2016 Stock exchange mergers and weak-form information efficiency: Evidence from the OMX Nordic and Baltic consolidation
by Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas

2016 Oil project selection by metrics
by Elmhjellen, Magne & Osmundsen, Petter

2016 The size premium and intertemporal risk
by de Oliveira Souza, Thiago

2016 Potential Climate Risks in Financial Markets: A Literature Overview
by Hjort, Ingrid

2016 Do Developing Countries Lose Money on Central Bank Intervention? The Case of Zambia in Copper-Market Boom and Bust
by Simatele, Munacinga & Sjö, Bo & Sweeny, Richard

2016 A market-based indicator of currency risk: Evidence from American Depositary Receipts
by Eichler, Stefan & Roevekamp, Ingmar

2016 Stock liquidity, corporate governance, and leverage: New panel evidence
by Nadarajah Sivathaasan & Searat Ali & Benjamin Liu & Allen Huang

2016 Monetary Policy and Corporate Bond Returns
by Alexandros Kontonikas & Paulo Maio & Zivile Zekaite

2016 Financial Markets and Financial Institutions in Russia in 2015
by Abramov Alexander

2016 Copula--based Specification of vector MEMs
by Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo

2016 Global variance term premia and intermediary risk appetite
by Van Tassel, Peter & Vogt, Erik

2016 Characteristic-sorted portfolios: estimation and inference
by Cattaneo, Matias D. & Crump, Richard K. & Farrell, Max H. & Schaumburg, Ernst

2016 Global price of risk and stabilization policies
by Adrian, Tobias & Stackman, Daniel & Vogt, Erik

2016 Trading activity in the Indian government bond market
by Fleming, Michael J. & Sareen, Samita & Saggar, Seema

2016 The term structure of expectations and bond yields
by Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel

2016 Term structures of asset prices and returns
by Backus, David K. & Boyarchenko, Nina & Chernov, Mikhail

2016 The Federal Reserve and market confidence
by Boyarchenko, Nina & Haddad, Valentin & Plosser, Matthew

2016 Merger options and risk arbitrage
by Van Tassel, Peter

2016 A new survey of the U.S. bilateral repo market: a snapshot of broker-dealer activity
by Baklanova, Viktoria & Caglio, Cecilia & Cipriani, Marco & Copeland, Adam

2016 Turnover Liquidity and the Transmission of Monetary Policy
by Lagos, Ricardo & Zhang, Shengxing

2016 The Life Insurance Industry and Systemic Risk: A Bond Market Perspective
by Paulson, Anna L. & Rosen, Richard J.

2016 The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds
by Mark S. Carey & Michael B. Gordy

2016 Trading Relationships in the OTC Market for Secured Claims : Evidence from Triparty Repos
by Song Han & Kleopatra Nikolaou

2016 Funding Liquidity Risk and the Cross-section of MBS Returns
by Yuriy Kitsul & Marcelo Ochoa

2016 News versus Sentiment : Predicting Stock Returns from News Stories
by Steven L. Heston & Nitish R. Sinha

2016 Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default
by Darst, R. Matthew & Refayet, Ehraz

2016 Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks
by Alex Hsu & Erica X. N. Li & Francisco J. Palomino

2016 From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors
by Mathias S. Kruttli

2016 Time-varying Volatility and the Power Law Distribution of Stock Returns
by Missaka Warusawitharana

2016 The Role of Learning for Asset Prices, Business Cycles, and Monetary Policy
by Winkler, Fabian

2016 Credit-fuelled bubbles
by Doblas-Madrid, Antonio & Lansing, Kevin J.

2016 The rank effect for commodities
by Fernholz, Ricardo T. & Koch, Christoffer

2016 Term Premium Variability and Monetary Policy
by Fuerst, Timothy S. & Mau, Ronald

2016 Where the Wild Things Are: Measuring Systemic Risk through Investor Sentiment
by Ergungor, O. Emre

2016 The role of commodity prices in forecasting U.S. core inflation
by Gospodinov, Nikolay

2016 Forecasts of inflation and interest rates in no-arbitrage affine models
by Gospodinov, Nikolay & Wei, Bin

2016 What we learn from China's rising shadow banking: exploring the nexus of monetary tightening and banks' role in entrusted lending
by Chen, Kaiji & Ren, Jue & Zha, Tao

2016 Affine term structure pricing with bond supply as factors
by Hayashi, Fumio

2016 The Nature, Performance and Economic Impact of Sovereign Wealth Funds
by I. Anthopoulos & C. Pitelis & C. Liakou

2016 Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading
by Sandrine Jacob Leal & Mauro Napoletano

2016 Prospect Theory in the Heterogeneous Agent Model
by Jan Polach & Jiri Kukacka

2016 Simulated ML Estimation of Financial Agent-Based Models
by Jiri Kukacka & Jozef Barunik

2016 Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation
by Roman Horvath & Lorant Kaszab

2016 How are VIX and Stock Index ETF Related?
by Chang, C-L. & Hsieh, T-L. & McAleer, M.J.

2016 Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?
by Caporin, M. & Chang, C-L. & McAleer, M.J.

2016 The impact of oil price shocks on the US stock market: A note on the roles of US and non-US oil production
by Wensheng Kang & Ronald A. Ratti & Joaquin Vespignani

2016 Market Efficiency, Trading Institutions and Information Mirages: Evidence from an Experimental Asset Market
by Andrea Morone & Simone Nuzzo

2016 Bargaining Power, Business Cycle and Levered Equity Risk
by Chen, Zhiyao & Strebulaev, Ilya A.

2016 Equity Is Cheap for Large Financial Institutions: The International Evidence
by Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto

2016 Uncovering Expected Returns: Information in Analyst Coverage Proxies
by Lee, Charles M. C. & So, Eric C.

2016 Systemic Default and Return Predictability in the Stock and Bond Markets
by Bao, Jack & Hou, Kewei & Zhang, Shaojun A.

2016 Why Does Idiosyncratic Risk Increase with Market Risk?
by Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M.

2016 Government Debt and the Returns to Innovation
by Massimiliano Croce, Mariano & Nguyen, Thien Tung & McGregor Raymond, Steve & Schmid, Lukas

2016 Day of the Week and the Cross-Section of Returns
by Birru, Justin

2016 Why Does Fast Loan Growth Predict Poor Performance for Banks?
by Fahlenbrach, Rudiger & Prilmeier, Robert & Stulz, Rene M.

2016 Hedging Interest Rate Risk Using a Structural Model of Credit Risk
by Huang, Jing-Zhi & Shi, Zhan

2016 Colonial Virginia's Paper Money Regime, 1755-1774: Value Decomposition and Performance
by Farley Grubb

2016 Monetary Policy and Mispricing in Stock Markets
by Benjamin Beckers & Kerstin Bernoth

2016 Calendar Anomalies in the Ukrainian Stock Market
by Guglielmo Maria Caporale & Alex Plastun

2016 Equity Premium Prediction: Are Economic and Technical Indicators Unstable?
by Fabian Baetje & Lukas Menkhoff

2016 Coherent Pricing
by Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro

2016 The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets
by Martin T. Bohl & Christian Gross & Waldemar Souza

2016 Who is afraid of BlackRock?
by Massa, Massimo & Schumacher, David & Wang, Yan

2016 A Dynamic Equilibrium Model of ETFs
by Malamud, Semyon

2016 Market Integration and Global Crashes
by Malamud, Semyon & Malkhozov, Aytek

2016 Dynamic Leverage Asset Pricing
by Adrian, Tobias & Moench, Emanuel & Shin, Hyun Song

2016 Expected skewness and momentum
by Jacobs, Heiko & Regele, Tobias & Weber, Martin

2016 Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds
by Adrian, Tobias & Crump, Richard K. & Vogt, Erik

2016 Currency Value
by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas

2016 Social Networks and Housing Markets
by Bailey, Michael & Cao, Ruiqing & Kuchler, Theresa & Ströbel, Johannes

2016 Term structures of asset prices and returns
by Backus, David & Boyarchenko, Nina & Chernov, Mikhail

2016 Who Trades Against Mispricing?
by Giannetti, Mariassunta & Kahraman, Bige

2016 Securitisation Bubbles: Structured finance with disagreement about default correlations
by Broer, Tobias

2016 Currency Premia and Global Imbalances
by Della Corte, Pasquale & Riddiough, Steven & Sarno, Lucio

2016 Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area
by Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Hanson, Jesper

2016 Solution Methods for Models with Rare Disasters
by Fernández-Villaverde, Jesús & Levintal, Oren

2016 Short-Selling Bans and Bank Stability
by Beber, Alessandro & Fabbri, Daniela & Pagano, Marco

2016 Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
by Chernov, Mikhail & Dunn, Brett R. & Longstaff, Francis

2016 Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion
by Lubos Komarek & Kristyna Ters & Jorg Urban

2016 Monetary Transmission: Are Emerging Market and Low-Income Countries Different?
by Ales Bulir & Jan Vlcek

2016 Nonparametric Tail Risk, Stock Returns and the Macroeconomy
by René Garcia & Caio Almeida & Kym Ardison & Jose Vicente

2016 The Macroeconomic Shock with the Highest Price of Risk
by Gabor Pinter

2016 Cash Flow Duration and the Term Structure of Equity Returns
by Michael Weber

2016 Social Networks and Housing Markets
by Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Ströbel

2016 Oil Project Selection by Metrics
by Magne Emhjellen & Petter Osmundsen

2016 Calendar Anomalies in the Ukrainian Stock Market
by Guglielmo Maria Caporale & Alex Plastun

2016 Q-Targeting in New Keynesian Models
by Burkhard Heer & Alfred Maussner & Halvor Ruf

2016 Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets
by Martin G. Kocher & Konstantin E. Lucks & David Schindler

2016 A Neglected Semi-Stylized Fact of Daily Stock Returns
by Walter Kraemer

2016 The Housing Market Impacts of Constraining Second Home Investments
by Christian A. L. Hilber & Olivier Schöni

2016 The Strategic Determination of the Supply of Liquid Assets
by Athanasios Geromichalos & Lucas Herrenbrueck

2016 The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
by Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov

2016 Equilibrium bid-ask spread and infrequent trade with outside options
by Elisa Luciano & Riccardo Giacomelli

2016 Financial Markets in the Face of the Apocalypse
by Jedrzej Bialkowski & Ehud I. Ronn

2016 SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles
by Jedrzej Bialkowski & Laura T. Starks

2016 Spline-DCS for Forecasting Trade Volume in High-Frequency Finance
by Ryoko Ito

2016 Option-Implied Equity Premium Predictions via Entropic TiltinG
by Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith

2016 Option-Implied Equity Premium Predictions via Entropic TiltinG
by Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith

2016 The re-pricing of sovereign risks following the global financial crisis
by Dimitris Malliaropulos & Petros M. Migiakis

2016 In search of concepts : The effects of speculative demand on returns and volume
by Gwilym, Owain Ap & Wang, Qvigwei & Hasan, Iftekhar & Xie, Ru

2016 Liquidity determinants in the UK gilt market
by Benos, Evangelos & Zikes, Filip

2016 An agent-based model of dynamics in corporate bond trading
by Braun-Munzinger, Karen & Liu, Zijun & Turrell, Arthur

2016 Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act
by Benos, Evangelos & Payne, Richard & Vasios, Michalis

2016 Bond Market Exposures to Macroeconomic and Monetary Policy Risks
by Dongho Song

2016 Agreeing on disagreement: heterogeneity or uncertainty?
by Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels

2016 Dual Decision Processes and Noise Trading
by Francesco Cerigioni

2016 Disclosure of Corporate Tax Reports, Tax Enforcement, and Insider Trading
by Jordi Caballé & Ariadna Dumitrescu

2016 Information Spillovers in Asset Markets with Correlated Values
by Vladimir Asriyan & William Fuchs & Brett Green

2016 UK term structure decompositions at the zero lower bound
by A. Carriero & S. Mouabbi & E. Vangelista

2016 Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
by G. Horny & M. Manganelli & B. Mojon

2016 BTP futures and cash relationships: a high frequency data analysis
by Onofrio Panzarino & Francesco Potente & Alfonso Puorro

2016 Debt maturity and the liquidity of secondary debt markets
by Max Bruche & Anatoli Segura

2016 Fiscal policy and the cycle in Latin America: the role of financing conditions and fiscal rules
by Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & René Orozco

2016 Time-Varying Crash Risk: The Role of Stock Market Liquidity
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon & Chayawat Ornthanalai

2016 Global Macro Risks in Currency Excess Returns
by Kimberly Berg & Nelson C. Mark

2016 Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia
by Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander

2016 Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach
by Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante

2016 Volume, Volatility and Public News Announcements
by Tim Bollerslev & Jia Li & Yuan Xue

2016 Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution
by Martin M. Andreasen & Kasper Jørgensen

2016 The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?
by Tom Engsted & Thomas Q. Pedersen

2016 Volatility Discovery
by Gustavo Fruet Dias & Cristina M. Scherrer & Fotis Papailias

2016 How should we measure residential property prices to inform policy makers?
by Jens Mehrhoff & Elena Triebskorn

2016 Housing Bubble and Government Regulation: Evidence from China
by Jerry Cao & Bihong Huang & Rose Neng Lai

2016 The Sovereign Default Problem in the Eurozone - Why Limited Liability Resulted in Excessive Debt Accumulation and How Insurance Can Counteract
by Nadjeschda Katharina Arnold

2016 Agrarrohstoffpreise und Lebensmittelpreise in armen Ländern
by Holtemöller, Oliver

2016 An examination of short-run performance of IPOs using Extreme Bounds Analysis
by Muhammad Zubair Mumtaz & Zachary A. Smith & Ather Maqsood Ahmed

2016 A search-theoretic model of the term premium
by Geromichalos, Athanasios & Herrenbrueck, Lucas M. & Salyer, Kevin D.

2016 The Beta intervalling effect during a deep economic crisis - evidence from Greece
by Georgios Mantsios & Stylianos Xanthopoulos

2016 Hat die Einführung der Abgeltungsteuer Aktienkurse beeinflusst?
by Sebastian Eichfelder & Mona Lau

2016 Interest rate spreads in the eurozone: Fundamentals or sentiments?
by Maximilian Gödl & Jörn Kleinert

2016 Vice versus virtue investing around the world
by Sebastian Lobe & Christian Walkshäusl

2016 Idiosyncratic volatility, executive compensation and corporate governance: examination of the direct and moderate effects
by Mu-Shun Wang

2016 Oil prices and stock returns: nonlinear links across sectors
by Carlos Pinho & Mara Madaleno

2016 Endogenous time-varying risk aversion and asset returns
by Michele Berardi

2016 Rock around the clock: An agent-based model of low- and high-frequency trading
by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo

2016 Asset demands and consumption with longevity risk
by Bong-Gyu Jang & Hyeng Keun Koo & Yuna Rhee

2016 Incomplete markets and derivative assets
by François Grand & Xavier Ragot

2016 Over-the-counter trade and the value of assets as collateral
by Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa

2016 Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation
by Reiner Franke & Frank Westerhoff

2016 Wavelet decomposition of heterogeneous investment horizon
by W. D. Chen & H. C. Li

2016 Spillover effects on the sectoral returns for australian and New Zealand equity markets
by Faruk Balli & Hatice O. Balli & Ronglan Hong

2016 The Buffett critique: volatility and long-dated options
by Neeraj J. Gupta & Mark Kurt & Reilly White

2016 Does investor sentiment impact the returns and volatility of Islamic equities?
by Daniel Perez-Liston & Daniel Huerta & Sanzid Haq

2016 Long memory in the Ukrainian stock market and financial crises
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko

2016 Specification errors of asset-pricing models for a market characterized by few large capitalization firms
by Nader Shahzad Virk & Hilal Anwar Butt

2016 Reconsidering the appropriate discount rate for tax shield valuation
by Marko Volker Krause & Alexander Lahmann

2016 An explicit martingale version of the one-dimensional Brenier theorem
by Pierre Henry-Labordère & Nizar Touzi

2016 Almost-sure hedging with permanent price impact
by Bruno Bouchard & Grégoire Loeper & Yiyi Zou

2016 A general HJM framework for multiple yield curve modelling
by Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto

2016 Adaptive basket liquidation
by Torsten Schöneborn

2016 Optimal portfolio liquidation in target zone models and catalytic superprocesses
by Eyal Neuman & Alexander Schied

2016 Universal arbitrage aggregator in discrete-time markets under uncertainty
by Matteo Burzoni & Marco Frittelli & Marco Maggis

2016 Superreplication when trading at market indifference prices
by Peter Bank & Selim Gökay

2016 A learning-augmented approach to pricing risk in South Africa
by Jacques Peeperkorn & Yudhvir Seetharam

2016 Is there a low-risk anomaly across countries?
by Adam Zaremba

2016 Testing for a housing bubble at the national and regional level: the case of Israel
by Itamar Caspi

2016 Nonlinearities and tests of asset price bubbles
by Vipin Arora & Shuping Shi

2016 The late 1970s bubble in Dutch collectible postage stamps
by Philip Hans Franses & Wouter Knecht

2016 The market price of credit risk and economic states
by Klaus Grobys & Jesper Haga

2016 Mispricing Explanations of Closed-End Funds: A Survey Review
by Stylianos X. Koufadakis

2016 Forecasting the Yield Curve With Macroeconomic Variables
by Michał Rubaszek

2016 Bubbles and experience: An experiment with a steady inflow of new traders
by Huan Xie & Jipeng Zhang

2016 The pricing of idiosyncratic volatility: An Australian study
by Bin Liu & Amalia Di Iorio

2016 Factors affecting the birth and fund flows of CTAs
by Viet Do & Robert Faff & Paul Lajbcygier & Madhu Veeraraghavan & Mikhail Tupitsyn

2016 Co-existence of short-term reversals and momentum in the Australian equity market
by Daniel Chai & Binh Do

2016 Paper profits from value, size and momentum: evidence from the Polish market
by Adam Zaremba & Przemys³aw Konieczka

2016 Has the Long-Term Reversal Reversed? Evidence from Country Equity Indices
by Adam Zaremba

2016 Interest Rate Risk Analysis with Multifactor Model: The US case
by Natalia Campos & Francisco Jareño & Marta Tolentino

2016 The Relationship between Land Prices and Housing Prices in Iran
by Mohamadzadeh, Parviz & Panahi, Hossein & Aleemran, Seyed Ali

2016 Testing for Frequency Causality between Oil Price and BRICS Stock Markets: A Comparative Analysis
by Selmi , Refk & Bouoiyour;, Jamal

2016 The Impact of Brand Value on Stock Returns: A Empirical Research on the BİST
by Bayrakdaroğlu, Ali & Mirgen, Çağatay

2016 Cointegration Analysis Between Stock Exchange and TL/FX Saving Deposits, Gold, Housing Markets in Turkey
by Coşkun, Yener & Ümit, A. Öznur

2016 The Nexus between Trading Volume and Stock Prices: Panel Evidence from OECD Countries
by Zeren, Feyyaz & Konuk, Filiz

2016 A Study of Nonlinear Dynamics in Equity Market Index: Evidence from Turkey
by Emekter, Riza & Jirasakuldech, Benjamas

2016 Predicting Intra-Day and Day of the Week Anomalies in Turkish Stock Market
by Kemal Eyuboglu & Sinem Eyuboglu & Rahmi Yamak

2016 How Large is the Stock Component of Human Capital?
by Mark Huggett & Greg Kaplan

2016 Generational Asset Pricing, Equity Puzzles, and Cyclicality
by Alan Guoming Huang & Eric Hughson & J. Chris Leach

2016 Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market
by Anthony Miloudi & Mondher Bouattour & Ramzi Benkraiem

2016 Is Macroeconomic Announcement News Priced?
by Peter De Goeij & Jiehui Hu

2016 Does the Market Value the Social Dimension? International Evidence
by Sylvain Marsat & Benjamin Williams

2016 Analyst Earnings Forecasts, Individual Investors’Expectations and Trading Volume: An Experimental Approach
by Thanh Huong Dinh & Jean-François Gajewski & Duc Khuong Nguyen

2016 Multi-Asset Seasonality and Trend-Following Strategies
by Nick Baltas

2016 New Insight on the Performance of Equity Long/short Investment Styles
by Boris Fays & Georges Hübner & Marie Lambert

2016 Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach
by Spyridon Vrontos

2016 Gas Swing Options: Introduction and Pricing using Monte Carlo Methods
by Tomáš Václavík & Andrea Klimešová

2016 Which countries pay more or less for their long term debt? A CART approach || ¿Qué países pagan más o menos por su deuda a largo plazo? Una aproximación a través de la metodología CART
by González-Fernández, Marcos & González-Velasco, Carmen

2016 Negative Nominal Interest Rates on Loans: The Newly-Established Normal Practice?
by Petar Peshev & Ivaylo Beev

2016 Another Look at Market Responses to Tangible and Intangible Information
by Daniel, Kent & Titman, Sheridan

2016 Market Reactions to Tangible and Intangible Information Revisited
by Gerakos, Joseph & Linnainmaa, Juhani T.

2016 Uncertainty and Valuations: A Comment
by Pastor, Lubos & Veronesi, Pietro

2016 Uncertainty and Valuations
by Cremers, Martijn & Yan, Hongjun

2016 Affine Term Structure Models: Forecasting the Yield Curve for Colombia
by Mateo Velásquez-Giraldo & Diego Restrepo-Tobón

2016 A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén
by Lakatos, Máté

2016 Short selling and market mispricing
by Eunju Lee

2016 The dynamic relation between options trading, short selling, and aggregate stock returns
by R. Jared DeLisle & Bong Soo Lee & Nathan Mauck

2016 Economic growth potential creating a real put and the resulting valuation of the firm
by Xiaoli Wang & Michael S. Long & Ren Raw Chen & Jingfeng Zhang

2016 The pricing of first day opening price returns for ChiNext IPOs
by Qi Deng & Zhong-guo Zhou

2016 Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market
by Javier Vidal-García & Marta Vidal & Duc Khuong Nguyen

2016 Explaining the volatility smile: non-parametric versus parametric option models
by Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon

2016 Conditional conservatism and the yield spread of corporate bond issues
by Mingzhi Liu & Michel Magnan

2016 The performance of individual investors in structured financial products
by Oliver Entrop & Michael McKenzie & Marco Wilkens & Christoph Winkler

2016 Cash flow volatility and corporate bond yield spreads
by Alan V. S. Douglas & Alan G. Huang & Kenneth R. Vetzal

2016 Reexamining momentum profits: Underreaction or overreaction to firm-specific information?
by Jungshik Hur & Vivek Singh

2016 REITs and market friction
by Benjamin Blau & Jared F. Egginton & Matthew Hill

2016 Option pricing model with sentiment
by Chunpeng Yang & Bin Gao & Jianlei Yang

2016 Migrate or not? The effects of regulation SHO on options trading activities
by Yubin Li & Chen Zhao & Zhaodong Zhong

2016 Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
by Jacinto Marabel Romo

2016 Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
by Lie-Jane Kao

2016 Exchange Rate Behavior of Canada, Japan, the United Kingdom and the United States
by M. Ariff & A. Zarei

2016 The Rent Term Premium for Cancellable Leases
by Jiro Yoshida & Miki Seko & Kazuto Sumita

2016 The Role of Debt Covenants in the Investment Grade Bond Market – The REIT Experiment
by Yongheng Deng & Erik Devos & Shofiqur Rahman & Desmond Tsang

2016 Real Estate Risk and Hedge Fund Returns
by Brent W. Ambrose & Charles Cao & Walter D’Lima

2016 Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management
by Peter Miu & Bogie Ozdemir & Evren Cubukgil & Michael Giesinger

2016 Typical and Tail Performance of Canadian Equity SRI Mutual Funds
by Mohamed A. Ayadi & Hatem Ben-Ameur & Lawrence Kryzanowski

2016 Ethical Screening and Financial Performance: The Case of Islamic Equity Funds
by Yunieta Nainggolan & Janice How & Peter Verhoeven

2016 Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective
by Gueorgui Konstantinov

2016 Beating the DAX, MDAX, and SDAX: investment strategies in Germany
by Friedrich-Carl Franz & Tobias Regele

2016 A plausible model of yield curve dynamics
by Gideon Magnus

2016 Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis
by Kevin Aretz & Marc Aretz

2016 Contagion across Eurozone’s sovereign spreads and the Core-Periphery divide
by Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini

2016 Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko

2016 The Effects of Analysts’ Herding on Traders: Evidence from the Taiwan Stock Market
by Po-Jung Chen

2016 Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market
by Hassan Shareef & Santhakumar Shijin

2016 The Asymmetric Momentum Effect in the Chinese Class A Share Market Amid Market Swings
by Yuan Wu

2016 Explaining Size Effect for Indian Stock Market
by Asheesh Pandey & Sanjay Sehgal

2016 Relative asset price bubbles
by Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter

2016 Risk premia in option markets
by Dilip B. Madan

2016 On the impact of macroeconomic news surprises on Treasury-bond returns
by Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout

2016 Cheap IPO: Does it matter?
by Othman Yong

2016 New evidence from the efficient market hypothesis for the Nigerian stock index using the wavelet unit root test approach
by Ikechukwu Kelikume

2016 Do social responsibility disclosures show improvements on stock price?
by Mohammad Jizi & Rabih Nehme & Aly Salama

2016 ¿Quién Paga, Quién Gana? El Caso De La Venta Del Bdv / Who Pays, Who Wins? The Case Of The Sale Of Bdv
by Climent Serrano, Salvador

2016 Estimating The Risk-Return Relationship In The International Stock Market, Estimaciã“N De La Relaciã“N Rentabilidadriesgo En El Mercado Accionario Internacional
by Daniel Botero Guzmán & Carlos Enrique Vecino Arenas

2016 Methods of Venture Investment Projects Assessment for Enterprises of Agricultural Sector
by Olha Karasyk & Maksym Petriuk

2016 Manager Characteristics and Manager-Replacement: How Is Pension Fund Performance Affected?
by Mercedes Alda

2016 Separating Winners from Losers: Composite Indicators Based on Fundamentals in the European Context
by Borja Amor-Tapia & Maria T. Tascon

2016 Liquidity Stress Testing with Second-Round Effects: Application to the Czech Banking Sector
by Adam Gersl & Zlatuse Komarkova & Lubos Komarek

2016 Conditional Relationship Between Beta and Return in the US Stock Market
by Bing XIAO

2016 The Impact of Investor Sentiment on the "Leverage Effect"
by Semen Son-Turan

2016 Dynamic volatility spillovers across shipping freight markets
by Tsouknidis, Dimitris A.

2016 Financial crises and estimation bias in international bond markets
by Juneja, Januj A.

2016 Is there momentum in equity anomalies? Evidence from the Polish emerging market
by Zaremba, Adam & Szyszka, Adam

2016 Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach
by Shank, Corey A. & Vianna, Andre C.

2016 The price of freedom: Idiosyncratic currency devaluations
by Stocker, Marshall L.

2016 On the determinants of expected corporate bond returns in Tunisia
by Hammami, Yacine & Bahri, Maha

2016 Price formation, market quality and the effects of reduced latency in the very short run
by Bank, Matthias & Baumann, Ralf H.

2016 The role of speculation in international futures markets on commodity prices
by Huchet, Nicolas & Fam, Papa Gueye

2016 Distilling private information from plain-vanilla options to predict future underlying stock price volatility: Evidence from the H-shares of Chinese banks
by Koutmos, Dimitrios

2016 Liquidity, liquidity risk, and information flow: Lessons from an emerging market
by Tissaoui, Kais & Ftiti, Zied

2016 Why do companies transfer the trading compartment of their common stocks
by Cissé, Abdoul Karim & Fontaine, Patrice

2016 Does the relationship between small and large portfolios’ returns confirm the lead–lag effect? Evidence from the Athens Stock Exchange
by Drakos, Anastassios A.

2016 Is exchange rate risk priced in microfinance?
by Al-Azzam, Moh’d & Mimouni, Karim

2016 The validity of Islamic art as an investment
by McQuillan, William & Lucey, Brian

2016 Investor sentiment and local bias in extreme circumstances: The case of the Blitz
by Urquhart, Andrew & Hudson, Robert

2016 Microstructures, financial reforms and informational efficiency in an emerging market
by Arjoon, Vaalmikki

2016 Can hedge funds time global equity markets? Evidence from emerging markets
by Aiken, Adam L. & Kilic, Osman & Reid, Sean

2016 Synthetic hedge funds
by Fischer, Mario & Hanauer, Matthias X. & Heigermoser, Robert

2016 Can stochastic discount factor models explain the cross-section of equity returns?
by Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R.

2016 Trading behavior in S&P 500 index futures
by Smales, Lee A.

2016 Optimal allocation of government bond funds through the business cycle. Is money smart?
by Laborda, Ricardo & Muñoz, Fernando

2016 Macroeconomic factors and the cross-section of commodity futures returns
by Shang, Hua & Yuan, Ping & Huang, Lin

2016 A representative agent asset pricing model with heterogeneous beliefs and recursive utility
by Suzuki, Masataka

2016 In search of the determinants of European asset market comovements
by Gomes, Pedro & Taamouti, Abderrahim

2016 Using VIX futures to hedge forward implied volatility risk
by Lin, Yueh-Neng & Lin, Anchor Y.

2016 The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases?
by Hao, Ying & Chu, Hsiang-Hui & Ho, Keng-Yu & Ko, Kuan-Cheng

2016 Derivative markets in emerging economies: A survey
by Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D.

2016 Another explanation of the mutual fund fee puzzle
by Hu, May & Chao, Chi-Chur & Lim, Jin Hao

2016 The impact of short sale restrictions on informed trading in the stock and options markets
by Le, Van & Zurbruegg, Ralf

2016 Ex day effects of the 2003 dividend tax cut
by Bali, Rakesh & Francis, Jack Clark

2016 Market uncertainty and earnings guidance
by Agapova, Anna & Madura, Jeff

2016 Investor sentiment and aggregate volatility pricing
by Labidi, Chiraz & Yaakoubi, Soumaya

2016 Analysis of ETF bid-ask spread components
by Ivanov, Stoyu I.

2016 Does systematic distress risk drive the investment growth anomaly?
by Su, Xuan-Qi

2016 Momentum profits, market cycles, and rebounds: Evidence from Germany
by Bohl, Martin T. & Czaja, Marc-Gregor & Kaufmann, Philipp

2016 Date stamping bubbles in Real Estate Investment Trusts
by Escobari, Diego & Jafarinejad, Mohammad

2016 A portfolio insurance strategy for volatility index (VIX) futures
by Jung, Young Cheol

2016 Impact of demographic change on stock prices
by Quayes, Shakil & Jamal, Abul M.M.

2016 Does market microstructure matter for corporate finance? Theory and evidence on seasoned equity offering decisions
by Cheung, William & Fung, Scott & Tam, Lewis

2016 Gamma discounters are short-termist
by Gollier, Christian

2016 Chinese stock market volatility and the role of U.S. economic variables
by Chen, Jian & Jiang, Fuwei & Li, Hongyi & Xu, Weidong

2016 Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?
by Naifar, Nader & Hammoudeh, Shawkat

2016 Screen winners from losers using simple fundamental analysis in the Pacific-Basin stock markets
by Ng, Chi Cheong Allen & Shen, Jianfu

2016 Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence
by Hahn, Jaehoon & Yoon, Heebin

2016 Market dynamics and momentum in the Taiwan stock market
by Lin, Chaonan & Ko, Kuan-Cheng & Feng, Zhi-Xiang & Yang, Nien-Tzu

2016 Information content of directors' trading around acquisitions
by Shams, Syed M.M. & Duong, Huu Nhan & Singh, Harminder

2016 Investor sentiment, accounting information and stock price: Evidence from China
by Zhu, Bo & Niu, Feng

2016 Australian firm characteristics and the cross-section variation in equity returns
by Heaney, Richard & Koh, SzeKee & Lan, Yihui

2016 Information discreteness, price limits and earnings momentum
by Lin, Chaonan & Ko, Kuan-Cheng & Chen, Yu-Lin & Chu, Hsiang-Hui

2016 The informative role of trading volume in an expanding spot and futures market
by Bhaumik, S. & Karanasos, M. & Kartsaklas, A.

2016 Identifying the relative importance of stock characteristics
by French, Declan & Wu, Yuliang & Li, Youwei

2016 Information asymmetry and the information content of insider trades: Evidence from the Indian stock market
by Chauhan, Yogesh & Kumar, K. Kiran & Chaturvedula, Chakrapani

2016 The effect of additional foreign market presence on the trading volume of cross-listed/traded stocks
by Ghadhab, Imen

2016 Steel scrap and equity market in Japan
by Omura, Akihiro & Todorova, Neda & Li, Bin & Chung, Richard

2016 Exact and asymptotic tests on a factor model in low and large dimensions with applications
by Bodnar, Taras & Reiß, Markus

2016 Monetary policy uncertainty and investor expectations
by Sinha, Arunima

2016 The effectiveness of the ECB's asset purchase programs of 2009 to 2012
by Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S.

2016 The impacts of the 2008 and 2011 crises on the Japan REIT market
by Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai

2016 Absence of safe assets and fiscal crisis
by Sakuragawa, Masaya & Sakuragawa, Yukie

2016 Japanese repo and call markets before, during, and emerging from the financial crisis
by Fukunaga, Ichiro & Kato, Naoya

2016 Currency intervention and the global portfolio balance effect: Japanese lessons
by Gerlach-Kristen, Petra & McCauley, Robert N. & Ueda, Kazuo

2016 Network effects in currency internationalisation: Insights from BIS triennial surveys and implications for the renminbi
by He, Dong & Yu, Xiangrong

2016 Commodity returns co-movements: Fundamentals or “style” effect?
by Charlot, Philippe & Darné, Olivier & Moussa, Zakaria

2016 Scale economies in pension fund investments: A dissection of investment costs across asset classes
by Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R.

2016 Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view
by Dufrénot, Gilles & Gente, Karine & Monsia, Frédia

2016 How do global investors differentiate between sovereign risks? The new normal versus the old
by Amstad, Marlene & Remolona, Eli & Shek, Jimmy

2016 Sub-nationals' risk premia in fiscal federations: Fiscal performance and institutional design
by Sola, Sergio & Palomba, Geremia

2016 Market frictions and the pricing of sovereign credit default swaps
by Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro

2016 Assessing mortgage servicing rights using a reduced-form model: Considering the effects of interest rate risks, prepayment and default risks, and random state variables
by Chiang, Shu Ling & Yang, Tyler T. & Tsai, Ming Shann

2016 Anxiety in the face of risk
by Eisenbach, Thomas M. & Schmalz, Martin C.

2016 Market conditions, fragility, and the economics of market making
by Anand, Amber & Venkataraman, Kumar

2016 Early option exercise: Never say never
by Jensen, Mads Vestergaard & Pedersen, Lasse Heje

2016 The volatility of a firm's assets and the leverage effect
by Choi, Jaewon & Richardson, Matthew

2016 Capital structure effects on the prices of equity call options
by Geske, Robert & Subrahmanyam, Avanidhar & Zhou, Yi

2016 Does variance risk have two prices? Evidence from the equity and option markets
by Barras, Laurent & Malkhozov, Aytek

2016 Short interest and aggregate stock returns
by Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu

2016 Accruals, cash flows, and operating profitability in the cross section of stock returns
by Ball, Ray & Gerakos, Joseph & Linnainmaa, Juhani T. & Nikolaev, Valeri

2016 Have we solved the idiosyncratic volatility puzzle?
by Hou, Kewei & Loh, Roger K.

2016 Why does the option to stock volume ratio predict stock returns?
by Ge, Li & Lin, Tse-Chun & Pearson, Neil D.

2016 Does rating analyst subjectivity affect corporate debt pricing?
by Fracassi, Cesare & Petry, Stefan & Tate, Geoffrey

2016 Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
by Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor

2016 Time-to-produce, inventory, and asset prices
by Chen, Zhanhui

2016 Rethinking reversals
by Johnson, Timothy C.

2016 The expected returns and valuations of private and public firms
by Cooper, Ilan & Priestley, Richard

2016 Analyzing volatility risk and risk premium in option contracts: A new theory
by Carr, Peter & Wu, Liuren

2016 Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports
by Loon, Yee Cheng & Zhong, Zhaodong (Ken)

2016 Nominal price illusion
by Birru, Justin & Wang, Baolian

2016 State variables, macroeconomic activity, and the cross section of individual stocks
by Boons, Martijn

2016 Institutional investors and stock return anomalies
by Edelen, Roger M. & Ince, Ozgur S. & Kadlec, Gregory B.

2016 Product market competition, R&D investment, and stock returns
by Gu, Lifeng

2016 The effects of takeover defenses: Evidence from closed-end funds
by Souther, Matthew E.

2016 The cross-sectional variation of volatility risk premia
by González-Urteaga, Ana & Rubio, Gonzalo

2016 The common factor in idiosyncratic volatility: Quantitative asset pricing implications
by Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn

2016 Disagreement, speculation, and aggregate investment
by Baker, Steven D. & Hollifield, Burton & Osambela, Emilio

2016 Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme
by Eser, Fabian & Schwaab, Bernd

2016 Price and volatility co-jumps
by Bandi, F.M. & Renò, R.

2016 Dynamic portfolio choice with frictions
by Gârleanu, Nicolae & Pedersen, Lasse Heje

2016 Delegated portfolio management, optimal fee contracts, and asset prices
by Sato, Yuki

2016 Liquidity and asset prices in a monetary model with OTC asset markets
by Mattesini, Fabrizio & Nosal, Ed

2016 Market making with asymmetric information and inventory risk
by Liu, Hong & Wang, Yajun

2016 Revisiting calendar anomalies: Three decades of multicurrency evidence
by Kumar, Satish

2016 Do we measure overconfidence? A closer look at the interval production task
by Langnickel, Ferdinand & Zeisberger, Stefan

2016 Path dependent coordination of expectations in asset pricing experiments: A behavioral explanation
by Agliari, Anna & Hommes, Cars H. & Pecora, Nicolò

2016 Information stages in efficient markets
by AitSahlia, Farid & Yoon, Joon-Hui

2016 Jump and variance risk premia in the S&P 500
by Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin

2016 Credit and liquidity in interbank rates: A quadratic approach
by Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume

2016 Long-term industry reversals
by Wu, Yuliang & Mazouz, Khelifa

2016 How does pricing affect investors’ product choice? Evidence from the market for discount certificates
by Entrop, Oliver & Fischer, Georg & McKenzie, Michael & Wilkens, Marco & Winkler, Christoph

2016 An index-based measure of liquidity
by Chacko, George & Das, Sanjiv & Fan, Rong

2016 Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?
by Isshaq, Zangina & Faff, Robert

2016 The impact of news articles and corporate disclosure on credit risk valuation
by Tsai, Feng-Tse & Lu, Hsin-Min & Hung, Mao-Wei

2016 Evaluating the robustness of UK term structure decompositions using linear regression methods
by Malik, Sheheryar & Meldrum, Andrew

2016 Estimating the risk-return trade-off with overlapping data inference
by Hedegaard, Esben & Hodrick, Robert J.

2016 What do asset prices have to say about risk appetite and uncertainty?
by Bekaert, Geert & Hoerova, Marie

2016 A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
by Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K.

2016 The informational content of the embedded deflation option in TIPS
by Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing

2016 Assessing the information content of short-selling metrics using daily disclosures
by Comerton-Forde, Carole & Do, Binh Huu & Gray, Philip & Manton, Tom

2016 The information content of the sentiment index
by Sibley, Steven E. & Wang, Yanchu & Xing, Yuhang & Zhang, Xiaoyan

2016 Magnitudes of Market Inefficiency: Theory and Application
by Miyakoshi, Tatsuyoshi & Tsukuda, Yoshihiko & Shimada, Junji

2016 Further evidence on the strategic timing of earnings news: Joint analysis of weekdays and times of day
by Michaely, Roni & Rubin, Amir & Vedrashko, Alexander

2016 Director networks and informed traders
by Akbas, Ferhat & Meschke, Felix & Wintoki, M. Babajide

2016 Beliefs-driven price association
by Fischer, Paul E. & Heinle, Mirko S. & Verrecchia, Robert E.

2016 Financial statement comparability and expected crash risk
by Kim, Jeong-Bon & Li, Leye & Lu, Louise Yi & Yu, Yangxin

2016 Customer concentration risk and the cost of equity capital
by Dhaliwal, Dan & Judd, J. Scott & Serfling, Matthew & Shaikh, Sarah

2016 An unbiased computation methodology for estimating the probability of informed trading (PIN)
by Ersan, Oguz & Alıcı, Aslı

2016 The bonding hypothesis and the home market liquidity of Chinese cross-listed stocks
by Huang, Ying & Jacoby, Gady & Jiang, Christine X.

2016 Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange
by Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas

2016 Explosive bubbles in house prices? Evidence from the OECD countries
by Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q.

2016 Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
by Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan

2016 Hedging pure endowments with mortality derivatives
by Wang, Ting & Young, Virginia R.

2016 Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
by Shen, Yang & Sherris, Michael & Ziveyi, Jonathan

2016 Omega diffusion risk model with surplus-dependent tax and capital injections
by Cui, Zhenyu & Nguyen, Duy

2016 Correlated beliefs, returns, and stock market volatility
by David, Joel M. & Simonovska, Ina

2016 Debt covenants and credit spread valuation: The special case of Chinese global bonds
by Chang, Sean Tat & Ross, Donald

2016 Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks
by Slim, Skander & Dahmene, Meriam

2016 How much can illiquidity affect corporate debt yield spread?
by Abudy, Menachem Meni & Raviv, Alon

2016 How prompt was regulatory corrective action during the financial crisis?
by Loveland, Robert

2016 Accounting accruals, heterogeneous investor beliefs, and stock returns
by Peng, Emma Y. & Yan, An & Yan, Meng

2016 Credit rating agency downgrades and the Eurozone sovereign debt crises
by Baum, Christopher F. & Schäfer, Dorothea & Stephan, Andreas

2016 Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods
by Mobarek, Asma & Muradoglu, Gulnur & Mollah, Sabur & Hou, Ai Jun

2016 CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis
by Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill

2016 The good, the bad and the impaired: A credit risk model of the Irish mortgage market
by Kelly, Robert & O’Malley, Terence

2016 Liquidity, style investing and excess comovement of exchange-traded fund returns
by Broman, Markus S.

2016 Time series momentum and volatility scaling
by Kim, Abby Y. & Tse, Yiuman & Wald, John K.

2016 Cross-sectional return dispersion and the equity premium
by Maio, Paulo

2016 Return predictability in the corporate bond market along the supply chain
by Chen, Long & Zhang, Gaiyan & Zhang, Weina

2016 What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?
by Chou, Pin-Huang & Hsieh, Chia-Hsun & Shen, Carl Hsin-Han

2016 Limited cognition and clustered asset prices: Evidence from betting markets
by Brown, Alasdair & Yang, Fuyu

2016 Earnings news, expected earnings, and aggregate stock returns
by Choi, Jung Ho & Kalay, Alon & Sadka, Gil

2016 Does mood affect trading behavior?
by Kaustia, Markku & Rantapuska, Elias

2016 Market size matters: A model of excess volatility in large markets
by Kawakami, Kei

2016 On variance bounds for asset price changes
by Lansing, Kevin J.

2016 The value of the wildcard option in cash-settled American index options
by Lasser, Dennis J. & Spizman, Joshua D.

2016 Market quality breakdowns in equities
by Gao, Cheng & Mizrach, Bruce

2016 Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it?
by Ülkü, Numan & Fatullayev, Sabutay & Diachenko, Daria

2016 Dissecting the bond profitability premium
by Campbell, T. Colin & Chichernea, Doina C. & Petkevich, Alex

2016 Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure
by Sanusi, Muhammad Surajo & Ahmad, Farooq

2016 Idiosyncratic risk and share repurchases
by Hsu, Yuan-Teng & Huang, Chia-Wei

2016 The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan
by Chen, Chien-Hua & Su, Xuan-Qi & Lin, Jun-Biao

2016 Who are the net senders and recipients of volatility spillovers in China’s financial markets?
by Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H.

2016 Momentum: Further Evidence from Australia
by Ji, Xiuqing

2016 Risk-based explanation for the country-level size and value effects
by Zaremba, Adam

2016 The macro-finance environment and asset allocation: A simultaneous equation approach
by Moreno, Antonio & Orlando, James & Redin, Dulce M.

2016 Early warning indicators of banking crisis and bank related stock returns
by Sohn, Bumjean & Park, Heungju

2016 Ambiguity and optimal portfolio choice with Value-at-Risk constraint
by Jang, Bong-Gyu & Park, Seyoung

2016 Turn-of-the-month effect: New evidence from an emerging stock market
by Kayacetin, Volkan & Lekpek, Senad

2016 Does community environment matter to corporate social responsibility?
by Wu, Dejun & Lin, Chen & Liu, Sibo

2016 Are there significant premiums in the Saudi stock market?
by Alkhareif, Ryadh

2016 Is there a credit risk anomaly in FX markets?
by Grobys, Klaus & Heinonen, Jari-Pekka

2016 Identifying portfolio-based systematic risk factors in equity markets
by Grobys, Klaus & Haga, Jesper

2016 Real oil prices and the international sign predictability of stock returns
by Pönkä, Harri

2016 A test of the adaptive market hypothesis using a time-varying AR model in Japan
by Noda, Akihiko

2016 A closer insight into the causality between short selling trades and volatility
by Baklaci, Hasan F. & Suer, Omur & Yelkenci, Tezer

2016 Weekday variation in the leverage effect: A puzzle
by Smith, Geoffrey Peter

2016 Closed form valuation of American chained knock-in options
by Han, Heejae & Jeon, Junkee & Kang, Myungjoo

2016 The effect of internal control weakness on firm valuation: Evidence from SOX Section 404 disclosuresAuthor-Name: Li, Yingqi
by Yu, Junli & Zhang, Zhou & Zheng, Steven Xiaofan

2016 Nonrandom price movements
by Madan, Dilip B. & Wang, King

2016 A comparison of investors’ sentiments and risk premium effects on valuing shares
by Karavias, Yiannis & Spilioti, Stella & Tzavalis, Elias

2016 Competing by conducting good deeds: The peer effect of corporate social responsibility
by Liu, Sibo & Wu, Dejun

2016 Echo effects and the returns from 52-week high strategies
by Chen, An-Sing & Yang, Wayne

2016 The betting against beta anomaly: Fact or fiction?
by Buchner, Axel & Wagner, Niklas

2016 Openness endangers your wealth: Noise trading and the big fiveAuthor-Name: Kleine, Jens
by Wagner, Niklas & Weller, Tim

2016 Optimal rates from eigenvalues
by Carr, Peter & Worah, Pratik

2016 Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy
by Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang

2016 Socially responsible, green, and faith-based investment strategies: Screening activity matters!
by Lesser, Kathrin & Rößle, Felix & Walkshäusl, Christian

2016 Long-term perspective on the stock market matters in asset pricing
by Park, Heungju & Sohn, Bumjean

2016 Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions
by Buchner, Axel

2016 Commonality in liquidity: Effects of monetary policy and macroeconomic announcements
by Sensoy, Ahmet

2016 Risk-return trade-off for European stock markets
by Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S.

2016 Oil price and stock market co-movement: What can we learn from time-scale approaches?
by Ftiti, Zied & Guesmi, Khaled & Abid, Ilyes

2016 Analyst coverage: Does the listing location really matter?
by Hassan, Omaima A.G. & Skinner, Frank S.

2016 The relative informational efficiency of corporate retail bonds: Evidence from the London Stock Exchange
by Tolikas, Konstantinos

2016 The tone of financial news and the perceptions of stock and CDS traders
by Liebmann, Michael & Orlov, Alexei G. & Neumann, Dirk

2016 A nuanced perspective on episteme and techne in finance
by Millo, Yuval & Schinckus, Christophe

2016 Real option component of cash holdings, business cycle, and stock returns
by Chen, Jiun-Lin & Jia, Z. Tingting & Sun, Ping-Wen

2016 Are Japanese margin buyers informed?
by Lee, Bong-Soo & Ko, Kwangsoo

2016 The modified dividend–price ratio
by Polimenis, Vassilis & Neokosmidis, Ioannis M.

2016 Return predictability following different drivers of large price changes
by Patel, Vinay & Michayluk, David

2016 UK equity mutual fund alphas make a comeback
by Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa

2016 Nonlinear relationship between crude oil price and net futures positions: A dynamic conditional distribution approach
by Li, Haiqi & Kim, Myeong Jun & Park, Sung Y.

2016 Deliberate premarket underpricing and aftermarket mispricing: New insights on IPO pricing
by Reber, Beat & Vencappa, Dev

2016 A review of behavioural and management effects in mutual fund performance
by Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall

2016 Another January effect—Evidence from stock split announcements
by Beladi, Hamid & Chao, Chi Chur & Hu, May

2016 Short selling, margin trading, and the incorporation of new information into prices
by Chen, Jun & Kadapakkam, Palani-Rajan & Yang, Ting

2016 Explaining turn of the year order flow imbalance
by Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M.

2016 The roles of past returns and firm fundamentals in driving US stock price movements
by Hong, KiHoon & Wu, Eliza

2016 The Christmas effect—Special dividend announcements
by Beladi, Hamid & Chao, Chi Chur & Hu, May

2016 Firm-specific impacts of CO2 prices on the stock market value of the Spanish power industry
by da Silva, Patricia Pereira & Moreno, Blanca & Figueiredo, Nuno Carvalho

2016 Oil price shocks, competition, and oil & gas stock returns — Global evidence
by Gupta, Kartick

2016 Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
by Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan

2016 Market conditions, trader types and price–volume relation in energy futures markets
by Alizadeh, Amir H. & Tamvakis, Michael

2016 The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach
by Zhu, Huiming & Guo, Yawei & You, Wanhai & Xu, Yaqin

2016 Oil price volatility and stock returns in the G7 economies
by Diaz, Elena Maria & Molero, Juan Carlos & Perez de Gracia, Fernando

2016 Quantile dependence of oil price movements and stock returns
by Reboredo, Juan C. & Ugolini, Andrea

2016 Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics
by Shalini, Velappan & Prasanna, Krishna

2016 Carbon emission permit price volatility reduction through financial options
by Xu, Li & Deng, Shi-Jie & Thomas, Valerie M.

2016 Duality in mean-variance frontiers with conditioning information
by Peñaranda, Francisco & Sentana, Enrique

2016 Anticipatory effects in the FTSE 100 index revisions
by Fernandes, Marcelo & Mergulhão, João

2016 Stochastic correlation and risk premia in term structure models
by Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong

2016 Location and excess comovement
by Kaul, Aditya & Mehrotra, Vikas & Stefanescu, Carmen

2016 Capital asset pricing model: A time-varying volatility approach
by Kim, Kun Ho & Kim, Taejin

2016 The economic value of predicting bond risk premia
by Sarno, Lucio & Schneider, Paul & Wagner, Christian

2016 Are idiosyncratic volatility and MAX priced in the Canadian market?
by Aboulamer, Anas & Kryzanowski, Lawrence

2016 Public news arrival and the idiosyncratic volatility puzzle
by Shi, Yanlin & Liu, Wai-Man & Ho, Kin-Yip

2016 Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility
by Ghonghadze, Jaba & Lux, Thomas

2016 Risk and return of short-duration equity investments
by Cejnek, Georg & Randl, Otto

2016 The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility
by Byun, Sung Je

2016 On the properties of the constrained Hansen–Jagannathan distance
by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare

2016 Is there a bubble in the art market?
by Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas

2016 A risk-return explanation of the momentum-reversal “anomaly”
by Geoffrey Booth, G. & Fung, Hung-Gay & Leung, Wai Kin

2016 Air pollution and stock returns: Evidence from a natural experiment
by Lepori, Gabriele M.

2016 Inflation illusion and stock returns
by Brown, William O. & Huang, Dayong & Wang, Fang

2016 The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences
by Kocsis, Zalan & Monostori, Zoltan

2016 Linkages in the term structure of interest rates across sovereign bond markets
by Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra

2016 Asymptotics for parametric GARCH-in-Mean models
by Conrad, Christian & Mammen, Enno

2016 Inference theory for volatility functional dependencies
by Li, Jia & Todorov, Viktor & Tauchen, George

2016 The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
by Park, Yang-Ho

2016 Long memory affine term structure models
by Goliński, Adam & Zaffaroni, Paolo

2016 Methods for measuring expectations and uncertainty in Markov-switching models
by Bianchi, Francesco

2016 A tale of two option markets: Pricing kernels and volatility risk
by Song, Zhaogang & Xiu, Dacheng

2016 External habit: Anything goes
by Pohl, Walt

2016 Is it Brownian or fractional Brownian motion?
by Li, Meiyu & Gençay, Ramazan & Xue, Yi

2016 Are financial markets less responsive to monetary policy shocks at the zero lower bound?
by Wu, Wenbin

2016 Tail relation between return and volume in the US stock market: An analysis based on extreme value theory
by Longin, François & Pagliardi, Giovanni

2016 Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion
by Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F.

2016 The impact of oil price shocks on the U.S. stock market: A note on the roles of U.S. and non-U.S. oil production
by Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin

2016 Augmenting the Taylor rule: Monetary policy and the bond market
by Roskelley, Kenneth D.

2016 Labor market dynamics, endogenous growth, and asset prices
by Donadelli, Michael & Grüning, Patrick

2016 Financial market segmentation and choice of exchange rate regimes
by Mathur, Vipul & Subramanian, Chetan

2016 European bond markets: Do illiquidity and concentration aggravate price shocks?
by Boermans, Martijn Adriaan & Frost, Jon & Steins Bisschop, Sophie

2016 Forecasting the term structure of volatility of crude oil price changes
by Balaban, Ercan & Lu, Shan

2016 Can irrational investors survive in the long run? The role of generational type transmission
by Condie, Scott S. & Phillips, Kerk L.

2016 A refined asymptotic framework for dividend yield in predictive regressions
by Deng, Kaihua

2016 Neighborhood effect on stock price comovement
by Li, Mingsheng & Zhao, Xin

2016 Uninsured expense shocks and equity premia
by Wang, Qin & Ren, Yu & Zou, Yiheng

2016 Explicit solutions to dynamic portfolio choice problems: A continuous-time detour
by Legendre, François & Togola, Djibril

2016 International sign predictability of stock returns: The role of the United States
by Nyberg, Henri & Pönkä, Harri

2016 Islamic financial markets and global crises: Contagion or decoupling?
by Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios

2016 Do oil producing countries offer international diversification benefits? Evidence from GCC countries
by Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd

2016 Stock market liquidity and economic cycles: A non-linear approach
by Switzer, Lorne N. & Picard, Alan

2016 Gold and silver manipulation: What can be empirically verified?
by Batten, Jonathan A. & Lucey, Brian M. & Peat, Maurice

2016 Durable consumption and asset returns: Cointegration analysis
by Chen, Guojin & Hong, Zhiwu & Ren, Yu

2016 Identification and inference in two-pass asset pricing models
by Khalaf, Lynda & Schaller, Huntley

2016 Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents
by in ׳t Veld, Daan

2016 Asset prices with non-permanent shocks to consumption
by Pohl, Walter & Schmedders, Karl & Wilms, Ole

2016 Asset pricing with expectation shocks
by Elias, Christopher J.

2016 Consumption-based CAPM with belief heterogeneity
by Shi, Lei

2016 Calibration of stochastic volatility models: A Tikhonov regularization approach
by Dai, Min & Tang, Ling & Yue, Xingye

2016 An options pricing approach to ramping rate restrictions at hydro power plants
by Niu, Shilei & Insley, Margaret

2016 A new approach to risk-return trade-off dynamics via decomposition
by Frazier, David T. & Liu, Xiaochun

2016 Information asymmetry, the cost of debt, and credit events: Evidence from quasi-random analyst disappearances
by Derrien, François & Kecskés, Ambrus & Mansi, Sattar A.

2016 Proximity and IPO underpricing
by Nielsson, Ulf & Wójcik, Dariusz

2016 Do investors care about corporate taxes?
by Brooks, Chris & Godfrey, Chris & Hillenbrand, Carola & Money, Kevin

2016 Corporate lobbying, CEO political ideology and firm performance
by Unsal, Omer & Hassan, M. Kabir & Zirek, Duygu

2016 The cost of equity for private firms
by Abudy, Menachem & Benninga, Simon & Shust, Efrat

2016 Directors' and officers' liability insurance and stock price crash risk
by Yuan, Rongli & Sun, Jian & Cao, Feng

2016 Corporate bond pricing and ownership heterogeneity
by Huang, Kershen & Petkevich, Alex

2016 Firma Büyüklüðü Anomalisinin Varlýðýnýn BÝST’te Test Edilmesi
by Murat UÐURLU & Yusuf DEMÝR

2016 Valuation of Quarterly Stock Prices: Applying Ethical Principles to Discounted Cash Flow Method
by Ilham Boularhmane & Rajae Aboulaich

2016 Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect
by Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan

2016 An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange
by Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza

2016 Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages
by Arfaoui Mongi & Haj Ali Dhouha

2016 L’impact sur les marchés financiers européens de la diffusion d’alertes sociétales et de leurs évènements déclencheurs
by Pierre Chollet & Blaise W. Sandwidi

2016 Precios de los activos bajo ambigüedad estructural: portafolios cautelosos, prudenciales y conservadores
by Jimmy Melo

2016 Integration of Government Bond Market in the Euro Area and Monetary Policy
by Velimir Lukić

2016 Macroeconomic Policies Interaction & the Symmetry of Financial Markets’ Responses
by Muhammad Ali Nasir & Alaa M. Soliman & Milton Yago & Junjie Wu

2016 The ECB, Between Conservatism and Pragmatism
by Cécile Bastidon & Philippe Gilles & Nicolas Huchet

2016 The Behaviour of Volatility Components of Brazilian Stocks
by Hudson Chaves Costa & João Henrique Gonçalves Mazzeu & Newton Carneiro Affonso da Costa Jr.

2016 Determinants of Foreign Investment in the Brazilian Stock Market
by Walter Gonçalves Junior & William Eid Junior

2016 The Cross-Section of Expected Stock Returns in Brazil
by Gyorgy Varga & Ricardo Dias de Oliveira Brito

2016 Constant Proportion Portfolio Insurance Strategy in Southeast European Markets
by Elma Agić-Šabeta

2016 Precios de los activos bajo ambigüedad estructural: portafolios cautelosos, prudenciales y conservadores
by Jimmy Melo

2016 Applying the stock evaluation models on the Bulgarian stock market
by Doncho Donev

2016 Growth Policy and Value Creation in Companies
by Dimitar Nenkov

2016 An Empirical Analysis of UK House Price Risk Variation by Property Type
by Bruce Morley & Dennis Thomas

2016 Efficient Market Hypothesis and Fundamental Analysis: An Empirical Test in the European Securities Market
by Francesco Campanella & Mario Mustilli & Eugenio D¡¯Angelo

2016 Testing sovereign contagion via changes of CDS price in European debt crisis
by Duong Thi Hieu

2016 Generalized Systematic Risk
by Ohad Kadan & Fang Liu & Suying Liu

2016 Sovereign Default Risk and Uncertainty Premia
by Demian Pouzo & Ignacio Presno

2016 The Response of Tail Risk Perceptions to Unconventional Monetary Policy
by Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko

2016 Financial Innovation, Collateral, and Investment
by Ana Fostel & John Geanakoplos

2016 Long-Run Risk Is the Worst-Case Scenario
by Rhys Bidder & Ian Dew-Becker

2016 Interest Rates and Equity Extraction during the Housing Boom
by Neil Bhutta & Benjamin J. Keys

2016 CoVaR
by Tobias Adrian & Markus K. Brunnermeier

2016 Parameter Learning in General Equilibrium: The Asset Pricing Implications
by Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer

2016 Are Sticky Prices Costly? Evidence from the Stock Market
by Yuriy Gorodnichenko & Michael Weber

2015 Predicting South African Equity Premium using Domestic and Global Economic Policy Uncertainty Indices: Evidence from a Bayesian Graphical Model
by Mehmet Balcilar & Rangan Gupta & Mampho P. Modise & John W. Muteba Mwamba

2015 The Role of Domestic and Global Economic Policy Uncertainties in Predicting Stock Returns and their Volatility for Hong Kong, Malaysia and South Korea: Evidence from a Nonparametric Causality-in-Quantiles Approach
by Mehmet Balcilar & Rangan Gupta & Won Joong Kim & Clement Kyei

2015 South African Stock Returns Predictability using Domestic and Global Economic Policy Uncertainty: Evidence from a Nonparametric Causality-in-Quantiles Approach
by Mehmet Balcilar & Rangan Gupta & Clement Kyei

2015 Causality and Contagion in EMU Sovereign Bonds Revisited: Novel Evidence from Nonlinear Causality Tests
by Vassilios Babalos & Clement Kyei & Evangelos I. Poutos

2015 Poslovanje na burzama - nacela i praksa
by Neven Vidakovic & Ivo Andrijanic

2015 The relative asset pricing model: implications for asset allocation, rebalancing and asset pricing
by Muralidhar, Arun & Ohashi, Kazuhiko & Shin, Sunghwan

2015 Time-varying conditional Johnson Su density in Value-at-Risk methodology
by Peter Julian Cayton & Dennis Mapa

2015 Initial Returns and Long-Term Performance of IPOs in China 2001–2011: Evidence on the Influence of the Institutional and Economic Context from the Shanghai Stock Exchange
by Christoph J. Börner & Phil Pezus

2015 The Determinants of Credit Spread Changes of German SME Bonds
by Harald Kinateder & Linda Oppolzer & Niklas Wagner

2015 Ay’ın Pay Getirileri Üzerindeki Etkisinin İncelenmesi: BİST’de Ampirik Bir Uygulama
by İbrahim BOZKURT

2015 Macroeconomic factors and equity returns in Borsa İstanbul
by Yiğit ATILGAN & K.Özgür DEMİRTAŞ & Alper ERDOĞAN

2015 Centralized trading of corporate bonds
by Samuel Huber & Jaehong Kim

2015 Central bank purchases of government bonds
by Samuel Huber & Jaehong Kim

2015 Aging and urban house prices
by Hiller, Norbert & Lerbs, Oliver W.

2015 Specialized human capital, unemployment risk, and the value premium
by Jank, Stephan

2015 Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
by Adaemmer, Philipp & Bohl, Martin T. & Christian, Groß

2015 Foreign Law Bonds: Can They Reduce Sovereign Borrowing Costs?
by Schumacher, Julian & Chamon, Marcos & Trebesch, Christoph

2015 Stock liquidity in forefront of anticipated announcements
by Gelman, Sergey & Lushchikov, Roman

2015 A Shadow-Rate Term Structure Model for the Euro Area
by Lemke, Wolfgang & Vladu, Andreea

2015 Aging and Urban House Prices
by Lerbs, Oliver & Hiller, Norbert

2015 Equity premium prediction: Are economic and technical indicators instable?
by Baetje, Fabian & Menkhoff, Lukas

2015 A Cross-Country Analysis of Unemployment and Bonds with Long-Memory Relations
by Dimpfl, Thomas & Langen, Tobias

2015 Bias-corrected estimation in mildly explosive autoregressions
by Kruse, Yves Robinson & Kaufmann, Hendrik

2015 How Do Political Factors Shape the Bank Risk-Sovereign Risk Nexus in Emerging Markets?
by Eichler, Stefan

2015 Regional Economic Activity and Stock Returns
by Smajlbegovic, Esad

2015 The real-time predictive content of asset price bubbles for macro forecasts
by Beckers, Benjamin

2015 Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?
by Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun

2015 International endogenous growth, macro anomalies, and asset prices
by Grüning, Patrick

2015 Leaning against the wind: Debt financing in the face of adversity
by Brennan, Michael J. & Kraft, Holger

2015 "Nobody is perfect": Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
by Branger, Nicole & Schlag, Christian & Wu, Lue

2015 Compensation schemes, liquidity provision, and asset prices: An experimental analysis
by Baghestanian, Sascha & Gortner, Paul & Massenot, Baptiste

2015 Measuring sovereign contagion in Europe
by Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto

2015 Nonlinear dependence modeling with bivariate copulas: Statistical arbitrage pairs trading on the S&P 100
by Krauss, Christopher & Stübinger, Johannes

2015 Equity premium prediction: Are economic and technical indicators instable?
by Baetje, Fabian & Menkhoff, Lukas

2015 Knightian uncertainty and stock-price movements: Why the REH present-value model failed empirically
by Frydman, Roman & Goldberg, Michael D. & Mangee, Nicholas

2015 Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns
by Eichfelder, Sebastian & Lau, Mona

2015 Estimating heterogeneous agents behavior in a two-market financial system
by Chen, Zhenxi & Huang, Weihong & Zheng, Huanhuan

2015 Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility
by Ghonghadze, Jaba & Lux, Thomas

2015 Analysis of Sovereign Yield Spreads Behavior: The French Bonds Case
by Vasilev, Aleksandar

2015 Evidences of Efficient Investment Portfolio in Indian Capital Markets - An Analysis Based on BSE and NSE Indices
by Mehta, Deepshikha

2015 Risks and returns to education over time
by Brown, Jeffrey R. & Fang, Chichun & Gomes, Francisco

2015 Investor sentiment, flight-to-quality, and corporate bond comovement
by Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander

2015 The liquidity premium in CDS transaction prices: Do frictions matter?
by Gehde-Trapp, Monika & Gündüz, Yalin & Nasev, Julia

2015 The disposition effect in team investment decisions: Experimental evidence
by Rau, Holger A.

2015 Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen
by Hoffmann, Steffen

2015 Eine finanzwirtschaftliche Analyse der Risikovorsorge für erwartete Verluste im Kreditgeschäft
by Nippel, Peter

2015 Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns
by Eichfelder, Sebastian & Lau, Mona

2015 TIPS Liquidity Premium and Quantitative Easing
by Laura Coroneo

2015 Carry and Trend Following Returns in the Foreign Exchange Market
by Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas

2015 Debt Collateralization and Maximal Leverage
by Feixue Gong & Gregory Phelan

2015 On the Robustness of Theoretical Asset Pricing Models
by Gregory Phelan & Alexis Akira Toda

2015 Collateralized Borrowing and Increasing Risk
by Gregory Phelan

2015 Cross-Sectional Returns With Volatility Regimes From Diverse Portfolio of Emerging and Developed Equity Indices
by Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał

2015 An entropy-based early warning indicator for systemic risk
by Monica Billio & Roberto Casarin & Michele Costola & Andrea Pasqualini

2015 On the (Ab)Use of Omega?
by Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin

2015 Volatility Clustering: A Nonlinear Theoretical Approach
by Xue-Zhong He & Kai Li & Chuncheng Wan

2015 The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30
by Xue-Zhong He & Youwei Li

2015 Recovering the Real-World Density and Liquidity Premia From Option Data
by Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen

2015 Market Sentiment and Paradigm Shifts
by Liya Chu & Xue-Zhong He & Kai Li & Jun Tu

2015 Optimal Time Series Momentum
by Xue-Zhong He & Kai Li & Youwei Li

2015 Testing Competing Factor Pricing Models
by Soederlind, Paul

2015 Does Foreign Information Predict the Returns of Multinational Firms Worldwide?
by Finke, Christian & Weigert, Florian

2015 Something in the Air: Information Density, News Surprises, and Price Jumps
by Fuess, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael

2015 Asset Pricing of Financial Insitutions: The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry
by Ben Ammar, Semir & Eling, Martin & Milidonis, Andreas

2015 The Value of Creditor Governance: Debt Renegotiations In and Outside Distress
by Arnold, Marc & Westermann, Ramona

2015 Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach
by Mahringer, Steffen & Fuess, Roland & Prokopczuk, Marcel

2015 Macroeconomic Factors and Equity Premium Predictability
by Buncic, Daniel & Tischhauser, Martin

2015 Option prices by differential evolution
by Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini

2015 Information spillovers in asset markets with correlated values
by Vladimir Asriyan & William Fuchs & Brett Green

2015 Forms and methods of combating the illegal use of insider information and intentional market manipulation in modern Russia
by Alexandr Susyev

2015 Failure to Launch: Housing, Debt Overhang, and the Inflation Option During the Great Recession
by Aaron Hedlund

2015 An examination of the relationship between biodiesel and soybean oil prices using an asset pricing model
by Miguel Carriquiry

2015 The banking crisis with interbank market freeze
by Jin Cheng & Meixing Dai & Frédéric Dufourt

2015 Direct calibration and comparison of agent-based herding models of financial markets
by Sylvain Barde

2015 Addicted to Debt: Foreign Purchases of U.S. Treasuries and the Term-Premium
by David Kohn

2015 Daily Market News Sentiment and Stock Prices
by David E. Allen & Michael McAleer & Abhay K. Singh

2015 The Pro-Russian Conflict and its Impact on Stock Returns in Russia and the Ukraine
by Manuel Hoffmann & Matthias Neuenkirch

2015 TIPS and the VIX: Non-linear Spillovers from Financial Panic to Breakeven Inflation
by Josh R. Stillwagon

2015 Exchange Rate Dynamics and Forecast Errors about Persistently Trending Fundamentals
by Josh R. Stillwagon

2015 Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity
by Lin Zhao & Sweder van Wijnbergen

2015 Daily Market News Sentiment and Stock Prices
by David E. Allen & Michael McAleer & Abhay K. Singh

2015 Booms, Busts and Behavioural Heterogeneity in Stock Prices
by Cars Hommes & Daan in't Veld

2015 Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
by Casper de Vries & Xuedong Wang

2015 Banks and Market Liquidity
by Stefan Arping

2015 New Evidence for the Present-Value Model of Stock Prices: Why the REH Version Failed Empirically
by Roman Frydman & Michael Goldberg & Nicholas Mangee

2015 Explosive Behaviour in Australian Housing Markets: Rational Bubbles or Not?
by Philip Inyeob Ji & Glenn Otto

2015 European Government Bond Dynamics and Stability Policies: Taming Contagion Risks
by Martin Hillebrand & Peter Schwendner & Martin Schuele & Thomas Ott

2015 Collateral Damage? Micro-simulation of transaction cost shocks on the value of central bank collateral
by Rudolf Alvise Lennkh & Florian Walch

2015 Incomplete markets and derivative assets
by François Le Grand & Xavier Ragot

2015 Variance Premium and Implied Volatility in a Low-Liquidity Option Market
by Eduardo Astorino & Fernando Chague, Bruno Cara Giovannetti, Marcos Eugênio da Silva

2015 Does the Concern About Local Crime Affect Trust in the Police?
by Joelson Oliveira Sampaio & Rodrigo De-Losso, Luciana Gross Cunha, Renan Gomes de Pieri

2015 Trust in the Judicial System: Evidence from Brazil
by Rodrigo De-Losso & Joelson Oliveira Sampaio, Luciana Gross Cunha

2015 Why Do Different Short-sellers Pay Different Loan Fees? A Market-wide Analysis
by Fernando Chague & Rodrigo De-Losso, Alan De Genaro, Bruno Giovannetti

2015 Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater
by Ariane Szafarz

2015 Transmission of Quantitative Easing: The Role of Central Bank Reserves
by Jens H.E. Christensen & Signe Krogstrup

2015 Monetary Policy with Diverse Private Expectations
by Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu

2015 Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis
by Kentaro Kikuchi

2015 A Tractable Model of Indirect Asset Liquidity
by Lucas Herrenbrueck & Athanasios Geromichalos

2015 A New Perspective on the Size, Value, and Momentum Effects: Broad Sample Evidence from Europe
by James Foye

2015 Short-Selling Bans and Bank Stability
by Alessandro Beber & Daniela Fabbri & Marco Pagano

2015 Posted Prices, Search and Bargaining
by Derek G. Stacey

2015 Stock market efficiency in Iran: unit root testing with smooth structural breaks and non-trading days
by Vince, Daly & Paytakhti Oskooe, Seyyed Ali

2015 The Negative Credit Risk Premium Puzzle: A Limits to Arbitrage Story
by Chris Godfrey & Chris Brooks &

2015 Anticipatory Effects in the FTSE 100 Index Revisions
by Marcelo Fernandes & João Mergulhão

2015 UK Term Structure Decompositions at the Zero Lower Bound
by Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista

2015 Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model
by Tosapol Apaitan

2015 Evidence of Persistence in U.S. Short and Long-Term Interest Rates Using Long-Span Monthly and Annual Data
by Luis A. Gil-Alana & Juncal Cunado & Rangan Gupta

2015 Pricing and Liquidity in Decentralized Asset Markets
by Uslu, Semih

2015 Effects of Long Cycles in Cash Flows on Present Value
by Bell, Peter N

2015 Cointegration and Causality among the Onshore and Offshore Markets for China's Currency
by Owyong, David & Wong, Wing-Keung & Horowitz, Ira

2015 The regional pricing of risk: An empirical investigation of the MENA equity determinants
by Guesmi, Khaled & Kablan, Sandrine & Belgacem, Aymen

2015 Financial integration and Japanese stock market
by Guesmi, Khaled & Kablan, Sandrine

2015 Overconfident investors, predictable returns, and excessive trading
by Hirshleifer, David & Daniel, Kent

2015 A critical analysis of Islamic bond: A case study on Sunway Treasury Sukuk
by Uddin, Md Akther & Sultan, Yousuf & Hosen, Mosharrof & Ullah, Nazim

2015 Anchoring and Adjustment Heuristic: A Unified Explanation for Equity Puzzles
by Siddiqi, Hammad

2015 Over-the-Counter Markets, Intermediation, and Monetary Policy
by Han, Han

2015 Anchoring and Adjustment Heuristic in Option Pricing
by Siddiqi, Hammad

2015 Anchoring Heuristic and the Equity Premium Puzzle
by Siddiqi, Hammad

2015 A Tractable Model of Indirect Asset Liquidity
by Herrenbrueck, Lucas & Geromichalos, Athanasios

2015 Predictive Models for Disaggregate Stock Market Volatility
by Chong, Terence Tai Leung & Lin, Shiyu

2015 Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach
by Ibanez, Francisco

2015 Real oil prices and the international sign predictability of stock returns
by Pönkä, Harri

2015 Capital Asset Pricing Model Adjusted for Anchoring
by Hammad, Siddiqi

2015 Corporate Shareholdings and the Liquidity of Malaysian Stocks: Investor Heterogeneity, Trading Account Types and the Underlying Channels
by Lim, Kian-Ping & Thian, Tze-Chung & Hooy, Chee-Wooi

2015 Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns
by Jung, Kuk Mo

2015 Anchoring Adjusted Capital Asset Pricing Model
by Hammad, Siddiqi

2015 Date Stamping Bubbles in Real Estate Investment Trusts
by Escobari, Diego & Jafarinejad, Mohammad

2015 Conţinutul analizei seriilor de timp financiare
by Stefanescu, Razvan & Dumitriu, Ramona

2015 Empirical Analysis of Yield Determinants in Japan’s Municipal Bond Market: Does Credit Risk Premium Exist?
by Hattori, Takahiro & Miyake, Hiroki

2015 Heterogeneous Adaptive Expectations and Coordination in a Learning-to-Forecast Experiment
by Colasante, Annarita & Palestrini, Antonio & Russo, Alberto & Gallegati, Mauro

2015 Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices
by Mehta, Deepshikha

2015 Forecasting stock market returns over multiple time horizons
by Kroujiline, Dimitri & Gusev, Maxim & Ushanov, Dmitry & Sharov, Sergey V. & Govorkov, Boris

2015 Evaluating the effectiveness of Common-Factor Portfolios
by Carrasco Gutierrez, Carlos Enrique & Issler, João Victor

2015 Revising empirical linkages between direction of Canadian stock price index movement and Oil supply and demand shocks: Artificial neural network and support vector machines approaches
by Dhaoui, Abderrazak & Audi, Mohamed & Ouled Ahmed Ben Ali, Raja

2015 Disaster risk and preference shifts in a New Keynesian model
by Isoré, Marlène & Szczerbowicz, Urszula

2015 Modeling bank default intensity in the USA using autoregressive duration models
by Siakoulis, Vasilios

2015 Dynamic Trading When You May Be Wrong
by Remorov, Alexander

2015 An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries
by Faruk, Balli & Syed Abul, Basher & Hassan, Ghassan & Hassan, Hajhoj

2015 A Nonparametric Option Pricing Model Using Higher Moments
by Cayton, Peter Julian

2015 Impact of Commodities Transaction Tax on Indian Commodity Futures
by Sinha, Pankaj & Mathur, Kritika

2015 Oil supply and demand shocks and stock price: Evidence for some OECD countries
by Dhaoui, Abderrazak & Saidi, Youssef

2015 Explaining the Smile in Currency Options: Is it Anchoring?
by Siddiqi, Hammad

2015 The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension
by Camilleri, Silvio John

2015 Intervalling-effect bias and evidences for competition policy
by Fotis, Panagiotis & Pekka, Victoria & Polemis, Michael

2015 Relative Risk Perception and the Puzzle of Covered Call writing
by Siddiqi, Hammad

2015 On Flexible Linear Factor Stochastic Volatility Models
by Malefaki, Valia

2015 Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA
by García Muñoz, Luis Manuel & de Lope Contreras, Fernando & Palomar Burdeus, Juan Esteban

2015 Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues
by Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia

2015 Price Discovery in the Dual-Platform US Treasury Market
by Sun, Zhuowei & Dunne, Peter G. & Li, Youwei

2015 Impact of a Financial Transaction Tax on a Financial Market
by Roman Šperka & Irena Szarowská

2015 Real and financial crises in the Keynes-Kalecki structuralist model: An agent-based approach
by Bill Gibson & Mark Setterfield

2015 A Cost of Production Model for Bitcoin
by Adam Hayes

2015 Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
by Sydney C. Ludvigson & Sai Ma & Serena Ng

2015 Comparing Asset Pricing Models
by Francisco Barillas & Jay Shanken

2015 Climate Change and Long-Run Discount Rates: Evidence from Real Estate
by Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Andreas Weber

2015 Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
by Robin Greenwood & Samuel Hanson & Dimitri Vayanos

2015 An Equilibrium Model of Institutional Demand and Asset Prices
by Ralph S.J. Koijen & Motohiro Yogo

2015 Dynamic Directed Random Matching
by Darrell Duffie & Lei Qiao & Yeneng Sun

2015 Momentum in Imperial Russia
by William Goetzmann & Simon Huang

2015 Which Alpha?
by Francisco Barillas & Jay Shanken

2015 The Choice Channel of Financial Innovation
by Felipe S. Iachan & Plamen T. Nenov & Alp Simsek

2015 Phasing Out the GSEs
by Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh

2015 Monetary Policy, Bond Risk Premia, and the Economy
by Peter N. Ireland

2015 Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility
by Mete Kilic & Jessica A. Wachter

2015 Efficiently Inefficient Markets for Assets and Asset Management
by Nicolae B. Gârleanu & Lasse H. Pedersen

2015 Dividend Dynamics, Learning, and Expected Stock Index Returns
by Ravi Jagannathan & Binying Liu

2015 Mispricing Factors
by Robert F. Stambaugh & Yu Yuan

2015 Monetary Exchange in Over-the-Counter Markets: A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises
by Ricardo Lagos & Shengxing Zhang

2015 Was the Forex Fixing Fixed?
by Takatoshi Ito & Masahiro Yamada

2015 Tri-Party Repo Pricing
by Grace Xing Hu & Jun Pan & Jiang Wang

2015 The Pricing of Short-Term market Risk: Evidence from Weekly Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

2015 Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor
by Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao

2015 Correlated Beliefs, Returns, and Stock Market Volatility
by Joel M. David & Ina Simonovska

2015 Hedge Funds: A Dynamic Industry In Transition
by Mila Getmansky & Peter A. Lee & Andrew W. Lo

2015 Capital Markets in China and Britain, 18th and 19th Century: Evidence from Grain Prices
by Wolfgang Keller & Carol H. Shiue & Xin Wang

2015 Facts and Fantasies about Commodity Futures Ten Years Later
by Geetesh Bhardwaj & Gary Gorton & Geert Rouwenhorst

2015 How Large is the Stock Component of Human Capital?
by Mark Huggett & Greg Kaplan

2015 The Term Structure of Returns: Facts and Theory
by Jules H. van Binsbergen & Ralph S.J. Koijen

2015 The Long-Term Effects of Hedge Fund Activism
by Lucian A. Bebchuk & Alon Brav & Wei Jiang

2015 Financial Markets where Traders Neglect the Informational Content of Prices
by Erik Eyster & Matthew Rabin & Dimitri Vayanos

2015 The Market Value of R&D in Weak Innovation Regimes: Evidence from India
by Sunil Kanwar & Bronwyn H. Hall

2015 The Price of Variance Risk
by Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez

2015 Days to Cover and Stock Returns
by Harrison Hong & Weikai Li & Sophie X. Ni & Jose A. Scheinkman & Philip Yan

2015 The Supply and Demand of S&P 500 Put Options
by George M. Constantinides & Lei Lian

2015 Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
by Andrea Beltratti & René M. Stulz

2015 High-frequency, Algorithmic Spillovers Between NASDAQ and Forex
by Takatoshi Ito & Masahiro Yamada

2015 Investment and The Cross-Section of Equity Returns
by Gian Luca Clementi & Berardino Palazzo

2015 Rare Events, Financial Crises, and the Cross-Section of Asset Returns
by Francesco Bianchi

2015 The CAPM Strikes Back? An Investment Model with Disasters
by Hang Bai & Kewei Hou & Howard Kung & Lu Zhang

2015 How Can a Q-Theoretic Model Price Momentum?
by Robert Novy-Marx

2015 Fundamentally, Momentum is Fundamental Momentum
by Robert Novy-Marx

2015 The Dynamics of Financially Constrained Arbitrage
by Denis Gromb & Dimitri Vayanos

2015 The Real Value of China's Stock Market
by Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw

2015 Disaster Risk and its Implications for Asset Pricing
by Jerry Tsai & Jessica A. Wachter

2015 Are Firms in "Boring" Industries Worth Less?
by Jia Chen & Kewei Hou & René M. Stulz

2015 Long-run Bulls and Bears
by Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo

2015 Global Sunspots and Asset Prices in a Monetary Economy
by Roger E.A. Farmer

2015 Segmented Housing Search
by Monika Piazzesi & Martin Schneider & Johannes Stroebel

2015 The relation between sovereign credit default swap premium and banking sector risk in Poland
by Å ukasz GÄ…tarek & Marcin Wojtowicz

2015 Monetary policy and financial asset prices in Poland
by Mariusz Kapuściński

2015 Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon
by Georges Hübner & Thomas Lejeune

2015 Bubble or Riddle? An Asset-Pricing Approach Evaluation on China’s Housing Market
by Qu FENG & Guiying Laura WU

2015 Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency
by Ilze KALNINA & Dacheng XIU

2015 Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency
by KALNINA, Ilze & XIU, Dacheng

2015 The Financial Econometrics of Price Discovery and Predictability
by Seema Narayan & Russell Smyth

2015 The Term Structure of Capital Values:An accounting-based framework for measuring economic profitability
by Carlo Alberto Magni & Ken V. Peasnell

2015 Investment, financing and the role of ROA and WACC in value creation
by Carlo Alberto Magni

2015 Can a financial transaction tax prevent stock price booms?
by Adam, Klaus & Marcet, Albert & Merkel, Sebastian & Beutel, Johannes

2015 Nonparametric Estimates of Option Prices Using Superhedging
by Gianluca Cassese

2015 Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security
by Daniel Harenberg & Ludwig, Alexander

2015 Does the Fama-Franch three-factor model work in the financial industry? Evidence from European bank stocks
by Barbara Fidanza & Ottorino Morresi

2015 Estimating Group Support for German Landesbanken
by Benjamin Käfer

2015 Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns
by Sebastian Eichfelder & Mona Lau

2015 Downside Risk Neutral Probabilities
by Pierre Chaigneau & Louis Eeckhoudt

2015 The Effectiveness of the ECB’s Asset Purchase Programs of 2009 to 2012
by Heather D. Gibson & Stephen G. Hall & George S. Tavlas

2015 Auction versus Dealership Markets: Impact of Proprietary Trading with Transaction Fees
by Katsumasa Nishide & Yuan Tian

2015 Equilibrium Alpha in Asset Pricing in an Ambiguity-averse Economy
by Katsutoshi Wakai

2015 Dealing with Dynamic Agency
by Benjamin Falkeborg

2015 Is the revolving door of Washington a back door to excess corporate returns?
by Mehmet I. Canayaz & Jose V. Martinez & Han N. Ozsoylev

2015 Risk Premiums in the Cross-Section of Commodity Convenience Yields
by Thomas Bollinger & Axel Kind

2015 Equity Premium Prediction: Are Economic and Technical Indicators Instable?
by Fabian Baetje & Lukas Menkhoff

2015 Regional Economic Activity and Stock Returns
by Esad Smajlbegovic

2015 Mutual Fund Performance in MENA Countries: Environmental Conditions and Fund Characteristics
by Ahmed El-Masry & Dalia El-Mosallamy & Juan Carlos Matallín-Sáez & Emili Tortosa-Ausina

2015 The Digital Agenda of Virtual Currencies. Can BitCoin Become a Global Currency?
by D'Artis Kancs & Pavel Ciaian & Rajcaniova Miroslava

2015 Equity Prices and Fundamentals: a DDM-APT Mixed Approach
by & Fredj Jawadi & Georges Prat

2015 Variation of Wrong-Way Risk Management and Its Impact on Security Price Changes
by Tetsuya Adachi & Yoshihiko Uchida

2015 Maturity Structure and Supply Factors in Japanese Government Bond Markets
by Ichiro Fukunaga & Naoya Kato & Junko Koeda

2015 Federal Reserve Tools for Managing Rates and Reserves
by Antoine Martin & James McAndrews & Ali Palida & David Skeie

2015 GMM Estimation of Affine Term Structure Models
by Hlouskova, Jaroslava & Sögner, Leopold

2015 Nonparametric Euler equation identification and estimation
by Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma

2015 An investigation into multivariate variance ratio statistics and their application to stock market predictability
by Seok Young Hong & Oliver Linton & Hui Jun Zhang

2015 Government Bond Liquidity and Sovereign-Bank Interlinkages
by Sören Radde & Cristina Checherita-Westphal & Wei Cui &

2015 Pricing Kernel Modeling
by Denis Belomestny & Shujie Ma & Wolfgang Karl Härdle &

2015 Upside and Downside Risks in Momentum Returns
by Victoria Dobrynskaya

2015 Study of Consistency of Bond and CDS Quotes
by Marat Kurbangaleev & Victor Lapshin & Sergey N. Smirnov

2015 Stocks and GDP in the long run
by Alexius, Annika & Spång, Daniel

2015 The Value Relevance of Accounting Figures in the Oil & Gas Industry: Cash Flow or Accruals?
by Misund, Bård & Osmundsen, Petter

2015 Who's a major? A novel approach to peer group selection: Empirical evidence from oil and gas companies
by Asche, Frank & Misund, Bard

2015 Accounting for Oil and Gas Exploration Activities: A Triumph of Economics over Politics
by Misund, Bård

2015 Vertical Integration and Value Relevance: Empirical Evidence from Oil and Gas Producers
by Misund, Bård

2015 Reserves Replacement and Oil and Gas Company Shareholder returns
by Misund, Bård

2015 Risks in macroeconomic fundamentals and excess bond returns predictability
by De Rezende, Rafael B.

2015 The equity premium in a production economy; A new perspective involving recursive utility
by Aase, Knut K.

2015 Beyond the local mean-variance analysis in continuous time: The problem of non-normality
by Aase, Knut K. & Lillestøl, Jostein

2015 Recursive utility and jump-diffusions
by Aase, Knut K.

2015 The Effect of Pessimism and Doubt on the Equity Premium
by Alfranseder, Emanuel & zhang, Xiang

2015 No 2015:3 Closed Form Valuation of Three-Asset Spread Options With a view towards Clean Dark Spreads
by Green, Rikard

2015 Time-varying risk premium in large cross-sectional equity datasets
by Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier

2015 Risk Sharing in International Economies and Market Incompleteness
by Gurdip Bakashi & Mario Cerrato & John Crosby

2015 Always and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of Monetary Policy
by Alexandros Kontonikas & Charles Nolan & Zivile Zekaite

2015 Co-Movement, Spillovers and Excess Returns in Global Bond Markets?
by Joseph P. Byrne & Shuo Cao & Dimitris Korobilis

2015 Risk Premia and Knightian Uncertainty in an Experimental Market Featuring a Long-Lived Asset
by John Griffin

2015 A seniority arrangement for sovereign debt
by Chatterjee, Satyajit & Eyigungor, Burcu

2015 Heterogeneity in decentralized asset markets
by Hugonnier, Julien & Lester, Benjamin & Weill, Pierre-Olivier

2015 The cost of capital of the financial sector
by Adrian, Tobias & Friedman, Evan & Muir, Tyler

2015 Risk appetite and exchange rates
by Adrian, Tobias & Etula, Erkko & Shin, Hyun Song

2015 The term structure of the price of variance risk
by Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C. & Wang, Yichuan

2015 Asset price effects of peer benchmarking: evidence from a natural experiment
by Acharya, Sushant & Pedraza, Alvaro

2015 Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
by Adrian, Tobias & Crump, Richard K. & Vogt, Erik

2015 The equity risk premium: a review of models
by Duarte, Fernando M. & Rosa, Carlo

2015 Betting against beta (and gamma) using government bonds
by Durham, J. Benson

2015 Stock Market Volatility and Learning
by Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo

2015 An Equilibrium Model of Institutional Demand and Asset Prices
by Yogo, Motohiro & Koijen, Ralph S.J.

2015 Why Are Exchange Rates So Smooth? A Segmented Asset Markets Explanation
by Chien, YiLi & Lustig, Hanno & Naknoi, Kanda

2015 FRED-MD: A Monthly Database for Macroeconomic Research
by McCracken, Michael W. & Ng, Serena

2015 Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences
by Doh, Taeyoung & Wu, Shu

2015 The Value and Risk of Human Capital
by Benzoni, Luca & Chyruk, Olena

2015 The Liquidity Effects of Official Bond Market Intervention
by De Pooter, Michiel & Martin, Robert F. & Pruitt, Seth

2015 The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives
by Park, Yang-Ho

2015 Nominal Rigidities and the Term Structures of Equity and Bond Returns
by Lopez, Pier & Lopez-Salido, J. David & Vazquez-Grande, Francisco

2015 Mapping Heat in the U.S. Financial System
by Aikman, David & Kiley, Michael T. & Lee, Seung Jung & Palumbo, Michael G. & Warusawitharana, Missaka

2015 Credit-Market Sentiment and the Business Cycle
by Lopez-Salido, J. David & Stein, Jeremy C. & Zakrajsek, Egon

2015 Downside Variance Risk Premium
by Feunou, Bruno & Jahan-Parvar, Mohammad & Okou, Cedric

2015 Institutions and return predictability in oil-exporting countries
by Aramonte, Sirio & Jahan-Parvar, Mohammad & Shugarman, Justin

2015 Measuring Ambiguity Aversion
by Gallant, A. Ronald & Jahan-Parvar, Mohammad & Liu, Hening

2015 Bayesian Estimation of Time-Changed Default Intensity Models
by Gordy, Michael B. & Szerszen, Pawel J.

2015 Explaining the boom-bust cycle in the U.S. housing market: a reverse-engineering approach
by Gelain, Paolo & Lansing, Kevin J. & Natvik, Gisele J.

2015 The other (commercial) real estate boom and bust: the effects of risk premia and regulatory capital arbitrage
by Duca, John V. & Ling, David C.

2015 Lottery-related anomalies: the role of reference-dependent preferences
by An, Li & Wang, Huijun & Wang, Jian & Yu, Jianfeng

2015 The impact of oil price shocks on the U.S. stock market: a note on the roles of U.S. and non-U.S. oil production
by Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L.

2015 Testing for a housing bubble at the national and regional level: the case of Israel
by Caspi, Itamar

2015 Exchange rates and monetary policy
by Stavrakeva, Vania & Tang, Jenny

2015 Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare

2015 Multivariate return decomposition: theory and implications
by Anatolyev, Stanislav & Gospodinov, Nikolay

2015 Relationships between the finance system and housing markets
by Piotr Lis

2015 Financialisation of the system of provision applied to housing in Poland
by Piotr Lis

2015 Global Oil Market and the U.S. Stock Returns
by Maryam Ahmad & Matteo Manera & Mehdi Sadeghzadeh

2015 The Impact of Macroeconomic News on Polish and Czech Government Bond Markets
by Vojtech Pistora & Vaclav Hausenblas

2015 Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi
by Evrim İmer-Ertunga & Şerife Serap Çakar

2015 Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi
by Evrim İmer-Ertunga & Şerife Serap Çakar

2015 Türkiye’deki Seçilmiş Bazı Mali Göstergeler Üzerine Bir Koşullu Değişen Varyans Çözümlemesi
by Evrim İmer-Ertunga & Şerife Serap Çakar

2015 Combine to compete: improving fiscal forecast accuracy over time
by Laura Carabotta & Peter Claeys

2015 Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded
by Brogueira, Joao; Schuetze, Fabian

2015 Daily Market News Sentiment and Stock Prices
by Allen, D.E. & McAleer, M.J. & Singh, A.K.

2015 Financial Market Liquidity: Who Is Acting Strategically?
by Gulten Mero & Serge Darolles & Gaëlle Le Fol

2015 Human capital and international portfolio diversification: a reappraisal
by Lorenzo Bretscher & Christian Julliard & Carlo Rosa

2015 News shocks and asset prices
by Aytek Malkhozov & Andrea Tamoni

2015 Dynamic equilibrium with rare events and heterogeneous epstein-zin investors
by Georgy Chabakauri

2015 Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors
by Georgy Chabakauri

2015 A comment on Wu and Xia (2015), and the case for two-factor Shadow Short Rates
by Leo Krippner

2015 Food Price Bubbles and Government Intervention: Is China Different?
by Li, Jian & Li, Chongguang & Chavas, Jean-Paul

2015 Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management
by Brown, Jeffrey A. & McGourty, Brad & Schuermann, Til

2015 Why Are Exchange Rates So Smooth? A Segmented Asset Markets Explanation
by Chien, YiLi & Lustig, Hanno & Naknoi, Kanda

2015 When Is Distress Risk Priced? Evidence from Recessionary Failure Prediction
by Ogneva, Maria & Piotroski, Joseph D. & Zakolyukina, Anastasia A.

2015 A Macroeconomic Framework for Quantifying Systemic Risk
by He, Zhiguo & Krishnamurthy, Arvind

2015 Four Centuries of Return Predictability
by Golez, Benjamin & Koudijs, Peter

2015 The Investment CAPM
by Zhang, Lu

2015 Prices and Volatilities in the Corporate Bond Market
by Bao, Jack & Chen, Jia & Hou, Kewei & Lu, Lei

2015 The Nominal Price Premium
by Birru, Justin & Wang, Baolian

2015 The Granular Nature of Large Institutional Investors
by Ben-David, Itzhak & Franzoni, Francesco A. & Moussawi, Rabih & Sedunov, John, III

2015 How Much for a Haircut? Illiquidity, Secondary Markets, and the Value of Private Equity
by Bollen, Nicolas P. B. & Sensoy, Berk A.

2015 Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard durning the European Crisis
by Beltratti, Andrea & Stulz, Rene M.

2015 A Comparison of New Factor Models
by Hou, Kewei & Xue, Chen & Zhang, Lu

2015 Tick Size: Theory and Evidence
by Werner, Ingrid M. & Wen, Yuanji & Rindi, Barbara & Consonni, Francesco & Buti, Sabrina

2015 The CAPM Strikes Back? An Investment Model with Disasters
by Bai, Hang & Hou, Kewei & Kung, Howard & Zhang, Lu

2015 Are Firms in 'Boring' Industries Worth Less?
by Chen, Jia & Hou, Kewei & Stulz, Rene M.

2015 Understanding the Variation in the Information Content of Earnings: A Return Decomposition Analysis
by Hou, Kewei & Zhang, Yinglei & Zhuang, Zili

2015 Technology Adoption, External Financing Frictions, and the Cross Sectional Returns
by Lin, Xiaoji & Palazzo, Berardino

2015 Psychological Barriers, Expectational Errors, and Underreaction to News
by Birru, Justin

2015 Quanto Implied Correlation in a Multi-Lévy Framework
by Laura Ballota & Griselda Deelstra & Grégory Rayée

2015 The Capacity of Trading Strategies
by Thesmar , David & Landier , Augustin

2015 Liquidity Supply across Multiple Trading Venues
by Lescourret, Laurence & Moinas, Sophie

2015 Moment Matching in the Present Value identity, and a New Model
by Dooruj McRambaccussing

2015 Revisiting Shiller’s excess volatility hypothesis
by Dooruj Rambaccussing

2015 Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices
by Adam Goliński & João Madeira & Dooruj Rambaccussing

2015 Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis
by Imane El Ouadghiri

2015 Equity Prices and Fundamentals: a DDM-APT Mixed Approach
by Fredj Jawadi & Georges Prat

2015 Jumps in Equilibrium Prices and Asymmetric News in Foreign Exchange Markets
by Imane El Ouadghiri & Remzi Uctum

2015 Scale economies in pension fund investments: A dissection of investment costs across asset classes
by Dirk Broeders & Arco van Oord & David Rijsbergen

2015 The EMBI in Latin America: Fractional Integration, Non-linearities and Breaks
by Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana

2015 The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts
by Benjamin Beckers

2015 The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun

2015 Long-Term Price Overreactions: Are Markets Inefficient?
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun

2015 Médias et sentiment sur les marchés actions européens - Impact of sentiment media on European stock markets
by Nicolas Boitout & Fabrice Hervé & Mohamed Zouaoui

2015 Information and Market Power
by Dirk Bergemann & Tibor Heumann & Stephen Morris

2015 Investment Horizons and Price Indeterminacy in Financial Markets
by Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder

2015 Monetary Policy with Diverse Private Expectations
by Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu

2015 Price Discovery in European Agricultural Markets: When Do Futures Contracts Matter?
by Philipp Adämmer & Martin T. Bohl

2015 Estimating rational stock-market bubbles with sequential Monte Carlo methods
by Benedikt Rotermann & Bernd Wilfling

2015 Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
by Philipp Adämmer & Martin T. Bohl & Christian Gross

2015 The Case of Herding ist Stronger than You Think
by Martin T. Bohl & Nicole Branger & Mark Trede

2015 The Cost of Capital of the Financial Sector
by Adrian, Tobias & Friedman, Evan & Muir, Tyler

2015 Early Option Exercise: Never Say Never
by Pedersen, Lasse Heje & Vestergaard Jensen, Mads

2015 Forward Guidance in the Yield Curve: Short Rates versus Bond Supply
by Greenwood, Robin & Hanson, Samuel G & Vayanos, Dimitri

2015 Heterogenous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds
by Babina, Tania & Jotikasthira, Chotibhak & Lundblad, Christian T & Ramadorai, Tarun

2015 Has the Pricing of Stocks Become More Global?
by Petzev, Ivan & Schrimpf, Andreas & Wagner, Alexander F

2015 Climate Change and Long-Run Discount Rates: Evidence from Real Estate
by Giglio, Stefano W & Maggiori, Matteo & Ströbel, Johannes & Weber, Andreas

2015 Income Inequality and Asset Prices under Redistributive Taxation
by Pástor, Luboš & Veronesi, Pietro

2015 Speculation and the Bond Market: An Empirical No-arbitrage Framework
by Barillas, Francisco & Nimark, Kristoffer P

2015 Investing in Systematic Factor Premiums
by Koedijk, Kees & Slager, Alfred & Stork, Philip

2015 Size and Momentum Profitability in International Stock Markets
by Schmidt, Peter S. & Schrimpf, Andreas & von Arx, Urs & Wagner, Alexander F & Ziegler, Andreas

2015 Information and Market Power
by Bergemann, Dirk & Heumann, Tibor & Morris, Stephen

2015 Trading Fees and Slow-Moving Capital
by Buss, Adrian & Dumas, Bernard J

2015 Can a Financial Transaction Tax Prevent Stock Price Booms?
by Adam, Klaus & Beutel, Johannes & Marcet, Albert & Merkel, Sebastian

2015 The Impact of Treasury Supply on Financial Sector Lending and Stability
by Krishnamurthy, Arvind & Vissing-Jorgensen, Annette

2015 The supply side of household finance
by Foà, Gabriele & Gambacorta, Leonardo & Guiso, Luigi & Mistrulli, Paolo Emilio

2015 An Intertemporal CAPM with Stochastic Volatility
by Campbell, John Y & Giglio, Stefano W & Polk, Christopher & Turley, Robert

2015 A Model of Financialization of Commodities
by Basak, Suleyman & Pavlova, Anna

2015 The Term Structure of Returns: Facts and Theory
by Koijen, Ralph & van Binsbergen, Jules H.

2015 Financial Markets where Traders Neglect the Informational Content of Prices
by Eyster, Erik & Rabin, Matthew & Vayanos, Dimitri

2015 Expected Skewness and Momentum
by Jacobs, Heiko & Regele, Tobias & Weber, Martin

2015 A Multivariate Model of Strategic Asset Allocation with Longevity Risk
by Bisetti, Emilio & Favero, Carlo A. & Nocera, Giacomo & Tebaldi, Claudio

2015 Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
by Joenväärä, Juha & Kosowski, Robert

2015 An Empirical Equilibrium Model of a Decentralized Asset Market
by Gavazza, Alessandro

2015 Trust in the Monetary Authority
by Bursian, Dirk & Faia, Ester

2015 Bank Credit Tightening, Debt Market Frictions and Corporate Yield Spreads
by Massa, Massimo & Zhang, Lei

2015 Biased Shorts: Stock Market Implications of Short Sellers’ Disposition Effect
by Massa, Massimo & von Beschwitz, Bastian

2015 First to “Read” the News: News Analytics and Institutional Trading
by Keim, Donald B & Massa, Massimo & von Beschwitz, Bastian

2015 Rare Events, Financial Crises, and the Cross-Section of Asset Returns
by Bianchi, Francesco

2015 Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading
by Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T & Wang, Yihui

2015 Regression Based Estimation of Dynamic Asset Pricing Models
by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

2015 Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
by Buss, Adrian & Uppal, Raman & Vilkov, Grigory

2015 The Dynamics of Financially Constrained Arbitrage
by Gromb, Denis & Vayanos, Dimitri

2015 Risk and Returns to Education Over Time
by Brown, Jeffrey & Fang, Chichun & Gomes, Francisco J

2015 Global Sunspots and Asset Prices in a Monetary Economy
by Farmer, Roger E A

2015 Long-run bulls and bears
by Albuquerque, Rui & Eichenbaum, Martin & Papanikolaou, Dimitris & Rebelo, Sérgio

2015 Origins of Stock Market Fluctuations
by Greenwald, Daniel L. & Lettau, Martin & Ludvigson, Sydney

2015 Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
by Lettau, Martin & Ludvigson, Sydney & Ma, Sai

2015 Rare Disasters and Exchange Rates
by Farhi, Emmanuel & Gabaix, Xavier

2015 Asset Return Predictability in a Heterogeneous Agent Equilibrium Model
by Carlson, Murray & Chapman, David A. & Kaniel, Ron & Yan, Hong

2015 House Price Shocks and Household Savings: evidence from Dutch administrative data
by Nancy van Beers & Michiel Bijlsma & Remco Mocking

2015 The weighted average cost of capital over the lifecycle of the firm: is the overinvestment problem of mature firms intensified by a higher WACC?
by Carlos S. García & Jimmy A. Saravia & David A. Yepes

2015 Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo
by Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno

2015 Una Nota Sobre el Impacto del Gravamen a las Transacciones Financieras en los Márgenes Bancarios en Colombia
by Ignacio Lozano & Norberto Rodríguez

2015 Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano
by Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandía & José Fernando Moreno-Gutiérrez

2015 The Impact of the ECB's Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area
by Gibran Watfe

2015 Price Formation of Pledgeable Securities
by A. Pinna

2015 The scale of predictability
by Federico M. Bandi & Benoit Perron & Andrea Tamoni & Claudio Tebaldi

2015 Liquidity, Government Bonds and Sovereign Debt Crises
by Francesco Molteni

2015 Disaster Risk and Preference Shifts in a New Keynesian Model
by Marlène Isoré & Urszula Szczerbowicz

2015 The Effects of Make and Take Fees in Experimental Markets
by Vince Bourke & David Porter

2015 Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas
by Bård Misund & Petter Osmundsen

2015 The EMBI in Latin America: Fractional Integration, Non-Linearities and Breaks
by Guglielmo-Maria Caporale & Hector Carcel & Luis A. Gil-Alana

2015 Climate Change and Long-Run Discount Rates: Evidence from Real Estate
by Stefano Giglio & Matteo Maggiori & Johannes Ströbel & Andreas Weber

2015 Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
by Casper De Vries & Xuedong Wang

2015 The Sovereign Default Problem in the Eurozone: An Insurance-Based Approach
by Nadjeschda Arnold & Ray Rees

2015 Treasury Auctions and Secondary Market Dynamics. An Analysis Based on the MTS Market for Italy
by Gianluca Cafiso

2015 Monetary Policy with Diverse Private Expectations
by Mordecai Kurz & Maurizio Motolese & Giulia Piccillo & Howei Wu

2015 Restrictions on Risk Prices in Dynamic Term Structure Models
by Michael D. Bauer

2015 Securitization and Asset Prices
by Yunus Aksoy & Henrique S. Basso

2015 Pricing multivariate barrier reverse convertibles with factor-based subordinators
by Marina Marena & Andrea Romeo & Patrizia Semeraro

2015 Labor Rigidity and the Dynamics of the Value Premium
by Roberto Marfè

2015 Corporate Fraction and the Equilibrium Term-Structure of Equity Risk
by Roberto Marfè

2015 Survey Expectations and the Equilibrium Risk-Return Trade Off
by Roberto Marfè

2015 Income Insurance and the Equilibrium Term-Structure of Equity
by Roberto Marfè

2015 Nonparametric Euler Equation Identification andEstimation
by Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton

2015 An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability
by Seok Young Hong & Oliver Linton & Hui Jun Zhang

2015 Price Formation of Pledgeable Securities
by Andrea Pinna

2015 Extreme Downside Risk and Market Turbulence
by Richard Harris & Linh Nguyen & Evarist Stoja

2015 Long Run Expectations, Learning and the U.S. Housing Market
by Daniel Tortorice

2015 Commonality in Liquidity: Effects of Monetary Policy and Macroeconomic Announcements
by Ahmet Sensoy

2015 Liquidity in JGB Markets: An Evaluation from Transaction Data
by Tetsuo Kurosaki & Yusuke Kumano & Kota Okabe & Teppei Nagano

2015 Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model
by Kei Imakubo & Jouchi Nakajima

2015 Quantitative and Qualitative Monetary Easing and Long-Term Interest Rates: The Effects through the Stock of "Net Supply" and Maturity Structure of Japanese Government Bonds
by Ichiro Fukunaga & Naoya Kato

2015 What do negative inflation risk premia tell us?
by Kei Imakubo & Jouchi Nakajima

2015 The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012
by Heather D. Gibson & Stephen G. Hall & George S. Tavlas

2015 Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
by Laakkonen, Helinä

2015 Expected returns and idiosyncratic risk: Industry-level evidence from Russia
by Kinnunen, Jyri & Martikainen, Minna

2015 A global factor in variance risk premia and local bond pricing
by Kaminska, Iryna & Roberts-Sklar, Matt

2015 Long-run priors for term structure models
by Meldrum, Andrew & Roberts-Sklar, Matt

2015 ‘High and dry’: the liquidity and credit of colonial and foreign government debt in the London Stock Exchange (1880–1910)
by Chavaz, Matthieu & Flandreau, Marc

2015 Volatility contagion: new evidence from market pricing of volatility risk
by Raczko, Marek

2015 The informational content of market-based measures of inflation expectations derived from govenment bonds and inflation swaps in the United Kingdom
by Liu, Zhuoshi & Vangelista, Elisabetta & Kaminska, Iryna & Relleen, Jon

2015 Dynamic term structure models: the best way to enforce the zero lower bound in the United States
by Andreasen, Martin M & Meldrum, Andrew

2015 A heterogeneous agent model for assessing the effects of capital regulation on the interbank money market under a corridor system
by Jackson, Christopher & Noss, Joseph

2015 Extreme downside risk and financial crises
by Harris, Richard D. F. & Nguyen, Linh H & Stoja, Evarist

2015 Into the light: dark pool trading and intraday market quality on the primary exchange
by Brugler, James

2015 Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach
by Andreasen, Martin M & Meldrum, Andrew

2015 Interactions among high-frequency traders
by Benos, Evangelos & Brugler, James & Hjalmarsson , Erik & Zikes , Filip

2015 A forecast evaluation of expected equity return measures
by Chin, Michael & Polk, Christopher

2015 Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach
by Paolo Gelain & Kevin J. Lansing & Gisle J. Natvik

2015 Estimación de índice de precios de inmuebles en Uruguay
by Maria Victoria Landaberry & Magdalena Tubio

2015 Can a Financial Transaction Tax Prevent Stock Price Booms?
by Klaus Adam & Albert Marcet & Sebastian Merkel & Johannes Beutel

2015 Stock Price Booms and Expected Capital Gains
by Klaus Adam & Albert Marcet & Johannes Beutel

2015 Staying at Zero with Affine Processes: An Application to Term Structure Modelling
by A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet

2015 Sovereign Spreads in the Eurozone: Is Market Discipline Working?
by Zuccardi Huertas Igor Esteban

2015 The supply side of household finance
by Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli

2015 Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model
by Marcello Pericoli & Marco Taboga

2015 Decomposing euro area sovereign spreads: credit, liquidity and convenience
by Marcello Pericoli & Marco Taboga

2015 Disagreement about inflation and the yield curve
by Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch

2015 Securitization and asset prices
by Yunus Aksoy & Henrique S. Basso

2015 Simulation of the term structure. An application for measuring the interest rate risk
by Mirta González & María Cecilia Pérez

2015 Option Valuation with Observable Volatility and Jump Dynamics
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon

2015 Downside Variance Risk Premium
by Bruno Feunou & Mohammad R. Jahan-Parvar & Cédric Okou

2015 Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
by Fuchun Li

2015 Fourier Inversion Formulas for Multiple-Asset Option Pricing
by Bruno Feunou & Ernest Tafolong

2015 Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns
by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis

2015 Adaptive Expectations with Correction Bias: Evidence from the lab
by Annarita COLASANTE & Antonio PALESTRINI & Alberto RUSSO & Mauro GALLEGATI

2015 Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui

2015 Expected Business Conditions and Bond Risk Premia
by Jonas Nygaard Eriksen

2015 International Sign Predictability of Stock Returns: The Role of the United States
by Henri Nyberg & Harri Pönkä

2015 Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou

2015 Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis
by Alfonso Irarrazabal & Juan Carlos Parra-Alvarez

2015 Explosive bubbles in house prices? Evidence from the OECD countries
by Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen

2015 Modelling credit risk
by Somnath Chatterjee

2015 Knightian uncertainty and stock-price movements: Why the REH present-value model failed empirically
by Frydman, Roman & Goldberg, Michael D. & Mangee, Nicholas

2015 Interdependencies of Markets in Southeastern Europe and Buyback of Shares on Shallow Capital Markets: The Application of Cointegration and Causality Tests
by Đorđe Đukić & Mališa Đukić

2015 Contemporary Tendencies In The Development Of The Financial Sector In Bulgaria In The Context Of The Regulative Changes In The Eu
by HOUBENOVA-DELISIVKOVA, Tatiana

2015 European Equity Market Return, Volatility And Liquidity Spillover Dynamics During The Eurozone Debt Crisis
by DUMITRESCU, Sorin

2015 Investor heterogeneity and asymmetric volatility under short-sale constraints: Evidence from Korean fund market
by Pando Sohn & Ji-Yong Seo

2015 Variety Pass-Through: An Examination of the Ready-to-Eat Breakfast Cereal Market
by Timothy J. Richards & Stephen F. Hamilton

2015 Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries
by Stylianos X. Koufadakis

2015 Revisiting Empirical Linkages Between Direction Of Canadian Stock Price Index Movement And Oil Supply And Demand Stocks: Artificial Neural Networks And Support Vector Machines Approaches
by ABDERRAZAK DHAOUI & MOHAMMED AYDI & RAJA OULED AHMED BEN ALI

2015 The impact of Securities Transaction Tax on market quality: Evidence from France and Italy
by Filip Å ramko

2015 Capital Flows, Asset Prices and Output in Emerging Market Economies
by Ranjanendra Narayan Nag & Sayan Baksi & Sayantan Bandhu Majumder

2015 Conditional equity risk premia and realized variance jump risk
by Zhanglong Wang & Kent Wang & Zheyao Pan

2015 The investment horizon and asset pricing models
by Kathleen Walsh

2015 Voluntary disclosure and the cost of capital
by Greg Clinch & Robert E Verrecchia

2015 The Profitability Of Following Analyst Recommendations On The Polish Stock Market
by Adam Zaremba & Przemys³aw Konieczka

2015 The effectiveness of mutual funds: theoretical approaches and the experience of Russia
by Abramov, Alexander & Akshentseva, Kseniya & Radygin, Alexander

2015 Comparative Price Level (Cpl) – A Representative Parameter of Economic Convergence
by Emilian Dobrescu

2015 Low Risk Anomaly In The Cee Stock Markets
by Adam ZAREMBA

2015 Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis
by Murad A.Bein & Gulcay TUNA

2015 Modeling Portfolio Returns On Bucharest Stock Exchange Using The Fama-French Multifactor Model
by Andrei ANGHEL & Dalina DUMITRESCU & Cristiana TUDOR

2015 Forecasting Prices Of Presale Houses: A Real Option Approach
by Ming-Cheng WU & I-Cheng LIN & Yi-Ting HUANG & Chang-Rong

2015 Analysis Of Relative Return Behaviour Of Borsa Istanbul Reit And Borsa Istanbul 100 Index
by Mine AKSOY & Veysel ULUSOY

2015 Volatility And Kurtosis Of Daily Stock Returns At Mse
by Ivanovski, Zoran & Stojanovski, Toni & Narasanov, Zoran

2015 Test Of The Chen-Roll-Ross Macroeconomic Factor Model: Evidence From Croatian Stock Market
by Dolinar, Denis & Orsag, Silvije & Suman, Paola

2015 Application Of Dividend Discount Model Valuation At Macedonian Stock-Exchange
by Ivanovski, Zoran & Ivanovska, Nadica & Narasanov, Zoran

2015 A brief overview of the types of ETFs
by PETROVA, Elitsa

2015 Comparison of Consumption Based Capital Asset Pricing (CCAPM) and Housing CCAPM (HCCAPM) Model in Explaining Stock Returns in Iran
by Mohammadzadeh, Azam & Nabi Shahikitash, Mohammad & Roshan , Reza

2015 Analysis of the Effect of Interest Rate Corridor Strategy on Common Stock and Exchange Rate
by Tetik, Metin & Ceylan, Reşat

2015 Investigation of the Anomaly Existence in the Advanced and Emerging Markets
by Bozkurt, İbrahim

2015 Tracking Ability and Pricing Efficiency of Exchange Traded Funds: Evidence from Borsa Istanbul
by Baş, Nazlı Kalfa & Sarıoğlu, Serra Eren

2015 Innovation, Product Cycle, and Asset Prices
by Ryo Jinnai

2015 Market Efficiency and Crises:Don’t Throw the Baby out with the Bathwater
by Ariane Szafarz

2015 International CAPM and Oil Price: Evidence from Selected OPEC Countries
by Anna Creti & Khaled Guesmi

2015 Consequences of Voluntary Stock Exchange Section Switching on Stock Prices, Liquidity and Volatility
by Abdoul K. Cissé & Patrice Fontaine

2015 New Insights on Corporate SocialResponsibility and Country-level Institutions in Western Europe
by Karim Ben Khediri & Souad Lajili Jarjir

2015 Can Large Long-Term Investors Capture Illiquidity Premiums?
by Frank de Jong & Joost Driessen

2015 Tendencias de las emisiones de bonos en el exterior de empresas en América Latina
by Castillo, Paul & Luna, Miriam & Vega, Hugo

2015 Capital Market Inflation in Emerging Markets: the Cases of Brazil and South Korea
by Bruno Bonizzi

2015 Investigating Exchange Rate Exposure of Energy Firms: Evidence from Turkey
by Serkan Y. Kandir & Ahmet Erismis & Ilhan Ozturk

2015 An Empirical Analysis of Factors Affecting Prices of Intangible Assets: A Preliminary Testing in Consumer Durables Sector
by Pavel Svačina

2015 Day-of-the-week effect in the Nigerian Stock Market Returns and Volatility: Does the Distributional Assumptions Influence Disappearance?
by Osabuohien-Irabor Osarumwense

2015 European Equity Market Contagion: An Empirical Application to Ireland’s Sovereign Debt Crisis
by Shaen Corbet & Cian Twomey

2015 Antecedents of entrepreneurial intention: Evidence from Republic of Macedonia
by Stojan Debarliev & Aleksandra Janeska-Iliev & Tihona Bozhinovska & Viktorija Ilieva

2015 Design of convertible debt financing - some observations from the American market
by Jakub Marszalek

2015 Skewness preference across countries
by Adam Zaremba & Andrzej Nowak

2015 The IFRS9 Standard: Assessment of the Impacts on the European Banking Industry
by Halep Maria

2015 Finance and climate: The transition to a low-carbon and climate-resilient economy from a financial sector perspective
by Jean Boissinot & Doryane Huber & Gildas Lame

2015 Is Quantitative Easing An Appropriate Way For The Success Of Monetary Policy In A Post-Crisis Period?
by PETRE PRISECARU

2015 Always Possible Frontiers
by Ingersoll, Jr., Jonathan E.

2015 Reply to “(Im)Possible Frontiers: A Commentâ€
by Brennan, Thomas J. & Lo, Andrew W.

2015 A Note on the Sources of Portfolio Returns: Underlying Stock Returns and the Excess Growth Rate
by Greene, Jason T. & Rakowski, David

2015 The Cross-section of Expected Stock Returns
by Lewellen, Jonathan

2015 Seasonal Variation in Treasury Returns
by Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D.

2015 (Im)Possible Frontiers: A Comment
by Levy, Moshe & Roll, Richard

2015 Decomposition of the dynamics of sovereign yield spreads in the euro area
by B. De Backer

2015 The turn of the month effect still exists in the main Latin American stock markets, including the level of individual stocks
by Kristjanpoller Rodríguez Werner & Arenas Yáñez Teresita

2015 Investing in Diamonds
by Luc Renneboog

2015 Trading Volume and Momentum: The International Evidence
by Graham Bornholt & Paul Dou & Mirela Malin

2015 Skewed Generalized Error Distribution of Financial Assets and Option Pricing
by Panayiotis Theodossiou

2015 Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets
by Lorne Switzer & Alan Picard

2015 Equity Anomalies and Idiosyncratic Risk Around the World
by Steve Fan & Scott Opsal & Linda Yu

2015 Crowdfunding de préstamos para PyMEs en España: Un análisis empírico/Loan-Based-Crowdfunding for SME in Spain: An Empirical Analysis
by ROIG HERNANDO, JAUME & SORIANO LLOBERA, JUAN MANUEL

2015 Are investors rational, irrational or normal?
by Md. Al Mamun & Md. Abu Syeed & Farida Yasmeen

2015 The response of stock prices to dividend news on the Ghana stock market: An empirical assessment
by Gideon Boako

2015 Turnover Premium, Foreign Institutional Ownership, and Time-Varying Risk Premium in Taiwan Equity Markets
by Ying-Jen Chen & Jen-Sin Lee

2015 Does Capital Account Liberalization Affect the Financial Stability: Evidence from China
by Yuanyuan Shen & Lu Yang

2015 Notes on the2015 Finance Symposium
by Alper Veli ÇAM

2015 Does Corporate Social Responsibility Deliver Alpha?
by Meng-Feng Yen & Jia-Hui Lin & Yu-Ting Sun

2015 Combining local and global markets in asset pricing in emerging markets:Evidence from three BRICS nations
by Shabir Ahmad Hakim & Zarinah Hamid & Ahamed Kameel Mydin Meera

2015 Extreme Value Theory and long-memory-GARCH Framework: Application to Stock Market
by Manel Youssef & Lotfi Belkacem & Khaled Mokni

2015 Multi-Polar Regulation
by Andrew G. Haldane

2015 Turbulence in Chinese Stock Markets. Occurrence, Interventions, After-Effects
by Sarmiza Pencea

2015 The influence of the oil price on stocks listed at the Bucharest stock exchange
by Popescu Oana Madalina

2015 Evaluación De La Sensibilidad De La Cuota De Los Préstamos A Interés Variable A La Variación Del Índice De Referencia. Evidencia Empírica En El Mercado Hipotecario Español En El Periodo 2009-2013 / Evaluating The Sensibility Of Adjustable Rate Loan Annuities To Fluctuations Of Interest Rates. Empirical Application In Spanish Mortgage Market 2009-2013
by de Andrés Sánchez, Jorge

2015 Sources And Mechanisms Of Financing For Smes In Villavicencio, Colombia Fuentes Y Mecanismos De Financiacion En Las Pymes De Villavicencio (Colombia)
by Maria del Carmen Ruiz Sanchez

2015 Does Company Green Score Affect Stock Price?
by Larry Prober & Ilhan Meric & Gulser Meric

2015 Stock Price Discovery In Earnings Season
by Qi Sun

2015 Ipo Initial Returns And Volatility: A Study In An Emerging Market
by Mike Siew Wei Leong & Sheela Devi Sundarasen

2015 Announcement Effect of Cash Dividend Changes around Ex-Dividend Days: Evidence from Taiwan
by Jack J.W. Yang & Tsung-Hsin Wu

2015 Returns for Dividend-Paying and Non Dividend Paying Firms
by Yufen Fu & George W. Blazenko

2015 Market Efficiency around the Announcement Day of Self-Tender Offers
by Han-Ching Huang & Yong-Chern Su & Hsin-Ying Wang

2015 Asset Pricing and Probability of Information-based Trading: Application to the Tunisian Stock Market
by Tarek Bouchaddekh & Abdelfatteh Bouri & Makram Nouaili

2015 Tactical Asset Allocation Using Investors' Sentiment
by KIM, SOO-HYUN & KANG, HYOUNG-GOO

2015 The equity risk premium: a review of models
by Duarte, Fernando M. & Rosa, Carlo

2015 The Welfare Cost of Business Cycles with Heterogeneous Trading Technologies
by Chien, YiLi

2015 Spatial-Temporal Changes of Housing Bubbles in China's Major Cities: 1999 to 2012
by Huayi Yu

2015 Bidirectional Volatility Spillover Effect between the Exchange Rate and Stocks in the Presence of Structural Breaks in Selected Eastern European Economies
by Dejan Zivkov & Jovan Njegic & Ivan Milenkovic

2015 Systematic Risk Changes, Negative Realized Excess Returns and Time-Varying CAPM Beta
by Jiri Novak

2015 Systemic Sovereign Risk and Asset Prices: Evidence from the CDS Market, Stressed European Economies and Nonlinear Causality Tests
by Nicholas Apergis & Ahdi Noomen Ajmi

2015 The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis
by Krzysztof DRACHAL

2015 Impact of Monetary Policy and Fiscal Policy on Indonesian Stock Market
by Rossanto Dwi HANDOYO & Mansor JUSOH & Mohd. Azlan SHAH ZAIDI

2015 Basic Characteristics of Bonds and their Dynamics on the Croatian Secondary Market
by Sesar Andrijana & Tomic Bojan

2015 New evidence on determinants of price momentum in the Japanese stock market
by Teplova, Tamara & Mikova, Evgeniya

2015 Accounting data and the credit spread: An empirical investigation
by Demirovic, Amer & Tucker, Jon & Guermat, Cherif

2015 Investor sentiment and the underperformance of technology firms initial public offerings
by Saade, Samer

2015 A comparison among various dimensions of illiquidity effect: A case study of Finland
by Butt, Hilal Anwar

2015 Are there periodically collapsing bubbles in the REIT markets? New evidence from the US
by Xie, Zixiong & Chen, Shyh-Wei

2015 An inverted U-shaped crude oil price return-implied volatility relationship
by Agbeyegbe, Terence D.

2015 High order smooth ambiguity preferences and asset prices
by Thimme, Julian & Völkert, Clemens

2015 On the interaction between momentum effect and size effect
by Alhenawi, Yasser

2015 The wages of social responsibility — where are they? A critical review of ESG investing
by Halbritter, Gerhard & Dorfleitner, Gregor

2015 The role of institutional investors and individual investors in financial markets: Evidence from closed-end funds
by Huang, Emily J.

2015 From pit to electronic trading: Impact on price volatility of U.S. Treasury futures
by Orlowski, Lucjan T.

2015 Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets
by Karagiannidis, Iordanis & Sykes Wilford, D.

2015 Split ratings and debt-signaling in bond markets: A note
by Ismail, Ashraf & Oh, Seunghack & Arsyad, Nuruzzaman

2015 A practical approach to constructing price-based funding liquidity factors
by Bouwman, Kees & Buis, Boyd & Pieterse-Bloem, Mary & Tham, Wing Wah

2015 Investor response to public news, sentiment and institutional trading in emerging markets: A review
by Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M.

2015 Mean-variance portfolio methods for energy policy risk management
by Marrero, Gustavo A. & Puch, Luis A. & Ramos-Real, Francisco J.

2015 Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis
by Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung

2015 Commonality in liquidity in emerging markets: Another supply-side explanation
by Bai, Min & Qin, Yafeng

2015 An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern countries
by Balli, Faruk & Hajhoj, Hassan Rafdan & Basher, Syed Abul & Ghassan, Hassan Belkacem

2015 Market risk of BRIC Eurobonds in the financial crisis period
by Vortelinos, Dimitrios I. & Lakshmi, Geeta

2015 The extreme-value dependence between the crude oil price and Chinese stock markets
by Chen, Qian & Lv, Xin

2015 Equity premia and state-dependent risks
by Bouaddi, Mohammed & Larocque, Denis & Normandin, Michel

2015 Intertemporal risk–return relationships in bull and bear markets
by Wu, Shue-Jen & Lee, Wei-Ming

2015 An alternative view of the US price–dividend ratio dynamics
by Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús

2015 The impact of leverage on the idiosyncratic risk and return relationship of REITs around the financial crisis
by Gerlach, Richard & Obaydin, Ivan & Zurbruegg, Ralf

2015 The response of stock market volatility to futures-based measures of monetary policy shocks
by Gospodinov, Nikolay & Jamali, Ibrahim

2015 Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets
by Jin, Xiaoye

2015 Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions
by Wang, Juan & Zhang, Dongxiang & Zhang, Jian

2015 Survey sentiment and interest rate option smile
by Chen, Cathy Yi-Hsuan & Kuo, I-Doun

2015 Opinion divergence, unexpected trading volume and stock returns: Evidence from China
by Chen, Lin & Qin, Lu & Zhu, Hongquan

2015 Liquidity, delistings, and credit risk premium
by Kuo, Su-Wen & Huang, Chin-Sheng & Jhang, Guan-Cih

2015 Measuring sovereign risk contagion in the Eurozone
by Suh, Sangwon

2015 Trading behavior and stock returns in Japan
by Hung, Weifeng & Huang, Sheng-Tang & Lu, Chia-Chi & Liu, Nathan

2015 The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach
by Zheng, Yao

2015 Can a path-dependent strategy outperform a path-independent strategy?
by Lee, Huai-I & Hsieh, Tsung-Yu & Kuo, Wen-Hsiu & Hsu, Hsinan

2015 Herding where retail investors dominate trading: The case of Saudi Arabia
by Rahman, M. Arifur & Chowdhury, Shah Saeed Hassan & Shibley Sadique, M.

2015 Weather and SAD related mood effects on the financial market
by Frühwirth, Manfred & Sögner, Leopold

2015 Consumption growth, preference for smoothing, changes in expectations and risk premium
by Rocha Armada, Manuel J. & Sousa, Ricardo M. & Wohar, Mark E.

2015 A unified approach to portfolio selection in a tracking error framework with additional constraints on risk
by Stucchi, Patrizia

2015 Toward an early warning system of financial crises: What can index futures and options tell us?
by Li, Wei-Xuan & Chen, Clara Chia-Sheng & French, Joseph J.

2015 Signalling the Dotcom bubble: A multiple changes in persistence approach
by Leone, Vitor & de Medeiros, Otavio Ribeiro

2015 Deciphering financial contagion in the euro area during the crisis
by Tola, Albi & Wälti, Sébastien

2015 The impact of fiscal policy announcements by the Italian government on the sovereign spread: A comparative analysis
by Falagiarda, Matteo & Gregori, Wildmer Daniel

2015 Trend salience, investor behaviours and momentum profitability
by Hurst, Gareth & Docherty, Paul

2015 Empirical tests on the liquidity-adjusted capital asset pricing model
by Vu, Van & Chai, Daniel & Do, Viet

2015 The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan
by Bissoondoyal-Bheenick, Emawtee & Brooks, Robert

2015 Stock return commonality within business groups: Fundamentals or sentiment?
by Kim, Min-Su & Kim, Woojin & Lee, Dong Wook

2015 Stock-return volatility and daily equity trading by investor groups in Korea
by Umutlu, Mehmet & Shackleton, Mark B.

2015 The Islamic risk factor in expected stock returns: an empirical study in Saudi Arabia
by Merdad, Hesham Jamil & Kabir Hassan, M. & Hippler, William J.

2015 The impact of foreign institutional traders on price efficiency: Evidence from the Taiwan futures market
by Hao, Ying & Chou, Robin K. & Ho, Keng-Yu & Weng, Pei-Shih

2015 Decomposition of book-to-market and the cross-section of returns for Chinese shares
by Cakici, Nusret & Chatterjee, Sris & Topyan, Kudret

2015 Liquidity and credit risk before and after the global financial crisis: Evidence from the Korean corporate bond market
by Shin, Dongheon & Kim, Baeho

2015 Risk and return in the Chinese stock market: Does equity return dispersion proxy risk?
by Chen, Chun-Da & Demirer, Riza & Jategaonkar, Shrikant P.

2015 Do foreign short-sellers predict stock returns? Evidence from daily short-selling in Korean stock market
by Wang, Shu-Feng & Lee, Kuan-Hui

2015 Dynamic factors and asset pricing: International and further U.S. evidence
by He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng

2015 Herding and fundamental factors: The Hong Kong experience
by Lam, Keith S.K. & Qiao, Zhuo

2015 Information asymmetry and capital structure around the world
by Gao, Wenlian & Zhu, Feifei

2015 M&A operations: Further evidence of informed trading in the CDS market
by Pereira da Silva, Paulo & Vieira, Isabel & Vieira, Carlos

2015 The informational content of ADR mispricing
by Beckmann, Klaus S. & Ngo, Thanh & Wang, Daphne

2015 Competition of trading volume among markets: Evidence from stocks with multiple cross-listing destinations
by Wang, Jing & Zhou, Haigang

2015 On the compensation for illiquidity in sovereign credit markets
by Lafuente, Juan Angel & Serrano, Pedro

2015 Do demographic changes matter? A cross-country perspective
by Šević, Aleksandar & Brawn, Derek

2015 The risk premium and long-run global imbalances
by Chien, YiLi & Naknoi, Kanda

2015 Risk and ambiguity in models of business cycles
by Backus, David & Ferriere, Axelle & Zin, Stanley

2015 Heterogeneous agents in multi-markets: A coupled map lattices approach
by Huang, Weihong & Chen, Zhenxi

2015 The impact of speculation on precious metals futures markets
by Bosch, David & Pradkhan, Elina

2015 The importance of trade and capital imbalances in the European debt crisis
by Hughes Hallett, Andrew & Martinez Oliva, Juan Carlos

2015 Investor mood and demand for stocks: Evidence from popular TV series finales
by Lepori, Gabriele M.

2015 Robustness to model uncertainty and the nominal term premium puzzle
by Xu, Yuan

2015 A regime-switching Nelson–Siegel term structure model of the macroeconomy
by Zhu, Xiaoneng & Rahman, Shahidur

2015 Monetary policy and the yield curve at zero interest
by Ichiue, Hibiki & Ueno, Yoichi

2015 Abenomics: Why was it so successful in changing market expectations?
by Fukuda, Shin-ichi

2015 Democracy, political risks and stock market performance
by Lehkonen, Heikki & Heimonen, Kari

2015 The tail risk premia of the carry trades
by Dupuy, Philippe

2015 Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis
by Straetmans, Stefan & Chaudhry, Sajid M.

2015 Announcements of ECB unconventional programs: Implications for the sovereign spreads of stressed euro area countries
by Falagiarda, Matteo & Reitz, Stefan

2015 Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries
by Engsted, Tom & Pedersen, Thomas Q.

2015 Foreign exchange risk and the term-structure of industry costs of equity
by Krapl, Alain & Giaccotto, Carmelo

2015 The side effects of quantitative easing: Evidence from the UK bond market
by Steeley, James M.

2015 Pressure or prudence? Tales of market pressure and fiscal adjustment
by Dell' Erba, Salvatore & Mattina, Todd & Roitman, Agustin

2015 How past market movements affect correlation and volatility
by Becker, Christoph & Schmidt, Wolfgang M.

2015 Comparing consumption-based asset pricing models: The case of an Asian city
by Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue

2015 The impact of Treasury supply on financial sector lending and stability
by Krishnamurthy, Arvind & Vissing-Jorgensen, Annette

2015 The price of wine
by Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe

2015 Asymmetric decrease in liquidity trading before earnings announcements and the announcement return premium
by Levi, Shai & Zhang, Xiao-Jun

2015 Volatility and mutual fund manager skill
by Jordan, Bradford D. & Riley, Timothy B.

2015 Regression-based estimation of dynamic asset pricing models
by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

2015 Does realized skewness predict the cross-section of equity returns?
by Amaya, Diego & Christoffersen, Peter & Jacobs, Kris & Vasquez, Aurelio

2015 The risk premia embedded in index options
by Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor

2015 Distilling the macroeconomic news flow
by Beber, Alessandro & Brandt, Michael W. & Luisi, Maurizio

2015 Incremental variables and the investment opportunity set
by Fama, Eugene F. & French, Kenneth R.

2015 Signal or noise? Uncertainty and learning about whether other traders are informed
by Banerjee, Snehal & Green, Brett

2015 Good and bad uncertainty: Macroeconomic and financial market implications
by Segal, Gill & Shaliastovich, Ivan & Yaron, Amir

2015 Are institutions informed about news?
by Hendershott, Terrence & Livdan, Dmitry & Schürhoff, Norman

2015 Deflating profitability
by Ball, Ray & Gerakos, Joseph & Linnainmaa, Juhani T. & Nikolaev, Valeri V.

2015 The cross section of expected holding period returns and their dynamics: A present value approach
by Lyle, Matthew R. & Wang, Charles C.Y.

2015 Generalized risk premia
by Schneider, Paul

2015 Contractual incompleteness, limited liability and asset price bubbles
by Dow, James & Han, Jungsuk

2015 High-frequency quoting, trading, and the efficiency of prices
by Conrad, Jennifer & Wahal, Sunil & Xiang, Jin

2015 Momentum has its moments
by Barroso, Pedro & Santa-Clara, Pedro

2015 A five-factor asset pricing model
by Fama, Eugene F. & French, Kenneth R.

2015 Trade credit and cross-country predictable firm returns
by Albuquerque, Rui & Ramadorai, Tarun & Watugala, Sumudu W.

2015 Monetary policy and long-term real rates
by Hanson, Samuel G. & Stein, Jeremy C.

2015 Asset pricing with arbitrage activity
by Hugonnier, Julien & Prieto, Rodolfo

2015 Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility
by Jeong, Daehee & Kim, Hwagyun & Park, Joon Y.

2015 Trading rules, competition for order flow and market fragmentation
by Kwan, Amy & Masulis, Ronald & McInish, Thomas H.

2015 Culture and R2
by Eun, Cheol S. & Wang, Lingling & Xiao, Steven C.

2015 Why do term structures in different currencies co-move?
by Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian

2015 Macroeconomic linkages between monetary policy and the term structure of interest rates
by Kung, Howard

2015 End-of-the-year economic growth and time-varying expected returns
by Møller, Stig V. & Rangvid, Jesper

2015 X-CAPM: An extrapolative capital asset pricing model
by Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei

2015 Loss aversion, survival and asset prices
by Easley, David & Yang, Liyan

2015 A model of regret, investor behavior, and market turbulence
by Qin, Jie

2015 Investment horizons and asset prices under asymmetric information
by Albagli, Elias

2015 Liquid bundles
by Farhi, Emmanuel & Tirole, Jean

2015 Private information and sunspots in sequential asset markets
by Benhabib, Jess & Wang, Pengfei

2015 Put–Call Parity and market frictions
by Cerreia-Vioglio, S. & Maccheroni, F. & Marinacci, M.

2015 Credit market frictions and capital structure dynamics
by Hugonnier, Julien & Malamud, Semyon & Morellec, Erwan

2015 The U.S. housing price bubble: Bernanke versus Taylor
by Fitwi, Abrar M. & Hein, Scott E. & Mercer, Jeffrey M.

2015 Empirical analysis of the generalized consumption asset pricing model: Estimating the cost of capital
by Michelfelder, Richard A.

2015 Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis
by Velinov, Anton & Chen, Wenjuan

2015 Anchoring in experimental asset markets
by Baghestanian, Sascha & Walker, Todd B.

2015 Multi-factor volatility and stock returns
by He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng

2015 Option valuation with observable volatility and jump dynamics
by Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae

2015 The disposition effect in team investment decisions: Experimental evidence
by Rau, Holger A.

2015 The liquidity premium in CDS transaction prices: Do frictions matter?
by Gehde-Trapp, Monika & Gündüz, Yalin & Nasev, Julia

2015 A semiparametric conditional capital asset pricing model
by Cai, Zongwu & Ren, Yu & Yang, Bingduo

2015 As told by the supplier: Trade credit and the cross section of stock returns
by Goto, Shingo & Xiao, Gang & Xu, Yan

2015 The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?
by Malagon, Juliana & Moreno, David & Rodríguez, Rosa

2015 Short interest and stock price crash risk
by Callen, Jeffrey L. & Fang, Xiaohua

2015 Informed trading around earnings and mutual fund alphas
by Cai, Yu & Lau, Sie Ting

2015 On the efficiency of intra-industry information transfers: The dilution of the overreaction anomaly
by Chung, Dennis Y. & Hrazdil, Karel & Trottier, Kim

2015 Riding the swaption curve
by Duyvesteyn, Johan & de Zwart, Gerben

2015 Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability
by Stellner, Christoph & Klein, Christian & Zwergel, Bernhard

2015 What explains the value premium? The case of adjustment costs, operating leverage and financial leverage
by Cao, Viet Nga

2015 High frequency trading and end-of-day price dislocation
by Aitken, Michael & Cumming, Douglas & Zhan, Feng

2015 Stock market dispersion, the business cycle and expected factor returns
by Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos

2015 Performance and determinants of the Merton structural model: Evidence from hedging coefficients
by Barsotti, Flavia & Viva, Luca Del

2015 Financial conditions, macroeconomic factors and disaggregated bond excess returns
by Fricke, Christoph & Menkhoff, Lukas

2015 How firms use corporate bond markets under financial globalization
by Gozzi, Juan Carlos & Levine, Ross & Martinez Peria, Maria Soledad & Schmukler, Sergio L.

2015 Why does higher variability of trading activity predict lower expected returns?
by Barinov, Alexander

2015 Trading breaks and asymmetric information: The option markets
by Kaplanski, Guy & Levy, Haim

2015 The securitization of gold and its potential impact on gold stocks
by Zhang, Yue

2015 Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme
by Oestreich, A. Marcel & Tsiakas, Ilias

2015 Keeping up with the Joneses and optimal diversification
by Levy, Moshe & Levy, Haim

2015 Reward-risk momentum strategies using classical tempered stable distribution
by Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan

2015 Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?
by Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand

2015 Collateral smile
by Leippold, Markus & Su, Lujing

2015 A structural model with Explicit Distress
by Correia, Ricardo & Población, Javier

2015 What explains the dynamics of 100 anomalies?
by Jacobs, Heiko

2015 The timing of mergers along the production chain, capital structure, and risk dynamics
by Tarsalewska, Monika

2015 Risk, illiquidity or marketability: What matters for the discounts on private equity placements?
by Chen, Linda H. & Dyl, Edward A. & Jiang, George J. & Juneja, Januj A.

2015 Equity financing activities and European value-growth returns
by Walkshäusl, Christian

2015 Limits to arbitrage and the term structure of bond illiquidity premiums
by Schuster, Philipp & Uhrig-Homburg, Marliese

2015 Understanding the price of volatility risk in carry trades
by Ahmed, Shamim & Valente, Giorgio

2015 A new approach to measuring riskiness in the equity market: Implications for the risk premium
by Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni

2015 Financial indicators signaling correlation changes in sovereign bond markets
by De Santis, Roberto A. & Stein, Michael

2015 Hedge fund return predictability; To combine forecasts or combine information?
by Panopoulou, Ekaterini & Vrontos, Spyridon

2015 A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation
by Ahn, Seryoong & Choi, Kyoung Jin & Koo, Hyeng Keun

2015 International political risk and government bond pricing
by Huang, Tao & Wu, Fei & Yu, Jing & Zhang, Bohui

2015 The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks
by Leung, Henry & Ton, Thai

2015 Size and value risk in financial firms
by Baek, Seungho & Bilson, John F.O.

2015 Credit spreads and state-dependent volatility: Theory and empirical evidence
by Perrakis, Stylianos & Zhong, Rui

2015 Economic links and credit spreads
by Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi

2015 (How) has the market become more efficient?
by Bertone, Stephen & Paeglis, Imants & Ravi, Rahul

2015 Local IPOs, local delistings, and the firm location premium
by Baschieri, Giulia & Carosi, Andrea & Mengoli, Stefano

2015 Pricing currency derivatives under the benchmark approach
by Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard

2015 Profitability of time series momentum
by He, Xue-Zhong & Li, Kai

2015 The costs and benefits of short sale disclosure
by Duong, Truong X. & Huszár, Zsuzsa R. & Yamada, Takeshi

2015 Counterparty risk for CDS: Default clustering effects
by Bo, Lijun & Capponi, Agostino

2015 Rate fears gauges and the dynamics of fixed income and equity volatilities
by Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine

2015 The performance of US equity mutual funds
by Babalos, Vassilios & Mamatzakis, Emmanuel C. & Matousek, Roman

2015 Why do options prices predict stock returns? Evidence from analyst tipping
by Lin, Tse-Chun & Lu, Xiaolong

2015 Unconventional monetary policy had large international effects
by Neely, Christopher J.

2015 Measuring the liquidity part of volume
by Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten

2015 Statistical evidence about LIBOR manipulation: A “Sherlock Holmes” investigation
by Fouquau, Julien & Spieser, Philippe K.

2015 Order-to-trade ratios and market liquidity
by Friederich, Sylvain & Payne, Richard

2015 Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market
by Wang, Junbo & Wu, Chunchi

2015 Momentum is really short-term momentum
by Gong, Qiang & Liu, Ming & Liu, Qianqiu

2015 Credit spreads with dynamic debt
by Das, Sanjiv R. & Kim, Seoyoung

2015 National culture and corporate cash holdings around the world
by Chen, Yangyang & Dou, Paul Y. & Rhee, S. Ghon & Truong, Cameron & Veeraraghavan, Madhu

2015 Gold bubbles: When are they most likely to occur?
by Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui

2015 Delegated trade and the pricing of public and private information
by Taylor, Daniel J. & Verrecchia, Robert E.

2015 Discussion of delegated trade and the pricing of public and private information
by Bloomfield, Matthew J. & Bloomfield, Robert

2015 Does return dispersion explain the accrual and investment anomalies?
by Chichernea, Doina C. & Holder, Anthony D. & Petkevich, Alex

2015 Do baths muddy the waters or clear the air?
by Haggard, K. Stephen & Howe, John S. & Lynch, Andrew A.

2015 The intertemporal risk-return relationship: Evidence from international markets
by Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi

2015 The effect of security and market order flow shocks on co-movement
by Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S.

2015 Investor attention and FX market volatility
by Goddard, John & Kita, Arben & Wang, Qingwei

2015 Financial institution credit assessment and implications for portfolio managers
by Purda, Lynnette & Sonmez, Fatma & Zhong, Ligang

2015 Arbitrage opportunities and feedback trading in emissions and energy markets
by Chau, Frankie & Kuo, Jing-Ming & Shi, Yukun

2015 Liquidity shocks and stock bubbles
by Nneji, Ogonna

2015 Herding dynamics in exchange groups: Evidence from Euronext
by Economou, Fotini & Gavriilidis, Konstantinos & Goyal, Abhinav & Kallinterakis, Vasileios

2015 Opening and closing price efficiency: Do financial markets need the call auction?
by Ibikunle, Gbenga

2015 Foreigners’ trading and stock returns in Spain
by Porras, Eva & Ülkü, Numan

2015 On the efficient utilisation of duration
by Dierkes, Thomas & Ortmann, Karl Michael

2015 Diversification, cost structure, and the risk premium of multinational corporations
by Fillat, José L. & Garetto, Stefania & Oldenski, Lindsay

2015 Price discovery in the dual-platform US Treasury market
by Sun, Zhuowei & Dunne, Peter G. & Li, Youwei

2015 Liquidity and stock returns: Evidence from international markets
by Chiang, Thomas C. & Zheng, Dazhi

2015 Does stealth trading coexist with high levels of insider trading? Evidence from Kuwait
by Alhashel, Bader

2015 Specified purpose acquisition companies in shipping
by Shachmurove, Yochanan & Vulanovic, Milos

2015 An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market
by Sayim, Mustafa & Rahman, Hamid

2015 Assessing forestry-related assets with the intertemporal capital asset pricing model
by Yao, Wenjing & Mei, Bin

2015 The determinants of CDS open interest dynamics
by Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel

2015 Risk aversion and monetary policy in a global context
by Nave, Juan M. & Ruiz, Javier

2015 Creditor recovery: The macroeconomic dependence of industry equilibrium
by Mora, Nada

2015 Bank liquidity creation and asset market liquidity
by Chatterjee, Ujjal K.

2015 Sturm und Drang in money market funds: When money market funds cease to be narrow
by Jank, Stephan & Wedow, Michael

2015 The effect of political uncertainty on the cost of corporate debt
by Waisman, Maya & Ye, Pengfei & Zhu, Yun

2015 Volatility-of-volatility and tail risk hedging returns
by Park, Yang-Ho

2015 Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?
by Bernales, Alejandro & Guidolin, Massimo

2015 Equity volatility as a determinant of future term-structure volatility
by Bansal, Naresh & Connolly, Robert A. & Stivers, Chris

2015 Asymmetric effects of sell-side analyst optimism and broker market share by clientele
by Grant, Andrew & Jarnecic, Elvis & Su, Mark

2015 On the determinants of pairs trading profitability
by Jacobs, Heiko & Weber, Martin

2015 Sentiment bubbles
by Berger, David & Turtle, Harry J.

2015 The determinants of alternative trading venue market share: Global evidence from the introduction of Chi-X
by He, Peng William & Jarnecic, Elvis & Liu, Yubo

2015 Cross-listings and liquidity commonality around the world
by Dang, Tung Lam & Moshirian, Fariborz & Wee, Claudia Koon Ghee & Zhang, Bohui

2015 Intermediate-term momentum and credit rating
by Haga, Jesper

2015 Fama–MacBeth two-pass regressions: Improving risk premia estimates
by Bai, Jushan & Zhou, Guofu

2015 Stock return predictability in South Africa: The role of major developed markets
by Wen, Yi-Chieh & Lin, Philip T. & Li, Bin & Roca, Eduardo

2015 Does individual-stock skewness/coskewness reflect portfolio risk?
by Kim, Thomas

2015 Measuring the impact of extreme observations on CAPM alphas: Some methodological issues
by De Moor, Lieven & Sercu, Piet

2015 Equity returns of distressed equity issuers
by Park, James L.

2015 Technology upgrades in emerging equity markets: Effects on liquidity and trading activity
by Yılmaz, Mustafa Kemal & Erdem, Orhan & Eraslan, Veysel & Arık, Evren

2015 The benefits of combining seasonal anomalies and technical trading rules
by Gebka, Bartosz & Hudson, Robert S. & Atanasova, Christina V.

2015 The optimal pricing of a market maker in a heterogeneous agent economy
by Guo, Bin & Zhang, Wei & Chen, Shu-Heng & Zhang, Yongjie

2015 A comparison of the convenience yield and interest-adjusted basis
by Fouquau, Julien & Six, Pierre

2015 Revisiting the earnings–price effect: The importance of future earnings
by Chen, Li-Wen & Yu, Hsin-Yi & Huang, Hsu-Huei

2015 The mispricing of socially ambiguous grey stocks
by Lam, Swee-Sum & Zhang, Weina & Jacob, Gabriel Henry

2015 Modelling default risk with occupation times
by Makarov, R. & Metzler, A. & Ni, Z.

2015 The intrinsic bounds on the risk premium of Markovian pricing kernels
by Han, Jihun & Park, Hyungbin

2015 The similarity of ECB’s communication
by Amaya, Diego & Filbien, Jean-Yves

2015 Higher order comoments of multifactor models and asset allocation
by Boudt, Kris & Lu, Wanbo & Peeters, Benedict

2015 Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators
by Wu, Shue-Jen & Lee, Wei-Ming

2015 Predicting the equity premium with the demand for gold coins and bars
by Baur, Dirk G. & Löffler, Gunter

2015 Political risk, investor attention and the Scottish Independence referendum
by Acker, Daniella & Duck, Nigel W.

2015 The investment management for a downside-protected equity-linked annuity under interest rate risk
by Han, Nan-Wei & Hung, Mao-Wei

2015 Effects of macroeconomic uncertainty on the stock and bond markets
by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun

2015 Long memory and the relation between options and stock prices
by Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih

2015 Weakening the Gain–Loss-Ratio measure to make it stronger
by Voelzke, Jan

2015 Cross-sectional anomalies and volatility risk in different economic and market cycles
by Peltomäki, Jarkko & Äijö, Janne

2015 The benefits of international diversification: market development, corporate governance, market cap, and structural change effects
by Switzer, Lorne N. & Tahaoglu, Cagdas

2015 Does economic policy uncertainty drive CDS spreads?
by Wisniewski, Tomasz Piotr & Lambe, Brendan John

2015 Liquidity costs, idiosyncratic volatility and expected stock returns
by Reza Bradrania, M. & Peat, Maurice & Satchell, Stephen

2015 The financial econometrics of price discovery and predictability
by Narayan, Seema & Smyth, Russell

2015 The transmission of market shocks and bilateral linkages: Evidence from emerging economies
by Balli, Faruk & Balli, Hatice O. & Jean Louis, Rosmy & Vo, Tuan Kiet

2015 Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market
by López, Raquel

2015 Modelling the lowballing of the LIBOR fixing
by Poskitt, Russell & Dassanayake, Wajira

2015 A review of the literature on methods of computing the implied cost of capital
by Echterling, F. & Eierle, B. & Ketterer, S.

2015 The gold price in times of crisis
by Białkowski, Jędrzej & Bohl, Martin T. & Stephan, Patrick M. & Wisniewski, Tomasz P.

2015 Can security analyst forecasts predict gold returns?
by Mihaylov, George & Cheong, Chee Seng & Zurbruegg, Ralf

2015 Earnings forecasts and idiosyncratic volatilities
by Kryzanowski, Lawrence & Mohsni, Sana

2015 Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions
by Apergis, Nicholas & Voliotis, Dimitrios

2015 Volatility risk premium in the interest rate market: Evidence from delta-hedged gains on USD interest rate swaps
by Byun, Suk Joon & Chang, Ki Cheon

2015 The effects of institutional ownership on the value and risk of diversified firms
by Jafarinejad, Mohammad & Jory, Surendranath R. & Ngo, Thanh N.

2015 What drove the mid-2000s explosiveness in alternative energy stock prices? Evidence from U.S., European and global indices
by Bohl, Martin T. & Kaufmann, Philipp & Siklos, Pierre L.

2015 Momentum and default risk. Some results using the jump component
by González-Urteaga, Ana & Muga, Luis & Santamaria, Rafael

2015 History of share prices and market efficiency of the Madrid general stock index
by Metghalchi, Massoud & Chen, Chien-Ping & Hayes, Linda A.

2015 War and stock markets: The effect of World War Two on the British stock market
by Hudson, Robert & Urquhart, Andrew

2015 Stock market expectations and risk aversion of individual investors
by Lee, Boram & Rosenthal, Leonard & Veld, Chris & Veld-Merkoulova, Yulia

2015 What determines the yen swap spread?
by Azad, A.S.M. Sohel & Batten, Jonathan A. & Fang, Victor

2015 Impact of the introduction of call auction on price discovery: Evidence from the Indian stock market using high-frequency data
by Agarwalla, Sobhesh Kumar & Jacob, Joshy & Pandey, Ajay

2015 The elusive nature of motives to trade: Evidence from international stock markets
by Gębka, Bartosz & Serwa, Dobromił

2015 Monetary environments and stock returns: International evidence based on the quantile regression technique
by Chevapatrakul, Thanaset

2015 Sell in May and Go Away: Still good advice for investors?
by Dichtl, Hubert & Drobetz, Wolfgang

2015 Trading death: The implications of annuity replication for the annuity puzzle, arbitrage, speculation and portfolios
by Sutcliffe, Charles

2015 Time-variation in the impact of news sentiment
by Smales, Lee A.

2015 The conditional pricing of systematic and idiosyncratic risk in the UK equity market
by Cotter, John & Sullivan, Niall O' & Rossi, Francesco

2015 The impact of liquidity on senior credit index spreads during the subprime crisis
by Marra, Miriam

2015 The effects of quantitative easing on the volatility of the gilt-edged market
by Steeley, James M. & Matyushkin, Alexander

2015 Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis
by Bouri, Elie

2015 Emission permits and the announcement of realized emissions: Price impact, trading volume, and volatilities
by Hitzemann, Steffen & Uhrig-Homburg, Marliese & Ehrhart, Karl-Martin

2015 Trading on mean-reversion in energy futures markets
by Lubnau, Thorben & Todorova, Neda

2015 How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?
by Tsai, Chun-Li

2015 Equity market implied volatility and energy prices: A double threshold GARCH approach
by Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde

2015 Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach
by Salisu, Afees A. & Oloko, Tirimisiyu F.

2015 Performance of utility based hedges
by Cotter, John & Hanly, Jim

2015 Expected commodity returns and pricing models
by Cortazar, Gonzalo & Kovacevic, Ivo & Schwartz, Eduardo S.

2015 The overnight risk premium in electricity forward contracts
by Fleten, Stein-Erik & Hagen, Liv Aune & Nygård, Maria Tandberg & Smith-Sivertsen, Ragnhild & Sollie, Johan M.

2015 Common risk factors of infrastructure investments
by Ben Ammar, Semir & Eling, Martin

2015 Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries
by Demirer, Rıza & Jategaonkar, Shrikant P. & Khalifa, Ahmed A.A.

2015 The dynamics of returns on renewable energy companies: A state-space approach
by Inchauspe, Julian & Ripple, Ronald D. & Trück, Stefan

2015 Forecasting excess stock returns with crude oil market data
by Liu, Li & Ma, Feng & Wang, Yudong

2015 A comparison of implied and realized volatility in the Nordic power forward market
by Birkelund, Ole Henrik & Haugom, Erik & Molnár, Peter & Opdal, Martin & Westgaard, Sjur

2015 Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices
by He, Ling T. & Casey, K.M.

2015 The effects of non-trading on the illiquidity ratio
by Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M.

2015 Do industries lead stock markets? A reexamination
by Tse, Yiuman

2015 Beta vs. characteristics: Comparison of risk model performances
by Kim, Daehwan

2015 Significance testing in empirical finance: A critical review and assessment
by Kim, Jae H. & Ji, Philip Inyeob

2015 Market sentiment in commodity futures returns
by Gao, Lin & Süss, Stephan

2015 Macro variables and the components of stock returns
by Maio, Paulo & Philip, Dennis

2015 Detecting abnormal trading activities in option markets
by Chesney, Marc & Crameri, Remo & Mancini, Loriano

2015 Real term structure forecasts of consumption growth
by Argyropoulos, Efthymios & Tzavalis, Elias

2015 Liquidity and credit premia in the yields of highly-rated sovereign bonds
by Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver

2015 Financial weather derivatives for corn production in Northern China: A comparison of pricing methods
by Sun, Baojing & van Kooten, G. Cornelis

2015 Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market
by Chiarella, Carl & ter Ellen, Saskia & He, Xue-Zhong & Wu, Eliza

2015 Consumption risk and the cross-section of government bond returns
by Abhyankar, Abhay & Klinkowska, Olga & Lee, Soyeon

2015 Market proxies as factors in linear asset pricing models: Still living with the roll critique
by Prono, Todd

2015 Understanding the term structure of credit default swap spreads
by Han, Bing & Zhou, Yi

2015 Testing of a market fraction model and power-law behaviour in the DAX 30
by He, Xue-Zhong & Li, Youwei

2015 Measuring private information in a specialist market
by Lamoureux, Christopher G. & Wang, Qin

2015 Market volatility and momentum
by Wang, Kevin Q. & Xu, Jianguo

2015 Explaining the default risk anomaly by the two-beta model
by Yeh, Chung-Ying & Hsu, Junming & Wang, Kai-Li & Lin, Che-Hui

2015 Bond and stock market response to unexpected dividend changes
by Tsai, Hui-Ju & Wu, Yangru

2015 Testing for stock return predictability in a large Chinese panel
by Westerlund, Joakim & Narayan, Paresh Kumar & Zheng, Xinwei

2015 The formulation of the four factor model when a considerable proportion of firms is dual-listed
by Garyn-Tal, Sharon & Lauterbach, Beni

2015 Pricing, dynamics, and determinants of illiquidity risks: International evidence
by Saad, Mohsen & Samet, Anis

2015 Exchange risk premia and firm characteristics
by Chung, Hyunchul & Majerbi, Basma & Rizeanu, Sorin

2015 Military regimes and stock market performance
by Civilize, Sireethorn & Wongchoti, Udomsak & Young, Martin

2015 Matching the BRIC equity premium: A structural approach
by Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick

2015 Emerging market local currency bonds: Diversification and stability
by Miyajima, Ken & Mohanty, M.S. & Chan, Tracy

2015 Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach
by Liu, Shouwei & Tse, Yiu-Kuen

2015 Unexplained factors and their effects on second pass R-squared’s
by Kleibergen, Frank & Zhan, Zhaoguo

2015 Estimation of dynamic discrete models from time aggregated data
by Hong, Han & Li, Weiming & Wang, Boyu

2015 Divided governments and futures prices
by Sojli, Elvira & Tham, Wing Wah

2015 The long and the short of the risk-return trade-off
by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo

2015 The fine structure of equity-index option dynamics
by Andersen, Torben G. & Bondarenko, Oleg & Todorov, Viktor & Tauchen, George

2015 What is beneath the surface? Option pricing with multifrequency latent states
by Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus

2015 Stock return and cash flow predictability: The role of volatility risk
by Bollerslev, Tim & Xu, Lai & Zhou, Hao

2015 Market-based estimation of stochastic volatility models
by Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena

2015 Asset-pricing anomalies at the firm level
by Cederburg, Scott & O’Doherty, Michael S.

2015 A semiparametric single index model with heterogeneous impacts on an unobserved variable
by Lee, Jiyon

2015 On the computation of LOT liquidity measure
by Zhao, Wandi & Wang, Mingjin

2015 Market sentiment and the Fama–French factor premia
by Shamsuddin, Abul & Kim, Jae H.

2015 Portfolio selection: An alternative approach
by Hatemi-J, Abdulnasser & El-Khatib, Youssef

2015 Copula-MGARCH with continuous covariance decomposition
by Herwartz, Helmut & Raters, Fabian H.C.

2015 The variance risk premium and fundamental uncertainty
by Conrad, Christian & Loch, Karin

2015 Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model
by Rath, Subhrendu & Durand, Robert B.

2015 Cross-sectional consumption-based asset pricing: A reappraisal
by Engsted, Tom & Møller, Stig V.

2015 The term structure of implied dividend yields and expected returns
by Bilson, John F.O. & Kang, Sang Baum & Luo, Hong

2015 Asymptotic theory for linear diffusions under alternative sampling schemes
by Zhou, Qiankun & Yu, Jun

2015 Are volatility spillovers between currency and equity market driven by economic states? Evidence from the US economy
by Grobys, Klaus

2015 Aggregate volatility expectations and threshold CAPM
by Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent

2015 Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
by Ma, Jingtang & Deng, Dongya & Lai, Yongzeng

2015 State-dependent jump risks for American gold futures option pricing
by Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home

2015 Bubbles in health care: Evidence from the U.S., U.K., and German stock markets
by Chen, Mei-Ping & Lin, Yu-Hui & Tseng, Chun-Yao & Chen, Wen-Yi

2015 Gurus and belief manipulation
by Jouini, Elyès & Napp, Clotilde

2015 ‘Nobody is perfect’: Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
by Branger, Nicole & Schlag, Christian & Wu, Lue

2015 Resiliency of the limit order book
by Lo, Danny K. & Hall, Anthony D.

2015 Equilibrium theory of stock market crashes
by Isaenko, Sergey

2015 Robustness of stable volatility strategies
by Branger, Nicole & Mahayni, Antje & Zieling, Daniel

2015 On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options
by Ewald, Christian-Oliver & Yor, Marc

2015 Electricity derivatives pricing with forward-looking information
by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

2015 What factors drive the price–rent ratio for the housing market? A modified present-value analysis
by Kishor, N. Kundan & Morley, James

2015 Cross-sectional asset pricing with heterogeneous preferences and beliefs
by Hansen, Simon Lysbjerg

2015 Costly arbitrage through pairs trading
by Lei, Yaoting & Xu, Jing

2015 Endogenous leverage and asset pricing in double auctions
by Breuer, Thomas & Jandačka, Martin & Summer, Martin & Vollbrecht, Hans-Joachim

2015 Loss aversion, habit formation and the term structures of equity and interest rates
by Curatola, Giuliano

2015 Solving asset pricing models with stochastic volatility
by de Groot, Oliver

2015 Learning from experience in the stock market
by Nakov, Anton & Nuño, Galo

2015 Why is equity order flow so persistent?
by Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne

2015 Corporate innovation, default risk, and bond pricing
by Hsu, Po-Hsuan & Lee, Hsiao-Hui & Liu, Alfred Zhu & Zhang, Zhipeng

2015 The effects of stock liquidity on firm value and corporate governance: Endogeneity and the REIT experiment
by Cheung, William Mingyan & Chung, Richard & Fung, Scott

2015 The public corporation as an intermediary between “Main Street” and “Wall Street”
by Rao, Ramesh K.S.

2015 Exchange trading rules, surveillance and suspected insider trading
by Aitken, Michael & Cumming, Douglas & Zhan, Feng

2015 Misrepresentation and capital structure: Quantifying the impact on corporate debt value
by Zhou, Xinghua & Reesor, R. Mark

2015 Institutional trading during a wave of corporate scandals: “Perfect Payday”?
by Bernile, Gennaro & Sulaeman, Johan & Wang, Qin

2015 Financial market misconduct and agency conflicts: A synthesis and future directions
by Cumming, Douglas & Dannhauser, Robert & Johan, Sofia

2015 Valuing convertible bonds and the option to exchange bonds for stock
by Finnerty, John D.

2015 Do sophisticated investors interpret earnings conference call tone differently than investors at large? Evidence from short sales
by Blau, Benjamin M. & DeLisle, Jared R. & Price, S. McKay

2015 The impact of personal attributes on corporate insider trading
by Hillier, David & Korczak, Adriana & Korczak, Piotr

2015 Cointegration and causality among the onshore and offshore markets for China's currency
by Owyong, David & Wong, Wing-Keung & Horowitz, Ira

2015 Pricing and spread components at the Lima Stock Exchange
by Chávez-Bedoya, Luis & Loaiza Álamo, Carlos & Téllez De Vettori, Giannio

2015 Precios de adjudicación y componentes del spread en la Bolsa de Valores de Lima
by Chávez-Bedoya, Luis & Loaiza Alamo, Carlos & Téllez de Vettori, Giannio

2015 West Texas Intermediate and Brent Spread during Organization of the Petroleum Exporting Countries Supply Disruptions
by Ayman Omar

2015 Modeling of the Dynamics Relationship between World Crude Oil Prices and the Stock Market in Indonesia
by Pasrun Adam & Usman Rianse & Edi Cahyono & Manat Rahim

2015 How Do Oil Price Changes Affect German Stock Returns?
by Laura Cueppers & Dieter Smeets

2015 Flight to Liquidity on the Tokyo Stock Exchange during the 2008 Share Market Crashes
by Brooke Alexandra Maeda

2015 Earnings Response Coefficient as a Measure of Market Expectations: Evidence from Tunis Stock Exchange
by Mohamed Naceur Mahjoubi & Ezzeddine Abaoub

2015 A Generalized Autoregressive Conditional Heteroskedasticity Examination of the Relationship between Trading Volume and Conditional Volatility in the Tunisian Stock Market: Evidence for the Information Flow Paradigm
by Fethi Belhaj & Ezzeddine Abaoub

2015 Understanding the Cash Flow-Fundamental Ratio
by Chyi-Lun Chiou

2015 The Pricing of Two Newly Invented Swaps in a Jump-Diffusion Model
by Zhaojun Yang & Chunhong Zhang

2015 The Spirit of Capitalism and the Equity Premium
by Qin Wang & Yiheng Zou & Yu Ren & Zhuo Huang

2015 Extraneous Risk: Pricing of Non-Systematic Risk
by Ki Beom Binh & Hogyu Jhang

2015 Another Look at the Boom and Bust of Financial Bubbles
by Andrea Beccarini

2015 Analysis of the evolution of sovereign bond yields by wavelet techniques
by David Chinarro & Eduardo Martínez & Simón J. Sosvilla

2015 Factores determinantes del salario del sector privado en el Ecuador para el año 2014: un caso de estudio en la ciudad de Guayaquil
by Manuel A. Zambrano-Monserrate & Daniel A. Sanchez-Loor

2015 Day-of-the-Week Effects in Liquidity on the Warsaw Stock Exchange
by Sabina Nowak & Joanna Olbrys

2015 Generación del valor a partir de la gerencia del riesgo sistemático
by Jaime Andrés Vargas Vives & Juan Sergio Cruz Merchán

2015 Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters
by Andrés Mauricio Gómez Sánchez & José Gabriel Astaiza Gómez

2015 Evidence that Risk Adjustment is Unnecessary in Estimates of the User Cost of Money
by Diego A. Restrepo-Tobón

2015 Descomposicion de la estructura a terminos de la tasa de interes de los bonos soberanos de Estados Unidos y Colombia
by Carlos Alberto Cuadros Lara

2015 Estrategia de inversio?n optimizando la relacio?n rentabilidad-riesgo: evidencia en el mercado accionario colombiano
by Orlando E. Contreras & Roberto Stein Bronfman & Carlos E. Vecino Arenas

2015 Estrategia de inversio?n optimizando la relacio?n rentabilidad-riesgo: evidencia en el mercado accionario colombiano
by Orlando E. Contreras & Roberto Stein Bronfman & Carlos E. Vecino Arenas

2015 Testing for Bubbles in the Colombian Housing Market: A New Approach
by José E. Gómez-González & Jair N. Ojeda-Joya & Catalina Rey-Guerra & Natalia Sicard

2015 Modelling The Guarantee Liability Under Unit-Linked Contracts
by Cristina CIUMAȘ & Diana-Maria CHIȘ

2015 Causality between US economic policy and equity market uncertainties: Evidence from linear and nonlinear tests
by Ahdi Noomen Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta

2015 Liquidité des marchés obligataires et innovation technologique
by Marie-Laure Barut-Etherington & Denis Beau

2015 La quantification des émissions de gaz à effet de serre des institutions financières
by Anne Gerardi & Alain Grandjean & Emmanuel Martinez

2015 Le développement d'une « finance 2 °C » et l'exemple des green bonds
by Zoe Knight

2015 The Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis
by Antonio Zoratto Sanvicente

2015 Evaluating interest rate term-structure using extensions of the Diebold and Li three factors model
by Alberto Ronchi Neto & Osvaldo Candido

2015 Islamic stock markets and potential diversification benefits
by Mouna Boujelbene Abbes & Yousra Trichilli

2015 The accrual anomaly: Evidence from Borsa Istanbul
by Nasif Ozkan & Mustafa Mesut Kayali

2015 Overvaluation in the housing market and returns on residential real estate in the euro area: insights from data in euro per square metre
by M. Dujardin. & A. Kelber. & A. Lalliard.

2015 Surévaluation et rentabilité des biens immobiliers en zone euro : l’apport des données en euros par mètre carré
by DUJARDIN, M. & KELBER, A. & LALLIARD, A.

2015 Shareholder Value Creation In Poland. Value Building And Its Transfer To Shareholders In Companies Listed On Warsaw Stock Exchange
by JAROSLAW NOWICKI

2015 Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies
by Marcelo Bianconi & Joe Akira Yoshino

2015 Consumption-Based Asset Pricing, Part 2: Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters
by Douglas T. Breeden & Robert H. Litzenberger & Tingyan Jia

2015 Real Estate Price Indices and Price Dynamics: An Overview from an Investments Perspective
by David Geltner

2015 Private Equity Performance: A Survey
by Berk A. Sensoy & Steven N. Kaplan

2015 Hedge Funds: A Dynamic Industry in Transition
by Andrew W. Lo & Mila Getmansky & Peter A. Lee

2015 Consumption-Based Asset Pricing, Part 1: Classic Theory and Tests, Measurement Issues, and Limited Participation
by Douglas T. Breeden & Robert H. Litzenberger & Tingyan Jia

2015 Disaster Risk and Its Implications for Asset Pricing
by Jerry Tsai & Jessica A. Wachter

2015 Asset Price Bubbles
by Robert A. Jarrow

2015 The Value and Risk of Human Capital
by Luca Benzon & Olena Chyruk

2015 Rynek Neuer Markt: droga od sukcesu do porażki / Neuer Markt: from Success to Failure
by Sonia Wos

2015 Analysis Of The Average Share Price Of Companies Listed On Bse Depending On The Profit And Exchange Segment. Different Techniques Of General Least Square And Computing Coefficient Covariance For Mean Price Equation Estimation
by Teodor Hada & Emil Olteanu & Iulian Bogdan Dobra

2015 Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand
by Suthawan Prukumpai

2015 Overconfident Investors, Predictable Returns, and Excessive Trading
by Kent Daniel & David Hirshleifer

2015 Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses
by Aurélien Baillon & Han Bleichrodt

2015 Repeated Interaction and Rating Inflation: A Model of Double Reputation
by Sivan Frenkel

2015 Asset Pricing with Concentrated Ownership of Capital and Distribution Shocks
by Kevin J. Lansing

2015 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
by Jordi Galí & Luca Gambetti

2015 Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
by Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu

2015 Measuring Uncertainty
by Kyle Jurado & Sydney C. Ludvigson & Serena Ng

2015 Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals
by Alain Cohn & Jan Engelmann & Ernst Fehr & Michel André Maréchal

2015 Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal
by Marco Ottaviani & Peter Norman Sørensen

2015 Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage
by Alex Edmans & Itay Goldstein & Wei Jiang

2015-06 Analysis of Sovereign Yield Spreads Behavior: The French Bonds Case
by Vasilev, Aleksandar

2014 Price Limit And Stock Volatility In China During Financial Crises
by Wing Chan, Derek Wang, Terence Chong

2014 Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
by Goodness C. Aye & Frederick W. Deale & Rangan Gupta

2014 Testing for Multiple Bubbles in the BRICS Stock Markets
by Tsangyao Chang & Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta & Omid Ranjbar

2014 Spurious Inference in Unidentified Asset-Pricing Models
by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare

2014 Portfolio choice and asset pricing with endogenous beliefs and skewness preference
by Karehnke, Paul

2014 Ground Lease Provisions. A Case Study for Leasehold Valuation
by Don GUARINO & Cameron CHEHRAZI & Brad A. BOHL

2014 Options in Real Estate Valuation
by Mark POMYKACZ & Chris OLMSTED

2014 Risk management insights from Markowitz optimization for constructing portfolios with commodity futures
by WILFORD, D Sykes

2014 Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]
by Fudulache Adina Elena

2014 Subjective Image of the Forthcoming — How FX Market Participants Construct Their Prospects on the Nearest Future
by V. Evstigneev.

2014 Financial Markets Efficiency (Nobel Memorial Prize in Economics 2013)
by R. Sverchkov & K. Sonin.

2014 Das Google-Suchvolumen als Liquiditätsindikator des Aktienhandels: Evidenz vom weltweiten Agrarsektor
by Thomas Pöppe & Dirk Schiereck & Frank Zielinski

2014 Spread Risk Premia in Corporate Credit Default Swap Markets
by Oliver Entrop & Richard Schiemert & Marco Wilkens

2014 An Empirical Analysis of Segmented Pricing of Bond Systematic Risk
by Terry Benzschawel & Liang Fu & Austin Murphy

2014 Performance-Sensitive Government Bonds
by Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

2014 Trading Puzzle, Puzzling Trade
by Orhan ERDEM & Evren ARIK & Serkan YÜKSEL

2014 Asset allocation and stock selection: Evidence from static and dynamic strategies in Turkish markets
by Tolgahan YILMAZ & Sema DUBE

2014 Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending
by Peter Koudijs & Hans-Joachim Voth

2014 Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
by Giovanni Giusti & Charles Noussair & Hans-Joachim Voth

2014 A tale of fire-sales and liquidity hoarding
by Aleksander Berentsen & Benjamin Müller

2014 Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach
by Grammig, Joachim & Sönksen, Jantje

2014 Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models
by Grammig, Joachim & Schaub, Eva-Maria

2014 Decomposing Risk in Dynamic Stochastic General Equilibrium
by Lan, Hong & Meyer-Gohde, Alexander

2014 Asset Pricing without Garbage
by Kroencke, Tim Alexander

2014 Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy
by Rohloff, Sebastian & Pierdzioch, Christian & Risse, Marian

2014 Cyclical Asset Returns in the Consumption and Investment Goods Sector
by Heer, Burkhard & Maußner, Alfred & Süssmuth, Bernd

2014 Individual investors and suboptimal early exercises in the fixed-income market
by Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco

2014 Equilibrium asset pricing in networks with mutually exciting jumps
by Branger, Nicole & Konermann, Patrick & Meinerding, Christoph & Schlag, Christian

2014 Social security in an analytically tractable overlapping generations model with aggregate and idiosyncratic risk
by Harenberg, Daniel & Ludwig, Alexander

2014 Social security and the interactions between aggregate and idiosyncratic risk
by Harenberg, Daniel & Ludwig, Alexander

2014 Austerity, fiscal volatility, and economic growth
by Curatola, Giuliano & Donadelli, Michael & Gioffré, Alessandro & Grüning, Patrick

2014 Thar she blows again: Reducing anchoring rekindles bubbles
by Baghestanian, Sascha & Walker, Todd B.

2014 Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
by Kraft, Holger & Seiferling, Thomas & Seifried, Frank Thomas

2014 Mutual excitation in eurozone sovereign CDS
by Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana

2014 Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
by Buss, Adrian & Uppal, Raman & Vilkov, Grigory

2014 Exit Strategies and Their Impact on the Euro Area - A Model Based View
by Belke, Ansgar

2014 The cross-section of stock returns in an early stock market
by Ye, Qing & Turner, John D.

2014 Transitions in the stock markets of the US, UK, and Germany
by Raddant, Matthias & Wagner, Friedrich

2014 Secular stagnation
by Bossone, Biagio

2014 Empirical linkage between oil price and stock market returns and volatility: Evidence from international developed markets
by Dhaoui, Abderrazak & Khraief, Naceur

2014 Estimating heterogeneous agents behavior with different investment horizons in stock markets
by Chen, Zhenxi

2014 Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics
by Franke, Reiner & Ghonghadze, Jaba

2014 The term structure of interest rates in a small open economy DSGE model with Markov switching
by Horváth, Roman & Maršál, Aleš

2014 SPACs with focus on China
by Shachmurove, Yochanan & Vulanovic, Milos

2014 Is there a bubble in the art market?
by Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas

2014 Consumption-based asset pricing with rare disaster risk
by Grammig, Joachim & Sönksen, Jantje

2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models
by Grammig, Joachim & Schaub, Eva-Maria

2014 To disclose or not to disclose: Transparency and liquidity in the structured product market
by Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G.

2014 Who are the value and growth investors?
by Betermier, Sebastien & Calvet, Laurent E. & Sodini, Paolo

2014 Estimation of trading costs: Trade indicator models revisited
by Theissen, Erik & Zehnder, Lars Simon

2014 Consumption-based asset pricing with rare disaster risk
by Grammig, Joachim & Sönksen, Jantje

2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing
by Grammig, Joachim & Schaub, Eva-Maria

2014 Updating the option implied probability of default methodology
by Vilsmeier, Johannes

2014 Decomposition of country-specific corporate bond spreads
by Dötz, Niko

2014 Financial conditions, macroeconomic factors and (un)expected bond excess returns
by Fricke, Christoph & Menkhoff, Lukas

2014 Banks, markets, and financial stability
by Eder, Armin & Fecht, Falko & Pausch, Thilo

2014 Market transparency and the marking precision of bond mutual fund managers
by Cici, Gjergji & Gibson, Scott & Gündüz, Yalin & Merrick, John J.

2014 Investor fears and risk premia for rare events
by Schwarz, Claudia

2014 Análisis del comportamiento imitador intradía en el mercado de valores español durante el periodo de crisis 2008-2009
by Alicia Marín Solano & Sandra Ferreruela Garcés

2014 European Equity Investing through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?
by Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas

2014 The Relationship Between Stock Returns and Investor Sentiment: Evidence from Social Media
by Zachary McGurk & Adam Nowak

2014 Bubbles, Post-Crash Dynamics, and the Housing Market
by Crocker H. Liu & Adam Nowak & Stuart Rosenthal

2014 An Incomplete Markets Explanation to the UIP Puzzle
by Katrin Rabitsch

2014 Simple heuristics for pricing VIX options
by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik

2014 Cash Inflows and Bubbles in Asset Markets with Constant Fundamental Values
by Charles Noussair & Steven Tucker

2014 Disentangling the Accruals Mispricing in Europe: Is It an Industry Effect?
by Elisabetta Basilico & Tommi Johnsen

2014 Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo

2014 Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model
by KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang

2014 Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?
by KiHoon Jimmy Hong & Eliza Wu

2014 Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500
by Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels

2014 Time Series Momentum and Market Stability
by Xue-Zhong He & Kai Li

2014 Explaining the time-varying relation between agricultural prices and stock market dynamics
by Daniele Girardi

2014 Sovereign Risk and the Pricing of Corporate Credit Default Swaps
by Haerri, Matthias & Morkoetter, Stefan & Westerfeld, Simone

2014 Ambiguity and Reality
by Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan

2014 Corporate Transparency and Bond Liquidity
by Fecht, Falko & Füss, Roland & Rindler, Philipp B.

2014 Standards are Poor: On Competence and Professional Integrity at the Leading Rating Agency
by Gaertner, Manfred

2014 Relationship Between Interest Rate and Corporate Bond Yield
by Magomet Yandiev

2014 Illiquidity and its Discontents: Trading Delays and Foreclosures in the Housing Market
by Aaron Hedlund

2014 The Cyclical Dynamics of Illiquid Housing, Debt, and Foreclosures
by Aaron Hedlund

2014 Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
by Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio

2014 The Risk-Return binomial after rating changes
by Pilar Abad Romero & Maria Dolores Robles Fernández

2014 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth

2014 The non-linear trade-off between return and risk: a regime-switching multi-factor framework
by John Cotter & Enrique Salvador

2014 Can housing risk be diversified? A cautionary tale from the housing boom and bust
by John Cotter & Stuart Gabriel & Richard Roll

2014 Performance of Utility Based Hedges
by John Cotter & Jim Hanly

2014 The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market
by John Cotter & Niall O'Sullivan & Francesco Rossi

2014 Sovereign and bank CDS spreads: two sides of the same coin?
by John Cotter & Davide Avino

2014 Gamma discounters are short-termist
by Gollier, Christian

2014 Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR
by Josh Stillwagon

2014 Bubbles and Trading Frenzies : Evidence from the Art Market
by Penasse, J.N.G. & Renneboog, L.D.R.

2014 Bubbles and Trading Frenzies : Evidence from the Art Market
by Penasse, J.N.G. & Renneboog, L.D.R.

2014 Fundamental Value Trajectories and Trader Characteristics in an Asset Market Experiment
by Breaban, A.G. & Noussair, C.N.

2014 Capital Structure Arbitrage revisited
by Marcin Wojtowicz

2014 Volatility Spillovers from Australia's Major Trading Partners across the GFC
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh

2014 Need for Speed? Exchange Latency and Liquidity
by Albert J. Menkveld & Marius A. Zoican

2014 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth

2014 Common Risk Factors in Equity Markets
by Victoria Atanasov

2014 Funding Liquidity and Market Liquidity
by Yuan Yuan

2014 What Factors Drive the Price-Rent Ratio for the Housing Market? A Modified Present-Value Approach
by N. Kundan Kishor & James Morley

2014 What Moves the Price-Rent Ratio for Housing? A Modified Present-Value Approach
by N. Kundan Kishor & James Morley

2014 The Risk Return Relationship: Evidence from Index Return and Realised Variance Series
by Minxian Yang

2014 The direct and indirect e ects of oil shocks on energy related stocks
by David C Broadstock & Rui Wang & Dayong Zhang

2014 Rock around the clock: an agent-based model of low- and high-frequency trading
by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo

2014 Nonlinearities in sovereign risk pricing the role of cds index contracts
by Anne Laure Delatte & Julien Fouquau & Richard Portes

2014 Investment Grade, Asset Prices and Changes in the Source of Systematic Risk
by Bruno Giovannetti & Mauro Rodrigues, Eduardo Ros

2014 Unveiling Sovereign Effects in European Banks CDS Spreads Variations
by Marc Peters & Hugues Pirotte

2014 Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market
by Thomas Nitschka

2014 The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?
by Thomas Nitschka

2014 A Combined Approach to the Inference of Conditional Factor Models
by Yan Li & Liangjun Su & Yuewu Xu

2014 Bayesian Analysis of Bubbles in Asset Prices
by Andras Fulop & Jun Yu

2014 Deviance Information Criterion for Comparing VAR Models
by Tao Zeng & Yong Li & Jun Yu

2014 Quantitative Easing and the Liquidity Channel of Monetary Policy
by Lucas Herrenbrueck

2014 Press Freedom and Jumps in Stock Prices
by Thorsten Lehnert

2014 Is Barrier version of Merton model more realistic? Evidence from Europe
by Petra Andrlikova

2014 The Beauty Contest and Short-Term Trading
by Giovanni Cespa & Xavier Vives

2014 Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading
by Andrew Ellul & Chotibhak Jotikasthira & Christian T. Lundblad & Yihui Wang

2014 Italian Government debt liquidity, is it of value?
by Simona Delle Chiaie & Bernardo Maggi

2014 Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market
by Anmar Pretorius and Alain Kabundi

2014 Exit Strategies and Their Impact on the Euro Area - A Model Based View
by Ansgar Belke

2014 Are exporting firms always a good hedge against currency risk? Evidence from Central and Eastern European Countries
by M. FRÖMMEL & M. LUETJE

2014 Exit State-of-play in Implementing Macroeconomic Adjustment Programmes in the Euro Area
by Ansgar Belke & Daniel Gros & Alcidi Cinzia & Leonor Coutinho & Alessandro Giovannini

2014 Exit Strategies and Their Impact on the Euro Area – A Model Based View
by Ansgar Belke

2014 Expectations and Systemic Risk in EMU Government Bond Spreads
by Canofari, Paolo & Marini, Giancarlo & Piersanti, Giovanni

2014 Biographical
by Shiller, Robert J.

2014 Biographical
by Hansen, Lars Peter

2014 Biographical
by Fama, Eugene F.

2014 Balancing Forecast Errors in Continuous-Trade Intraday Markets
by Garnier, Ernesto & Madlener, Reinhard

2014 Response of Stock Markets to Monetary Policy: An Asian Stock Market Perspective
by Yoshino, Naoyuki & Taghizadeh-Hesary, Farhad & Hassanzadeh, Ali & Prasetyo, Ahmad Danu

2014 Financial Weather Options for Crop Production
by Baojing Sun & G. Cornelis van Kooten

2014 The Equity-like Behaviour of Sovereign Bonds
by Alfonso Dufour & Andrei Stancu & Simone Varotto

2014 Liquidity Risk Premia in the International Shipping Derivatives Market
by Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis

2014 Comportamiento de los mercados financieros peruanos ante el anuncio del tapering
by Choy, Marylin & Cerna, Jorge

2014 Home Price Beliefs in Australia
by Callan Windsor & Gianni La Cava & James Hansen

2014 Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates
by Ruijun Bu & Jie Cheng & Kaddour Hadri

2014 Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market
by George Kapetanios & Michael Neumann & George Skiadopoulos

2014 Quantitative Easing and the Liquidity Channel of Monetary Policy
by Herrenbrueck, Lucas

2014 Portfolio Tilting Hunt for Positive Alpha Through Style Tilts
by Raza, Muhammad Wajid & Mohsin, Hassan Mohammad

2014 Exchange Rate Exposure of Chinese Firms at the Industry and Firm level
by Tang, Bo

2014 An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries
by Balli, Faruk & Basher, Syed Abul & Ghassan, Hassan B. & Alhajhoj, Hassan R.

2014 Low Versus High Leverage (LVH)
by Bebel, Arkadiusz

2014 Validita modelu CAPM na akciovém trhu USA
by Širůček, Martin & Šoba, Oldřich & Němeček, Jaroslav

2014 The liquidity of dual-listed corporate bonds: empirical evidence from Italian markets
by MODENA, MATTEO & LINCIANO, NADIA & GENTILE, MONICA & FANCELLO, FRANCESCO

2014 Model Uncertainty, the Spirit of Capitalism and Asset Pricing
by Wang, Gaowang

2014 Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca
by RIANE, Nizare

2014 Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
by Ezzat, Hassan & Kirkulak, Berna

2014 Nominal Term Structure and Term Premia. Evidence from Chile
by Ceballos, Luis & Naudon, Alberto & Romero, Damian

2014 Comparing Consumption-based Asset Pricing Models: The Case of an Asian City
by Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue

2014 Size and value premiums in the Indian stock market
by Aziz, Tariq & Ansari, Valeed Ahmad

2014 A detailed analysis of fulfilling and delinquency of payments on loan
by Voloshyn, Ihor

2014 Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame
by Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed

2014 Risk or Sentiment: Value and Size Premium under Terrorism
by Ahmad, Tanveer & Shahzad, Syed Jawad Hussain & Rehman, Mobeen ur

2014 Don’t Hide Your Light Under a Bushel: Innovative Originality and Stock Returns
by Hirshleifer, David & hsu, po-hsuan & li, dongmei

2014 Terrorism and Stock Market Linkages: An Empirical Study from Pakistan
by Arif, Imtiaz & Suleman, Tahir

2014 Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity
by Farouk, Faizal & Masih, Mansur

2014 Superstition and financial decision making
by Hirshleifer, David & Jian, Ming & Zhang, Huai

2014 Альтернативный Подход К Определению Условий Отсутствия Арбитража
by Ivanov, Sergei

2014 Fractional Integration of the Price-Dividend Ratio in a Present-Value Model
by Golinski, Adam & Madeira, Joao & Rambaccussing, Dooruj

2014 Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
by Hiremath, Gourishankar S & Kumari, Jyoti

2014 Recent Developments in Quantitative Finance: An Overview
by Chang, Chia-Lin & Hu, Shing-Yang & Yu, Shih-Ti

2014 Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH
by Sinha, Pankaj & Agnihotri, Shalini

2014 Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly
by Wisniewski, Tomasz Piotr & Yekini, Liafisu Sina

2014 Leverage, return, volatility and contagion: Evidence from the portfolio framework
by el Alaoui, AbdelKader & Masih, Mansur & Bacha, Obiyathulla & Asutay, Mehmet

2014 Investment Decisions: Are we fully-Rational?
by Pereira Reichhardt, Joaquín & Iqbal, Tabassum

2014 Are You Experienced?
by Shachat, Jason & Wang, Hang

2014 Stock Price, Real Riskless Interest Rate and Learning
by Zhang, Tongbin

2014 Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model
by Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M.

2014 Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis
by Najeeb, Syed Faiq & Bacha, Obiyathulla & Masih, Mansur

2014 Capital Asset Pricing Model and Stochastic Volatility: A Case study of India
by Fung, Ka Wai Terence & Demir, Ender & Zhou, Lu

2014 Rational Expectation Bubbles: Evidence from Hong Kong’s Sub-Indices
by Miyakoshi, Tatsuyoshi & Li, Kui-Wai & Shimada, Junji

2014 The conditional pricing of currency and inflation risks in Africa's equity markets
by Kodongo, Odongo & Ojah, Kalu

2014 Financial Crisis and Economic Depression: 'Post Hoc Ego Propter Hoc'? Implications for Financial Asset Valuation and Financial Regulation
by Stravelakis, Nikos

2014 The Time-Varying Risk and Return Trade Off in Indian Stock Markets
by Mohanty, Roshni & P, Srinivasan

2014 Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa
by Tomić, Bojan & Sesar, Andrijana & Džaja, Tomislav

2014 Sovereign and bank CDS spreads: two sides of the same coin?
by Avino, Davide & Cotter, John

2014 Sovereign defaults, external debt and real exchange rate dynamics
by Asonuma, Tamon

2014 Entendiendo los mercados de swaps: Un enfoque de equilibrio general
by Venegas-Martínez, Francisco

2014 Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General
by Venegas-Martínez, Francisco

2014 Exploiting of fundamental interest rates inefficiency
by Ivanov, Sergei

2014 Analytic Approximation of Finite-Maturity Timer Option Prices
by Li, Minqiang

2014 Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
by Li, Minqiang

2014 Does Human Capital Risk Explain The Value Premium Puzzle?
by Sylvain, Serginio

2014 A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
by Xiao, Tim

2014 Firm Complexity and Post-Earnings-Announcement Drift
by Barinov, Alexander & Park, Shawn Saeyeul & Yildizhan, Celim

2014 Dynamic Spillover Effects in Futures Markets
by Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos

2014 Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2014 Pricing Default Risk: The Good, The Bad, and The Anomaly
by Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra

2014 Smooth economic analysis for general spaces of commodities
by Accinelli, Elvio & Covarrubias, Enrique

2014 Forgive, or Award, Your Debtor? - A Barrier Option Approach
by Sun, David & Chow, Da-Ching

2014 Bond Market Exposures to Macroeconomic and Monetary Policy Risks
by Dongho Song

2014 An anatomy of the Level 3 fair-value hierarchy discount
by Emanuel Bagna & Giuseppe Di Martino & Davide Rossi

2014 Trade Credit and Cross-country Predictable Firm Returns
by Rui Albuquerque & Tarun Ramadorai & Sumudu W. Watugala

2014 US Long Term Interest Rates and Capital Flows to Emerging Economies
by Eduardo Olaberría

2014 Exchange rates, expected returns and risk
by Anella Munro

2014 What Factors Give Cryptocurrencies Their Value: An Empirical Analysis
by Adam Hayes

2014 Common Factors in Return Seasonalities
by Matti Keloharju & Juhani T. Linnainmaa & Peter Nyberg

2014 Four Centuries of Return Predictability
by Benjamin Golez & Peter Koudijs

2014 The Rise and Fall of Demand for Securitizations
by Sergey Chernenko & Samuel G. Hanson & Adi Sunderam

2014 Option-Based Credit Spreads
by Christopher L. Culp & Yoshio Nozawa & Pietro Veronesi

2014 The Risky Capital of Emerging Markets
by Joel M. David & Espen Henriksen & Ina Simonovska

2014 Heterogeneity in Decentralized Asset Markets
by Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill

2014 Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
by Martin Lettau & Sydney C. Ludvigson & Sai Ma

2014 A Taxonomy of Anomalies and their Trading Costs
by Robert Novy-Marx & Mihail Velikov

2014 Jumps in Bond Yields at Known Times
by Don H. Kim & Jonathan H. Wright

2014 A Welfare Criterion for Models with Distorted Beliefs
by Markus K. Brunnermeier & Alp Simsek & Wei Xiong

2014 A Comparison of New Factor Models
by Kewei Hou & Chen Xue & Lu Zhang

2014 Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes
by Anisha Ghosh & George M. Constantinides

2014 The Power of the Street: Evidence from Egypt's Arab Spring
by Daron Acemoglu & Tarek A. Hassan & Ahmed Tahoun

2014 Momentum Trading, Return Chasing, and Predictable Crashes
by Benjamin Chabot & Eric Ghysels & Ravi Jagannathan

2014 Growth Expectations, Dividend Yields, and Future Stock Returns
by Zhi Da & Ravi Jagannathan & Jianfeng Shen

2014 Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
by Hui Chen & Rui Cui & Zhiguo He & Konstantin Milbradt

2014 Markets with Multidimensional Private Information
by Veronica Guerrieri & Robert Shimer

2014 Benchmarks in Search Markets
by Darrell Duffie & Piotr Dworczak & Haoxiang Zhu

2014 Competing for Order Flow in OTC Markets
by Benjamin Lester & Guillaume Rocheteau & Pierre-Olivier Weill

2014 . . . and the Cross-Section of Expected Returns
by Campbell R. Harvey & Yan Liu & Heqing Zhu

2014 Understanding Defensive Equity
by Robert Novy-Marx

2014 Valuing Thinly-Traded Assets
by Francis Longstaff

2014 Robust Benchmark Design
by Darrell Duffie & Piotr Dworczak

2014 Strategic Trading in Informationally Complex Environments
by Nicolas S. Lambert & Michael Ostrovsky & Mikhail Panov

2014 Asset Management Contracts and Equilibrium Prices
by Andrea M. Buffa & Dimitri Vayanos & Paul Woolley

2014 Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse
by Asaf Bernstein & Eric Hughson & Marc D. Weidenmier

2014 Momentum Crashes
by Kent Daniel & Tobias J. Moskowitz

2014 Tax News: The Response of Household Spending to Changes in Expected Taxes
by Lorenz Kueng

2014 Assessing Asset Pricing Models Using Revealed Preference
by Jonathan B. Berk & Jules H. van Binsbergen

2014 The Carry Trade: Risks and Drawdowns
by Kent Daniel & Robert J. Hodrick & Zhongjin Lu

2014 Uncertainty Outside and Inside Economic Models
by Lars Peter Hansen

2014 Evidence for Relational Contracts in Sovereign Bank Lending
by Peter Benczur & Cosmin L. Ilut

2014 Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
by YiLi Chien & Harold L. Cole & Hanno Lustig

2014 Risk and Ambiguity in Models of Business Cycles
by David Backus & Axelle Ferriere & Stanley Zin

2014 Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
by Frank Schorfheide & Dongho Song & Amir Yaron

2014 Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World
by Alex Edmans & Lucius Li & Chendi Zhang

2014 Forward and Spot Exchange Rates in a Multi-currency World
by Tarek A. Hassan & Rui C. Mano

2014 Housing, Finance and the Macroeconomy
by Morris A. Davis & Stijn Van Nieuwerburgh

2014 The Shorting Premium and Asset Pricing Anomalies
by Itamar Drechsler & Qingyi Freda Drechsler

2014 The Liquidity Premium of Near-Money Assets
by Stefan Nagel

2014 Investor Sophistication and Capital Income Inequality
by Marcin Kacperczyk & Jaromir B. Nosal & Luminita Stevens

2014 Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
by Esben Hedegaard & Robert J. Hodrick

2014 External Equity Financing Shocks, Financial Flows, and Asset Prices
by Frederico Belo & Xiaoji Lin & Fan Yang

2014 Misspecified Recovery
by Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman

2014 Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946
by David le Bris & William N. Goetzmann & Sébastien Pouget

2014 Model Disagreement and Economic Outlook
by Daniel Andrei & Bruce Carlin & Michael Hasler

2014 On the Fundamental Relation Between Equity Returns and Interest Rates
by Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw

2014 No-Bubble Condition: Model-free Tests in Housing Markets
by Stefano Giglio & Matteo Maggiori & Johannes Stroebel

2014 A Model of Monetary Policy and Risk Premia
by Itamar Drechsler & Alexi Savov & Philipp Schnabl

2014 Matching Capital and Labor
by Jonathan B. Berk & Jules H. van Binsbergen & Binying Liu

2014 Very Long-Run Discount Rates
by Stefano Giglio & Matteo Maggiori & Johannes Stroebel

2014 Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
by Jing Cynthia Wu & Fan Dora Xia

2014 Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
by Drew D. Creal & Jing Cynthia Wu

2014 Asset Pricing with Countercyclical Household Consumption Risk
by George M. Constantinides & Anisha Ghosh

2014 The Role of Proximity in Foreclosure Externalities: Evidence from Condominiums
by Lynn M. Fisher & Lauren Lambie-Hanson & Paul S. Willen

2014 The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
by Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh

2014 Investment Noise and Trends
by Robert F. Stambaugh

2014 Do ETFs Increase Volatility?
by Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi

2014 Monetary Policy Drivers of Bond and Equity Risks
by John Y. Campbell & Carolin Pflueger & Luis M. Viceira

2014 Rare Booms and Disasters in a Multi-sector Endowment Economy
by Jerry Tsai & Jessica A. Wachter

2014 Private Information and Sunspots in Sequential Asset Markets
by Jess Benhabib & Pengfei Wang

2014 Credit Risk in the Euro Area
by Simon Gilchrist & Benoît Mojon

2014 Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
by Anne-Laure Delatte & Julien Fouquau & Richard Portes

2014 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
by Jordi Gali & Luca Gambetti

2014 Risk, Ambiguity, and the Exercise of Employee Stock Options
by Yehuda Izhakian & David Yermack

2014 Estimating the Risk-Return Trade-off with Overlapping Data Inference
by Esben Hedegaard & Robert J. Hodrick

2014 Asset Prices in a Lifecycle Economy
by Roger Farmer

2014 Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending
by Peter Koudijs & Hans-Joachim Voth

2014 Liquidity Risk and the Dynamics of Arbitrage Capital
by Péter Kondor & Dimitri Vayanos

2014 Foreign Ownership of U.S. Safe Assets: Good or Bad?
by Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh

2014 Measuring the ''World'' Real Interest Rate
by Mervyn King & David Low

2014 High Discounts and High Unemployment
by Robert E. Hall

2014 How Risky Are Recessions for Top Earners?
by Fatih Guvenen & Greg Kaplan & Jae Song

2014 How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation
by Alexander Ljungqvist & Wenlan Qian

2014 Origins of Stock Market Fluctuations
by Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson

2014 The Price of Political Uncertainty: Theory and Evidence from the Option Market
by Bryan Kelly & Lubos Pastor & Pietro Veronesi

2014 When Real Estate is the Only Game in Town
by Hyun-Soo Choi & Harrison Hong & Jeffrey Kubik & Jeffrey P. Thompson

2014 Dynamic Dispersed Information and the Credit Spread Puzzle
by Elias Albagli & Christian Hellwig & Aleh Tsyvinski

2014 Pricing sovereign credit risk of an emerging market
by Gonzalo Camba-Méndez & Konrad Kostrzewa & Anna Mospan & Dobromił Serwa

2014 Market perception of sovereign credit risk in the euro area during the financial crisis
by Gonzalo Camba-Méndez & Dobromił Serwa

2014 Estimating the risk of joint defaults: an application to central bank collateralized lending operations
by Dariusz Gatarek & Juliusz Jabłecki

2014 Credit rating agency downgrades and the Eurozone sovereign debt crises
by Christopher F Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephen

2014 Learning about Rare Disasters: Implications For Consumption and Asset Prices
by Max Gillman & Michal Kejak & Michal Pakos

2014 Learning about Rare Disasters: Implications For Consumption and Asset Prices
by Max Gillman & Michal Kejak & Michal Pakos

2014 Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis
by H. Youn Kim & Keith R. McLaren & K.K. Gary Wong

2014 The Whys of the LOIS: Credit Skew and Funding Spread Volatility
by Stéphane Crépey & Raphaël Douady

2014 Yield Curve Smoothing and Residual Variance of Fixed Income Positions
by Raphaël Douady

2014 The kiss of information theory that captures systemic risk
by Peter Martey Addo & Philippe De Peretti & Hayette Gatfaoui & Jakob Runge

2014 Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk
by Peter Martey Addo & Philippe De Peretti

2014 Ambiguïté, comportements et marchés financiers
by Meglena Jeleva & Jean-Marc Tallon

2014 Impact of information cost and switching of trading strategies in an artificial stock market
by Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu

2014 Communication impacting financial markets
by Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam

2014 Stock Price Booms and Expected Capital Gains
by Adam, Klaus & Beutel, Johannes & Marcet, Albert

2014 An Event Study Analysis of ECB Unconventional Monetary Policy
by Giulia RIVOLTA

2014 Option pricing in an imperfect world
by Gianluca Cassese

2014 The Equity Premium in a DSGE Model with Limited Asset Market Participation
by Lorenzo Menna & Patrizio Tirelli

2014 The Macroeconomic Determinants of the US Term-Structure during the Great Moderation
by Alessia Paccagnini

2014 Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk
by Harenberg, Daniel & Ludwig, Alexander

2014 Contagion across Eurozone's sovereign spreads and the Core-Periphery divide
by Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini

2014 Contagion in the Euro crisis: capital flows and trade linkages
by Eleonora Cutrini and Giorgio Galeazzi

2014 Up- and Downside Variance Risk Premia in Global Equity Markets
by Matthias Held & Marcel Omachel

2014 Effects of the Limit Order Book on Price Dynamics
by Tolga Cenesizoglu & Georges Dionne & Xiaozhou Zhou

2014 Nonlinear Kalman Filtering in Affine Term Structure Models
by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui

2014 Convertible Debt and Shareholder Incentives
by Christian Dorion & Pascal François & Gunnar Grass & Alexandre Jeanneret

2014 Heterogeneous Beliefs and the Choice Between Private Restructuring and Formal Bankruptcy
by Pascal François & Alon Raviv

2014 Stock Market Overreaction to Management Earnings Forecasts
by Jean-Sébastien Michel

2014 Doom-loops: The Role of Rating Agencies in the Euro Financial Crisis
by 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
by Heather D. Gibson & Stephen G. Hall & George S. Tavlas

2014 A New Solution to the Equity Premium Puzzle and the Risk-Free Rate Puzzle: Theory and Evidence
by Hideaki Tamura & Yoichi Matsubayashi

2014 The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses
by Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz

2014 Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model
by Falko Juessen & Ludger Linnemann & Andreas Schabert

2014 Social Security and the Interactions Between Aggregate and Idiosyncratic Risk
by Daniel Harenberg & Alexander Ludwig

2014 Transitions in the Stock Markets of the US, UK, and Germany
by Matthias Raddant & Friedrich Wagner

2014 Uncertain Risk and Return in Bond Markets, I
by Chan R. Mang

2014 Recall Searching with and without Recall
by Daniela Di Cagno & Tibor Neugebauer & Carlos Rodriguez-Palmero & Abdolkarim Sadrieh

2014 A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market
by Pyo, Dong-Jin

2014 EU Finance Ministers, Capital Markets and Fiscal Outcomes
by António Afonso & Maria João Guedes

2014 On the liquidity of CAC 40 index options Market
by Alain François-Heude & Ouidad Yous

2014 Oil price impact on financial markets:
by Anna Creti & Zied Ftiti & Khaled Guesmi

2014 Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation
by Farid Mkouar & Jean-Luc Prigent

2014 Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets
by Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong

2014 Investor Following and Volatility: A GARCH Approach
by Amal Aouadi & Mohamed Arouri & Frédéric Teulon

2014 L’intégration intra-régionale des marchés boursiers de l’Europe du sudest : une analyse multivariée
by Khaled Guesmi & Duc Khuong Nguyen

2014 Australia’s integration into the ASEAN- 5 Region
by Khaled Guesmi & Frederic Teulon & Amine Lahiani

2014 The Evolution of Risk Premiums in Emerging Stock Markets: The Case of Latin America and Asia Region
by Salma Fattoum & Khaled Guesmi & Bruno-Laurent Moschetto

2014 The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach
by Julia Auckenthaler & Alexander Kupfer & Rupert Sendlhofer

2014 The imprecision of volatility indexes
by Rohini Grover & Ajay Shah

2014 User right as a mezzanine capital investment: Innovations in infrastructure debt financing
by Manish K. Singh & S. Ramann

2014 Japanese Repo and Call Markets Before, During, and Emerging from the Financial Crisis
by Ichiro Fukunaga & Naoya Kato

2014 A Pricing Theory under a Finite Number of Securities Issued: A Synthesis of "Market Microstructure" and "Mathematical Finance"
by Yoshihiko Uchida & Daisuke Yoshikawa

2014 Return and Volatility Spillovers in Industrial Metals
by Brian M. Lucey

2014 Which Precious Metals Spill Over on Which, When and Why? – Some Evidence
by Jonathan A. Batten & Cetin Ciner & Brian M. Lucey

2014 Stock Market Predictability: Global Evidence and an Explanation
by Cheolbeom Park & Dong-hun Shin

2014 Gamma discounters are short-termist
by Gollier, Christian

2014 Adaptive Order Flow Forecasting with Multiplicative Error Models
by Wolfgang Karl Härdle & Andrija Mihoci & Christopher Hian-Ann Ting &

2014 Credit Risk Calibration based on CDS Spreads
by Shih-Kang Chao & Wolfgang Karl Härdle & Hien Pham-Thu &

2014 Network Effects in Currency Internationalisation: Insights from BIS Triennial Surveys and Implications for the Renminbi
by Dong He & Xiangrong Yu

2014 Interactions between CNY and CNH Money and Forward Exchange Markets
by David Leung & John Fu

2014 A Nonparametric Method For Term Structure Fitting With Automatic Smoothing
by Victor A. Lapshin & Vadim Ya. Kaushanskiy

2014 Swedish stock and bond returns, 1856–2012
by Waldenström, Daniel

2014 Exploration Risk in Oil & Gas Shareholder Returns
by Misund, Bard & Mohn, Klaus

2014 Discount rates, market frictions, and the mystery of the size premium
by de Oliveira Souza, Thiago

2014 Recursive utility and jump-diffusions
by Aase, Knut K.

2014 Heterogeneity and limited stock market Participation
by Aase, Knut K.

2014 Recursive utility using the stochastic maximum principle
by Aase, Knut K.

2014 Political Connections and Stock Liquidity: Political Network, Hierarchy and Intervention
by Ding, Mingfa

2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun

2014 Trust Us to Repay: Social Trust, Long-Term Interest Rates and Sovereign Credit Ratings
by Bergh, Andreas

2014 Swedish Stock and Bond Returns, 1856–2012
by Waldenström, Daniel

2014 Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data
by Quoreshi, A.M.M. Shahiduzzaman

2014 Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo

2014 Heterogeneous Fundamentalists and Market Maker Inventories
by Alessandro Carraro & Giorgio Ricchiuti

2014 Option-implied term structures
by Vogt, Erik

2014 Asset pricing with horizon-dependent risk aversion
by Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C.

2014 Understanding mortgage spreads
by Boyarchenko, Nina & Fuster, Andreas & Lucca, David O.

2014 LIBOR: origins, economics, crisis, scandal, and reform
by Hou, David & Skeie, David R.

2014 Arbitrage-free affine models of the forward price of foreign currency
by Durham, J. Benson

2014 Can risk explain the profitability of technical trading in currency markets?
by Ivanova, Yuliya & Neely, Christopher J. & Rapach, David E. & Weller, Paul A.

2014 The cost of business cycles with heterogeneous trading technologies
by Chien, YiLi

2014 Momentum Trading, Return Chasing and Predictable Crashes
by Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi

2014 Inflation Uncertainty and Disagreement in Bond Risk Premia
by D'Amico, Stefania & Orphanides, Athanasios

2014 Returns to Active Management: The Case of Hedge Funds
by Kazemi, Maziar & Islamaj, Ergys

2014 Dealer Networks
by Li, Dan & Schurhoff, Norman

2014 Solving asset pricing models with stochastic volatility
by de Groot, Oliver

2014 The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors
by D'Amico, Stefania & Fan, Roger & Kitsul, Yuriy

2014 A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
by Song, Zhaogang & Xiu, Dacheng

2014 Unspanned macroeconomic factors in the yield curve
by Coroneo, Laura & Giannone, Domenico & Modugno, Michele

2014 QE Auctions of Treasury Bonds
by Song, Zhaogang & Zhu, Haoxiang

2014 Flights to Safety
by Baele, Lieven & Bekaert, Geert & Inghelbrecht, Koen & Wei, Min

2014 Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices
by D'Amico, Stefania & Kim, Don H. & Wei, Min

2014 Modeling Money Market Spreads: What Do We Learn about Refinancing Risk?
by Brousseau, Vincent & Nikolaou, Kleopatra & Pill, Huw

2014 In Search of a Risk-free Asset
by Yankov, Vladimir

2014 Jumps in Bond Yields at Known Times
by Kim, Don H. & Wright, Jonathan H.

2014 Swiss unconventional monetary policy: lessons for the transmission of quantitative easing
by Christensen, Jens H.E. & Krogstrup, Signe

2014 Can spanned term structure factors drive stochastic yield volatility?
by Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D.

2014 Very long-run discount rates
by Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes

2014 The boy who cried bubble: public warnings against riding bubbles
by Asako, Yasushi & Ueda, Kozo

2014 Monitoring housing markets for episodes of exuberance: an application of the Phillips et al. (2012, 2013) GSADF test on the Dallas Fed International House Price Database
by Pavlidis, Efthymios & Yusupova, Alisa & Paya, Ivan & Peel, David & Martinez-Garcia, Enrique & Mack, Adrienne & Grossman, Valerie

2014 Testing for bubbles in housing markets: new results using a new method
by Gómez-González, José E. & Ojeda-Joya, Jair N. & Rey-Guerra, Catalina & Sicard, Natalia

2014 Financial frictions and the reaction of stock prices to monetary policy shocks
by Ozdagli, Ali K.

2014 Let's talk about it: what policy tools should the Fed "normally" use?
by Barnes, Michelle L.

2014 Costs and benefits of building faster payment systems: the U.K. experience and implications for the United States
by Greene, Claire & Rysman, Marc & Schuh, Scott & Shy, Oz

2014 Bitcoin as money?
by Lo, Stephanie & Wang, J. Christina

2014 The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
by Gospodinov, Nikolay & Jamali, Ibrahim

2014 Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis
by Jensen, Mark J. & Maheu, John M.

2014 Nonlinearities in sovereign risk pricing the role of cds index contracts
by Anne Laure Delatte

2014 Rock around the clock :An agent-based model of low-and high frequency trading
by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgo Fagiolo

2014 Interest Rate Swap Credit Valuation Adjustment
by Jakub Cerny & Jiri Witzany

2014 Has the Relationship Between Market and Model CDS Price Changed during the EMU Debt Crisis?
by Petra Buzková

2014 Is Barrier version of Merton model more realistic? Evidence from Europe
by Petra Andrlíková

2014 Trading Participation Rights to the “Red Hat Puzzle”. An Experiment
by Lawrence C. Y. Choo

2014 Advice in the Marketplace: A Laboratory Study
by Jonathan E. Alevy & Michael K. Price

2014 Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk
by Daniel Harenberg & Alexander Ludwig

2014 Social Security and the Interactions Between Aggregate and Idiosyncratic Risk
by Daniel Harenberg & Alexander Ludwig

2014 Impact of International Oil Price Shocks on Consumption Expenditures in ASEAN and East Asia
by Dayong ZHANG & David C. Broadstock

2014 Forensic Finance
by Verwijmeren, P.

2014 An Alternative View of the US Price-Dividend Ratio Dynamics
by Londoño Yarce, Juan Miguel & Regúlez Castillo, Marta & Vázquez Pérez, Jesús

2014 The time value of housing: historical evidence from London residential leases
by Philippe Bracke & Ted Pinchbeck & James Wyatt

2014 Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
by Sebastien Lleo & Bill Ziemba

2014 Information asymmetries, volatility, liquidity, and the Tobin Tax
by Albina Danilova & Christian Julliard

2014 Asset pricing with index investing
by Georgy Chabakauri & Oleg Rytchkov

2014 Multi-asset noisy rational expectations equilibrium with contingent claims
by Georgy Chabakauri & Kathy Yuan & Konstantinos Zachariadis

2014 Exchange rates, expected returns and risk: UIP unbound
by Anella Munro

2014 The Impact of Oil Price Shocks on U.S. Bond Market Returns
by Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon

2014 Measuring the stance of monetary policy in conventional and unconventional environments
by Leo Krippner

2014 The Boy Who Cried Bubble: Public Warnings against Riding Bubbles
by Yasushi Asako & Kozo Ueda

2014 The Economics of BitCoin Price Formation
by Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs

2014 Benchmarks in Search Markets
by Duffie, Darrell & Dworczak, Piotr & Zhu, Haoxiang

2014 Evaluating Firm-Level Expected-Return Proxies
by Lee, Charles M. C. & So, Eric C. & Wang, Charles C. Y.

2014 Robust Benchmark Design
by Duffie, Darrell & Dworczak, Piotr

2014 Bank Earnings and Regulatory Capital Management Using Available for Sale Securities
by Barth, Mary E. & Gomez-Biscarri, Javier & Kasznik, Ron & Lopez-Espinosa, German

2014 The Elephant in the Room: The Impact of Labor Obligations on Credit Risk
by Favilukis, Jack & Lin, Xiaoji & Zhao, Xiaofei

2014 Private Equity Performance: A Survey
by Kaplan, Steven N. & Sensoy, Berk A.

2014 External Equity Financing Shocks, Financial Flows, and Asset Prices
by Belo, Frederico & Lin, Xiaoji & Yang, Fan

2014 New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models
by Bakshi, Gurdip & Chabi-Yo, Fousseni

2014 Sovereign Debt Maturity and Debt-to GDP Dynamics in Six Euro Area Countries
by Juan Equiza Goni

2014 Who Are the Value and Growth Investors?
by Calvet , Laurent & Betermier , Sebastien

2014 Unique Durable Assets
by Lovo , Stefano & Spaenjers , Christophe

2014 False News, Informational Efficiency, and Price Reversals
by FOUCAULT, Thierry & DUGAST, Jérôme

2014 Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective
by Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo

2014 Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective
by Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo

2014 Financial integration, financial turmoil and risk premia in emerging markets
by Salem Boubakri & Cécile Couharde & Hélène Raymond

2014 On the impact of macroeconomic news surprises on Treasury-bond yields
by Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout

2014 It hurts (stock prices) when your team is about to lose a soccer match
by Michael Ehrmann & David-Jan Jansen

2014 Short-Term Price Overreaction: Identification, Testing, Exploitation
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun

2014 The Weekend Effect: A Trading Robot and Fractional Integration Analysis
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko

2014 Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko

2014 Are There Bubbles in Stock Prices?: Testing for Fundamental Shocks
by Anton Velinov & Wenjuan Chen

2014 Discounting the Distant Future
by J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello

2014 On the compensation for illiquidity in sovereign credit markets
by Serrano, Pedro & Lafuente, Juan Ángel & Groba, Jonatan

2014 The Evolving Beta-Liquidity Relationship of Hedge Funds
by Denitsa Stefanova & Arjen Siegmann

2014 Recall Searching with and without Recall
by Tibor Neugebauer & Daniela Di Cagno & Carlos Rodriguez-Palmero, & Abdolkarim Sadrieh

2014 Skewness Term Structure Tests
by Thorsten Lehnert & Yuehao Lin

2014 Is there a Bubble in the Art Market?
by Roman Kräussl & Thorsten Lehnert & Nicolas Martelin

2014 Evaluating Option Pricing Model Performance Using Model Uncertainty
by Thorsten Lehnert & Gildas Blanchard & Dennis Bams

2014 Skewness Risk Premium: Theory and Empirical Evidence
by Christian Wolff & Thorsten Lehnert & Yuehao Lin

2014 Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices
by Roman Kräussl & Narasimhan Jegadeesh & Joshua M. Pollet

2014 Mutual Funds’ Returns from Providing Liquidity and Costs of Immediacy
by Kalle Rinne & Matti Suominen

2014 Weakening the Gain-Loss-Ratio measure to make it stronger
by Jan Voelzke

2014 Stock Price Booms and Expected Capital Gains
by Adam, Klaus & Beutel, Johannes & Marcet, Albert

2014 Very Long-Run Discount Rates
by Giglio, Stefano W & Maggiori, Matteo & Ströbel, Johannes

2014 Man or machine? Rational trading without information about fundamentals
by Rossi, Stefano & Tinn, Katrin

2014 Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience
by Campbell, John Y & Ramadorai, Tarun & Ranish, Benjamin

2014 Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
by Delatte, Anne-Laure & Fouquau, Julien & Portes, Richard

2014 Asset Prices in a Lifecycle Economy
by Farmer, Roger E A

2014 Lehman Brothers: What Did Markets Know?
by Gehrig, Thomas & Haas, Marlene

2014 Liquidity Risk and the Dynamics of Arbitrage Capital
by Kondor, Péter & Vayanos, Dimitri

2014 Out-of-Sample Evidence on the Returns to Currency Trading
by Accominotti, Olivier & Chambers, David

2014 Learning from Experience in the Stock Market
by Nakov, Anton & Nuño, Galo

2014 The Price of Political Uncertainty: Theory and Evidence from the Option Market
by Kelly, Bryan & Pástor, Luboš & Veronesi, Pietro

2014 The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market
by Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel

2014 Option-Based Credit Spreads
by Culp, Christopher L. & Nozawa, Yoshio & Veronesi, Pietro

2014 Are Retail Traders Compensated for Providing Liquidity?
by Barrot, Jean-Noël & Kaniel, Ron & Sraer, David

2014 The Power of the Street: Evidence from Egypt's Arab Spring
by Acemoglu, Daron & Hassan, Tarek & Tahoun, Ahmed

2014 Dealer Networks
by Li, Dan & Schürhoff, Norman

2014 Momentum Trading, Return Chasing, and Predictable Crashes
by Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi

2014 Switching Risk Off: FX Correlations and Risk Premia
by Beber, Alessandro & Brandt, Michael & Cen, Jason

2014 Asset Management Contracts and Equilibrium Prices
by Buffa, Andrea & Vayanos, Dimitri & Woolley, Paul

2014 The Impact of Hedge Funds on Asset Markets
by Kruttli, Mathias & Patton, Andrew J & Ramadorai, Tarun

2014 Collateralisation bubbles when investors disagree about risk
by Broer, Tobias & Kero, Afroditi

2014 Bond Return Predictability: Economic Value and Links to the Macroeconomy
by Gargano, Antonio & Pettenuzzo, Davide & Timmermann, Allan G

2014 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
by Galí, Jordi & Gambetti, Luca

2014 Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World
by Edmans, Alex & Li, Lucius & Zhang, Chendi

2014 Shortfall Aversion
by Guasoni, Paolo & Huberman, Gur & Ren, Dan

2014 Forward and Spot Exchange Rates in a Multi-currency World
by Hassan, Tarek & Mano, Rui C.

2014 The social discount rate under a stochastic A2 scenario
by Rob Aalbers & Marjon Ruijter & Kees Oosterlee (CWI)

2014 Mathematical Analysis of Average Rates of Return and Investment Decisions: The Missing Link
by Carlo Alberto Magni

2014 Aggregate Return on Investment for Investments under Uncertainty
by Carlo Alberto Magni

2014 Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano
by Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez

2014 A Composite Indicator of Systemic Stress (CISS) for Colombia
by Wilmar Cabrera & Jorge Hurtado & Miguel Morales & Juan Sebastián Rojas

2014 Burbujas en precios de activos financieros: existencia, persistencia y migración
by Juan Pablo Franco & José E. Gómez González & Jair N. Ojeda & Jhon Edward Torres

2014 Bitcoin: something seems to be ‘fundamentally’ wrong
by José E. Gómez-González & Julián A. Parra-Polania

2014 Risk Aversion, Financial Stress and Their Non-Linear Impact on Exchange Rates
by Tomas Adam & Sona Benecka & Jakub Mateju

2014 The Yield Curve as a Determinant of Investment in Durable Capital
by Garret Kent Fellows

2014 The Economics of Bitcoins - Market Characteristics and Price Jumps
by Marc Gronwald

2014 Short-Term Price Overreactions: Identification, Testing, Exploitation
by Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun

2014 The Weekend Effect: A Trading Robot and Fractional Integration Analysis
by Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko

2014 Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
by Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko

2014 ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds
by Christoph Trebesch & Jeromin Zettelmeyer

2014 Dynamics of Consumption and Dividends over the Business Cycle
by Myroslav Pidkuyko

2014 Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices
by Max Gillman & Michal Kejak & Michal Pakos

2014 The Time Value of Housing: Historical Evidence from London Residential Leases
by Philippe Bracke & Ted Pinchbeck & James Wyatt

2014 A short note on expected risk adjusted elasticity and consumer theory
by José P. Dapena

2014 The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility
by Yang, Yan & Copeland, Laurence

2014 Over-the-Counter Trade and the Value of Assets as Collateral
by Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa

2014 Reputational Concerns and Price Comovements
by Maryam Sami & Sandro Brusco

2014 Technology Shocks and Asset Pricing: The Role of Consumer Confidence
by Vincenzo Merella & Stephen E. Satchell

2014 A class of multivariate marked Poisson processes to model asset returns
by Petar Jevtic & Patrizia Semeraro

2014 Volatility Spillovers from Australia's major trading partners across the GFC
by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh

2014 Asymmetric Realized Volatility Risk
by David E. Allen & Michael McAleer & Marcel Scharth

2014 A Transitions-Based Model of Default for Irish Mortgages
by Kelly, Robert & O'Malley, Terence

2014 ECB Monetary Operations and the Interbank Repo Market
by Dunne, Peter G. & Fleming, Michael J. & Zholos, Andrey

2014 Corporate Financing Choices after the 2007-2008 Financial Crisis
by João Pinto & Mário Coutinho dos Santos

2014 Multivariate Variance Ratio Statistics
by Seok Young Hong & Oliver Linton & Hui Jun Zhang

2014 Circuit Breakers on the London Stock Exchange: Do they improve subsequent market quality?
by James Brugler & Oliver Linton

2014 Can Irrational Investors Survive in the Long Run?: The Role of Generational Type Transmission
by Scott S. Condie & Kerk L. Phillips

2014 A Compound Multifractal Model for High-Frequency Asset Returns
by Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin

2014 Asset Prices and Asymmetric Reasoning
by Elena Asparouhova & Peter Bossaerts & Jon Eguia & William Zame

2014 Optimal Portfolio Choice under Decision-Based Model Combinations
by Davide Pettenuzzo & Francesco Ravazzolo

2014 Bond Return Predictability: Economic Value and Links to the Macroeconomy
by Davide Pettenuzzo & Antonio Gargano & Allan Timmermann

2014 Bond Return Predictability: Economic Value and Links to the Macroeconomy
by Davide Pettenuzzo & Antonio Gargano & Allan Timmermann

2014 Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks
by Daniel L. Tortorice

2014 Risk, Returns, and Multinational Production
by Jose L. Fillat & Stefania Garetto

2014 Diversification, Cost Structure, and the Risk Premium of Multinational Corporations
by Jose L. Fillat & STEFANIA GARETTO & Lindsay Oldenski

2014 Bond Markets, Stock Markets and Exchange Rates: A Dynamic Relationship
by Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner

2014 Fiscal Policy Announcements of Italian Governments and Spread Reaction during the Sovereign Debt Crisis
by M. Falagiarda & W. D. Gregori

2014 Central Bank Communication and the Management of Market Confidence: Two Episodes in 2013 in the U.S. and Japan
by Koichiro Kamada

2014 Evaluating the robustness of UK term structure decompositions using linear regression methods
by Malik, Sheheryar & Meldrum, Andrew

2014 Expectations, risk premia and information spanning in dynamic term structure model estimation
by Guimarães, Rodrigo

2014 Monetary Policy, Bond Risk Premia, and the Economy
by Peter N. Ireland

2014 Optimal portfolio choice under decision-based model combinations
by Davide Pettenuzzo & Francesco Ravazzolo

2014 Stock Market Volatility and Learning
by Klaus Adam & Albert Marcet & Juan Pablo Nicolini

2014 The Term Structure of the Welfare Cost of Uncertainty
by P. Lopez

2014 Fixed-Income Pricing in a Non-Linear Interest-Rate Model
by J-P. Renne

2014 False News, Informational Efficiency, and Price Reversals
by J. Dugast & T. Foucault

2014 Specification Analysis of International Treasury Yield Curve Factors
by Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L.

2014 International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment
by Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L.

2014 Le marché de la titrisation en Europe : caractéristiques et perspectives
by Kern E.

2014 On a new class of barrier options
by Hernández del Valle Gerardo

2014 Interventions and Expected Exchange Rates in Emerging Market Economies
by Santiago García-Verdú & Manuel Ramos Francia

2014 Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis
by Juan R. Hernández

2014 How much of bank credit risk is sovereign risk? Evidence from the eurozone
by Junye Li & Gabriele Zinna

2014 The interest-rate sensitivity of the demand for sovereign debt. Evidence from OECD countries (1995-2011)
by Giuseppe Grande & Sergio Masciantonio & Andrea Tiseno

2014 Price pressures in the UK index-linked market: an empirical investigation
by Gabriele Zinna

2014 On bank credit risk: systemic or bank-specific? Evidence from the US and UK
by Junye Li & Gabriele Zinna

2014 Flight-to-liquidity flows in the euro area sovereign debt crisis
by Juan Ángel García & Ricardo Gimeno

2014 Short-sale constraints and financial stability: Evidence from the Spanish market
by Óscar Arce & Sergio Mayordomo

2014 High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
by George J. Jiang & Ingrid Lo & Giorgio Valente

2014 Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
by Sermin Gungor & Richard Luger

2014 Corporate Governance, Product Market Competition and Debt Financing
by Teodora Paligorova & Jun Yang

2014 What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
by Ron Alquist & Gregory Bauer & Antonio Diez de los Rios

2014 It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
by Michael Ehrmann & David-Jan Jansen

2014 Bond Risk Premia and Gaussian Term Structure Models
by Bruno Feunou & Jean-Sébastien Fontaine

2014 Monetary policy in the North, effects in the South
by Gonzalo De Cadenas Santiago & Alicia Garcia-Herrero & Alvaro Ortiz Vidal-Abarca

2014 Securitization and Asset Prices
by Yunus Aksoy & Henrique S. Basso

2014 Informational and Allocative Efficiency in Financial Markets with Costly Information
by Arina Nikandrova

2014 Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure
by Soloschenko, Max & Weber, Enzo

2014 Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas
by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis

2014 Stock Price Booms and Expected Capital Gains
by Klaus Adam & Johannes Beutel & Albert Marcet

2014 Sovereign spreads and financial market behavior before and during the crisis
by Pawel Gajewski & & &

2014 Trading volume and market efficiency: an Agent Based Model with heterogenous knowledge about fundamentals
by Vivien Lespagnol & Juliette Rouchier

2014 The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds
by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern

2014 Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels
by Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs

2014 Option Valuation with Observable Volatility and Jump Dynamics
by Peter Christoffersen & Bruno Feunou & Yoontae Jeon

2014 Oil Volatility Risk and Expected Stock Returns
by Peter Christoffersen & Xuhui (Nick) Pan

2014 Equity Portfolio Management Using Option Price Information
by Peter Christoffersen & Xuhui (Nick) Pan

2014 The Risk Premia Embedded in Index Options
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

2014 Cross listing: price discovery dynamics and exchange rate effects
by Cristina M. Scherrer

2014 Tail Risk Premia and Return Predictability
by Tim Bollerslev & Viktor Todorov & Lai Xu

2014 Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns
by Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov

2014 Dynamic term structure models: The best way to enforce the zero lower bound
by Martin M. Andreasen & Andrew Meldrum

2014 Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors
by Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva

2014 Fama on bubbles
by Tom Engsted

2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou

2014 Factor Estimation: Filtering and Black-Litterman
by Mark H. A. Davis & Sébastien Lleo

2014 Numerical Methods
by Mark H. A. Davis & Sébastien Lleo

2014 Case Studies
by Mark H. A. Davis & Sébastien Lleo

2014 Factor and Securities Models
by Mark H. A. Davis & Sébastien Lleo

2014 Asset and Liability Management: Jump-Diffusion Case
by Mark H. A. Davis & Sébastien Lleo

2014 Managing Against a Benchmark: Jump-Diffusion Case
by Mark H. A. Davis & Sébastien Lleo

2014 Fund Separation and Fractional Kelly Strategies
by Mark H. A. Davis & Sébastien Lleo

2014 General Jump-Diffusion Setting
by Mark H. A. Davis & Sébastien Lleo

2014 Jumps in Asset Prices
by Mark H. A. Davis & Sébastien Lleo

2014 Infinite Horizon Problems
by Mark H. A. Davis & Sébastien Lleo

2014 Investment Constraints
by Mark H. A. Davis & Sébastien Lleo

2014 Asset and Liability Management
by Mark H. A. Davis & Sébastien Lleo

2014 Managing Against a Benchmark
by Mark H. A. Davis & Sébastien Lleo

2014 Risk-Sensitive Asset Management
by Mark H. A. Davis & Sébastien Lleo

2014 The Merton Problem
by Mark H. A. Davis & Sébastien Lleo

2014 Incorporación de ratios financieros en los modelos de estimación de retorno para activos de renta variable. Desempeño de la estrategia de value investing en las bolsas de valores de Lima, Santiago, Bogotá y Sao Paulo en el período 2005-2012.El impacto de los derechos de autor sobre la innovación en la industria musical peruana
by Jorge Beltrán & Ian Kishimoto

2014 Risk-Sensitive Investment Management
by Mark H A Davis & Sébastien Lleo

2014 Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques
by Raymond Hon Fu Chan & Spike Tsz Ho Lee & Wing-Keung Wong

2014 Economía aplicada: Ensayos de investigación económica 2013
by

2014 Le système financier indien à l'épreuve de la crise
by Ano Sujithan, Kuhanathan

2014 Speculative Bubbles And Financial Crises
by FETINIUC, Valentina & IVAN, Luchian & GHERBOVEŢ, Sergiu

2014 Thinly traded securities and risk management
by Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar

2014 The Role Of Capital Regulation And Risk-Taking By Banks In Monetary Policy
by Malgorzata Olszak

2014 The Evaluation of Company's Intangible Assets' influence for Business Value
by Živilė Savickaitė

2014 International financial transmission of the Fed's monetary policy
by Nikola Mirkov

2014 Effect Of Inlation On Nominal And Real Stock Returns: A Behavioral View
by Andrey KUDRYAVTSEV & Eyal LEVAV & Shosh SHAHRABANI

2014 The interpretative ability of coefficient R2 to calculate the firm value
by Chara Theodoraki

2014 The Time-Varying Risk And Return Trade-Off In Indian Stock Markets
by ROSHNI MOHANTY & SRINIVASAN P

2014 The Effect of the Introduction of a »Pay Per Use« Option within motor TPL insurance
by Stefan Trappl & Karl Zehetner & Robert Pichler

2014 What News Drive Variation in Swiss and US Bond and Stock Excess Returns?
by Thomas Nitschka

2014 Relative Performance Incentives and Price Bubbles in Experimental Asset Markets
by Stephen L. Cheung & Andrew Coleman

2014 What remains of the theory of demand management in a globalising world?
by Amit Bhaduri

2014 Are ethical investments good?
by Gariet WS Chow & Robert B Durand & SzeKee Koh

2014 Explaining the bid-ask spread in the foreign exchange market: A test of alternate models
by Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray

2014 Predictability of time-varying jump premiums: Evidence based on calibration
by Kent Wang & Yuqiang Guo

2014 On timing ability in Australian managed funds
by Francis In & Sangbae Kim & Philip I Ji

2014 Estimation Of Risk Neutral Measure For Polish Stock Market
by Pawe³ Kliber

2014 The Low Price Effect On The Polish Market
by Adam Zaremba & Rados³aw ¯mudziñski

2014 Mini-bonds as debt instruments for small and medium-sized enterprises: regulation, market analysis and issuance strategies
by Francesco Baldi & Gerardo Murano

2014 Facts and Fantasies about Gold
by Joachim Klement

2014 Institutional Investor Sentiment and Market Returns: Evidence from the Taiwan Futures Market
by Ralph Yang-Cheng Lu & Hsiu-Chuan Lee & Peter Chiu

2014 Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models
by Melike Bildirici & Özgür Ömer Ersin

2014 Time-Varying Behaviour of Sector Beta Risk – The Case of Poland
by Kurach, Radosław & Stelmach, Jerzy

2014 Fundamental Analysis And Discounted Free Cash Flow Valuation Of Stocks At Macedonian Stock Exchange
by Ivanovski, Zoran & Ivanovska, Nadica & Narasanov, Zoran

2014 Credit Spreads during the Global Financial Crisis: Evidence from the Japanese Bond Market
by Yüksel, Aydın & Yüksel, Aslı

2014 Gold Price, Stock Price and Exchange rate Nexus: The Case of India
by Srinivasan P.

2014 Is Solow’s Paradox Absent in World Leading Capital Markets? Econometric Evidence
by Bilal Mehmood & Anam Shafique & Rabia Rafaqat

2014 Brand Capital and Firm Value
by Frederico Belo & Xiaoji Lin & Maria Ana Vitorino

2014 Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios
by Doriana Ruffino

2014 Preferences for Risk in Dynamic Models with Adjustment Costs
by Galina Vereshchagina

2014 How Does a Pay-as-you-go System Affect Asset Returns and the Equity Premium?
by Conny Olovsson

2014 Asset Class Liquidity Risk
by Ronnie Sadka

2014 Advantages And Limitations Of The Financial Ratios Used In The Financial Diagnosis Of The Enterprise
by Mihaela GADOIU

2014 Analysis Of The Indicators Specific To Entities Listed On The Capital Market And Their Role In Quantifying Company Performance
by Maria Daniela BONDOC & Mihaela Iuliana DUMITRU

2014 Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands
by Anna Staszewska-Bystrova & Peter Winker

2014 An Examination of Adverse Selection Risk in Indian IPO After-Markets using High Frequency Data
by Arnab Bhattacharya & Binay Bhushan Chakrabarti

2014 Which Agency and Which Period is The Best? Analyzing National and International Fiscal Forecasts in Italy
by Laura Carabotta

2014 Problems and obstacles in credit risk management in indian public sector banks
by Renu Arora & Archana Singh

2014 The Role Of Capital Regulation And Risk-Taking By Banks In Monetary Policy
by Malgorzata Olszak

2014 A new approach to private firm fair value valuation in line with IFRS 13 – the concept of the most advantageous market discount (MAMD)
by Pawel Mielcarz

2014 The Momentum Effect In The Chilean Stock Market
by ESPINOZA, NICOLÁS & ESPINOZA, TOMÁS

2014 Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees
by Ciumas Cristina & Chis Diana-Maria

2014 Aspects Concerning The Determination Of Bankruptcy Risk By Solvency And Liquidity Ratios In The Companies Listed On The Bucharest Stock Exchange
by Teodor Hada & Teodora Maria Avram

2014 Improving the monitoring of the value of implicit guarantees for bank debt
by Sebastian Schich & Michiel Bijlsma & Remco Mocking

2014 Measurement and analysis of implicit guarantees for bank debt: OECD survey results
by Sebastian Schich & Yesim Aydin

2014 The Recent Records on the US Stock Market – High Intrinsic Value or Just Another Bubble?
by Dimiter Nenkov

2014 Seasonal Effect for Explaining Price Momentum Failure in the Japanese Stock Market
by Evgeniya Mikova & Tamara Teplova

2014 Real Options and Merchant Operations of Energy and Other Commodities
by Secomandi, Nicola & Seppi, Duane J.

2014 The Empirical Analysis of Liquidity
by Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam

2014 Mercado de ações brasileiro: uma investigação empírica sobre suas relações de longo prazo e de precedência temporal précrise de 2008 [Brazilian stock market: An empirical investigation of its long-term relationships and 2008 pre-crisis temporal precedence]
by Roseli da Silva & Mario Augusto Bertella & Renan de Almeida Magner Pereira

2014 Valuation Issues Related To The Mutual Funds Assets
by RUDI GEORGIEV

2014 Is illiquidity risk priced? The case of the Polish medium-size emerging stock market
by Joanna Olbryœ

2014 Stock Market Consequences of the Suspension of the Central Bank of Nigeria’s Governor
by Ibrahim Mohammed & Chioma Nwafor

2014 The Impact of Textual Sentiment on Sovereign Bond Yield Spreads: Evidence from the Eurozone Crisis
by Sha Liu

2014 Valor bursátil de los bancos europeos: Determinantes económico-financieros y de gobierno corporativo/Stock Market Value of European Banking: Economic, Financial and Corporate Governance Determinants
by MUÑOZ JIMÉNEZ, IVÁN & RODRÍGUEZ FERNÁNDEZ, JOSÉ MIGUEL

2014 ¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish Stock Market?
by GRAU-GRAU, ALFREDO JUAN

2014 Mutual fund flows: Where does the money go?
by Harlan Platt, Licheng Cai & Licheng Cai & Marjorie Platt

2014 Yield Curve Forecasts and the Predictive Power of Macro Variables in a VAR Framework
by Luciano Vereda & Hélio Lopes & Jessica Kubrusly & Adrian Pizzinga & Taofik Mohammed Ibrahim

2014 A Fed szigorodó monetáris politikájának hatása az eszközárakra a feltörekvő piacokon
by Szabó, Zsolt

2014 Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs
by Nusret Cakici & Isil Erol & Dogan Tirtiroglu

2014 Über die Natur und das Wesen des Geldes – J. H. von Thünens unveröffentlichtes Manuskript zur Geldtheorie
by Ludwig Nellinger

2014 Size and liquidity effects in Nigeria: an industrial sector study
by Bruce Hearn

2014 Does Human Psychology Drive Financial Markets? Evidence from International Markets
by Abderrazak Dhaoui & Naceur Khraief

2014 Real Term Structure and Inflation Compensation in the Euro Area
by Marcello Pericoli

2014 Identification and Evaluation of Factors of Dividend Policy
by Sead Omerhodzic

2014 Size Effect Study In The Major Stock Market Of America, Estudio Del Efecto Tamano En Los Principales Mercados Bursatiles De Latinoamerica
by Juan Benjamin Duarte Duarte & Zulay Yesenia Ramirez Leon & Katherine Julieth Sierra Suarez

2014 Price and Volume Reactions to Cash Dividend Announcements: Evidence from Taiwan
by Jack J.W. Yang & Tsung-Shin Wu

2014 The Effect of Regulation Fair Disclosure on Market Integration
by Surya Chelikani & Frank P. D'Souza

2014 Evidence on Industry Cost of Equity Estimators
by Omar Gharaibeh & Graham Bornholt & Michael Dempsey

2014 Tests of Equity Market Anomalies for Select Emerging Markets
by Sanjay Sehgal & Srividya Subramaniam & Florent Deisting

2014 New Evidence from S&P 500 Index Deletions
by Rashiqa Kamal

2014 Australian Coal Company Risk Factors: Coal and Oil Prices
by M. Zahid Hasan & Ronald A. Ratti

2014 Valuation of Intangible Assets the Main Pawn for New Challenges Related to the Knowledge Era
by Paula – Angela VIDRASCU

2014 The Effects of Stock Dividend on Stock Return in Tehran Stock Exchange
by Ebrahim Abbasi & Behrooz Ebrahimzadeh & Amir Mohammadzadeh

2014 Does Investor Sentiment Matter in Post-Communist East European Stock Markets?
by Dragos Stefan Oprea

2014 Does Stock Liquidity Explain the Premium for Stock Price Momentum?
by Jiri NOVAK

2014 Finansal Kriz Sonrası GIIPS Hazine Bonosu Risk Primi (Spreads) Genişlemesinin Belirleyicileri
by Baki Demirel

2014 Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
by Márcio Poletti Laurini & Armênio Westin Neto

2014 Stock Market Efficiency and Size of the Firm: Empirical Evidence from Pakistan
by Ikram ul Haq & Kashif Rashid

2014 Turk Sermaye Piyasasinda Fiyat ve Islem Hacmi Iliskisi: Zamanla Degisen Asimetrik Nedensellik Analizi
by Veli YILANCI & Seref BOZOKLU

2014 Modelo multifactorial para pronosticar el rendimiento de las acciones en el mercado mexicano de valores
by José de Jesús Edmundo Almazán Barquet & Humberto Valencia Herrera

2014 The Application Of The Capital Asset Pricing Model On The Croatian Capital Market
by Bojan Tomic

2014 Asymmetric Information in Asset Markets
by George Richards & Denis Green

2014 The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach
by Oueslati, Abdelmonem & Hammami, Yacine & Jilani, Faouzi

2014 Determinants of US financial fragility conditions
by Bagliano, Fabio C. & Morana, Claudio

2014 Pricing of the currency risk in the Canadian equity market
by Al-Shboul, Mohammad & Anwar, Sajid

2014 Socially responsible investing and stock performance: New empirical evidence for the US and European stock markets
by Mollet, Janick Christian & Ziegler, Andreas

2014 IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors
by Aissia, Dorsaf Ben

2014 The predictability of aggregate returns on commodity futures
by Lutzenberger, Fabian T.

2014 Liquidity and capital under uncertainty and changing market sentiment: A simple analysis
by Bossone, Biagio

2014 Does sovereign risk matter? New evidence from eurozone corporate bond ratings and zero-volatility spreads
by Klein, Christian & Stellner, Christoph

2014 Foreign exchange rate exposure: Evidence from Canada
by Al-Shboul, Mohammad & Anwar, Sajid

2014 The spirit of capitalism among the income classes
by Smoluk, H.J. & Voyer, John

2014 Firm age, idiosyncratic risk, and long-run SEO underperformance
by Huang, Chia-Wei & Ho, Po-Hsin & Lin, Chih-Yung & Yen, Ju-Fang

2014 Multi-period sentiment asset pricing model with information
by Li, Jinfang

2014 Determining what drives stock returns: Proper inference is crucial: Evidence from the UK
by Ma, Jun & Wohar, Mark E.

2014 Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets?
by Hueng, C. James

2014 A dark side of international capital market integration: Domestic investors' view
by Kim, In Joon & Kim, So Jung & Yoon, Sun-Joong

2014 Non-parametric analysis of equity arbitrage
by Vortelinos, Dimitrios I.

2014 Herding of institutional investors and margin traders on extreme market movements
by Lin, Anchor Y. & Lin, Yueh-Neng

2014 Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market
by Abad, Pilar & Robles, M. Dolores

2014 The effect of corporate governance on stock liquidity: The case of Thailand
by Prommin, Panu & Jumreornvong, Seksak & Jiraporn, Pornsit

2014 Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis
by Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio

2014 Evidence of contagion in global REITs investment
by Chang, Guang-Di & Chen, Chia-Shih

2014 Oil shocks, stock market prices, and the U.S. dividend yield decomposition
by Chortareas, Georgios & Noikokyris, Emmanouil

2014 Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market
by Faff, Robert & Gharghori, Philip & Nguyen, Annette

2014 Stock returns with consumption and illiquidity risks
by Márquez, Elena & Nieto, Belén & Rubio, Gonzalo

2014 The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime
by Reher, Gerrit & Wilfling, Bernd

2014 A time-varying perspective on the CAPM and downside betas
by Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan

2014 Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation
by Fletcher, Jonathan

2014 The effects of monetary policy on stock returns: Financing constraints and “informative” and “uninformative” FOMC statements
by Tsai, Chun-Li

2014 How does retail sentiment affect IPO returns? Evidence from the internet bubble period
by Chan, Yue-Cheong

2014 Country credit risk determinants with model uncertainty
by Maltritz, Dominik & Molchanov, Alexander

2014 Do investments in intangible customer assets affect firm value?
by Golec, Joseph & Gupta, Neeraj J.

2014 Multifactor risk loadings and abnormal returns under uncertainty and learning
by Salotti, Simone & Trecroci, Carmine

2014 Asset pricing for inefficient markets: Evidence from China and India
by Majumder, Debasish

2014 Rules and risk in the Euro area
by Iara, Anna & Wolff, Guntram B.

2014 How profitable is the Indian stock market?
by Narayan, Paresh Kumar & Ahmed, Huson Ali & Sharma, Susan Sunila & K.P., Prabheesh

2014 Investor attention, information diffusion and industry returns
by Wu, Qiongbing & Shamsuddin, Abul

2014 Momentum returns and information uncertainty: Evidence from China
by Cheema, Muhammad A. & Nartea, Gilbert V.

2014 The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange
by Lowe, Alpha

2014 Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs
by Lee, Hsiu-Chuan & Tseng, Yung-Ching & Yang, Chung-Jen

2014 Liquidity discount in the opaque market: The evidence from Taiwan's Emerging Stock Market
by Yeh, Chung-Ying & Yeh, Shih-Kuo & Chen, Ren-Raw

2014 The central bank in market efficiency: The case of Taiwan
by Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern

2014 Stock returns, mutual fund flows and spillover shocks
by Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh

2014 The information content of analyst recommendation revisions — Evidence from the Chinese stock market
by Jiang, George J. & Lu, Liangliang & Zhu, Dongming

2014 Heads we win, tails you lose: Is there equity in Islamic equity funds?
by Kamil, Nazrol K.M. & Alhabshi, Syed O. & Bacha, Obiyathulla I. & Masih, Mansur

2014 Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach
by Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis

2014 Predicting future price volatility: Empirical evidence from an emerging limit order market
by Jain, Pawan & Jiang, Christine

2014 Momentum effect in Australian equities: Revisit, armed with short-selling ban and risk factors
by Li, Bob & Stork, Thomas & Chai, Daniel & Ee, Mong Shan & Ang, Hong Nee

2014 Google search intensity and its relationship with returns and trading volume of Japanese stocks
by Takeda, Fumiko & Wakao, Takumi

2014 Short-sales constraints and liquidity change: Cross-sectional evidence from the Hong Kong Market
by Bai, Min & Qin, Yafeng

2014 The profitability of candlestick charting in the Taiwan stock market
by Lu, Tsung-Hsun

2014 Information attributes, information asymmetry and industry sector returns
by Gordon, Narelle & Watts, Edward & Wu, Qiongbing

2014 Value investing and technical analysis in Taiwan stock market
by Ko, Kuan-Cheng & Lin, Shinn-Juh & Su, Hsiang-Ju & Chang, Hsing-Hua

2014 Country risk and the cost of equity in emerging markets
by Warnes, Ignacio & Warnes, Pablo E.

2014 What explains the initial return of initial public offerings after the 1997 Asian financial crisis? Evidence from Thailand
by Vithessonthi, Chaiporn

2014 Corporate diversification, real activities manipulation, and firm value
by Farooqi, Javeria & Harris, Oneil & Ngo, Thanh

2014 Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets
by Gil-Alana, Luis A. & Tripathy, Trilochan

2014 The relationship between spot and futures prices: An empirical analysis
by Gulley, Andrew & Tilton, John E.

2014 Housing market volatility in the OECD area: Evidence from VAR based return decompositions
by Engsted, Tom & Pedersen, Thomas Q.

2014 Fundamentally Wrong: Market Pricing of Sovereigns and the Greek Financial Crisis
by Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S.

2014 Are Japanese short sellers information detectives?
by Lee, Bong-Soo & Ko, Kwangsoo

2014 Cross-hedging strategies between CDS spreads and option volatility during crises
by Da Fonseca, José & Gottschalk, Katrin

2014 Market efficiency during the global financial crisis: Empirical evidence from European banks
by Choudhry, Taufiq & Jayasekera, Ranadeva

2014 Uncovered Equity Parity and rebalancing in international portfolios
by Curcuru, Stephanie E. & Thomas, Charles P. & Warnock, Francis E. & Wongswan, Jon

2014 The political determinants of sovereign bond yield spreads
by Eichler, Stefan

2014 Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis
by Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros

2014 Speculators, commodities and cross-market linkages
by Büyükşahin, Bahattin & Robe, Michel A.

2014 Bubbles in food commodity markets: Four decades of evidence
by Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip

2014 Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach
by Yin, Weiwei & Li, Junye

2014 Currency risk premia and uncovered interest parity in the International CAPM
by Balvers, Ronald J. & Klein, Alina F.

2014 Sovereign risk premia: The link between fiscal rules and stability culture
by Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander

2014 The long of it: Odds that investor sentiment spuriously predicts anomaly returns
by Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu

2014 Forecasting stock returns under economic constraints
by Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen

2014 Price pressures
by Hendershott, Terrence & Menkveld, Albert J.

2014 Dispersion in beliefs among active mutual funds and the cross-section of stock returns
by Jiang, Hao & Sun, Zheng

2014 Disagreement and asset prices
by Carlin, Bruce I. & Longstaff, Francis A. & Matoba, Kyle

2014 Conditional risk premia in currency markets and other asset classes
by Lettau, Martin & Maggiori, Matteo & Weber, Michael

2014 On the systematic volatility of unpriced earnings
by Johnson, Timothy C. & Lee, Jaehoon

2014 News-driven return reversals: Liquidity provision ahead of earnings announcements
by So, Eric C. & Wang, Sean

2014 Does PIN affect equity prices around the world?
by Lai, Sandy & Ng, Lilian & Zhang, Bohui

2014 The determinants of recovery rates in the US corporate bond market
by Jankowitsch, Rainer & Nagler, Florian & Subrahmanyam, Marti G.

2014 Death and jackpot: Why do individual investors hold overpriced stocks?
by Conrad, Jennifer & Kapadia, Nishad & Xing, Yuhang

2014 Monetary policy regimes: Implications for the yield curve and bond pricing
by Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico

2014 Crash-neutral currency carry trades
by Jurek, Jakub W.

2014 Mortgage convexity
by Hanson, Samuel G.

2014 Asset pricing: A tale of two days
by Savor, Pavel & Wilson, Mungo

2014 A dynamic limit order market with fast and slow traders
by Hoffmann, Peter

2014 The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
by Loon, Yee Cheng & Zhong, Zhaodong Ken

2014 Lévy jump risk: Evidence from options and returns
by Ornthanalai, Chayawat

2014 Money and liquidity in financial markets
by Nyborg, Kjell G. & Östberg, Per

2014 Does option trading convey stock price information?
by Hu, Jianfeng

2014 Trading in derivatives when the underlying is scarce
by Banerjee, Snehal & Graveline, Jeremy J.

2014 Countercyclical currency risk premia
by Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien

2014 Did CDS trading improve the market for corporate bonds?
by Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar

2014 Composition of wealth, conditioning information, and the cross-section of stock returns
by Roussanov, Nikolai

2014 The value of diffusing information
by Manela, Asaf

2014 Betting against beta
by Frazzini, Andrea & Pedersen, Lasse Heje

2014 A dynamic equilibrium model of imperfectly integrated financial markets
by Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane

2014 Aggregation of preferences for skewed asset returns
by Chabi-Yo, Fousseni & Leisen, Dietmar P.J. & Renault, Eric

2014 When can expected utility handle first-order risk aversion?
by Dionne, Georges & Li, Jingyuan

2014 A leverage-based model of speculative bubbles
by Barlevy, Gadi

2014 A two-parameter model of dispersion aversion
by Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John

2014 Agency-based asset pricing
by Gorton, Gary B. & He, Ping & Huang, Lixin

2014 Advance information and asset prices
by Albuquerque, Rui & Miao, Jianjun

2014 Competitive rational expectations equilibria without apology
by Kovalenkov, Alexander & Vives, Xavier

2014 Introduction to financial economics
by Allen, Franklin & Vayanos, Dimitri & Vives, Xavier

2014 Securitized banking and the Euro financial crisis: Evidence from the Italian banks risk-taking
by Battaglia, Francesca & Gallo, Angela & Mazzuca, Maria

2014 Sovereign bond yield spreads and market sentiment and expectations: Empirical evidence from Euro area countries
by Aristei, David & Martelli, Duccio

2014 Dynamic effects of financial stress on the U.S. real estate market performance
by Sum, Vichet

2014 Dynamic correlation structure and security risk
by Vozlyublennaia, Nadia & Meshcheryakov, Artem

2014 Judgmental overconfidence and trading activity
by Fellner-Röhling, Gerlinde & Krügel, Sebastian

2014 Asset-holdings caps and bubbles in experimental asset markets
by Lugovskyy, Volodymyr & Puzzello, Daniela & Tucker, Steven & Williams, Arlington

2014 Exuberance out of left field: Do sports results cause investors to take their eyes off the ball?
by Pantzalis, Christos & Park, Jung Chul

2014 Glamour brands and glamour stocks
by Billett, Matthew T. & Jiang, Zhan & Rego, Lopo L.

2014 Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500
by Chiarella, Carl & He, Xue-Zhong & Zwinkels, Remco C.J.

2014 The dynamics of hedge fund share restrictions
by Hong, Xin

2014 Institutions and the turn-of-the-year effect: Evidence from actual institutional trades
by Lynch, Andrew & Puckett, Andy & Yan, Xuemin (Sterling)

2014 Integrating corporate ownership and pension fund structures: A general equilibrium approach
by Ebrahim, M. Shahid & Mathur, Ike & ap Gwilym, Rhys

2014 A novel equity valuation and capital allocation model for use by long-term value-investors
by Rajaratnam, Myuran & Rajaratnam, Bala & Rajaratnam, Kanshukan

2014 Credit spread changes within switching regimes
by Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal

2014 Time-varying expected momentum profits
by Kim, Dongcheol & Roh, Tai-Yong & Min, Byoung-Kyu & Byun, Suk-Joon

2014 Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market
by Chang, Eric C. & Luo, Yan & Ren, Jinjuan

2014 Interest rate forecasts, state price densities and risk premium from Euribor options
by Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria

2014 Option implied volatilities and the cost of issuing equity
by Fodor, Andy & Gokkaya, Sinan

2014 The fast track IPO – Success factors for taking firms public with SPACs
by Cumming, Douglas & Haß, Lars Helge & Schweizer, Denis

2014 Private information flow and price discovery in the U.S. treasury market
by Jiang, George J. & Lo, Ingrid

2014 Diversification and systemic risk
by Raffestin, Louis

2014 Yes, the CAPM is testable
by Guermat, Cherif

2014 Loss severities on residential real estate debt during the Great Recession
by Andersson, Fredrik & Mayock, Tom

2014 Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
by Claeys, Peter & Vašíček, Bořek

2014 Liquidity provision and stock return predictability
by Hendershott, Terrence & Seasholes, Mark S.

2014 Liquidity, leverage, and Lehman: A structural analysis of financial institutions in crisis
by Chen, Ren-Raw & Chidambaran, N.K. & Imerman, Michael B. & Sopranzetti, Ben J.

2014 Liquidity effects in corporate bond spreads
by Helwege, Jean & Huang, Jing-Zhi & Wang, Yuan

2014 Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
by Chung, Shing Fung & Wong, Hoi Ying

2014 Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?
by Breloer, Bernhard & Scholz, Hendrik & Wilkens, Marco

2014 Quality of PIN estimates and the PIN-return relationship
by Yan, Yuxing & Zhang, Shaojun

2014 The economic consequences of regulatory changes in employee stock options on corporate bond holders: SFAS No.123R and structural credit model perspectives
by Chen, Tsung-Kang & Liao, Hsien-Hsing & Chi, Cheng-Ming

2014 Close form pricing formulas for Coupon Cancellable CoCos
by Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo

2014 Long-term U.S. infrastructure returns and portfolio selection
by Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F.

2014 Integration of European bond markets
by Christiansen, Charlotte

2014 Investor sentiment and return predictability of disagreement
by Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won

2014 Unveiling the embedded coherence in divergent performance rankings
by Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia

2014 The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market
by Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che

2014 Contrarian flows, consumption and expected stock returns
by Zhang, Yuzhao

2014 The MAX effect: European evidence
by Walkshäusl, Christian

2014 The determinants of CDS spreads
by Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri

2014 Competition, premature trading and excess volatility
by Deb, Pragyan & Koo, Bonsoo & Liu, Zijun

2014 An analysis of price discovery from panel data models of CDS and equity returns
by Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan

2014 Testing for a break in the persistence in yield spreads of EMU government bonds
by Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias

2014 The impact of CDS trading on the bond market: Evidence from Asia
by Shim, Ilhyock & Zhu, Haibin

2014 Corporate bond returns and the financial crisis
by Aboody, David & Hughes, John S. & Bugra Ozel, N.

2014 Are there common factors in individual commodity futures returns?
by Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George

2014 Default prediction with dynamic sectoral and macroeconomic frailties
by Chen, Peimin & Wu, Chunchi

2014 Modeling and predicting the CBOE market volatility index
by Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel

2014 Style chasing by hedge fund investors
by Horst, Jenke ter & Salganik, Galla

2014 An intertemporal capital asset pricing model with bank credit growth as a state variable
by Hammami, Yacine & Lindahl, Anna

2014 Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities
by Zhou, Yinggang

2014 SOX, corporate transparency, and the cost of debt
by Andrade, Sandro C. & Bernile, Gennaro & Hood, Frederick M.

2014 Market liquidity, private information, and the cost of capital: Market microstructure studies on family firms in Japan
by Ebihara, Takashi & Kubota, Keiichi & Takehara, Hitoshi & Yokota, Eri

2014 The dynamic contagion of the global financial crisis into Japanese markets
by Miyakoshi, Tatsuyoshi & Takahashi, Toyoharu & Shimada, Junji & Tsukuda, Yoshihiko

2014 Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets
by Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong

2014 Macro to micro: Country exposures, firm fundamentals and stock returns
by Li, Ningzhong & Richardson, Scott & Tuna, İrem

2014 Corporate bond prices and idiosyncratic risk: Evidence from Australia
by Fang, Victor & Hung, Chi-Hsiou D.

2014 Characteristic liquidity, systematic liquidity and expected returns
by Bradrania, M. Reza & Peat, Maurice

2014 Portfolio size, non-trading frequency and portfolio return autocorrelation
by Chelley-Steeley, Patricia L. & Steeley, James M.

2014 Oil price shocks and stock market returns: New evidence from the United States and China
by Broadstock, David C. & Filis, George

2014 Commonality in liquidity: An empirical examination of emerging order-driven equity and derivatives market
by Syamala, Sudhakar Reddy & Reddy, V. Nagi & Goyal, Abhinav

2014 Index revisions, systematic liquidity risk and the cost of equity capital
by Mazouz, Khelifa & Daya, Wael & Yin, Shuxing

2014 Default risk and equity prices in the U.S. banking sector: Regime switching effects of regulatory changes
by Kanas, Angelos

2014 Financial crises and the global value premium: Revisiting Fama and French
by Yamani, Ehab A. & Swanson, Peggy E.

2014 Sovereign and bank CDS spreads: Two sides of the same coin?
by Avino, Davide & Cotter, John

2014 African stock market returns and liquidity premia
by Assefa, Tibebe A. & Mollick, André Varella

2014 Capital gains and trading
by Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng

2014 A cross-country analysis of herd behavior in Europe
by Mobarek, Asma & Mollah, Sabur & Keasey, Kevin

2014 Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms
by Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve

2014 Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods
by Hung, Chi-Hsiou D. & Azad, A.S.M. Sohel & Fang, Victor

2014 Information content in CDS spreads for equity returns
by Wang, Peipei & Bhar, Ramaprasad

2014 What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem
by Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C.

2014 Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies
by Theodossiou, Alexandra K. & Theodossiou, Panayiotis

2014 New evidence on turn-of-the-month effects
by Sharma, Susan Sunila & Narayan, Paresh Kumar

2014 Rationalizing the value premium in emerging markets
by Ebrahim, M. Shahid & Girma, Sourafel & Shah, M. Eskandar & Williams, Jonathan

2014 Macro risk factors of credit default swap indices in a regime-switching framework
by Chan, Kam Fong & Marsden, Alastair

2014 Dependence structure between CEEC-3 and German government securities markets
by Yang, Lu & Hamori, Shigeyuki

2014 Bond futures, inflation-indexed bonds, and inflation risk premium
by Kanas, Angelos

2014 How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests
by Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh

2014 Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI
by Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark

2014 Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries
by Chau, Frankie & Deesomsak, Rataporn & Wang, Jun

2014 The microstructure of fear, the Fama–French factors and the global financial crisis of 2007 and 2008
by Lim, Dominic & Durand, Robert B. & Yang, Joey Wenling

2014 Global contagion of market sentiment during the US subprime crisis
by Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting

2014 Understanding the cross-section of the U.S. housing bubble: The roles of lending, transaction costs, and rent growth
by Goswami, Gautam & Tan, Sinan & Waisman, Maya

2014 The impact of the French Tobin tax
by Becchetti, L. & Ferrari, M. & Trenta, U.

2014 Has the global banking system become more fragile over time?
by Anginer, Deniz & Demirguc-Kunt, Asli

2014 High short interest effect and aggregate volatility risk
by Barinov, Alexander & Wu, Juan (Julie)

2014 Who trades with whom? Individuals, institutions, and returns
by Stoffman, Noah

2014 Macroeconomic uncertainty and the cross-section of option returns
by Aramonte, Sirio

2014 Predictions of corporate bond excess returns
by Lin, Hai & Wang, Junbo & Wu, Chunchi

2014 Trading anonymity and order anticipation
by Friederich, Sylvain & Payne, Richard

2014 Exploiting stochastic dominance to generate abnormal stock returns
by Clark, Ephraim & Kassimatis, Konstantinos

2014 Are trading imbalances indicative of private information?
by Kim, Sukwon Thomas & Stoll, Hans R.

2014 Risk-return trade-off and serial correlation: Do volume and volatility matter?
by Kinnunen, Jyri

2014 Industry-based style investing
by Jame, Russell & Tong, Qing

2014 Price impact and asset pricing
by Huh, Sahn-Wook

2014 Ambiguity aversion, funding liquidity, and liquidation dynamics
by Oh, Ji Yeol Jimmy

2014 Hedging costs, liquidity, and inventory management: The evidence from option market makers
by Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W.

2014 When do stop-loss rules stop losses?
by Kaminski, Kathryn M. & Lo, Andrew W.

2014 Investor sentiment and bond risk premia
by Laborda, Ricardo & Olmo, Jose

2014 The intertemporal risk-return relation: A bivariate model approach
by Jiang, Xiaoquan & Lee, Bong-Soo

2014 A simple approximation of intraday spreads using daily data
by Chung, Kee H. & Zhang, Hao

2014 Leveling the trading field
by Easley, David & Hendershott, Terrence & Ramadorai, Tarun

2014 Informational linkages between dark and lit trading venues
by Nimalendran, Mahendrarajah & Ray, Sugata

2014 Market transparency, market quality, and sunshine trading
by de Frutos, M. Ángeles & Manzano, Carolina

2014 Price delay premium and liquidity risk
by Lin, Ji-Chai & Singh, Ajai K. & Sun, Ping-Wen (Steven) & Yu, Wen

2014 Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
by Onan, Mustafa & Salih, Aslihan & Yasar, Burze

2014 European business cycles and stock return predictability
by Zhu, Yanjian & Zhu, Xiaoneng

2014 Optimal portfolio choice for investors with industry-specific labor income risks
by Tsai, Hui-Ju & Wu, Yangru

2014 Investing in gold: Individual asset risk in the long run
by Michis, Antonis A.

2014 Sell in May and Go Away: Evidence from China
by Guo, Biao & Luo, Xingguo & Zhang, Ziding

2014 Can analysts predict rallies better than crashes?
by Medovikov, Ivan

2014 The value premium, aggregate risk innovations, and average stock returns
by Lindaas, Knut F. & Simlai, Prodosh

2014 A new strategy using term-structure dynamics of commodity futures
by Kim, Soo-Hyun & Kang, Hyoung-Goo

2014 Long-term government bond yields and macroeconomic fundamentals: Evidence for Greece during the crisis-era
by Chionis, Dionysios & Pragidis, Ioannis & Schizas, Panagiotis

2014 The bond–stock mix under time-varying interest rates and predictable stock returns
by Leirvik, Thomas

2014 Unconventional monetary policies and the corporate bond market
by Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela

2014 Improved method for static replication under the CEV model
by Tsai, Wei-Che

2014 Computing present values: Capital budgeting done correctly
by Jarrow, Robert

2014 Are stock markets really so inefficient? The case of the “Halloween Indicator”
by Dichtl, Hubert & Drobetz, Wolfgang

2014 The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
by Spencer, Peter

2014 Optimal multi-period consumption and investment with short-sale constraints
by Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Pınar, Mustafa Ç

2014 GDP growth and the yield curvature
by Møller, Stig V.

2014 Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement
by McMillan, David G.

2014 Forecasting option smile dynamics
by Le, Van & Zurbruegg, Ralf

2014 Anomalies, risk adjustment and seasonality: Australian evidence
by Zhong, Angel & Limkriangkrai, Manapon & Gray, Philip

2014 Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data
by Urquhart, Andrew & McGroarty, Frank

2014 Corporate yield spreads and real interest rates
by Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C.

2014 What drives stochastic risk aversion?
by Cho, Sungjun

2014 Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index
by De Winne, Rudy & Gresse, Carole & Platten, Isabelle

2014 Speculate against speculative demand
by ap Gwilym, O. & Kita, A. & Wang, Q.

2014 Is the accrual anomaly robust to firm-level analysis?
by Strydom, Maria & Skully, Michael & Veeraraghavan, Madhu

2014 The cross-section of stock returns in an early stock market
by Ye, Qing & Turner, John D.

2014 Classifying returns as extreme: European stock and bond markets
by Christiansen, Charlotte

2014 Persistence of ex-ante volatility and the cross-section of stock returns
by Simlai, Prodosh

2014 Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective
by Smimou, K.

2014 Textual sentiment in finance: A survey of methods and models
by Kearney, Colm & Liu, Sha

2014 Revisiting fast profit investor sentiment and stock returns during Ramadan
by Al-Khazali, Osamah

2014 Option pricing under stochastic volatility and tempered stable Lévy jumps
by Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J.

2014 Trend following, risk parity and momentum in commodity futures
by Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen

2014 Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)
by Annaert, Jan & Mensah, Lord

2014 Energy futures prices and commodity index investment: New evidence from firm-level position data
by Sanders, Dwight R. & Irwin, Scott H.

2014 Crude oil: Commodity or financial asset?
by Kolodziej, Marek & Kaufmann, Robert K. & Kulatilaka, Nalin & Bicchetti, David & Maystre, Nicolas

2014 Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector
by Bianconi, Marcelo & Yoshino, Joe A.

2014 The impact of oil price shocks on U.S. bond market returns
by Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan

2014 Tail events: A new approach to understanding extreme energy commodity prices
by Koch, Nicolas

2014 What makes carbon traders cluster their orders?
by Palao, Fernando & Pardo, Ángel

2014 Oil price shocks and stock market returns: Evidence for some European countries
by Cunado, Juncal & Perez de Gracia, Fernando

2014 Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness
by Lin, Boqiang & Wesseh, Presley K. & Appiah, Michael Owusu

2014 Oil price risk exposure: The case of the U.S. Travel and Leisure Industry
by Mohanty, Sunil & Nandha, Mohan & Habis, Essam & Juhabi, Eid

2014 Counter-cyclical risk aversion
by Kim, Kun Ho

2014 The dispersion effect in international stock returns
by Leippold, Markus & Lohre, Harald

2014 House prices, expectations, and time-varying fundamentals
by Gelain, Paolo & Lansing, Kevin J.

2014 Production efficiency uncertainty and corporate credit risk: Structural form credit model perspectives
by Chen, Tsung-Kang & Liao, Hsien-Hsing & Chen, Wei-Lun

2014 An empirical investigation of methods to reduce transaction costs
by Moorman, Theodore

2014 Hedging the time-varying risk exposures of momentum returns
by Martens, Martin & van Oord, Arco

2014 Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach
by Jiang, Danling & Peterson, David R. & Doran, James S.

2014 Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
by Tse, Yiu-Kuen & Dong, Yingjie

2014 Price and earnings momentum: An explanation using return decomposition
by Mao, Mike Qinghao & Wei, K.C. John

2014 Quantiles of the realized stock–bond correlation and links to the macroeconomy
by Aslanidis, Nektarios & Christiansen, Charlotte

2014 Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types
by Haghani, Shermineh

2014 A frequency-domain alternative to long-horizon regressions with application to return predictability
by Sizova, Natalia

2014 Consumer confidence or the business cycle: What matters more for European expected returns?
by Møller, Stig V. & Nørholm, Henrik & Rangvid, Jesper

2014 Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing
by McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong

2014 The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange
by Rose, Annica

2014 Are regime-shift sources of risk priced in the market?
by Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias

2014 Trading activity in the equity market and its contingent claims: An empirical investigation
by Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar

2014 Regime switches in the risk–return trade-off
by Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano

2014 Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market
by Xiang, Ju & Zhu, Xiaoneng

2014 Pricing of liquidity risks: Evidence from multiple liquidity measures
by Kim, Soon-Ho & Lee, Kuan-Hui

2014 Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model
by Huang, Lin & Wu, Jia & Zhang, Rui

2014 How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?
by Hung, Chi-Hsiou D. & Banerjee, Anurag N.

2014 Conditional pricing of currency risk in Africa's equity markets
by Kodongo, Odongo & Ojah, Kalu

2014 Emerging market sovereign bond spreads and shifts in global market sentiment
by Csontó, Balázs

2014 Identifying risks in emerging market sovereign and corporate bond spreads
by Zinna, Gabriele

2014 Risk–return trade-off in the pacific basin equity markets
by Cheng, Ai-Ru & Jahan-Parvar, Mohammad R.

2014 Risk aversion, investor information and stock market volatility
by Lansing, Kevin J. & LeRoy, Stephen F.

2014 Growth forecasts, belief manipulation and capital markets
by Lundtofte, Frederik & Leoni, Patrick

2014 To see is to believe: Common expectations in experimental asset markets
by Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan

2014 Influence of institutional investors' participation on flipping activity of Malaysian IPOs
by Che-Yahya, Norliza & Abdul-Rahim, Ruzita & Yong, Othman

2014 Direct and indirect oil shocks and their impacts upon energy related stocks
by Broadstock, David C. & Wang, Rui & Zhang, Dayong

2014 Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange
by Gómez-González, José Eduardo & Sanabria-Buenaventura, Elioth Mirsha

2014 An analysis of firm and market volatility
by Sharma, Susan Sunila & Narayan, Paresh Kumar & Zheng, Xinwei

2014 Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies
by Dungey, Mardi & Gajurel, Dinesh

2014 Long-run and short-run determinants of sovereign bond yields in advanced economies
by Poghosyan, Tigran

2014 Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US
by Bhargava, Alok

2014 The nonlinear price dynamics of U.S. equity ETFs
by Caginalp, Gunduz & DeSantis, Mark & Sayrak, Akin

2014 The VIX, the variance premium and stock market volatility
by Bekaert, Geert & Hoerova, Marie

2014 Time-varying jump tails
by Bollerslev, Tim & Todorov, Viktor

2014 Mutual excitation in Eurozone sovereign CDS
by Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana

2014 Examining macroeconomic models through the lens of asset pricing
by Borovička, Jaroslav & Hansen, Lars Peter

2014 Pricing default events: Surprise, exogeneity and contagion
by Gouriéroux, C. & Monfort, A. & Renne, J.P.

2014 On the properties of the coefficient of determination in regression models with infinite variance variables
by Kurz-Kim, Jeong-Ryeol & Loretan, Mico

2014 Nonparametric estimation and inference for conditional density based Granger causality measures
by Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar

2014 The dynamic mixed hitting-time model for multiple transaction prices and times
by Renault, Eric & van der Heijden, Thijs & Werker, Bas J.M.

2014 Variance trading and market price of variance risk
by Bondarenko, Oleg

2014 Maximum likelihood estimation of partially observed diffusion models
by Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J.

2014 Hermite polynomial based expansion of European option prices
by Xiu, Dacheng

2014 A new approach to Bayesian hypothesis testing
by Li, Yong & Zeng, Tao & Yu, Jun

2014 An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
by Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y.

2014 Volatility activity: Specification and estimation
by Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna

2014 Profitability and investment factors for UK asset pricing models
by Nichol, Eoghan & Dowling, Michael

2014 A characterization of the coskewness–cokurtosis pricing model
by Back, Kerry

2014 GARCH with omitted persistent covariate
by Han, Heejoon & Park, Joon Y.

2014 Optimal tranching with diverse beliefs
by Guo, Guixia & Wang, Frank Yong & Wei, Xu

2014 An exploration of the effect of doubt during disasters on equity premiums
by Suzuki, Shiba

2014 Monetary environments and stock returns revisited: A quantile regression approach
by Chevapatrakul, Thanaset

2014 Momentum in global equity markets in times of troubles: Does the economic state matter?
by Grobys, Klaus

2014 Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework
by Boubaker, Sabri & Jouini, Jamel

2014 The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs
by Hunzinger, Chadd B. & Labuschagne, Coenraad C.A.

2014 The asymmetric predictability of high-yield bonds
by Zhang, Tai-Wei & Wu, Wei-Hwa

2014 Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options
by Liu, Qiang & Guo, Shuxin

2014 Institutional changes of Specified Purpose Acquisition Companies (SPACs)
by Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos

2014 Excess volatility and the cross-section of stock returns
by Wang, Yuming & Ma, Jinpeng

2014 The equity premium in a small open economy and an application to Israel
by Borenstein, Eliezer & Elkayam, David

2014 Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns
by Lai, Hung-Cheng & Wang, Kuan-Min

2014 Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
by Dong, Yinghui & Wang, Guojing

2014 Higher order expectations in sentiment asset pricing model
by Yang, Chunpeng & Cai, Chuangqun

2014 Monetary policy responses to the exchange rate: Empirical evidence from the ECB
by Demir, İshak

2014 Are Dow Jones Islamic equity indices exposed to interest rate risk?
by Shamsuddin, Abul

2014 Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation
by Jouini, Jamel & Harrathi, Nizar

2014 The conditional equity premium, cross-sectional returns and stochastic volatility
by Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho

2014 Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market
by Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong

2014 The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?
by Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek

2014 Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market
by Al-Shboul, Mohammad & Anwar, Sajid

2014 Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia
by Abid, Ilyes & Kaabia, Olfa & Guesmi, Khaled

2014 Dynamic sentiment asset pricing model
by Yang, Chunpeng & Zhang, Rengui

2014 Oil price risk in the Spanish stock market: An industry perspective
by Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco

2014 Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies
by Hunter, John & Wu, Feng

2014 Two-period trading sentiment asset pricing model with information
by Yang, Chunpeng & Li, Jinfang

2014 Herding, trend chasing and market volatility
by Di Guilmi, Corrado & He, Xue-Zhong & Li, Kai

2014 Location-scale portfolio selection with factor-recentered skew normal asset returns
by Gan, Quan

2014 Evolution and market behavior with endogenous investment rules
by Bottazzi, Giulio & Dindo, Pietro

2014 No-Arbitrage ROM simulation
by Geyer, Alois & Hanke, Michael & Weissensteiner, Alex

2014 Speculative behavior and the dynamics of interacting stock markets
by Schmitt, Noemi & Westerhoff, Frank

2014 Asset prices in affine real business cycle models
by Malkhozov, Aytek

2014 Endogenous risk in a DSGE model with capital-constrained financial intermediaries
by Dewachter, Hans & Wouters, Raf

2014 Cross-hedging minimum return guarantees: Basis and liquidity risks
by Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus

2014 Model-free CPPI
by Schied, Alexander

2014 Stock prices and monetary policy shocks: A general equilibrium approach
by Challe, Edouard & Giannitsarou, Chryssi

2014 Heterogeneous expectations in the gold market: Specification and estimation
by Baur, Dirk G. & Glover, Kristoffer J.

2014 Credit risk and asymmetric information: A simplified approach
by Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne

2014 Biased Bayesian learning with an application to the risk-free rate puzzle
by Ludwig, Alexander & Zimper, Alexander

2014 Recovering default risk from CDS spreads with a nonlinear filter
by Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon

2014 Robust determinants of IPO underpricing and their implications for IPO research
by Butler, Alexander W. & Keefe, Michael O'Connor & Kieschnick, Robert

2014 Share repurchases and institutional supply
by Jared DeLisle, R. & Morscheck, J.D. & Nofsinger, John R.

2014 The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables
by Kim, Dong H. & Stock, Duane

2014 Excess perks and stock price crash risk: Evidence from China
by Xu, Nianhang & Li, Xiaorong & Yuan, Qingbo & Chan, Kam C.

2014 Exploitation of the internal capital market and the avoidance of outside monitoring
by Cline, Brandon N. & Garner, Jacqueline L. & Yore, Adam S.

2014 Convertible debt and shareholder incentives
by Dorion, Christian & François, Pascal & Grass, Gunnar & Jeanneret, Alexandre

2014 Behavioral Finance: An Empirical Study of the Tunisian Stock Market
by Mustapha Chaffai & Imed Medhioub

2014 Have Exchange Traded Funds Influenced Commodity Market Volatility?
by Shaen Corbet & Cian Twomey

2014 Quantifying the Effects of the Inclusion and Segregation of Contracts for Difference in Australian Equity Markets
by Shaen Corbet & Cian Twomey

2014 Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market
by Chin-Sheng Huang & Chun-Fan You & Hueh-Chen Lin

2014 Stock Prices and Implied Abnormal Earnings Growth
by Hafiz Imtiaz AHMAD & Pascal ALPHONSE

2014 Quand la psychologie et la linguistique rencontrent la finance:le cas de la France
by Fabrice Hervé & Mohamed Zouaoui

2014 La estructura temporal de los tipos de interés: estrategias de negociación en renta fija
by Julián Andrada-Félix & Adrián Fernández-Pérez & Fernando Fernández-Rodríguez

2014 Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa
by José E. Gómez-González & Luis Fernando Melo Velandia

2014 Warum ABS schlechte Produkte sein können, aber nicht müssen
by Bernd Rudolph

2014 State dependence of aggregated risk aversion: Evidence for the German stock market
by Marc Hansen & Helmut Herwartz & Malte Rengel

2014 Actif sous-jacent et produits dérivés financiers de la Compagnie des Mers du Sud. La rationalité de la bulle reconsidérée
by Nesrine Bentemessek Kahia

2014 High Portfolio Turnover And Performance Of Equity Mutual Funds
by Pedro Luiz Albertin Bono Milan & William Eid Junior

2014 Brazilian Regulatory Interventions, Volatility and Contagion: A VIRF analysis
by Gabriel Godofredo Fiuza de Bragança & Marcelo de Sales Pessoa & Katia Rocha

2014 Overconfidence, turnover, and return: evidence from the Brazilian market
by Wlademir Ribeiro Prates & André Alves Portela Santos & Newton Carneiro Affonso da Costa Jr.

2014 Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios
by Marcelo C. Medeiros & Artur M. Passos & Gabriel F. R. Vasconcelos

2014 Conditional CAPM: Time-varying Betas in the Brazilian Market
by Frances Fischberg Blank & Carlos Patricio Samanez & Tara Keshar Nanda Baidya & Fernando Antonio Lucena Aiube

2014 Mean-Variance Efficiency of the Market Portfolio
by Rafael Falcão Noda & Roy Martelanc & José Roberto Securato

2014 The Brazilian Stock Market in the Pre-Ibovespa Era
by Antonio Zoratto Sanvicente

2014 The effect of investors' confidence on monetary policy- economic growth relationship: a Multivariate GARCH approach
by Ege Yazgan

2014 How to Measure Illiquidity on European Emerging Stock Markets?
by Jelena Vidović & Tea Poklepović & Zdravka Aljinović

2014 International workshop on algorithmic and high-frequency trading:a brief summary
by A. Bernales. & J. Dugast.

2014 Trading algorithmique et trading haute fréquence - Compte rendu de l’atelier de recherche organisé par la Banque de France le 8 novembre 2013
by Bernales, A. & Dugast, J.

2014 An Analysis Of The Effect Of Currency Mismatch On A Country’S Default Risk
by Irena Jankovic & Bosko Zivkovic

2014 Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa
by José E. Gómez-González & Luis Fernando Melo Velandia

2014 Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach
by Noureddine Benlagha

2014 An analysis on the difference between bank index-linked bonds’ prices and their fair-value
by Michele Leonardo Bianchi

2014 Endogenous Collateral Constraints and the Leverage Cycle
by Ana Fostel & John Geanakoplos

2014 Forward Rate Curve Smoothing
by Robert A. Jarrow

2014 Stock Prices and Earnings: A History of Research
by Patricia M. Dechow & Richard G. Sloan & Jenny Zha

2014 Alpha
by Robert Faff

2014 A Study On Determing The Financial Position Based Onfinancial Diagnosis In Companies Listed On The Bucharest Stock Exchange
by Teodor Hada & Teodora Maria Avram

2014 When Is a Risky Asset "Urgently Needed"?
by Felix Kubler & Larry Selden & Xiao Wei

2014 The Distributive Impacts of Financial Development: Evidence from Mortgage Markets during US Bank Branch Deregulation
by Ishani Tewari

2014 How Much Would You Pay to Resolve Long-Run Risk?
by Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki

2014 Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality
by Veronica Guerrieri & Robert Shimer

2014 Speculative Asset Prices
by Robert J. Shiller

2014 Two Pillars of Asset Pricing
by Eugene F. Fama

2014 Discounting and Growth
by Christian Gollier

2014 Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye
by Eric Budish & Peter Cramton & John Shim

2014 Stock Prices, News, and Economic Fluctuations: Comment
by Andr? Kurmann & Elmar Mertens

2014 Monetary Policy and Rational Asset Price Bubbles
by Jordi Gal?

2014 A Macroeconomic Model with a Financial Sector
by Markus K. Brunnermeier & Yuliy Sannikov

2014 Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply
by Jonathan H. Wright

2014 Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment
by Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu

2014 Estimating a Structural Model of Herd Behavior in Financial Markets
by Marco Cipriani & Antonio Guarino

2014 Private Equity Premium Puzzle Revisited
by Katya Kartashova

2013 Art Market Inefficiency
by Geraldine David & Kim Oosterlinck & Ariane Szafarz

2013 Short Selling and Inside Information
by Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti

2013 Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test
by Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Duc Khuong Nguyen

2013 Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
by Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta

2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen

2013 The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach
by Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang

2013 The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data
by Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta

2013 House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach
by Goodness C. Aye & Rangan Gupta & Alain Kaninda & Wendy Nyakabawo & Aarifah Razak

2013 Search for a Common Factor in Public and Private Real Estate Returns
by Andrew Ang & Neil Nabar & Sam Wald

2013 Recursive utility and the equity premium puzzle: A discrete-time approach
by Aase, Knut K.

2013 Recursive utility and disappearing puzzles for continuous-time models
by Aase, Knut K.

2013 ECB monetary operations and the interbank repo market
by Dunne, Peter G. & Fleming, Michael J. & Zholos, Andrey

2013 The Trouble with Rates in the Subdivision Development Method to Land Valuation
by Brian J. CURRY

2013 Are Short-Selling Bans Effective? Evidence from the Summer 2011 European Bans on Net Short Sales
by Ramona Dagostino

2013 Estimating the Probability of a Lost Decade for U.S. and Global Equity
by LeBaron, Blake

2013 Implied Cost of Equity Capital in the U.S. Insurance Industry
by Nissim, Doron

2013 Valuing Financial Service Firms
by Damodaran, Aswath

2013 The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
by Bicchetti, David & Maystre, Nicolas Maystre

2013 Understanding the Sum of Perpetuities Method for Valuing Stock Prices
by Dennis W. Jansen

2013 German Open Ended Real Estate Fund Performance – The Impact of Liquidity
by Michael Stein

2013 What Determines REIT Returns in Turkey? An Application of Time-Varying Arbitrage Pricing Model in an Emerging REIT Market
by Işıl EROL & Adem İLERİ

2013 Bireysel Yatırımcı Davranışı Analizi: Anket Çalışması
by Belma ÖZTÜRKKAL

2013 Reward-to-Risk Ratios in Turkish Financial Markets
by K. Ozgur DEMİRTAS & Yigit ATILGAN

2013 Limelight on dark markets: theory and experimental evidence on liquidity and information
by Aleksander Berentsen & Michael McBride & Guillaume Rocheteau

2013 Systematic consumption risk in currency returns
by Mathias Hoffmann & Rahel Suter

2013 Liquidity, Market Efficiency and the Influence of Noise Traders: Quasi-Experimental Evidence from the Betting Industry
by Raphael Flepp & Stephan Nüesch & Egon Franck

2013 Return and risk of human capital contracts
by Kroencke, Tim A. & Muehler, Grit & Sprietsma, Maresa

2013 Asset pricing without garbage
by Kroencke, Tim A.

2013 Sovereign bond market reactions to fiscal rules and no-bailout clauses: The Swiss experience
by Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen

2013 GDP mimicking portfolios and the cross-section of stock returns
by Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik

2013 Sovereign risk premia: The link between fiscal rules and stability culture
by Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander

2013 Sovereign risk premia: The link between fiscal rules and stability culture
by Osterloh, Steffen & Heinemann, Friedrich & Kalb, Alexander

2013 Are There Bubbles in the Sterling-dollar Exchange Rate? New Evidence from Sequential ADF Tests
by Chen, Wenjuan & Bettendorf, Timo

2013 Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
by Posch, Olaf & Schrimpf, Andreas

2013 Competition in Austrian Treasury Auctions
by Zulehner, Christine & Elsinger, Helmut & Schmidt-Dengler, Philipp

2013 Persistence in the price-to-dividend ratio and its macroeconomic fundamentals
by Rengel, Malte & Herwartz, Helmut & Xu, Fang

2013 On Creditor Seniority and Sovereign Bond Prices in Europe
by Westermann, Frank & Steinkamp, Sven

2013 Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses The Swiss Experience
by Moessinger, Marc-Daniel & Feld, Lars P. & Kalb, Alexander & Osterloh, Steffen

2013 Creative destruction and asset prices
by Grammig, Joachim & Jank, Stephan

2013 Growth options and firm valuation
by Kraft, Holger & Schwartz, Eduardo & Weiss, Farina

2013 Option-implied information and predictability of extreme returns
by Vilkovz, Grigory & Xiaox, Yan

2013 Does mood affect trading behavior?
by Kaustia, Markku & Rantapuska, Elias

2013 Asset pricing under uncertainty about shock propagation
by Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph

2013 Financing asset growth
by Brennan, Michael J. & Kraft, Holger

2013 How does contagion affect general equilibrium asset prices?
by Branger, Nicole & Kraft, Holger & Meinerding, Christoph

2013 Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents
by Stein, Michael & Piazolo, Daniel & Stoyanov, Stoyan V.

2013 German Real Estate Funds – Changes in Return Distributions and Portfolio Favourability
by Stein, Michael

2013 Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
by Beckmann, Joscha & Belke, Ansgar & Kühl, Michael

2013 Flight Patterns and Yields of European Government Bonds
by von Schweinitz, Gregor

2013 Exact solutions for the transient densities of continuous-time Markov switching models: With an application to the poisson multifractal model
by Lux, Thomas

2013 Announcements of ECB unconventional programs: Implications for the sovereign risk of Italy
by Falagiarda, Matteo & Reitz, Stefan

2013 Phase transition in the S&P stock market
by Raddant, Matthias & Wagner, Friedrich

2013 Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress
by Odermann, Alexander & Cremers, Heinz

2013 Functions and characteristics of corporate and sovereign CDS
by Vogel, Heinz-Dieter & Bannier, Christina E. & Heidorn, Thomas

2013 US Corporate Bond Yield Spread. A default risk debate
by Shah, Syed Noaman & Kebewar, Mazen

2013 Macroeconomic Forces and Stock Prices: Evidence from the Bangladesh Stock Market
by Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek

2013 High frequency trading and end-of-day price dislocation
by Aitken, Michael & Cumming, Douglas & Zhan, Feng

2013 Exchange trading rules, surveillance and insider trading
by Aitken, Michael & Cumming, Douglas & Zhan, Feng

2013 Which beta is best? On the information content of option-implied betas
by Baule, Rainer & Korn, Olaf & Saßning, Sven

2013 Monetary policy and stock market volatility
by Bleich, Dirk & Fendel, Ralf & Rülke, Jan-Christoph

2013 Collateral requirements and asset prices
by Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl

2013 Bayesian estimation of a DSGE model with asset prices
by Kliem, Martin & Uhlig, Harald

2013 The price impact of CDS trading
by Gündüz, Yalin & Nasev, Julia & Trapp, Monika

2013 CDS spreads and systemic risk: A spatial econometric approach
by Keiler, Sebastian & Eder, Armin

2013 Speculative behavior and the dynamics of interacting stock markets
by Schmitt, Noemi & Westerhoff, Frank

2013 Firm valuation and the uncertainty of future tax avoidance
by Jacob, Martin & Schütt, Harm

2013 The behavior of the hazard rate in the Gaussian structural default model under asymmetric information
by Peter Spencer

2013 The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models
by Peter Spencer

2013 Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model
by Peter Spencer

2013 中国实际利率与通胀预期的期限结构：基于无套利宏观金融模型的研究
by Gengming Zeng & Linlin Niu

2013 Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia
by Gregory C Chow & Shicheng Huang & Linlin Niu

2013 Non-parametric Tests for the Martingale Restriction: A New Approach
by Biao Guo & Qian Han & Doojin Ryu

2013 Informational Price Cascades and Non-aggregation of Asymmetric Information in Experimental Asset Markets
by Jason Shachat & Anand Srinivasan

2013 An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
by Linlin Niu

2013 A Type of HJM Based Affine Model: Theory and Empirical Evidence
by Haitao Li & Xiaoxia Ye

2013 Aggregation in Incomplete Market with General Utility Functions
by Chenghu Ma & Jiankang Zhang

2013 中国股市价格的跳跃行为：基于上证综指高频数据的参数分析
by 马成虎 & 汪先珍

2013 What Remains of the Theory of Demand Management in a Globalising World?
by Amit Bhaduri

2013 A Monthly Stock Exchange Index for Ireland, 1864‐1930
by Richard S.Grossman & Ronan C. Lyons & Kevin Hjortshøj O’Rourke & Madalina A. Ursu

2013 Inflation Risk Premia, Yield Volatility and Macro Factors
by Andrea Berardi

2013 Herding, Trend Chasing and Market Volatility
by Corrado Di Guilmi & Xue-Zhong He & Kai Li

2013 Liability Driven Investments under a Benchmark Based Approach
by Jan Baldeaux & Eckhard Platen

2013 The Impact of Short-Selling Constraints on Financial Market Stability in a Heterogeneous Agents Model
by Mikhail Anufriev & Jan Tuinstra

2013 Extreme Downside Liquidity Risk
by Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian

2013 Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
by Weigert, Florian

2013 Crash Sensitivity and the Cross-Section of Expected Stock Returns
by Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian

2013 Electricity Spot and Derivatives Pricing when Markets are Interconnected
by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

2013 Financing Asset Sales and Business Cycles
by Arnold, Marc & Hackbarth, Dirk & Puhan, Tatjana-Xenia

2013 Electricity Derivatives Pricing with Forward-Looking Information
by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

2013 The Euro Interbank Repo Market
by Mancini, Loreano & Ranaldo, Angelo & Wrampelmeyer, Jan

2013 Understanding FX Liquidity
by Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul

2013 Common Risk Factors of Infrastructure Firms
by Ben Ammar, Semir & Eling, Martin

2013 Variance Risk Premiums in Foreign Exchange Markets
by Ammann, Manuel & Buesser, Ralf

2013 The effects of monetary policy on stock market bubbles: Some evidence
by Jordi Galí & Luca Gambetti

2013 Recreating the South Sea bubble: Lessons from an experiment in financial history
by Giovanni Giusti & Charles Noussair & Joachim Voth

2013 On the closed-form approximation of short-time random strike options
by Elisa Alòs & Jorge A. León

2013 Aging and Real Estate Prices:Evidence from Japanese and US Regional Data
by Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe

2013 Credit in the Structure of the Market Quotation of Financial Assets in Relation to the Islamic Financial Laws
by Magomet Yandiev & Renat Bekkin

2013 The relationship between stock market parameters and interbank lending market: an empirical evidence
by Magomet Yandiev & Alexander Pakhalov

2013 Robust block bootstrap panel predictability tests
by Westerlund J. & Smeekes S.

2013 Negotiation and the clustering of corporate loan spreads
by Chaudhry S.M. & Kleimeier S.

2013 Calculating Fair Market Value in Legal Valuations: Do Adjustments in Value for Non-Systematic Risk Violate the Fair Market Value Standard?
by Peter Dawson

2013 Calculating Reliable Discounts for Lack of Marketability for Minority Family Limited Partnership Interest Using a Managed Asset Portfolio Market Analysis
by Peter Dawson

2013 The Capital Asset Pricing Model in Economic Perspective
by Peter Dawson

2013 Mean-variance portfolio methods for energy policy risk management
by Gustavo A. Marrero & Luis A. Puch & Francisco J. Ramos-Real

2013 Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study
by Alberto Fernández Muñoz de Morales

2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong

2013 Volatility Smirk as an Externality of Agency Conict and Growing Debt
by Marcin Jaskowski & Michael McAleer

2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
by Michael McAleer & Kim Radalj

2013 Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market
by Pilar Abad & M. Dolores Robles & Gare Cuervo

2013 Recent Developments in Financial Economics and Econometrics: An Overview
by Chia-Lin Chang & David Allen & Michael McAleer

2013 Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector
by Marcelo Bianconi & Joe A. Yoshino

2013 Real and financial crises: A multi-agent approach
by Mark Setterfield & Bill Gibson

2013 Recreating the South Sea Bubble : Lessons from an Experiment in Financial History
by Giusti, G. & Noussair, C.N. & Voth, H-J.

2013 The Returns on Investment Grade Diamonds
by Renneboog, L.D.R.

2013 Central Clearing and Asset Prices
by Albert J. Menkveld & Emiliano Pagnotta & Marius A. Zoican

2013 The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock Returns
by Victoria Atanasov & Thomas Nitschka

2013 Economic Valuation of Liquidity Timing
by Dennis Karstanje & Elvira Sojli & Wing Wah Tham & Michel van der Wel

2013 A Quantile-based Realized Measure of Variation: New Tests for Outlying Observations in Financial Data
by Charles S. Bos & Pawel Janus

2013 Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis
by Roel Beetsma & Massimo Giuliodori & Frank de Jong & Daniel Widijanto

2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
by Hooi Hooi Lean & Michael McAleer

2013 Volatility Smirk as an Externality of Agency Conflict and Growing Debt
by Marcin Jaskowski & Michael McAleer

2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
by Michael McAleer & Kim Radalj

2013 Recent Developments in Financial Economics and Econometrics: An Overview
by Chia-Lin Chang & David Allen & Michael McAleer

2013 Price signals in illiquid markets:The case of residential property in Ireland, 2006-2012
by Ronan C. Lyons

2013 Endogenous Life-Cycle Housing Investment and Portfolio Allocation
by Cengiz Tunc & Denis Pelletier

2013 Yield Curve Estimation for Corporate Bonds in Turkey
by Ibrahim Burak Kanli & Doruk Kucuksarac & Ozgur Ozel

2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
by Doruk Kucuksarac & Ozgur Ozel

2013 Market-Based Measurement of Expectations on Short-Term Rates in Turkey
by Ibrahim Burak Kanli

2013 Measuring the performance of hedge funds using two-stage peer group benchmarks
by Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick

2013 The equity price channel in a New-Keynesian DSGE model with financial frictions and banking
by Hylton Hollander & Guangling Liu

2013 Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions
by Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov

2013 Home Bias in Open Economy Financial Macroeconomics
by Nicolas Coeurdacier & Hélène Rey

2013 Short-Sellers: Informed but Restricted
by Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti

2013 Conditional Betas and Investor Uncertainty
by Fernando D. Chague

2013 Art Market Inefficiency
by Geraldine David & Kim Oosterlinck & Ariane Szafarz

2013 Time variation in asset price responses to macro announcements
by Linda S. Goldberg & Christian Grisse

2013 Providing Financial Education: A General Equilibrium Approach
by Mario Padula & Yuri Pettinicchi

2013 Implications of Monetary Policy for Corporate Sector and Economic Growth in Pakistan
by Safia Shabbir

2013 Does Uncovered Interest Rate Parity Hold After All?
by Muhammad Omer & Jakob de Haan & Bert Scholtens

2013 Bubbles, Crashes and Risk
by William A. Branch & George W. Evans

2013 The Equity Price Channel in a New-Keynesian DSGE Model with Financial Frictions and Banking
by Hylton Hollander and Guangling Liu

2013 Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents
by Michael Stein & Daniel Piazolo & Stoyan V. Stoyanov

2013 German Real Estate Funds – Changes in Return Distributions and Portfolio Favourability
by Michael Stein

2013 Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
by Joscha Beckmann & Ansgar Belke & Michael Kühl

2013 High Frequency Trading in the Equity Markets During U.S. Treasury POMO
by Cheng Gao & Bruce Mizrach

2013 Market Quality Breakdowns in Equities
by Cheng Gao & Bruce Mizrach

2013 The impact of the French Tobin tax
by Leonardo Becchetti & Massimo Ferrari & Ugo Trenta

2013 Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long Run
by Joscha Beckmann & Ansgar Belke & Michael Kuehl

2013 The Industry-Specific Relationships between Corporate Financial Performance and 11 Corporate Social Performance Dimensions: Taking a More Nuanced Perspective
by Rathner, Sebastian

2013 The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria
by Rathner, Sebastian

2013 Two Pillars of Asset Pricing
by Fama, Eugene F.

2013 Uncertainty Outside and Inside Economic Models
by Hansen, Lars Peter

2013 Speculative Asset Prices
by Shiller, Robert J.

2013 Interview with 2013 Laureate in Economic Sciences Eugene F. Fama
by Fama, Eugene F.

2013 Interview with 2013 Laureate in Economic Sciences Lars Peter Hansen
by Hansen, Lars Peter

2013 Interview with 2013 Laureate in Economic Sciences Robert J. Shiller
by Shiller, Robert J.

2013 Trendspotting in Asset Markets
by Committee, Nobel Prize

2013 Understanding Asset Prices
by Committee, Nobel Prize

2013 The Determinants of Greek Bond Yields: An Empirical Study Before and During the Crisis
by Chionis, Dionisios & Pragidis, Ioannis & Schizas, Panagiotis

2013 The impact of the French Tobin tax
by Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo

2013 The Threat of Financial Contagion to Emerging Asia’s Local Bond Markets: Spillovers from Global Crises
by Azis, Iwan J. & Mitra, Sabyasachi & Baluga, Anthony & Dime, Roselle

2013 Risk Preferences and Estimation Risk in Portfolio Choice
by Hao Liu & Winfried Pohlmeier

2013 Liquidity Shocks and Stock Bubbles
by Ogonna Nneji

2013 Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios
by Charles Sutcliffe

2013 Learning Through the Yield Curve
by Ortiz, Marco

2013 Liquidity Shocks and the US Housing Credit Crisis of 2007–2008
by Gianni La Cava

2013 New Technology Adoption for Russian Regional Energy Generation: Moscow Case Study
by Alexandra Bratanova & Jacqueline Robinson & Liam Wagner

2013 The Money Value of a Man
by Mark Huggett & Greg Kaplan

2013 Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE
by Okur, Mustafa & Cevik, Emrah Ismail

2013 Competition between high-frequency traders, and market quality
by Breckenfelder, Johannes

2013 Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
by Genest, Benoit & Rego, David & Freon, Helene

2013 Risk-adjusted pricing of bank’s assets based on cash flow matching matrix
by Voloshyn, Ihor & Voloshyn, Mykyta

2013 Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach
by Voloshyn, Ihor & Voloshyn, Mykyta

2013 Essays on Expectations and the Econometrics of Asset Pricing
by Lof, Matthijs

2013 Long memory in the ukrainian stock market and financial crises
by Maria Caporale, Guglielmo & Gil-Alana, Luis & Plastun, Alex & Makarenko, Inna

2013 The Impact of Debt on Economic Growth: A Case Study of Indonesia
by Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur

2013 The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility
by Karkowska, Renata

2013 Rtadf: Testing for Bubbles with EViews
by Caspi, Itamar

2013 Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC
by Rizvi, Syed Aun & Masih, Mansur

2013 Pricing the Cost of Deposit Insurance and Assessing Moral Hazard Effect: Evidence from Banking Sector in Sudan
by Onour, Ibrahim

2013 Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?
by Avino, Davide & Cotter, John

2013 Transitional Dynamics of Oil Prices
by Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran

2013 Gold, Stock Price, Interest Rate and Exchange Rate Dynamics: An MS VAR Approach
by Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran

2013 Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach
by Liu, Xiaochun

2013 The application of the capital asset pricing model on the Croatian capital market
by Tomić, Bojan

2013 Discounting Cashflows from Illiquid Assets on Bank Balance Sheets
by Nauta, Bert-Jan

2013 Investment Decisions by Analysts: A Case Study of KSE
by Shaikh, Salman

2013 Asset allocation and portfolio optimization problems with metaheuristics: a literature survey
by Jarraya, Bilel

2013 Multiobjective optimization for the asset allocation of European nonlife insurance companies
by Jarraya, Bilel & Bouri, Abdelfettah

2013 Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors
by Bai, Jushan & Ando, Tomohiro

2013 Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India
by Hiremath, Gourishankar S & Kumari, Jyoti

2013 Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis
by So, Leh-chyan

2013 Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches
by Lee, Y. & So, Leh-chyan

2013 Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
by Jensen, Mark J & Maheu, John M

2013 Model uncertainty and expected return proxies
by Jäckel, Christoph

2013 Oil Price and Exchange Rate Volatility in Nigeria
by Ogundipe, Adeyemi & Ogundipe, Oluwatomisin

2013 Liquidity Issues in Indian Sovereign Bond Market
by Nath, Golaka

2013 Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate
by Khan, Muhammad Irfan Khan & Meher, Muhammad Ayub Khan Mehar & Syed, Syed Muhammad Kashif

2013 The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis
by Nath, Golaka

2013 Repo Market – A Tool to Manage Liquidity in Financial Institutions
by Nath, Golaka

2013 The Fama French Model or the capital asset pricing model: international evidence
by Alves, Paulo

2013 Mental Accounting: A Closed-Form Alternative to the Black Scholes Model
by Siddiqi, Hammad

2013 Interest rate modeling under multiple discounting curves
by García Muñoz, Luis Manuel

2013 A new financial metric for the art market
by Charlin, Ventura & Cifuentes, Arturo

2013 Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets
by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

2013 Survey of Literature on Portfolio Theory
by Cantillo, Andres

2013 Analogy Making, Option Prices, and Implied Volatility
by Siddiqi, Hammad

2013 The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa
by Ndako, Umar Bida

2013 Size and liquidity effects in Nigeria: an industrial sector study
by Hearn, Bruce

2013 On the liquidity of CAC 40 index options Market
by François-Heude, Alain & Yousfi, Ouidad

2013 A Generalization of Gray and Whaley's Option
by François-Heude, Alain & Yousfi, Ouidad

2013 Price, Return and Volatility Linkages of Base Metal Futures traded in India
by Sinha, Pankaj & Mathur, Kritika

2013 Interest rate paradox
by Ivanov, Sergei

2013 Does Uncovered Interest rate Parity Hold After All?
by Omer, Muhammad & de Haan, Jakob & Scholtens, Bert

2013 Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models
by Li, Minqiang & Mercurio, Fabio

2013 Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
by Xiao, Tim

2013 Long-Run Risk and Hidden Growth Persistence
by Pakos, Michal

2013 The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
by Xiao, Tim

2013 Funding Cost and a New Capital Model
by Hannah, Lincoln

2013 An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk
by Xiao, Tim

2013 Testing rational speculative bubbles in Central European stock markets
by Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel

2013 Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market
by Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek

2013 Was there a "Greenspan conundrum" in the Euro area ?
by Lamé, Gildas

2013 The cross-section of tail risks in stock returns
by Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen

2013 The drivers of downside equity tail risk
by Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen

2013 On option pricing in illiquid markets with random jumps
by El-khatib, Youssef & Hatemi-J, Abdulnasser

2013 US Corporate Bond Yield Spread: A default risk debate
by SHAH, Syed Muhammad Noaman Ahmed & KEBEWAR, mazen

2013 Diversifying Risks in Bond Portfolios: A Cross-border Approach
by Sun, David & Tsai, Shih-Chuan

2013 Do ambiguity effects survive in experimental asset markets?
by Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz

2013 A Note on Discounting and Funding Value Adjustments for Derivatives
by Han, Meng & He, Yeqi & Zhang, Hu

2013 CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions
by García Muñoz, Luis Manuel

2013 The equity premium in a small open economy, and an application to Israel
by Borenstein, Eliezer & Elkayam, David

2013 Sectoral equity returns and portfolio diversification opportunities across the GCC region
by Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy

2013 On Mergers, Acquisitions and Liquidation Using Specified Purpose Acquisition Companies (SPACs)
by Milan Lakicevic & Yochanan Shachmurove & Milos Vulanovic

2013 Conditional Eurobonds and the Eurozone Sovereign Debt Crisis
by John Muellbauer

2013 Rare Disasters and the Term Structure of Interest Rates
by Jerry Tsai

2013 Short-Term Shareholders, Bubbles, And CEO Myopia
by John Thanassoulis

2013 A monthly stock exchange index for Ireland, 1864-1930
by Kevin Hjortshøj O'Rourke & Richard S. Grossman & Madalina A. Ursu

2013 Endogenous Leverage and Asset Pricing in Double Auctions
by Thomas Breuer & Martin Summer & Hans-Joachim Vollbrecht

2013 The Benefits and Costs of Highly Expansionary Monetary Policy
by Łukasz Rawdanowicz & Romain Bouis & Shingo Watanabe

2013 A tractable framework for zero lower bound Gaussian term structure models
by Leo Krippner

2013 Modelling volatility persistence and asymmetry: a study on selected Indian non-ferrous metals markets
by Luis Alberiko Gil-Alaña & Trilochan Tripathy

2013 A Monthly Stock Exchange Index for Ireland, 1864-1930
by Richard S. Grossman & Ronan C. Lyons & Kevin Hjortshoj O'Rourke & Madalina A. Ursu

2013 Private Information in Markets: A Market Design Perspective
by Marzena Rostek & Ji Hee Yoon

2013 Parameter Learning in General Equilibrium: The Asset Pricing Implications
by Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer

2013 Maximum likelihood estimation of the equity premium
by Efstathios Avdis & Jessica A. Wachter

2013 Buffett's Alpha
by Andrea Frazzini & David Kabiller & Lasse H. Pedersen

2013 The Cost of Capital for Alternative Investments
by Jakub W. Jurek & Erik Stafford

2013 The Term Structure of Currency Carry Trade Risk Premia
by Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan

2013 Moral Hazard, Informed Trading, and Stock Prices
by Pierre Collin-Dufresne & Vyacheslav Fos

2013 Option Prices in a Model with Stochastic Disaster Risk
by Sang Byung Seo & Jessica A. Wachter

2013 The Joint Cross Section of Stocks and Options
by Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici

2013 High Frequency Traders: Taking Advantage of Speed
by Yacine Aït-Sahalia & Mehmet Saglam

2013 Time Variation in Asset Price Responses to Macro Announcements
by Linda S. Goldberg & Christian Grisse

2013 Advance Refundings of Municipal Bonds
by Andrew Ang & Richard C. Green & Yuhang Xing

2013 Portfolio Choice with Illiquid Assets
by Andrew Ang & Dimitris Papanikolaou & Mark Westerfield

2013 Playing Favorites: How Firms Prevent the Revelation of Bad News
by Lauren Cohen & Dong Lou & Christopher Malloy

2013 Asset Pricing in the Frequency Domain: Theory and Empirics
by Ian Dew-Becker & Stefano Giglio

2013 Speculative Investors and Tobin's Tax in the Housing Market
by Yuming Fu & Wenlan Qian & Bernard Yeung

2013 Financial Market Shocks and the Macroeconomy
by Avanidhar Subrahmanyam & Sheridan Titman

2013 Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
by Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu

2013 Tail Risk and Asset Prices
by Bryan Kelly & Hao Jiang

2013 Commodity Trade and the Carry Trade: a Tale of Two Countries
by Robert Ready & Nikolai Roussanov & Colin Ward

2013 Identifying Taylor Rules in Macro-Finance Models
by David Backus & Mikhail Chernov & Stanley E. Zin

2013 The Twilight Zone: OTC Regulatory Regimes and Market Quality
by Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner

2013 Risk-Adjusting the Returns to Venture Capital
by Arthur Korteweg & Stefan Nagel

2013 Asset Pricing in the Dark: The Cross Section of OTC Stocks
by Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock

2013 Regression Discontinuity and the Price Effects of Stock Market Indexing
by Yen-cheng Chang & Harrison Hong & Inessa Liskovich

2013 Time Varying Risk Aversion
by Luigi Guiso & Paola Sapienza & Luigi Zingales

2013 Environmental Protection, Rare Disasters, and Discount Rates
by Robert J. Barro

2013 Waves in Ship Prices and Investment
by Robin Greenwood & Samuel Hanson

2013 Unemployment Crises
by Nicolas Petrosky-Nadeau & Lu Zhang

2013 X-CAPM: An Extrapolative Capital Asset Pricing Model
by Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer

2013 Commodity and Asset Pricing Models: An Integration
by Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz

2013 Financial-market Equilibrium with Friction
by Adrian Buss & Bernard Dumas

2013 Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy
by Rajnish Mehra

2013 Flights to Safety
by Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei

2013 'Lucas' In The Laboratory
by Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame

2013 Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
by Nicole M. Aulerich & Scott H. Irwin & Philip Garcia

2013 Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity
by Venky Venkateswaran & Randall Wright

2013 The VIX, the Variance Premium and Stock Market Volatility
by Geert Bekaert & Marie Hoerova

2013 Shaping Liquidity: On the Causal Effects of Voluntary Disclosure
by Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist

2013 Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
by Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos

2013 Bubbles, Crises, and Heterogeneous Beliefs
by Wei Xiong

2013 Conditional Risk Premia in Currency Markets and Other Asset Classes
by Martin Lettau & Matteo Maggiori & Michael Weber

2013 Growth Options and Firm Valuation
by Holger Kraft & Eduardo S. Schwartz & Farina Weiss

2013 A Production-Based Model for the Term Structure
by Urban Jermann

2013 A Mean-Variance Benchmark for Intertemporal Portfolio Theory
by John H. Cochrane

2013 Gold Returns
by Robert J. Barro & Sanjay P. Misra

2013 Measuring Sovereign Contagion in Europe
by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon

2013 The Supply and Demand for Safe Assets
by Gary B. Gorton & Guillermo Ordoñez

2013 Salience and Asset Prices
by Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer

2013 Expectations of Returns and Expected Returns
by Robin Greenwood & Andrei Shleifer

2013 Informed Trading and Expected Returns
by James J. Choi & Li Jin & Hongjun Yan

2013 Winners and Losers: Creative Destruction and the Stock Market
by Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman

2013 A model for dependent defaults and pricing contingent claims with counterparty risk
by Dariusz Gatarek & Juliusz Jabłecki

2013 Does it pay to invest in IPOs? Evidence from the Warsaw Stock Exchange
by Rafał Sieradzki

2013 Price Discontinuities in Energy Spot and Futures Prices
by Svetlana Maslyuka & Kristian Rotarub & Alexander Dokumentovc

2013 La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)
by Lisa Mattioli & Riccardo Ferretti

2013 A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
by Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli

2013 Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns
by Claudio Morana

2013 Dynamic behavior of real and stock markets with a varying degree of interaction
by Ahmad Naimzada & Marina Pireddu

2013 Oil price dynamics, macro-finance interactions and the role of financial speculation
by Claudio Morana

2013 Determinants of US Financial fragility conditions
by Fabio C. Bagliano & Claudio Morana

2013 Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
by David Ardia & Kris Boudt

2013 Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
by Georges Dionne & Olfa Maalaoui Chun

2013 Why Do Analysts Disagree ?
by Jean-Sébastien Michel & J. Ari Pandes

2013 Fundamentally Wrong: Market Pricing Of Sovereigns And The Greek Financial Crisis
by Heather D. Gibson & Stephen G. Hall & George S. Tavlas

2013 Market Ecologies: The Interaction and Profitability of Technical Trading Strategies
by Antony Jackson & Daniel Ladley

2013 Born in the USA? Contagious investor sentiment and UK equity returns
by Yawen Hudson & Christopher J. Green

2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
by Michael McAleer & Kim Radalj

2013 Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs
by Chiaki Hara

2013 Pricing of Discount Bonds with a Markov Switching Regime
by Robert J. Elliott & Katsumasa Nishide

2013 Recent Developments in Financial Economics and Econometrics:An Overview
by Chia-Lin Chang & David E Allen & Michael McAleer

2013 Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator
by Banu Simmons-Süer

2013 Liquidity Shocks and Stock Market Reactions
by Turan G. Bali & Lin Peng & Yannan Shen & Yi Tang

2013 Reits' Growth Options and Asset Pricing Dynamics across Time
by Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu

2013 Announcements of ECB Unconventional Programs: Implications for the Sovereign Risk of Italy
by Matteo Falagiarda & Stefan Reitz

2013 Phase Transition in the S&P Stock Market
by Matthias Raddant & Friedrich Wagner

2013 Management Forecasts, Idiosyncratic Risk, and Information Environment
by Norio Kitagawa & Shin' ya Okuda

2013 Discount rates, market frictions and the mystery of the size premium
by Thiago de Oliveira Souza

2013 External Habit in a Production Economy
by Andrew Y. Chen

2013 Flight Patterns and Yields of European Government Bonds
by Gregor von Schweinitz

2013 Impact of idiosyncratic volatility on stock returns: A cross-sectional study
by Serguey Khovansky & Zhylyevskyy, Oleksandr

2013 On the time-varying relationship between EMU sovereign spreads and their determinants
by António Afonso, & Michael G. Arghyrou, & George Bagdatoglou, & Alexandros Kontonikas

2013 The Economic Impact of Oil on Industry Portfolios
by Jaime Casassus & Freddy Higuera

2013 Semi Parametric Estimation Of Risk-Return Relationships
by Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom

2013 Price efficiency and trading behavior in limit order markets with competing insiders
by Thomas Stoeckl

2013 A Systematic approach to identify systemically important firms
by Natasha Agarwal et al

2013 The Importance of Trade and Capital Imbalances in the European Debt Crisis
by Andrew Hughes Hallett & Juan Carlos Martinez Oliva

2013 The impact of supply constraints on house prices in England
by Christian A. L. Hilber & Wouter Vermeulen

2013 Sovereign bond market reactions to fiscal rules and no-bailout clauses – The Swiss experience
by Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh

2013 State Price Densities implied from weather derivatives
by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &

2013 Decomposing Risk in Dynamic Stochastic General Equilibrium
by Hong Lan & Alexander Meyer-Gohde & &

2013 Fair re-valuation of wine as an investment
by Fabian Y.R.P. Bocart & Christian M. Hafner & &

2013 Aging and Real Estate Prices: Evidence from Japanese and US Regional Data
by Saita, Yumi & Shimizu, Chihiro & Watanabe, Tsutomu

2013 Colog asset pricing, evidence from emerging markets
by Dranev Yury & Fomkina Sofya

2013 A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data
by Victor Lapshin & Marat Kurbangaleev

2013 An asymmetric approach to the cost of equity estimation: empirical evidence from Russia
by Yury Dranev & Sofya Fomkina

2013 Predicting the Spread of Financial Innovations: An Epidemiological Approach
by Hull, Isaiah

2013 Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises
by Baum, Christopher & Karpava, Margarita & Schäfer, Dorothea & Stephan, Andreas

2013 Growth Forecasts, Belief Manipulation and Capital Markets
by Lundtofte, Frederik & Leoni, Patrick

2013 Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry
by Ding, Mingfa & Nilsson, Birger & Suardi, Sandy

2013 Is Default Risk Priced in Equity Returns?
by Yinxia G. Nielsen , Caren

2013 Does Commonality in Illiquidity Matter to Investors?
by Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger

2013 Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry
by Ding, Mingfa & Nilsson, Birger & Suardi, Sandy

2013 Macro determinants of U.S. stock market risk premia in bull and bear markets
by Baetje, Fabian & Menkhoff, Lukas

2013 Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds
by Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias

2013 Financial Innovation, Collateral and Investment
by Ana Fostel & John Geanakoplos

2013 Leverage and Default in Binomial Economies: A Complete Characterization
by Ana Fostel & John Geanakoplos

2013 Information Environment and The Cost of Capital
by Orie Barron & Xuguang Sheng & Maya Thevenot

2013 The GST and mortgage costs: Australian evidence
by Allen Huang & Benjamin Liu

2013 The impact of the Goods and Services Tax on mortgage costs of Australian credit unions
by Benjamin Liu & Allen Huang

2013 Insolvency Traps and Multiple Equilibria Complex Dynamics in a Simple Bond Market
by Alfredo Medio

2013 On the time-varying relationship between EMU sovereign spreads and their determinants
by António Afonso & Michael G. Arghyrou & George Bagdatoglou & Alexandros Kontonikas

2013 No Good Deals - No Bad Models
by Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges

2013 Complexity with Heterogeneous Fundamentalists and a Multiplicative Price Mechanism
by Ahmad K Naimzada & Giorgio Ricchiuti

2013 Momentum and the term structure of interest rates
by Durham, J. Benson

2013 Arbitrage-free models of stocks and bonds
by Durham, J. Benson

2013 Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities
by Fleming, Michael J. & Nguyen, Giang

2013 Time-varying inflation risk and the cross section of stock returns
by Boons, Martijn & Duarte, Fernando M. & de Roon, Frans & Szymanowska , Marta

2013 Anxiety in the face of risk
by Eisenbach, Thomas M. & Schmalz, Martin C.

2013 The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors
by D'Amico, Stefania & Fan, Roger & Kitzul, Yuriy

2013 Bubbles and Leverage: A Simple and Unified Approach
by Bogusz, Theodore & Bogusz, Theodore

2013 A Portfolio-Balance Approach to the Nominal Term Structure
by King, Thomas B.

2013 Human Capital and Long-Run Labor Income Risk
by Benzoni, Luca & Chyruk, Olena

2013 Learning, Rare Disasters, and Asset Prices
by Lu, Yang & Siemer, Michael

2013 Modeling yields at the zero lower bound: are shadow rates the solution?
by Christensen, Jens H.E. & Rudebusch, Glenn D.

2013 A probability-based stress test of Federal Reserve assets and income
by Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D.

2013 Not so fast: high-frequency financial data for macroeconomic event studies
by Ozdagli, Ali K.

2013 Misspecification-robust inference in linear asset pricing models with irrelevant risk factors
by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare

2013 A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics
by Assa, Hirbod & Dabbous, Amal & Gospodinov, Nikolay

2013 Do Sound Public Finances Require Fiscal Rules Or Is Market Pressure Enough?
by Michael Bergman & Michael M. Hutchison & Svend E. Hougaard Jensen

2013 Index-Based Risk Financing and Development of Natural Disaster Insurance Programs in Developing Asian Countries
by Sommarat CHANTARAT & Kirk PANNANGPETCH & Nattapong PUTTANAPONG & Thanasin TANOMPONGHANDH

2013 The impact of the French Tobin tax
by Leonardo Becchetti & Massimo Ferrari

2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
by Lean, H.H. & McAleer, M.J. & Wong, W-K.

2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
by McAleer, M.J. & Radalj, K.

2013 Consumption and portfolio rules whit stochastic hyperbolic discounting
by Pérez Kakabadse, Alonso & Palacios Huerta, Ignacio

2013 Mark-to-market accounting and systemic risk: evidence from the insurance industry
by Andrew Ellul & Chotibhak Jotikasthira & Christian T. Lundblad & Yihui Wang

2013 Debt maturity and the liquidity of secondary debt markets
by Max Bruche & Anatoli Segura

2013 Attracting investor attention through advertising
by Dong Lou

2013 An estimation of economic models with recursive preferences
by Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson

2013 Efficient Jacobian evaluations for estimating zero lower bound term structure models
by Leo Krippner

2013 Faster solutions for Black zero lower bound term structure models
by Leo Krippner

2013 A tractable framework for zero-lower-bound Gaussian term structure models
by Leo Krippner

2013 A Heterogenous Agent Foundation for Tests of Asset Price Bubbles
by Vipin Arora & Shuping Shi

2013 The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
by Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas

2013 Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks
by Alfonso Mendoza Velázquez & Peter N. Smith

2013 Asymmetry in Government Bond Returns
by Ippei Fujiwara & Lena Mareen Korber & Daisuke Nagakura

2013 The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
by Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats

2013 A Probability-Based Stress Test of Federal Reserve Assets and Income
by Christensen, Jens H. E. & Lopez, Jose A. & Rudebusch, Glenn D.

2013 Rollover Risk and Corporate Bond Spreads
by Valenzuela, Patricio

2013 Sub-Penny and Queue-Jumping
by Buti, Sabrina & Consonni, Francesco & Rindi, Barbara & Werner, Ingrid M.

2013 The Term Structures of Co-entropy in International Financial Markets
by Chabi-Yo, Fousseni & Colacito, Riccardo

2013 External Habit in a Production Economy
by Chen, Andrew Y.

2013 Tick Size Regulation and Sub-Penny Trading
by Buti, Sabrina & Rindi, Barbara & Wen, Yuanji & Werner, Ingrid M.

2013 Comovement of Corporate Bonds and Equities
by Bao, Jack & Hou, Kewei

2013 Brand Capital and Firm Value
by Belo, Frederico & Lin, Xiaoji & Vitorino, Maria Ana

2013 Discount Rates, Market Frictions and the Mystery of the Size Premium
by Thiago De Oliveira Souza

2013 Unspanned Macroeconomic Factors in the Yields Curve
by Laura Coroneo & Domenico Giannone & Michèle Modugno

2013 The Price of Wine
by Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe

2013 Financing Investment: The Choice between Bonds and Bank Loans
by Morellec , Erwan & Valta , Philip & Zhdanov , Alexei

2013 What's Beneath the Surface? Option Pricing with Multifrequency Latent States
by Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold

2013 The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
by Busse, Marc & Dacorogna, Michel & Kratz, Marie

2013 There is a VaR Beyond Usual Approximations
by Kratz , Marie

2013 Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
by Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie

2013 Asymmetry in Government Bond Returns
by Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura

2013 Asymmetry in Government Bond Returns
by Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura

2013 The Impact of Hedge Funds on Asset Markets
by Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai

2013 A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
by Henri Audigé

2013 Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries
by Anna Creti & Zied Ftiti & Khaled Guesmi

2013 Systematic tail risk
by Maarten van Oordt & Chen Zhou

2013 Heterogeneity in house price dynamics
by Gabriele Galati & Federica Teppa & Rob Alessie

2013 What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds
by Dirk Broeders & Paul Hilbers & David Rijsbergen

2013 Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
by Christopher F. Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephan

2013 Long Memory in the Ukrainian Stock Market
by Guglielmo Maria Caporale & Luis A. Gil-Alana

2013 Reviewing the Leverage Cycle
by Ana Fostel & John Geanakoplos

2013 Financial Innovation, Collateral and Investment
by Ana Fostel & John Geanakoplos

2013 Financial Innovation, Collateral and Investment
by Ana Fostel & John Geanakoplos

2013 Asymmetry in government bond returns
by Daisuke Nagakura & Lena Mareen Korber & Ippei Fujiwara

2013 Was there a « Greenspan Conundrum » in the Euro area?
by G. LAMÉ

2013 Regime Switching and Bond Pricing
by Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne

2013 Was there a "Greenspan conundrum" in the Euro Area ?
by Gildas Lamé

2013 Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?
by Thorsten Lehnert & Yuehao Lin & Nicolas Martelin

2013 Do Fund Investors Know that Risk is Sometimes not Priced?
by Fabian Irek & Thorsten Lehnert

2013 Home Away From Home? Safe Haven Effects and London House Prices
by Badarinza, Cristian & Ramadorai, Tarun

2013 Carry
by Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B.

2013 Buffett’s Alpha
by Frazzini, Andrea & Kabiller, David & Pedersen, Lasse Heje

2013 Speculation, Risk Premia and Expectations in the Yield Curve
by Barillas, Francisco & Nimark, Kristoffer P

2013 Methods for Measuring Expectations and Uncertainty in Markov-Switching Models
by Bianchi, Francesco

2013 Regime Switches in the Risk-Return Trade-off
by Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano

2013 Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis
by Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel

2013 Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
by Giusti, Giovanni & Noussair, Charles & Voth, Hans-Joachim

2013 Identifying Taylor rules in macro-finance models
by Backus, David & Chernov, Mikhail & Zin, Stanley E.

2013 Risk-Adjusting the Returns to Venture Capital
by Korteweg, Arthur & Nagel, Stefan

2013 Time Varying Risk Aversion
by Guiso, Luigi & Sapienza, Paola & Zingales, Luigi

2013 Providing financial education: a general equilibrium approach
by Padula, Mario & Pettinicchi, Yuri

2013 Volatility Risk Premia and Exchange Rate Predictability
by Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio

2013 Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals
by Beber, Alessandro & Brandt, Michael & Luisi, Maurizio

2013 Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence
by Albuquerque, Rui & Durnev, Artyom & Koskinen, Yrjö

2013 Economic Cycles and Expected Stock Returns
by Beber, Alessandro & Brandt, Michael & Luisi, Maurizio

2013 Financial-market Equilibrium with Friction
by Buss, Adrian & Dumas, Bernard J

2013 Asset Prices with Heterogeneity in Preferences and Beliefs
by Bhamra, Harjoat Singh & Uppal, Raman

2013 Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
by Guibaud, Stéphane & Nosbusch, Yves & Vayanos, Dimitri

2013 Identification and Inference Using Event Studies
by Gürkaynak, Refet S. & Wright, Jonathan

2013 Forecasting Stock Returns under Economic Constraints
by Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen

2013 Distilling the Macroeconomic News Flow
by Beber, Alessandro & Brandt, Michael & Luisi, Maurizio

2013 Skewness Risk Premium: Theory and Empirical Evidence
by Lehnert, Thorsten & Lin, Yuehao & Wolff, Christian C

2013 A Theory of Asset Prices based on Heterogeneous Information
by Albagli, Elias & Hellwig, Christian & Tsyvinski, Aleh

2013 The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
by Farmer, Roger E A & Nourry, Carine & Venditti, Alain

2013 Optimal Discount Rates for Investments in Mitigation and Adaptation
by Rob Aalbers

2013 Can geography lock a society in stagnation?
by DAO, Nguyen-Thang & DAVILA, Julio

2013 Can federal reserve policy deviation explain response patterns of financial markets over time?
by WANG, Kent & WANG, Shin-Huei & PAN, Zheyao

2013 Fair re-valuation of wine as an investment
by BOCART, Fabian & HAFNER, Christian

2013 Generalized Makeham's Formula and Economic Profitability
by Carlo Alberto Magni

2013 Efectos de “ángeles caídos” en el mercado accionario colombiano: estudio de eventos del caso Interbolsa
by José E. Gómez-González & Luis Fernando Melo Velandia

2013 Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory
by Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek

2013 Debt Maturity And The Liquidity Of Secondary Debt Markets
by Max Bruche & Anatoli Segura

2013 Disaster Risk in a New Keynesian Model
by Marlène Isoré & Urszula Szczerbowicz

2013 Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
by Kyle Moore & Pengfei Sun & Casper de Vries & Chen Zhou

2013 Cyclical Asset Returns in the Consumption and Investment Goods Sector
by Burkhard Heer & Alfred Maussner & Bernd Süssmuth

2013 Systematic Consumption Risk in Currency Returns
by Mathias Hoffmann & Rahel Suter

2013 What do the Fama-French Factors Add to C-CAPM?
by Pongrapeeporn Abhakorn & Peter N. Smith & Michael Wickens

2013 Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience
by Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh

2013 Asset Pricing with Uncertain Betas: A Long-Term Perspective
by Christian Gollier

2013 A Search-Theoretic Model of the Term Premium
by Athanasios Geromichalos & Lucas Herrenbrueck & Kevin Salyer

2013 Dependence Calibration and Portfolio Fit with FactorBased Time Changes
by Elisa Luciano & Marina Marena & Patrizia Semeraro

2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong

2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
by Michael McAleer & Kim Radalj

2013 Recent Developments in Financial Economics and Econometrics: An Overview
by Chia-Lin Chang & David Allen & Michael McAleer

2013 Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?
by Doran, David & Dunne, Peter & Monks, Allen & O'Reilly, Gerard

2013 A Comparative Analysis Of Ex Ante Credit Spreads: Structured Finance Versus Straight Debt Finance
by João Pinto & Manuel Marques & William Megginson

2013 Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data
by Ito, Ryoko

2013 To Predict the Equity Market, Consult Economic Theory
by Davide Pettenuzzo

2013 Forecasting Stock Returns under Economic Constraints
by Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov

2013 Casual Link Between Islamic and Conventional Banking: Evidence From Turkish Banking Sector
by Serkan Yuksel & Mutahhar Erturk

2013 Trading Puzzle, Puzzling Trade
by Orhan Erdem & Evren Arik & Serkan Yüksel

2013 Determining Systemic Risk Factors in Borsa Istanbul
by Serkan Yuksel

2013 Sovereign Contagion in Europe: Evidence from the CDS Market
by P. Manasse & L. Zavalloni

2013 Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields
by Hibiki Ichiue & Yoichi Ueno

2013 Fundamentally wrong: market pricing of sovereigns and the Greek financial crisis
by Heather D. Gibson & Stephen G. Hall & George S. Tavlas

2013 Likelihood inference in non-linear term structure models: the importance of the lower bound
by Andreasen, Martin & Meldrum, Andrew

2013 Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
by Christopher F. Baum & Dorothea Schäfer & Andreas Stephan

2013 The market microstructure approach to foreign exchange - Looking back and looking forward
by Michael R. King & Carol Osler & Dagfinn Rime

2013 House prices, expectations, and time-varying fundamentals
by Paolo Gelain & Kevin J. Lansing

2013 Rationalizing the Value Premium in Emerging Markets
by M. Shahid Embrahim & Sourafel Girma & M. Eskander Shah & Jonathan Williams

2013 Precios de inmuebles. Aproximaciones metodológicas y aplicación empírica
by Jorge Ponce & Magdalena Tubio

2013 Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
by Frank Riedel & Frederik Herzberg

2013 The Determinants Of Cds Spreads
by Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion

2013 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
by Jordi Galí & Luca Gambetti

2013 Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
by Giovanni Giusti & Charles Noussair & Hans-Joachim Voth

2013 Speculation, Risk Premia and Expectations in the Yield Curve
by Francisco Barillas & Kristoffer Nimark

2013 Regime Switching and Bond Pricing
by Gouriéroux, C. & Monfort, A. & Pegoraro, F. & Renne, J-P.

2013 Pricing Default Events: Surprise, Exogeneity and Contagion
by Gouriéroux, C. & Monfort, A. & Renne, J-P.

2013 Credit and Liquidity in Interbank Rates: a Quadratic Approach
by Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G.

2013 Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model
by Rocío Elizondo

2013 Macroeconomic and monetary policy surprises and the term structure of interest rates
by Marcello Pericoli

2013 Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk
by Emma Berenguer & Ricardo Gimeno & Juan M. Nave

2013 Regime Switches in the Risk-Return Trade-Off
by Eric Ghysels & Pierre Guérin & Massimiliano Marcellino

2013 The Financialization of Food?
by Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe

2013 Which Parametric Model for Conditional Skewness?
by Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap

2013 Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
by Sermin Gungor & Richard Luger

2013 Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
by Jianjian Jin

2013 A New Linear Estimator for Gaussian Dynamic Term Structure Models
by Antonio Diez de los Rios

2013 The Impact of Monetary Policy Surprises on Australian Financial Futures Markets
by Xinsheng Lu & Ying Zhou & Mingting Kou

2013 The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
by Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats

2013 State-Price Deflators and Risk-Neutral valuation of Life Insurance Liabilities
by Bell Fanon Ouelega

2013 The Fine Structure of Equity-Index Option Dynamics
by Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen

2013 Correlation Dynamics and International Diversification Benefits
by Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin

2013 Illiquidity Premia in the Equity Options Market
by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui

2013 The Factor Structure in Equity Options
by Peter Christoffersen & Mathieu Fournier & Kris Jacobs

2013 Dynamic Diversification in Corporate Credit
by Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois

2013 Rare Disasters and Credit Market Puzzles
by Peter Christoffersen & Du Du & Redouane Elkamhi

2013 Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
by Torben G. Andersen & Oleg Bondarenko

2013 Does Realized Skewness Predict the Cross-Section of Equity Returns?
by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez

2013 Sticky continuous processes have consistent price systems
by Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit

2013 Classifying Returns as Extreme: European Stock and Bond Markets
by Charlotte Christiansen

2013 Risk-Return Trade-Off for European Stock Markets
by Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva

2013 Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
by Daniela Osterrieder

2013 Bond return predictability in expansions and recessions
by Tom Engsted & Stig V. Møller & Magnus Sander

2013 Housing market volatility in the OECD area: Evidence from VAR based return decompositions
by Tom Engsted & Thomas Q. Pedersen

2013 Impact of the economic crisis on house prices in the Czech Republic measured on hedonic price index on bank data
by Martin Lux & Petr Sunega

2013 Activating the covered bonds market in Poland – the need for regulatory improvements
by Agnieszka Tułodziecka & Agnieszka Nierodka

2013 Bond Pricing and the Macroeconomy
by Duffee, Gregory R.

2013 Advances in Consumption-Based Asset Pricing: Empirical Tests
by Ludvigson, Sydney C.

2013 Handbook of the Fundamentals of Financial Decision Making:In 2 Parts
by

2013 States, Banks, and the Financing of the Economy: Fiscal Policy and Sovereign Risk Perspectives
by Morten Balling & Peter Egger & Ernest Gnan & Axel A. Weber & Harald W. Stieber & Stavros Vourloumis & António Afonso & João Tovar Jalles & Franco Bruni & André van Poeck & Maartje Wijffelaars & Séverine Menguy & Wim Boonstra & Allard Bruinshoofd & Aneta Hryckiewicz

2013 Handbook of the Economics of Finance
by

2013 Handbook of the Economics of Finance
by

2013 Regime switching in bond yield and spread dynamics
by Renne, Jean-Paul

2013 Asymmetric Correlation of Sovereign Bond Yield Dynamics in the Eurozone
by Silvo Dajcman

2013 Commodity Prices, Convenience Yields, and Inflation
by Nikolay Gospodinov & Serena Ng

2013 What Does the Yield Curve Tell Us about Exchange Rate Predictability?
by Yu-chin Chen & Kwok Ping Tsang

2013 Endogenous indeterminacy and volatility of asset prices under ambiguity
by Mandler, Michael

2013 Liquidity hoarding
by Gale, Douglas & Yorulmazer, Tanju

2013 Models Of Capital Costs Quantification
by Tomáš KLIEŠTIK & Katarína VALÁŠKOVÁ

2013 Exponential Smoothing Technique In Correlation Structure Forecasting Of Visegrad Country Indices
by Jozef GLOVA

2013 The Effect Of 2008 Stock Market Crash On Underpricing Of Book-Built Ipos: A Study Of Indian Capital Market
by DIVYA JINDAL & RAVI SINGLA

2013 Impact Of Hartal On Stock Return And Turnover: Evidence From Bangladesh
by BOKHTIAR HASAN & A. F. M. MAINUL AHSAN & AFZALUR RAHAMAN

2013 The Impact Of Investor Psychology On Stock Markets: Evidence From France
by ABDERRAZAK DHAOUI & SAAD BOUROUIS & MELEK ACAR BOYACIOGLU

2013 Cointegration between R2 and Volatility in the Mexican Stock Exchange Stock Prices / Cointegración entre R2 y Volatilidad para acciones de la Bolsa Mexicana de Valores
by Santillan-Salgado, Roberto J. & Fonseca Ramírez, Alejandro

2013 Estimation of Alpha in Defined Benefit Pension Funds with a t-Student O-GARCH Matrix: a test in pensiones civiles del Estado de Michoacán / Estimación de alfa en fondos con beneficios definidos mediante una matriz t-Student O-GARCH. Una evaluación de las pensiones civiles del Estado de Michoacán
by Torre Torres, Oscar V. de la

2013 Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles
by Xi Chen & Michael Funke

2013 Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives
by Jan Babecký & Luboš Komárek & Zlatuše Komárková

2013 Liquidity in asset pricing: New Australian evidence using low-frequency data
by Daniel Chai & Robert Faff & Philip Gharghori

2013 Movements and co-movements across the European asset classes: portfolio allocations and policy implications
by Michael Donadelli & Lorenzo Prosperi & Federica Romei & Federico Silvestri

2013 Technical Analysis versus Fundamental Analysis of Securities
by Madalina - Gabriela ANGHEL

2013 Rational Bubbles Exist in the G-7 Stock Markets? Threshold Cointegration Approach
by Li-Hung Wu

2013 Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS
by Jian Zhang & Dongxiang Zhang & Juan Wang & Yue Zhang

2013 The Chinese News Sentiment around Earnings Announcements
by Yang-Cheng Lu & Yu-Chen Wei

2013 A View on the Risk-Neutral Density Forecasting of the Dax30 Returns
by Duca, Ioana Andreea & Ruxanda, Gheorghe

2013 Parametric Yield Curve Modeling In An Illiquid And Undeveloped Financial Market
by Zoricic, Davor & Orsag, Silvije

2013 Nelson-Siegel Yield Curve Model Estimation And The Yield Curve Trading In The Croatian Financial Market
by Zoricic, Davor & Badurina, Marko

2013 Test Of The Fama-French Three-Factor Model In Croatia
by Dolinar, Denis

2013 Valuation And Investment Profession
by Dedi, Lidija & Giraudon, Philippe

2013 Greece’s Stock Market Integration with Southeast Europe
by Guesmi, Khaled & Ftiti, Zied & Abid, Ilyes

2013 Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange
by Eraslan, Veysel

2013 Asset-Pricing Implications of Biologically Based Non-Expected Utility
by Emil Iantchev

2013 Volatility Asset Pricing Model as an Alternative Approach?
by Robert G. Kuklik & Vladislav VACEK

2013 Company size, book-to-market and momentum effects, and other deviations from the CAPM - evidence from the Warsaw stock exchange
by Leszek Czapiewski

2013 Keynesian Realism and the Present State of Economic Science
by Asãvoaei Alexandru

2013 The Liquidity of the Financial System and the Sovereign Debt Crisis in Europe – Is There a Solution?
by Nedelcu Monica Letitia

2013 Economic Value Added And Stakeholders Interests
by Burja Vasile

2013 The Comparative Risk And Performance Analysis Of Hungarian And Romanian Exchange Indices
by Tarnaczi Tibor & Kulcsar Edina

2013 Paradoxes Of Modern Stock Exchange Markets
by CIOBANU Gheorghe & SECHEL Ioana Cristina & &

2013 Investment Funds In Romania
by COPIL CRINA ANGELA & & &

2013 Technical And Fundamental Anomalies. Paradoxes Of Modern Stock Exchange Markets
by BAKO Elena Dana & SECHEL Ioana Cristina & &

2013 Are Recent Increases of Residential Property Prices in Vienna and Austria Justified by Fundamentals?
by Martin Schneider

2013 Nonperforming Loans in CESEE – An Even Deeper Definitional Comparison
by Stephan Barisitz

2013 Nonperforming Loans in Western Europe – A Selective Comparison of Countries and National Definitions
by Stephan Barisitz

2013 Financial Stability Review Of The Microfinance Sector In Moldova
by Petru CATAN & Viorica ŞEPTELICI

2013 ¿Han sido el IBEX35 y el IPC definiciones financieramente eficientes del portafolio de mercado?
by De la Torre Torres Oscar Valdemar & Martínez Torre Enciso, María Isabel

2013 Three discount methods for valuing projects and the required return on equity
by Schauten Marc B. J.

2013 Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos
by Kristjanpoller Rodríguez Werner

2013 The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market
by Satoshi Sakamaki

2013 Risk and Return in Japanese Equity Market
by Toshiki Honda

2013 The Risk Parity Portfolio and the Low-Risk Asset Anomaly
by Kozo Omori

2013 Financial Crises and Risk Premiums in International Interbank Markets
by Shin-ichi Fukuda & Mariko Tanaka

2013 Reasons for the LIBOR review and its effects on international interbank reference rate quotations
by Szilárd Erhart & Imre Ligeti & Zoltán Molnár

2013 The Underperformance of Young Closed-End Funds in Greece
by Dimitrios V Kousenidis & Christos Negakis

2013 Sovereign Risk and Asset and Liability Management—Conceptual Issues
by Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova

2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
by Michael McAleer & Kim Radalj

2013 Financial Bubbles, Common Knowledge and Alternative Accounting Regimes: An Experimental Analysis of Artificial Spot Security Markets
by Larry Bensimhon & Yuri Biondi

2013 Eficiencia de las principales acciones de la bolsa mexicana de valores: 2001-2012
by Morales-Pelagio, Ricardo Cristhian & López-Herrera, Francisco & Cabrera-Llanos, Agustín Ignacio

2013 Fiscal determinants of government borrowing costs: do we have only ourselves to blame?
by Alen Bobetko & Mirna Dumicic & Josip Funda

2013 The Real Options Approach to Valuation: Challenges and Opportunities
by Eduardo Schwartz

2013 House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
by Paolo Gelain & Kevin J. Lansing & Caterina Mendicino

2013 The Impact of Policy Initiatives on Credit Spreads during the 2007-09 Financial Crisis
by Alan M. Rai

2013 Analysis of the Serbian Capital Market
by Jelena Minovic & Vlastimir Vukovic

2013 Corporate Philanthropic Disaster Response And Post Performance: Evidence From China
by Xiaodong Qiu

2013 Analysis of the Effects of Pre Announcement of S&P 500 Index Changes
by Stoyu I. Ivanov

2013 Accrual Anomaly and Idiosyncratic Risk: International Evidence
by Steve Fan & Linda Yu

2013 Time-Varying Risk Premia for Size Effects on Equity REITS
by Guangdi Chang & Yi-Tsuo Chang

2013 The Fama French Model or the Capital Asset Pricing Model: International Evidence
by Paulo Alves

2013 Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets
by Sanjay Sehgal & Sakshi Jain & Pr Laurence the Porteu de la Morandiere

2013 Explanatory Factors for Market Multiples and Expected Returns
by Sandip Mukherji & Youngho Lee

2013 The Efficiency Of Emerging Stock Markets: Evidence From Asia And Africa
by Abdelmoneim Youssef & Giuseppe Galloppo

2013 Employee Benefits And Stock Returns: A Look At Health Care Benefits
by Vichet Sum

2013 Financial Integration at Times of Financial Instability
by Jan Babecky & Lubos Komarek & Zlatuse Komarkova

2013 Orthogonal garch matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán
by Oscar De la Torre Torres.

2013 Regional Business Competitiveness: Medium and Low-Technology Production Systems in Northern Greece
by Theodosios Palaskas & Maria Tsampra & Chrysostomos Stoforos

2013 Forecast Bias and Analyst Independence
by Phillip J. McKnight & Steven K. Todd

2013 110 Common Errors in Company Valuations
by Pablo Fernández & Andrada Bilan

2013 EMBI+México y su relación dinámica con otros factores de riesgo sistemático: 1997-2011
by Francisco López Herrera & Francisco Venegas Martínez & César Gurrola Ríos

2013 Effects of differences of opinions and short-sale constraints on the dual listed Chinese shares
by Zhenmin Fang & Xin Jiang

2013 Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
by Alejandro Iván Aguirre Salado & Humberto Vaquera Huerta & Martha Elva Ramírez Guzmán & José René Valdez Lazalde & Carlos Arturo Aguirre Salado

2013 Government bond yield spreads determination: a matter of fundamentals or market overreaction? Evidence from over-borrowed European countries
by Dimitris Vas. Seremetis & Anastasios P. Pappas

2013 Hodrick-Prescott Filter: An Extreme-Sport Testing
by Wulfrano Gómez & Leovardo Mata & Montserrat Reyna

2013 Seasonal affective disorder: onset and recovery
by Khaled, Mohammed S. & Keef, Stephen P.

2013 Mutual fund performance in Tunisia: A multivariate GARCH approach
by Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem

2013 The persistence of European mutual fund performance
by Vidal-García, Javier

2013 Asset prices and exchange risk: Empirical evidence from Canada
by Samson, Lucie

2013 Hedging inflation risk in a developing economy: The case of Brazil
by Brière, Marie & Signori, Ombretta

2013 Does stock market development always improve firm-level financing? Evidence from Tunisia
by Lagoarde-Segot, Thomas

2013 The high returns to low volatility stocks are actually a premium on high quality firms
by Walkshäusl, Christian

2013 Asset pricing under quantile utility maximization
by Giovannetti, Bruno C.

2013 The conditional relation between dispersion and return
by Demirer, Rıza & Jategaonkar, Shrikant P.

2013 Causality between trading volume and returns: Evidence from quantile regressions
by Gebka, Bartosz & Wohar, Mark E.

2013 Country-specific idiosyncratic risk and global equity index returns
by Hueng, C. James & Yau, Ruey

2013 Nonlinear earnings persistence
by Cheng, Che-Hui & Wu, Po-Chin

2013 Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies
by Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian

2013 Risk and return in the Tehran stock exchange
by Jahan-Parvar, Mohammad R. & Mohammadi, Hassan

2013 Orthogonalized factors and systematic risk decomposition
by Klein, Rudolf F. & Chow, Victor K.

2013 New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation
by Zeng, Zheng

2013 Religion and returns in Europe
by Salaber, Julie

2013 Sovereign default risk and decentralization: Evidence for emerging markets
by Eichler, Stefan & Hofmann, Michael

2013 Capital gains, illiquidity, and stock returns
by Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng

2013 Tax reform and the identity of marginal traders around ex-dividend days
by Tseng, Yun-lan & Hu, Shing-yang

2013 Interbank market, stock market, and bank performance in East Asia
by Inoguchi, Masahiro

2013 Is there a volatility effect in the Hong Kong stock market?
by Nartea, Gilbert V. & Wu, Ji

2013 Does the organisational form of the target influence market reaction to acquisition announcements? Australian evidence
by Shams, Syed M.M. & Gunasekarage, Abeyratna & Colombage, Sisira R.N.

2013 Insider trading, accrual abuse, and corporate governance in emerging markets — Evidence from Taiwan
by Tang, Hui-wen & Chen, Anlin & Chang, Chong-Chuo

2013 Can US economic variables predict the Chinese stock market?
by Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen

2013 Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia
by Docherty, Paul & Chan, Howard & Easton, Steve

2013 An empirical study of credit spreads in an emerging market: The case of Korea
by Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon

2013 Investors' information advantage and order choices in an order-driven market
by Tsai, Shih-Chuan

2013 The price of sin in the Pacific-Basin
by Durand, Robert B. & Koh, SzeKee & Tan, Paul LiJian

2013 Liquidity commonality among Asian equity markets
by Wang, Jianxin

2013 Weekly momentum by return interval ranking
by Pan, Li & Tang, Ya & Xu, Jianguo

2013 Asset returns and liquidity effects: Evidence from a developed but small market
by Nguyen, Nhut H. & Lo, Ka Hei

2013 Information asymmetry, price discovery, and the Chinese B-share discount puzzle
by Doukas, John A. & Wang, Liu

2013 Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach
by Tswei, Keshin

2013 Commonality in individuals' trading: A systematic path between behavioral bias and expected returns
by Chae, Joon & Yang, Cheol-Won

2013 Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange
by Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang

2013 Return and volatility interaction between oil prices and stock markets in Saudi Arabia
by Jouini, Jamel

2013 Towards an efficient stock market: Empirical evidence from the Indian market
by Majumder, Debasish

2013 Consumption benefits and gambling: Evidence from the NCAA basketball betting market
by Humphreys, Brad R. & Paul, Rodney J. & Weinbach, Andrew P.

2013 Testing for rational bubbles in the US housing market
by Kivedal, Bjørnar Karlsen

2013 Soft information and economic activity: Evidence from the Beige Book
by Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul

2013 Consumption and stock prices: Evidence from a small international panel
by McMillan, David G.

2013 Stock returns and monetary policy: Are there any ties?
by Bouakez, Hafedh & Essid, Badye & Normandin, Michel

2013 How do leverage ratios affect bank share performance during financial crises: The Japanese experience of the late 1990s
by Chen, Sichong

2013 The investment technology of foreign and domestic institutional investors in an emerging market
by Patnaik, Ila & Shah, Ajay

2013 The market microstructure approach to foreign exchange: Looking back and looking forward
by King, Michael R. & Osler, Carol L. & Rime, Dagfinn

2013 Dynamic expectation formation in the foreign exchange market
by ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J.

2013 What drives corporate default risk premia? Evidence from the CDS market
by Díaz, Antonio & Groba, Jonatan & Serrano, Pedro

2013 Spread the news: The impact of news on the European sovereign bond markets during the crisis
by Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel

2013 Inflation illusion and the US dividend yield: Some further evidence
by Acker, Daniella & Duck, Nigel W.

2013 Rare event risk and emerging market debt with heterogeneous beliefs
by Dieckmann, Stephan & Gallmeyer, Michael

2013 The smallest firm effect: An international study
by De Moor, Lieven & Sercu, Piet

2013 Can cross-country portfolio rebalancing give rise to forward bias in FX markets?
by Chang, Sanders S.

2013 The economics of options-implied inflation probability density functions
by Kitsul, Yuriy & Wright, Jonathan H.

2013 Quiet bubbles
by Hong, Harrison & Sraer, David

2013 Political uncertainty and risk premia
by Pástor, Ľuboš & Veronesi, Pietro

2013 Do jumps contribute to the dynamics of the equity premium?
by Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei

2013 Predicting market returns using aggregate implied cost of capital
by Li, Yan & Ng, David T. & Swaminathan, Bhaskaran

2013 Liquidity risk of corporate bond returns: conditional approach
by Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T.

2013 Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis
by Aharoni, Gil & Grundy, Bruce & Zeng, Qi

2013 The economics of hedge funds
by Lan, Yingcong & Wang, Neng & Yang, Jinqiang

2013 Investment shocks and the commodity basis spread
by Yang, Fan

2013 Predictability of currency carry trades and asset pricing implications
by Bakshi, Gurdip & Panayotov, George

2013 Pricing the term structure with linear regressions
by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

2013 Company name fluency, investor recognition, and firm value
by Green, T. Clifton & Jame, Russell

2013 Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms
by Edelman, Daniel & Fung, William & Hsieh, David A.

2013 The term structure of interbank risk
by Filipović, Damir & Trolle, Anders B.

2013 The dividend month premium
by Hartzmark, Samuel M. & Solomon, David H.

2013 Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
by Joslin, Scott & Le, Anh & Singleton, Kenneth J.

2013 A production-based model for the term structure
by Jermann, Urban J.

2013 The leverage effect puzzle: Disentangling sources of bias at high frequency
by Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying

2013 The mystery of zero-leverage firms
by Strebulaev, Ilya A. & Yang, Baozhong

2013 The asset growth effect: Insights from international equity markets
by Watanabe, Akiko & Xu, Yan & Yao, Tong & Yu, Tong

2013 Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply
by D’Amico, Stefania & King, Thomas B.

2013 Risk and return: Long-run relations, fractional cointegration, and return predictability
by Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George

2013 Learning and the disappearing association between governance and returns
by Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y.

2013 Connecting two markets: An equilibrium framework for shorts, longs, and stock loans
by Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D.

2013 The role of shorting, firm size, and time on market anomalies
by Israel, Ronen & Moskowitz, Tobias J.

2013 Cross section of option returns and idiosyncratic stock volatility
by Cao, Jie & Han, Bing

2013 Anomalies and financial distress
by Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander

2013 The other side of value: The gross profitability premium
by Novy-Marx, Robert

2013 Political activism, information costs, and stock market participation
by Bonaparte, Yosef & Kumar, Alok

2013 Inequality, stock market participation, and the equity premium
by Favilukis, Jack

2013 Prospect theory, the disposition effect, and asset prices
by Li, Yan & Yang, Liyan

2013 Innovative efficiency and stock returns
by Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei

2013 Probability weighting functions implied in options prices
by Polkovnichenko, Valery & Zhao, Feng

2013 The “out-of-sample” performance of long run risk models
by Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin

2013 Capacity constraints, investor information, and hedge fund returns
by Ramadorai, Tarun

2013 Growth options, macroeconomic conditions, and the cross section of credit risk
by Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona

2013 Growth to value: Option exercise and the cross section of equity returns
by Ai, Hengjie & Kiku, Dana

2013 Government spending, political cycles, and the cross section of stock returns
by Belo, Frederico & Gala, Vito D. & Li, Jun

2013 Realizing smiles: Options pricing with realized volatility
by Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide

2013 Market skewness risk and the cross section of stock returns
by Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris

2013 Are mutual funds sitting ducks?
by Shive, Sophie & Yun, Hayong

2013 The market for borrowing corporate bonds
by Asquith, Paul & Au, Andrea S. & Covert, Thomas & Pathak, Parag A.

2013 Style investing, comovement and return predictability
by Wahal, Sunil & Yavuz, M. Deniz

2013 Incomplete markets, liquidation risk, and the term structure of interest rates
by Challe, Edouard & Le Grand, François & Ragot, Xavier

2013 Consumption and bubbles
by Loewenstein, Mark & Willard, Gregory A.

2013 Estimating and testing beta pricing models on industries
by Hammami, Yacine & Lindahl, Anna

2013 Liquidity provision in a limit order book without adverse selection
by Bayar, Onur

2013 Super-exponential bubbles in lab experiments: Evidence for anchoring over-optimistic expectations on price
by Hüsler, A. & Sornette, D. & Hommes, C.H.

2013 The house doesn’t always win: Evidence of anchoring among Australian bookies
by McAlvanah, Patrick & Moul, Charles C.

2013 On the efficiency of the UPREIT organizational form: Implications for the subprime crisis and CDO's
by Ebrahim, M. Shahid & Mathur, Ike

2013 Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis
by Calice, Giovanni & Chen, Jing & Williams, Julian

2013 Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries
by Wang, Yudong & Wu, Chongfeng & Yang, Li

2013 Saving-based asset-pricing
by Dreyer, Johannes K. & Schneider, Johannes & Smith, William T.

2013 Insiders’ incentives for asymmetric disclosure and firm-specific information flows
by Jiang, Li & Kim, Jeong-Bon & Pang, Lei

2013 Overconfident individual day traders: Evidence from the Taiwan futures market
by Kuo, Wei-Yu & Lin, Tse-Chun

2013 Are extreme returns priced in the stock market? European evidence
by Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt

2013 The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
by Ederington, Louis H. & Guan, Wei

2013 Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
by Weiß, Gregor N.F. & Supper, Hendrik

2013 Asymmetry in government bond returns
by Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke

2013 A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
by Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei

2013 Suppliers’ and customers’ information asymmetry and corporate bond yield spreads
by Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju & Hsieh, Yu-Ling

2013 Impact of idiosyncratic volatility on stock returns: A cross-sectional study
by Khovansky, Serguey & Zhylyevskyy, Oleksandr

2013 Sarbanes-Oxley Act and corporate credit spreads
by Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P.

2013 Prospect theory and trading patterns
by Yao, Jing & Li, Duan

2013 Greasing the wheels of bank lending: Evidence from private firms in China
by Chen, Yunling & Liu, Ming & Su, Jun

2013 Rewards for downside risk in Asian markets
by Alles, Lakshman & Murray, Louis

2013 Internal liquidity risk, financial bullwhip effects, and corporate bond yield spreads: Supply chain perspectives
by Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju

2013 Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach
by Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina

2013 A behavioral explanation of the value anomaly based on time-varying return reversals
by Hwang, Soosung & Rubesam, Alexandre

2013 Return sign forecasts based on conditional risk: Evidence from the UK stock market index
by Chevapatrakul, Thanaset

2013 The impact of credit rating announcements on credit default swap spreads
by Finnerty, John D. & Miller, Cameron D. & Chen, Ren-Raw

2013 Is bank default risk systematic?
by Fiordelisi, Franco & Marqués-Ibañez, David

2013 Does it help to have friends in high places? Bank stock performance and congressional committee chairmanships
by Gropper, Daniel M. & Jahera, John S. & Park, Jung Chul

2013 Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
by Wang, Kent & Liu, Junwei & Liu, Zhi

2013 Revisiting mutual fund performance evaluation
by Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos

2013 Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading
by Levy, Ariel & Lieberman, Offer

2013 Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly
by Dutt, Tanuj & Humphery-Jenner, Mark

2013 Can position limits restrain ‘rogue’ trading?
by ap Gwilym, Rhys & Ebrahim, M. Shahid

2013 Hedge fund liquidity and performance: Evidence from the financial crisis
by Schaub, Nic & Schmid, Markus

2013 The expectations hypothesis: New hope or illusory support?
by Jitmaneeroj, Boonlert & Wood, Andrew

2013 Forecasting the size premium over different time horizons
by Zakamulin, Valeriy

2013 Inference in asset pricing models with a low-variance factor
by Shang, Hua

2013 Pricing securities with multiple risks: A case of exchangeable debt
by Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan

2013 Does foreign institutional ownership increase return volatility? Evidence from China
by Chen, Zhian & Du, Jinmin & Li, Donghui & Ouyang, Rui

2013 The world price of jump and volatility risk
by Driessen, Joost & Maenhout, Pascal

2013 Incomplete information, idiosyncratic volatility and stock returns
by Berrada, Tony & Hugonnier, Julien

2013 No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
by Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio

2013 Market incompleteness and the equity premium puzzle: Evidence from state-level data
by Jacobs, Kris & Pallage, Stéphane & Robe, Michel A.

2013 Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009
by Liu, Zhuoshi & Spencer, Peter

2013 Asset financing with credit risk
by Golbeck, Steven & Linetsky, Vadim

2013 Oil price dynamics, macro-finance interactions and the role of financial speculation
by Morana, Claudio

2013 Dynamic hedge fund portfolio construction: A semi-parametric approach
by Harris, Richard D.F. & Mazibas, Murat

2013 Revisiting asset pricing under habit formation in an overlapping-generations economy
by Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok

2013 Liquidity commonality in commodities
by Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat

2013 Non-marketability and the value of employee stock options
by Abudy, Menachem & Benninga, Simon

2013 Pricing deviation, misvaluation comovement, and macroeconomic conditions
by Chang, Eric C. & Luo, Yan & Ren, Jinjuan

2013 Analyzing determinants of bond yield spreads with Bayesian Model Averaging
by Maltritz, Dominik & Molchanov, Alexander

2013 Liquidation equilibrium with seniority and hidden CDO
by Gourieroux, C. & Heam, J.C. & Monfort, A.

2013 Economic valuation of liquidity timing
by Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel

2013 Did capital infusions enhance bank recovery from the great recession?
by Liu, Wei & Kolari, James W. & Kyle Tippens, T. & Fraser, Donald R.

2013 Liquidity and initial public offering underpricing
by Hahn, TeWhan & Ligon, James A. & Rhodes, Heather

2013 Return decomposition and the Intertemporal CAPM
by Maio, Paulo

2013 Front-running of mutual fund fire-sales
by Dyakov, Teodor & Verbeek, Marno

2013 A comprehensive long-term analysis of S&P 500 index additions and deletions
by Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N.

2013 The intraday impact of company responses to exchange queries
by Drienko, Jozef & Sault, Stephen J.

2013 Speculations in option markets enhance allocation efficiency with heterogeneous beliefs and learning
by Qin, Zhenjiang

2013 Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
by Georgoutsos, Dimitris A. & Migiakis, Petros M.

2013 The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010
by Hagströmer, Björn & Hansson, Björn & Nilsson, Birger

2013 Pricing innovations in consumption growth: A re-evaluation of the recursive utility model
by Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu

2013 Cross-listing and pricing efficiency: The informational and anchoring role played by the reference price
by Chang, Eric C. & Luo, Yan & Ren, Jinjuan

2013 VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation
by Lin, Yueh-Neng

2013 Short-term hedge fund performance
by Slavutskaya, Anna

2013 Financial contagion in the laboratory: The cross-market rebalancing channel
by Cipriani, Marco & Gardenal, Gloria & Guarino, Antonio

2013 Risk premia: Exact solutions vs. log-linear approximations
by Lundtofte, Frederik & Wilhelmsson, Anders

2013 Returns and option activity over the option-expiration week for S&P 100 stocks
by Stivers, Chris & Sun, Licheng

2013 Sovereign credit spreads
by Uhrig-Homburg, Marliese

2013 Predicting stock returns: A regime-switching combination approach and economic links
by Zhu, Xiaoneng & Zhu, Jie

2013 Asset pricing with heterogeneous beliefs and relative performance
by Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke

2013 The second moment matters! Cross-sectional dispersion of firm valuations and expected returns
by Jiang, Danling

2013 A case study of short-sale constraints and limits to arbitrage
by Easton, Steve & Pinder, Sean & Uylangco, Katherine

2013 Credit default swap spreads and variance risk premia
by Wang, Hao & Zhou, Hao & Zhou, Yi

2013 The consumption–wealth ratio, real estate wealth, and the Japanese stock market
by Aono, Kohei & Iwaisako, Tokuo

2013 Market reaction to earnings news: A unified test of information risk and transaction costs
by Zhang, Qi & Cai, Charlie X. & Keasey, Kevin

2013 Accounting restatements, governance and municipal debt financing
by Baber, William R. & Gore, Angela K. & Rich, Kevin T. & Zhang, Jean X.

2013 Cost of capital and earnings transparency
by Barth, Mary E. & Konchitchki, Yaniv & Landsman, Wayne R.

2013 Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN
by Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho

2013 Beta risk and price synchronicity of bank acquirers’ common stock following merger announcements
by Bozos, Konstantinos & Koutmos, Dimitrios & Song, Wei

2013 Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets
by Philippas, Dionisis & Siriopoulos, Costas

2013 Does idiosyncratic volatility matter in emerging markets? Evidence from China
by Nartea, Gilbert V. & Wu, Ji & Liu, Zhentao

2013 The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
by Goda, Thomas & Lysandrou, Photis & Stewart, Chris

2013 Liquidity measurement in frontier markets
by Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat

2013 Changing the methodology of equity indices—The case of the Tel-Aviv Stock Exchange
by Levy, Tamir & Yagil, Joseph

2013 Time-variations in herding behavior: Evidence from a Markov switching SUR model
by Klein, Arne C.

2013 Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis
by Antonakakis, Nikolaos & Vergos, Konstantinos

2013 Bond futures and order imbalance
by Smales, Lee A.

2013 Integration versus segmentation in China's stock market: An analysis of time-varying beta risks
by Li, Hong

2013 Sectoral equity returns and portfolio diversification opportunities across the GCC region
by Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy

2013 When do characteristics-sorted factors mechanically explain returns?
by Murtazashvili, Irina & Vozlyublennaia, Nadia

2013 A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework
by Papavassiliou, Vassilios G.

2013 Saints versus Sinners. Does morality matter?
by Durand, Robert B. & Koh, SzeKee & Limkriangkrai, Manapon

2013 A substitution effect between price clustering and size clustering in credit default swaps
by Meng, Lei & Verousis, Thanos & ap Gwilym, Owain

2013 Business strategy and financial consequences: The case of antidumping filings
by Gurun, Ayfer

2013 International herding: Does it differ across sectors?
by Gębka, Bartosz & Wohar, Mark E.

2013 Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?
by Chen, Yangyang & Koutsantony, Constantine & Truong, Cameron & Veeraraghavan, Madhu

2013 Price impact of block trades in the Saudi stock market
by Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert

2013 Modelling the sovereign linkages of key Latin American economies
by Thuraisamy, Kannan & Gannon, Gerard

2013 Consistent dynamic affine mortality models for longevity risk applications
by Blackburn, Craig & Sherris, Michael

2013 Pricing European options on deferred annuities
by Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael

2013 Pricing inflation products with stochastic volatility and stochastic interest rates
by Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.

2013 Best portfolio insurance for long-term investment strategies in realistic conditions
by Pézier, Jacques & Scheller, Johanna

2013 International Bond Risk Premia
by Dahlquist, Magnus & Hasseltoft, Henrik

2013 International risk cycles
by Gourio, François & Siemer, Michael & Verdelhan, Adrien

2013 On the market risk of securitized timberlands
by Sun, Changyou

2013 Financial crisis and a transmission mechanism of external shocks: The signaling role of the Korean Monetary Stabilization Bond
by Kim, Jinyong & Kim, Yong-Cheol

2013 Do investors care about credit ratings? An analysis through the cycle
by Iannotta, Giuliano & Nocera, Giacomo & Resti, Andrea

2013 Are short sellers positive feedback traders? Evidence from the global financial crisis
by Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L.

2013 Executive compensation, risk taking and the state of the economy
by Raviv, Alon & Sisli-Ciamarra, Elif

2013 Short-term residual reversal
by Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno

2013 Rational expectations equilibrium with uncertain proportion of informed traders
by Gao, Feng & Song, Fengming & Wang, Jun

2013 Investing in Chapter 11 stocks: Trading, value, and performance
by Li, Yuanzhi & Zhong, Zhaodong (Ken)

2013 Price discovery in government bond markets
by Valseth, Siri

2013 Optimal trading strategy and supply/demand dynamics
by Obizhaeva, Anna A. & Wang, Jiang

2013 Dividend sensitivity to economic factors, stock valuation, and long-run risk
by Bergeron, Claude

2013 The zero-lower bound on interest rates: Myth or reality?
by Jarrow, Robert A.

2013 Mean–variance dominant trading strategies
by Galvani, Valentina & Gubellini, Stefano

2013 Simulated testing of nonparametric measure changes for hedging European options
by Smith, Godfrey

2013 Transfer of information by an informed trader
by Dev, Pritha

2013 Asset pricing with skewed-normal return
by Carmichael, Benoıˆt & Coën, Alain

2013 A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility
by Chen, Rui & Du, Ke

2013 Time varying stock return predictability: Evidence from US sectors
by Guidolin, Massimo & McMillan, David G. & Wohar, Mark E.

2013 Superconvergence of the finite element solutions of the Black–Scholes equation
by Golbabai, A. & Ballestra, L.V. & Ahmadian, D.

2013 A value premium without operating leverage
by Guthrie, Graeme

2013 Idiosyncratic volatility and the pricing of poorly-diversified portfolios
by Miffre, Joëlle & Brooks, Chris & Li, Xiafei

2013 The January effect for individual corporate bonds
by Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence

2013 European Sovereign Debt Crisis and the performance of Dutch IPOs
by Dorsman, André & Gounopoulos, Dimitrios

2013 Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis
by Battaglia, Francesca & Gallo, Angela

2013 Price discovery of credit spreads in tranquil and crisis periods
by Avino, Davide & Lazar, Emese & Varotto, Simone

2013 Accruals quality, stock returns and asset pricing: Evidence from the UK
by Mouselli, Sulaiman & Jaafar, Aziz & Goddard, John

2013 Predicting the limit-hit frequency in futures contracts
by Levy, Tamir & Qadan, Mahmod & Yagil, Joseph

2013 Investigating the role of illiquidity in explaining the UK closed-end country fund discount
by Davies, Richard & Fletcher, Mary & Marshall, Andrew

2013 New return anomalies and new-Keynesian ICAPM
by Cho, Sungjun

2013 The determinants of quantile autocorrelations: Evidence from the UK
by Gębka, Bartosz & Wohar, Mark E.

2013 Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
by Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M.

2013 Liquidity and expected returns—Evidence from 1926–2008
by Baradarannia, M. Reza & Peat, Maurice

2013 A re-examination of firm's attributes and share returns: Evidence from the Chinese A-shares market
by Li, Bob & Boo, Yee Ling & Ee, Mong Shan & Chen, Cindy

2013 Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market
by Floros, Christos & Kizys, Renatas & Pierdzioch, Christian

2013 Trade size clustering and the cost of trading at the London Stock Exchange
by Verousis, Thanos & ap Gwilym, Owain

2013 Credit risk, valuation and fundamental analysis
by Realdon, Marco

2013 The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
by Vivian, Andrew & Wohar, Mark E.

2013 A model for hedging load and price risk in the Texas electricity market
by Coulon, Michael & Powell, Warren B. & Sircar, Ronnie

2013 Does crude oil price play an important role in explaining stock return behavior?
by Chang, Kuang-Liang & Yu, Shih-Ti

2013 Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries
by Asteriou, Dimitrios & Bashmakova, Yuliya

2013 The liquidity of energy stocks
by Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert

2013 Smooth transition regime shifts and oil price dynamics
by Cifarelli, Giulio

2013 Hurricane forecast revisions and petroleum refiner equity returns
by Fink, Jason D. & Fink, Kristin E.

2013 From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks
by Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M.

2013 What drives the commodity price beta of oil industry stocks?
by Talbot, Edward & Artiach, Tracy & Faff, Robert

2013 Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance
by Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen

2013 Risk spillovers in oil-related CDS, stock and credit markets
by Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael

2013 Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
by Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd

2013 Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments
by Koch, Nicolas & Bassen, Alexander

2013 Downside risk and the energy hedger's horizon
by Conlon, Thomas & Cotter, John

2013 Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
by Awartani, Basel & Maghyereh, Aktham Issa

2013 Autocorrelation and partial price adjustment
by Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho

2013 Valuation of collateralized debt obligations with hierarchical Archimedean copulae
by Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap

2013 Linear-price term structure models
by Gourieroux, C. & Monfort, A.

2013 Modeling the relationship between European carbon permits and certified emission reductions
by Koop, Gary & Tole, Lise

2013 Long memory and tail dependence in trading volume and volatility
by Rossi, Eduardo & Santucci de Magistris, Paolo

2013 Term structure dynamics with macro-factors using high frequency data
by Kim, Hwagyun & Park, Hail

2013 Does mortality improvement increase equity risk premiums? A risk perception perspective
by Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y.

2013 Understanding industry betas
by Baele, Lieven & Londono, Juan M.

2013 An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
by Li, Minqiang

2013 What do the Fama–French factors add to C-CAPM?
by Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R.

2013 A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?
by Wagner, Niklas & Winter, Elisabeth

2013 Does monetary policy determine stock market liquidity? New evidence from the euro zone
by Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg

2013 An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions
by Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien

2013 Stressing correlations and volatilities — A consistent modeling approach
by Becker, Christoph & Schmidt, Wolfgang M.

2013 Sovereign default risk premia: Evidence from the default swap market
by Zinna, Gabriele

2013 Are short sellers incrementally informed prior to earnings announcements?
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2013 Credit risk in covered bonds
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2013 A global approach to mutual funds market timing ability
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2013 Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
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2013 Liquidity and firm investment: Evidence for Latin America
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2013 Another look at the cross-section and time-series of stock returns: 1951 to 2011
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2013 Aggregational Gaussianity and barely infinite variance in financial returns
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2013 Credit cycle dependent spread determinants in emerging sovereign debt markets
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2013 The volatility effect in emerging markets
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2013 Do the production-based factors capture the time-varying patterns in stock returns?
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2013 Dynamic return predictability in the Russian stock market
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2013 Financial market segmentation, stock market volatility and the role of monetary policy
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2013 Macro-expectations, aggregate uncertainty, and expected term premia
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2013 Density approximations for multivariate affine jump-diffusion processes
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2013 Monetary policy regimes and the term structure of interest rates
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2013 Chi-squared tests for evaluation and comparison of asset pricing models
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2013 Jump tails, extreme dependencies, and the distribution of stock returns
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2013 Stock exchange mergers and return co-movement: A flexible dynamic component correlations model
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2013 Flow effects of large-scale asset purchases
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2013 Have Federal Reserve MBS purchases affected market functioning?
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2013 VaR constrained asset pricing with relative performance
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2013 Art market inefficiency
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2013 Bubbles, crashes and risk
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2013 A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns
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2013 Risk aversion in the large and in the small
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2013 Measuring the stance of monetary policy in zero lower bound environments
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2013 The cross market effects of short sale restrictions
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2013 What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research
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2013 Was the 2007 crisis really a global banking crisis?
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2013 Shouldn't all eggs be putted in one basket? A portfolio model based on investor sentiment and inertial thinking
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2013 Investor attention and stock market activity: Evidence from France
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2013 Investor sentiment, information and asset pricing model
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2013 Sentiment approach to negative expected return in the stock market
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2013 Equity risk premium and time horizon: What do the U.S. secular data say?
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2013 Can signal extraction help predict risk premia in foreign exchange rates
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2013 Open source information, investor attention, and asset pricing
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2013 Dynamic asset pricing model with heterogeneous sentiments
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2013 Estimating inflation compensation for Turkey using yield curves
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2013 Modeling the effect of off-farm income on farmland values: A quantile regression approach
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2013 House price dynamics and their reaction to macroeconomic changes
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2013 Stock markets in GCC countries and global factors: A further investigation
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2013 Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP
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2013 Macroeconomic Variables and South African Stock Return Predictability
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2013 Sentiment asset pricing model with consumption
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2013 Conditional market beta for REITs: A comparison of modeling techniques
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2013 The expected real return to equity
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2013 Long-run risk and hidden growth persistence
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2013 Returns-to-scale and the equity premium puzzle
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2013 The impact of short-selling constraints on financial market stability in a heterogeneous agents model
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2013 Modeling diverse expectations in an aggregated New Keynesian Model
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2013 Zipf's law and maximum sustainable growth
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2013 Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
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2013 Asian and Australian options: A common perspective
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2013 Asset price dynamics with heterogeneous beliefs and local network interactions
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2013 Option pricing with discrete time jump processes
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2013 The bull and bear market model of Huang and Day: Some extensions and new results
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2013 Correlated risks vs contagion in stochastic transition models
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2013 Strategy switching in the Japanese stock market
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2013 Business group affiliation, ownership structure, and the cost of debt
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2013 An international look at the lawsuit avoidance hypothesis of IPO underpricing
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2013 Detecting bubbles in Hong Kong residential property market
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2013 Speed of Convergence to Market Efficiency: Example of Top loser Stocks
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2013 Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012
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2013 Rating-Agenturen: fehlbar und überfordert
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2013 The Influence of Housing Price Development on the Household Consumption: Empirical Analysis for the Czech Republic
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2013 Asset Pricing, Capital Structure and the Spirit of Capitalism in a Production Economy
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2013 Stock Market Manipulation in the Presence of Fund Flows
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2013 La estructura temporal de los tipos de interés: conceptos y procedimientos de estimación
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2013 Ciclo económico y prima por riesgo en el mercado accionario colombiano
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2013 Efectos de la política monetaria sobre la valoración de activos en el mercado accionario colombiano (2004-2012)
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2013 Comportamiento de la demanda de dinero en Colombia durante el periodo 2000: I-2010: IV
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2013 Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano
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2013 Provocări Implicate De Evaluarea Companiilor
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2013 Default and liquidity regimes in the bond market during the 2002-2012 period
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2013 Financial versus demand shocks in stock price returns of U.S. non-financial firms in the crisis of 2007
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2013 Was bewegt den DAX?
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2013 La valorisation des instruments financiers dans les banques européennes entre 2009 et 2011 : valeurs de marché ou valeurs issues de modèles ?
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2013 Revisiting The Financial Volatility–Derivative Products Relationship On Euronext.Liffe Using A Frequency Domain Analysis
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2013 Commonalities in Liquidity: Evidence and Intraday Patterns in the Brazilian Market
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2013 The probability of informed trading in the Brazilian stock market
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2013 Inter-temporal CAPM: an empirical test with Brazilian market data
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2013 Discretionary Actions in Measuring Derivatives as a Mechanism for Earnings Management in Banks
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2013 Market Efficiency and Performance of Multimarket Funds
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2013 Macroeconomic risks, idiosyncratic risks and momentum profits Patterns in Neighboring Areas
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2013 Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models
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2013 The anatomy of the global FX market through the lens of the 2013 Triennial Survey
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2013 CoCos: a primer
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2013 The Overnight Currency Swap Rates and ISE Overnight Repo Rates
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2013 Stock Market Indices and Sentiment Indicators: Correlations and Causality
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2013 The Spurious Relation between Inflation Uncertainty and Stock Returns: Evidence from the U.S
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2013 Valuation methods for banks: should we take into account more risk?
by Daniele Previtali

2013 The impact of social networks and mass medias on financial news and investors’ perceptions
by Alessandro Carretta & Vincenzo Farina & Albana Nako

2013 Real estate funds’ performance in the Italian market
by Gianluca Mattarocci

2013 Short Selling
by Adam V. Reed

2013 Empirical Cross-Sectional Asset Pricing
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2013 Liquidity, Sentiment and Segmentation: A Survey of Closed-End Fund Literature
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2013 Influencing Factors Of Valuation Multiples Of Companies
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2013 Crisis on the Hungarian government bond markets in the winter of 2011–2012: Was there a liquidity problem?
by Zoltán Monostori

2013 Home Bias in Open Economy Financial Macroeconomics
by Nicolas Coeurdacier & Hélène Rey

2013 Profiting from Regulation: Evidence from the European Carbon Market
by James B. Bushnell & Howard Chong & Erin T. Mansur

2013 Crises and Recoveries in an Empirical Model of Consumption Disasters
by Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa

2013 News Shocks and the Slope of the Term Structure of Interest Rates
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2013 Asset Prices and Institutional Investors
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2013 Salience and Asset Prices
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2013 Financial Innovation and Portfolio Risks
by Alp Simsek

2013 Intermediary Asset Pricing
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2013,4th quarter update LIBOR: origins, economics, crisis, scandal and reform
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2012 Structural Breaks and Predictive Regressions Models of South African Equity Premium
by Goodness C. Aye & Rangan Gupta & Mampho P. Modise

2012 Macro Shocks and Real US Stock Prices with Special Focus on the "Great Recession"
by Rangan Gupta & Roula Inglesi-Lotz

2012 Real Interest Rate Persistence in South Africa: Evidence and Implications
by Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun

2012 The Equity Risk Premium in Developed Capital Markets: Starting Signal for a New Modesty?
by Leonhard KNOLL & Jan HOCKER

2012 The Impact of Longevity Risk on the Term Structure of the Risk-Return Tradeoff
by Emilio Bisetti

2012 Gender Diversity in the Corporate Boardroom: Do Women Affect Risk?
by Nadia Cosentino & Fabiola Montalto & Carmela Donato & Alessia Via

2012 Assessing the Pre-Crisis Advantages of the EMU for Sovereign Debt Issuers: A Panel VAR Analysis
by Luigi Marattin & Paolo Paesani & Simone Salotti

2012 Are investor sentiments priced by the CAPM?
by Verma, Rahul & Soydemir, Gökçe

2012 Do investors care about noise trader risk?
by Beer, Francisca & Watfa, Mohamad & Zouaoui, Mohamed

2012 A Risk Measure for S-Shaped Assets and Prediction of Investment Performance
by Tang, Qi & Haidar, Haidar & Minsky, Bernard & Thapar, Rishi

2012 Zur Rendite-Risiko-Beziehung am deutschen Aktienmarkt Eine empirische Analyse der Beziehung zwischen dem Deutschen Aktienindex DAX und dem Volatilitätsindex VDAX
by Hubert Dichtl & Wolfgang Drobetz

2012 Dört faktörlü varlık fiyatlama modelinin İMKB’de test edilmesi
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2012 Vadeli Finansal Piyasaların para politikası sürprizlerine tepkisi: Türkiye için bir T-GARCH uygulaması
by Macide ÇİÇEK

2012 A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction
by David R. Bell & Olivier Ledoit & Michael Wolf

2012 A new measure of equity duration: The duration-based explanation of the value premium revisited
by Schröder, David & Esterer, Florian

2012 The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds
by Schuster, Philipp & Uhrig-Homburg, Marliese

2012 Efficiency in the UK Commercial Property Market: A Long-run Perspective
by Devaney, Steven & Holtemöller, Oliver & Schulz, Rainer

2012 New instruments for banking regulation and monetary policy after the crisis
by Detzer, Daniel

2012 Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach
by Lux, Thomas

2012 Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der 'sichere Hafen'?
by Boysen-Hogrefe, Jens

2012 On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles
by Gracia, Eduard

2012 Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten
by Krones, Julia & Cremers, Heinz

2012 Fixed income strategies for trading and for asset management
by Tinschert, Jonas & Cremers, Heinz

2012 An evidence of speculation in Indian commodity markets
by Vijay Kumar Varadi

2012 Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability
by Jank, Stephan

2012 The role of uncertainty in the euro crisis: A reconsideration of liquidity preference theory
by Pusch, Toralf

2012 Estimating endogenous liquidity using transaction and order book information
by Durand, Philippe & Gündüz, Yalin & Thomazeau, Isabelle

2012 An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises
by Halberstadt, Arne & Stapf, Jelena

2012 Agent-based models for economic policy design: Two illustrative examples
by Westerhoff, Frank & Franke, Reiner

2012 Der Einfluss des Budgetbegleitgesetzes 2011 auf das Handelsvolumen am österreichischen Kapitalmarkt
by Niemann, Rainer & Rünger, Silke

2012 Durable Consumption, Long-Run Risk and The Equity Premium
by Na Guo & Peter N. Smith

2012 Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks
by Alfonso Mendoza-Velazquez & Peter N. Smith

2012 Trend Following, Risk Parity and Momentum in Commodity Futures
by Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas

2012 The Meiselman forward interest rate revision regression as an Affine Term Structure Model
by Adam Golinski & Peter Spencer

2012 Testing CAPM with a Large Number of Assets
by M Hashem Pesaran & Takashi Yamagata

2012 Modeling of short term interest rate based on tempered fractional Langevin equation
by Janusz Gajda

2012 The Bulgarian Foreign and Domestic Debt – A No-Arbitrage Macrofinancial View
by Vilimir Yordanov

2012 Can Concentration Control Policies Eliminate Bubbles?
by Volodymyr Lugovskyy & Daniela Puzzello, & Steven Tucker & Arlington Williams

2012 The Cake-eating problem: Non-linear sharing rules
by Eugenio Peluso & Alain Trannoy

2012 CDS Industrial Sector Indices, credit and liquidity risk
by Monica Billio & Massimiliano Caporin & Loriana Pelizzon & Domenico Sartore

2012 Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets
by Xue-Zhong He

2012 An Evolutionary CAPM Under Heterogeneous Beliefs
by Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li

2012 A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model
by Susanne Griebsch & Kay Pilz

2012 Heterogeneous Beliefs and the Cross-Section of Asset Returns
by Xue-Zhong He & Lei Shi

2012 Heterogeneous Beliefs and the Performances of Optimal Portfolios
by Xue-Zhong He & Lei Shi

2012 Central Bank Reserves and the Yield Curve at the ZLB
by Mirkov, Nikola & Sutter, Barbara

2012 An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union
by Ammann, Manuel & Odoni, Sandro & Oesch, David

2012 International Financial Transmission of the US Monetary Policy: An Empirical Assessment
by Mirkov, Nikola

2012 Realized Copula
by Fengler, Matthias & Okhrin, Ostap

2012 Speculation, risk premia and expectations in the yield curve
by Francisco Barillas & Kristoffer Nimark

2012 Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
by Óscar Arce & Sergio Mayordomo

2012 Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis
by Sergio Mayordomo & Juan Ignacio Peña & María Rodríguez-Moreno

2012 Fair Value Accounting, Earnings Management and the use of Available-for-Sale Instruments by Bank Managers
by Mary E. Barth & Javier Gomez-Biscarri & Ron Kasznik & Germán López-Espinosa

2012 Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the U.S
by Hasan Cömert

2012 The Risk Premium and Long-Run Global Imbalances
by YiLi Chien & Kanda Naknoi

2012 Credit rating agencies and unsystematic risk: Is there a linkage?
by Pilar Abad Romero & María Dolores Robles Fernández

2012 Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
by Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong

2012 Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust
by John Cotter & Stuart Gabriel & Richard Roll

2012 Determinants of US financial fragility conditions
by Fabio C. Bagliano & Claudio Morana

2012 Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies
by Marcelo Bianconi & Joe A. Yoshino

2012 Evaluation of long-dated assets : The role of parameter uncertainty
by Gollier, Christian

2012 Asset pricing with uncertain betas: A long-term perspective
by Gollier, Christian

2012 Liquid Bundles
by Farhi, Emmanuel & Tirole, Jean

2012 The freeze-out bond exchange offer. An experimental approach
by Flavio Bazzana & Luigi Mittone & Luciano Andreozzi

2012 Why is Price Discovery in Credit Default Swap Markets News-Specific?
by Marsch, I. & Wagner, W.B.

2012 Why is Price Discovery in Credit Default Swap Markets News-Specific?
by Ian W. Marsh & Wolf Wagner

2012 Rezerv Opsiyonu Mekanizmasi ve Optimal Rezerv Opsiyonu Katsayilarinin Hesaplanmasi
by Doruk Kucuksarac & Ozgur Ozel

2012 Are Swap and Bond Markets Alternatives to Each Other in Turkey?
by Murat Duran & Doruk Kucuksarac

2012 Real Interest Rate Persistence in South Africa: Evidence and Implications
by Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun

2012 Historical Housing-related Statistics for Australia 1881-2011 – A Short Note
by Nigel Stapledon

2012 Oil Shocks and their Impact on Energy Related Stocks in China
by David C Broadstock & Hong Cao & Dayong Zhang

2012 Comonotonic measures of multivariate risks
by Ivar Ekeland & Alfred Galichon & Marc Henry

2012 Testing the Effects of Short-Selling Restrictions on Asset Prices
by Rodrigo De-Losso & Alan De Genaro, Bruno C. Giovannetti

2012 Do Margin Requirements Affect Asset Prices?
by Bruno Cara Giovannetti & Guilherme B. Martins

2012 Asset Pricing under Quantile Utility Maximization
by Bruno Cara Giovannetti

2012 Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky
by Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz

2012 Housing Bubbles and Interest Rates
by Christian Hott & Terhi Jokipii

2012 Detecting Bubbles in Hong Kong Residential Property Market
by Matthew S. Yiu & Jun Yu & Lu Jin

2012 Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods
by Shouwei Liu & Yiu-Kuen Tse

2012 Detecting Bubbles in Hong Kong Residential Property Market
by Matthew S. Yiu & Jun Yu & Lu Jin

2012 Robust Deviance Information Criterion for Latent Variable Models
by Yong Li & Tao Zeng & Jun Yu

2012 Simulated Maximum Likelihood Estimation for Latent Diffusion Models
by Tore Selland Kleppe & Jun Yu & Hans J. Skaug

2012 Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
by Qiankun Zhou & Jun Yu

2012 Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
by Andras Fulop & Junye Li & Jun Yu

2012 Sovereign Default Risk in the Euro-Periphery and the Euro-Candidate Countries
by Gabrisch, Hurbert & Orlowski, Lucjan & Pusch, Toralf

2012 Heterogenous Beliefs and Tests of Present Value Models
by Ken Kasa & Todd Walker & Charles Whiteman

2012 A Simple Characterization of Dynamic Completeness in Continuous Time
by Theodoros M. Diasakos

2012 A decision-theoretic model of asset-price underreaction and overreaction to dividend news
by Alexander Ludwig & Alexander Zimper

2012 The Performance of Socially Responsible Investment Funds: A Meta-Analysis
by Rathner, Sebastian

2012 Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
by Ceylan, Ozcan

2012 Strengthening the Financial System and Mobilizing Savings to Support More Balanced Growth in ASEAN+3
by Siackhachanh, A. Noy

2012 The Impact of Stock Market Illiquidity on Real UK GDP Growth
by Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas

2012 Bayesian Semiparametric Dynamic Nelson-Siegel Model
by Cem Çakmakli

2012 Effective Trade Execution
by Riccardo Cesari & Massimiliano Marzo & Paolo Zagaglia

2012 Currency Momentum Strategies
by Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf

2012 Measuring Market Liquidity: An Introductory Survey
by Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia

2012 Average Portfolio Insurance Strategies
by Jacques Pézier & Johanna Scheller

2012 Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés
by Choy, Marylin & Cerna, Jorge

2012 Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement
by Jean Cordier & Alexandre Gohin

2012 A Variance Decomposition of Index-Linked Bond Returns
by Francis Breedon

2012 Energy cost modelling of new technology adoption for Russian regional power and heat generation
by Alexandra Bratanova & Jacqueline Robinson & Liam Wagner

2012 Systemic Risk Analysis using Forward-Looking Distance-to-Default Series
by Martín Saldías

2012 Market perception of fiscal sustainability: An application to the largest euro area economies
by Maximiano Pinheiro

2012 Asset pricing with a bank risk factor
by João Pedro Pereira & António Rua

2012 İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme
by Cevik, Emrah Ismail

2012 Динамика Ликвидности На Рынке Первичных Публичных Размещений
by Vdovychenko, Artem

2012 Optimal portfolio selection in ex ante stock price bubble and furthermore bubble burst scenario from Dhaka stock exchange with relevance to sharpe’s single index model
by Kamal, Javed Bin

2012 Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych
by Buła, Rafał

2012 Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
by Avino, Davide & Lazar, Emese & Varotto, Simone

2012 Deciphering Liquidity Risk on the Istanbul Stock Exchange
by Erten, Irem & Okay, Nesrin

2012 Serial default and debt renegotiation
by Asonuma, Tamon

2012 Magyar szuverén fix kamatozású forintkötvények hozamdekompozíciója
by Monostori, Zoltan

2012 Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs
by Huang, Huichou & MacDonald, Ronald & Zhao, Yang

2012 Recent Evidence on the Impact of Federal Government Budget Deficits on the Nominal Long Term Mortgage Interest Rate in the U.S
by Cebula, Richard & Foley, Maggie

2012 Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis
by Guler, Halil & Talasli, Anil

2012 Mutual influence of the exchange assets: practical aspects
by Kozmenko, Serhiy & Plastun, Oleksiy

2012 Deciphering financial contagion in the euro area during the crisis
by Tola, Albi & Wälti, Sébastien

2012 Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L)
by Saturnino, Odilon & Saturnino, Valéria & Lucena, Pierre & Caetano, Marcelino & Florencio dos Santos, Josete

2012 Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
by Huang, Huichou & MacDonald, Ronald

2012 Expectations-Based Reference-Dependent Preferences and Asset Pricing
by Pagel, Michaela

2012 An Economic Examination of Collateralization in Different Financial Markets
by Xiao, Tim

2012 Why are U.S. Stocks More Volatile?
by Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M.

2012 An Economic Examination of Collateralization in Different Financial Markets
by Xiao, Tim

2012 Incentive-Compatible Sukuk Musharakah for Private Sector Funding
by Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene

2012 Why African Stock Markets Should Formally Harmonise and Integrate their Operations
by Ntim, Collins G

2012 Relationship between Corporate Governance Score and Stock Prices: Evidence from KSE- 30 Index Companies
by Malik, Saif Ullah

2012 The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models
by Yun, Tack & Kim, Jinsook & Ko, Eunmi

2012 Markets Evolution After the Credit Crunch
by Bianchetti, Marco & Carlicchi, Mattia

2012 Sustainable trends and periodicity in consumer price indices indicate that the era of low energy prices is approaching
by Kitov, Ivan & Kitov, Oleg

2012 U.K. cross-sectional equity data: The case for robust investability filters
by Rossi, Francesco

2012 Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
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2012 Why Do Financial Intermediaries Buy Put Options from Companies?
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2012 Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades
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2012 The dynamic relation between short sellers, option traders, and aggregate returns
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2012 Fiancial Innovation, Structuring and Risk Transfer
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2012 Collateral choice and the fundamental theorem of asset pricing
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2012 Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
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2012 The Capital Asset Pricing Model: Empirical Evidence from Pakistan
by Yasmeen, & Masood, Sarwar & Saghir, Ghauri & Muhammad, Waqas

2012 Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and service sectors in India
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2012 Individual versus Collective Enforcement Rights in Sovereign Bonds
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2012 Liquidity and asset prices: a VECM approach
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2012 Evolution of security transaction tax in India
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2012 The savings paradox or managing financial, economic or financial risks
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2012 Algorithm for construction of portfolio of stocks using Treynor’s ratio
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2012 Effective Trade Execution
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2012 Estimating term structure changes using principal component analysis in Indian sovereign bond market
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2012 Macroeconomic variables and stock market: US review
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2012 Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011
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2012 An evidence of speculation in Indian commodity markets
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2012 A note on the empirical test of herding: a threshold regression approach
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2012 A note on the pricing of the perpetual American capped power put option
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2012 Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques
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2012 The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data
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2012 EMU sovereign spreads and macroeconomic news
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2012 Testing for predictability in a noninvertible ARMA model
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2012 ECB Policy Response to the Euro/US Dollar Exchange Rate
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2012 Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology
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2012 Timing asset market peaks: the role of the liquidity risk cycle of the banking system
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2012 Monetary Policy and Share Pricing Business in Nigeria
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2012 Non-standardized form of CAPM and stock returns
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2012 Triffin’s Dilemma Again and the Efficient Level of U.S. Government Debt
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2012 Real Estate Market Risk in Bank Stock Returns: Evidence for 15 European Countries
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2012 The Money Value of a Man
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2012 I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti
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2012 Tobin Lives: Integrating evolving credit market architecture into flow of funds based macro-models
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2012 A Survey of Systemic Risk Analytics
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2012 Measuring the stance of monetary policy in zero lower bound environments
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2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound
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2012 Public Disclosure by ‘Small’ Traders
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2012 Decentralized Exchange
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2012 Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble
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2012 The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
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2012 Disagreement and Asset Prices
by Bruce I. Carlin & Francis A. Longstaff & Kyle Matoba

2012 Valuation Risk and Asset Pricing
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2012 Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
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2012 Embedded Leverage
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2012 Building Castles in the Air: Evidence from Industry IPO Waves
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2012 Empirical Cross-Sectional Asset Pricing
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2012 Speculative Betas
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2012 Quiet Bubbles
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2012 Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
by Takatoshi Ito & Kenta Yamada & Misako Takayasu & Hideki Takayasu

2012 Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates
by Martin L. Weitzman

2012 Do prices reveal the presence of informed trading?
by Pierre Collin-Dufresne & Vyacheslav Fos

2012 Insider Trading, Stochastic Liquidity and Equilibrium Prices
by Pierre Collin-Dufresne & Vyacheslav Fos

2012 Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
by Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein

2012 Digesting Anomalies: An Investment Approach
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2012 An Intertemporal CAPM with Stochastic Volatility
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2012 Endogenous Liquidity and Defaultable Bonds
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2012 Foreclosure externalities: Some new evidence
by Kristopher Gerardi & Eric Rosenblatt & Paul S. Willen & Vincent Yao

2012 Risks For the Long Run: Estimation with Time Aggregation
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2012 Risk and Returns to Education
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2012 Legislating Stock Prices
by Lauren Cohen & Karl B. Diether & Christopher Malloy

2012 Market Liquidity -- Theory and Empirical Evidence
by Dimitri Vayanos & Jiang Wang

2012 Econometric Analysis of Present Value Models When the Discount Factor Is near One
by Kenneth D. West

2012 The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan

2012 The Economics of Options-Implied Inflation Probability Density Functions
by Yuriy Kitsul & Jonathan H. Wright

2012 Tail Risk in Momentum Strategy Returns
by Kent Daniel & Ravi Jagannathan & Soohun Kim

2012 Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
by Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson

2012 Volatility, the Macroeconomy and Asset Prices
by Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron

2012 The Money Value of a Man
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2012 Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars
by Robert Novy-Marx

2012 House Price Moments in Boom-Bust Cycles
by Todd M. Sinai

2012 Country Size, Currency Unions, and International Asset Returns
by Tarek Alexander Hassan

2012 Parametric Inference and Dynamic State Recovery from Option Panels
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

2012 Status Competition and Housing Prices
by Shang-Jin Wei & Xiaobo Zhang & Yin Liu

2012 A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
by Leonid Kogan & Dimitris Papanikolaou

2012 Convective Risk Flows in Commodity Futures Markets
by Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong

2012 The "Out of Sample" Performance of Long-run Risk Models
by Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie

2012 Inflation and Individual Equities
by Andrew Ang & Marie Brière & Ombretta Signori

2012 Growth Opportunities, Technology Shocks, and Asset Prices
by Leonid Kogan & Dimitris Papanikolaou

2012 Identification and Estimation of Gaussian Affine Term Structure Models
by James D. Hamilton & Jing Cynthia Wu

2012 How Firms Use Domestic and International Corporate Bond Markets
by Juan Carlos Gozzi & Ross Levine & Maria Soledad Martinez Peria & Sergio L. Schmukler

2012 International Capital Flows and House Prices: Theory and Evidence
by Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh

2012 An Equilibrium Asset Pricing Model with Labor Market Search
by Lars-Alexander Kuehn & Nicolas Petrosky-Nadeau & Lu Zhang

2012 Liquidity needs, private information, feedback trading: verifying motives to trade
by Bartosz Gębka & Dobromił Serwa

2012 A macroeconomic framework for quantifying systemic risk
by Zhiguo He & Arvind Krishnamurthy

2012 Flights to Safety
by Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei

2012 Risk, uncertainty and monetary policy
by Geert Bekaert & Marie Hoerova & Marco Lo Duca

2012 Heterogeneous Agents in Multi-markets: A Coupled Map Lattices Approach
by Weihong HUANG & Zhenxi CHEN

2012 Price-Volume Relations in Financial Market
by Weihong HUANG & Wanying Wang

2012 Skewness Risk and Bond Prices
by Francisco Ruge-Murcia

2012 Skewness Risk and Bond Prices
by RUGE-MURCIA, Francisco J.

2012 Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007
by Varvara Isyuk

2012 Learning by Trading in Infinite Horizon Strategic Market Games with Default
by Sonja Brangewitz & Gaël Giraud

2012 Learning by Trading in Infinite Horizon Strategic Market Games with Default
by Sonja Brangewitz & Gaël Giraud

2012 Trading and rational security pricing bubbles
by Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa

2012 The dollar squeeze of the financial crisis
by Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan

2012 Stock Market Volatility and Learning
by Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo

2012 Is Socially Responsible Investing Really Beneficial? New Empirical Evidence for the US and European Stock Markets
by Janick Christian Mollet & Andreas Ziegler

2012 Central Bank Communication and Correlation between Financial Markets: Canada and the United States
by Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch

2012 An Extension of the Consumption-based CAPM Model
by Georges Dionne & Jingyuan Li & Cedric Okou

2012 The Equity Risk Premium: Empirical Evidence from Emerging Markets
by Michael Donadelli & Lorenzo Prosperi

2012 Are private banks the better banks? An insight into the principal-agent structure and risk-taking behavior of German banks
by Frank Schmielewski & Thomas Wein

2012 Leveraging and risk taking within the German banking system: Evidence of the financial crisis in 2007 and 2008
by Frank Schmielewski

2012 Stability Price Index, Core Inflation and Output Volatility
by Wojciech Charemza & Imran Hussain Shah

2012 In search of positive skewness: the case of individual investors
by Patrick Roger & Marie-Hélène Broihanne & Maxime Merli

2012 Central bank interventions and limit order behavior in the foreign exchange market
by Masayuki Susai & Yushi Yoshida

2012 Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
by Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong

2012 Testing for Predictability in a Noninvertible ARMA Model
by Markku Lanne & Mika Meitz & Pentti Saikkonen

2012 A Concave Security Market Line
by Enrico G. De Giorgi & Thierry Post & Atakan Yalcin

2012 Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach
by Thomas Lux

2012 Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der „sichere Hafen“?
by Jens Boysen-Hogrefe

2012 Margin Trading Bans in Experimental Asset Markets
by Sascha Füllbrunn & Tibor Neugebauer

2012 Judgmental Overconfidence and Trading Activity
by Gelinde Fellner & Sebastian Krügel

2012 To See Is To Believe: Common Expectations in Experimental Asset Markets
by Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan

2012 Testing CAPM with a Large Number of Assets
by Pesaran, M. Hashem & Yamagata, Takashi

2012 Testing CAPM with a Large Number of Assets
by Pesaran, M. Hashem & Yamagata, Takashi

2012 Efficiency in the UK Commercial Property Market: A Long-run Perspective
by S. Devaney & Oliver Holtemöller & R. Schulz

2012 Financial contagion and attention allocation
by Jordi Mondria & Climent Quintana Domeque

2012 Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns
by Serguey Khovansky & Zhylyevskyy, Oleksandr

2012 Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions
by Kentaro Kikuchi

2012 Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data
by Kentaro Kikuchi & Kohei Shintani

2012 London or New York: where and when does the gold price originate?
by Brian Lucey & Charles Larkin

2012 An estimation of economic models with recursive preferences
by Xiaohong Chen & Jack Favilukis & Sydney Ludvigson

2012 Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability
by Chang-Jin Kim & Cheolbeom Park

2012 On Creditor Seniority and Sovereign Bond Prices in Europe
by Sven Steinkamp & Frank Westermann

2012 Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
by Gollier, Christian

2012 Asset pricing with uncertain betas: A long-term perspective
by Gollier, Christian

2012 Liquid Bundles
by Farhi, Emmanuel & Tirole, Jean

2012 Dynamic Functional Data Analysis with Nonparametric State Space Models
by Márcio Laurini

2012 Implied Basket Correlation Dynamics
by Wolfgang Karl Härdle & Elena Silyakova & &

2012 Rethinking stock market integration: Globalization, valuation and convergence
by Pui Sun Tam & Pui I Tam & &

2012 Do Japanese Stock Prices Reflect Macro Fundamentals?
by Wenjuan Chen & Anton Velinov &

2012 Realized Copula
by Matthias R. Fengler & Ostap Okhrin &

2012 Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
by Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci

2012 Hidden Liquidity: Determinants and Impact
by Gökhan Cebiroglu & Ulrich Horst

2012 Parametric Inference and Dynamic State Recovery from Option Panels
by Torben G. Andersen & Nicola Fusari & Viktor Todorov

2012 Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
by Andras Fulop & Junye Li & Jun Yu

2012 What Makes the VIX Tick?
by Warren Bailey & Lin Zheng & Yinggang Zhou

2012 Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach
by Matthew S. Yiu & Lu Jin

2012 The Money Value of a Man
by Mark Huggett & Greg Kaplan

2012 Heterogeneous impatience and dynamic inconsistency
by Hara, Chiaki

2012 Asset prices, trading volumes, and investor welfare in markets with transaction costs
by Hara, Chiaki

2012 What Puzzles? New insights in asset pricing
by Aase, Knut K.

2012 Property Rights and the Cost of Capital
by Bjuggren, Per-Olof & Eklund, Johan

2012 Leverage and Asset Prices: An Experiment
by Ana Fostel

2012 Leverage and Asset Prices: An Experiment
by Marco Cipriani & Ana Fostel & Daniel Houser

2012 The Money Value of a Man
by Mark Huggett and Greg Kaplan

2012 Bezahlte Freiwilligenarbeit - ein Widerspruch ?
by Gmür, Markus & Gmür, Markus

2012 A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model
by Wallmeier, Martin & Tauscher, Kathrin

2012 Regime Identification in Limit Order Books
by Rossen Trendafilov & Erick W Rengifo

2012 Optimal Capital Structure with Endogenous Default and Volatility Risk
by Flavia Barsotti

2012 A note on the existence of CAPM equilibria with homogeneous Cumulative Prospect Theory preferences
by Matteo Del Vigna

2012 Decomposing real and nominal yield curves
by Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

2012 Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates
by Ajello, Andrea & Benzoni, Luca & Chyruk, Olena

2012 The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective
by Claudio Morana

2012 Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation
by Claudio Morana

2012 Time-varying Betas of the Banking Sector
by Tomáš Adam & Sona Benecká & Ivo Jánský

2012 The Influence of Housing Price Developments on Household Consumption: Empirical Analysis for the Czech Republic
by Sylvie Dvoráková & Jakub Seidler

2012 Debt Contracts and Stochastic Default Barrier
by Martin Dózsa & Jakub Seidler

2012 Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
by Lucas Bretschger & Filippo Lechthaler

2012 The Late 1970's Bubble in Dutch Collectible Postage Stamps
by Franses, Ph.H.B.F. & Knecht, W.

2012 Policy design in a model with swings in risk appetite
by Bianca De Paoli & Pawel Zabczyk

2012 Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia
by Andrea Vedolin

2012 Measuring the stance of monetary policy in zero lower bound environments
by Leo Krippner

2012 Testing external habits in an asset pricing model
by M Boschi & S d'Addona & A Goenka

2012 A theoretical foundation for the Nelson and Siegel class of yield curve models
by Leo Krippner

2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)
by Leo Krippner

2012 Portfolio Selection – A Technical Note
by Ana Paula Martins

2012 In What Form Will the Eurozone Emerge from the Crisis?
by Allen, Franklin & Ngai, Victor

2012 Have We Solved the Idiosyncratic Volatility Puzzle?
by Hou, Kewei & Loh, Roger

2012 Labor Heterogeneity and Asset Prices: The Importance of Skilled Labor
by Belo, Frederico & Lin, Xiaoji

2012 Probability Weighting of Rare Events and Currency Returns
by Chabi-Yo, Fousseni & Song, Zhaogang

2012 The Inventory Growth Spread
by Belo, Frederico & Lin, Xiaoji

2012 Endogenous Technological Progress and the Cross Section of Stock Returns
by Lin, Xiaoji

2012 Digesting Anomalies: An Investment Approach
by Hou, Kewei & Xue, Chen & Zhang, Lu

2012 Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability
by Favilukis, Jack & Lin, Xiaoji

2012 Labor Hiring, Investment, and Stock Return Predictability in the Cross Section
by Belo, Frederico & Lin, Xiaoji & Bazdresch, Santiago

2012 Wage Rigidity: A Solution to Several Asset Pricing Puzzles
by Favilukis, Jack & Lin, Xiaoji

2012 Does Aggregate Riskiness Predict Future Economic Downturns?
by Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni

2012 Ten badly explained topics in most corporate finance books
by Fernandez, Pablo

2012 Bonos estructurados vendidos en España en los últimos años
by Fernandez, Pablo & Aguirreamalloa, Javier

2012 La insolvencia de Lehman Brothers en septiembre de 2008: Sobre su previsibilidad y sobre algunos "profetas a posteriori"
by Fernandez, Pablo & Aguirreamalloa, Javier

2012 Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session
by Lescourret, Laurence

2012 Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State
by A. Ronald Gallant & Han Hong & Ahmed Khwaja

2012 The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity
by Theoharry Grammatikos & Robert Vermeulen

2012 The pitch rather than the pit: investor inattention during FIFA World Cup matches
by Michael Ehrmann & David-Jan Jansen

2012 The Original Operation Twist: The War Finance Corporation's War Bond Purchase, 1918-1920
by James L. Butkiewicz & Mihaela Solcan

2012 Modelling the Sovereign Linkages of Key Latin American Economies
by Kannan Thuraisamy & Gerard Gannon

2012 Does the choice of estimator matter when forecasting returns?
by Joakim Westerlund & Paresh K Narayan

2012 Complex Stock Price Dynamics and Recurrent Bubbles under the Spirit of Capitalism
by Marco Airaudo

2012 An Estimation of Economic Models with Recursive Preferences
by Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson

2012 Leverage and Default in Binomial Economies: A Complete Characterization
by Ana Fostel & John Geanakoplos

2012 Leverage and Default in Binomial Economies: A Complete Characterization
by Ana Fostel & John Geanakoplos

2012 Leverage and Default in Binomial Economies: A Complete Characterization
by Ana Fostel & John Geanakoplos

2012 Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default
by Ana Fostel & John Geanakoplos

2012 The reaction of stock market returns to anticipated unemployment
by Taamouti, Abderrahim & Gonzalo, Jesús

2012 Nonparametric tests for conditional independence using conditional distributions
by Taamouti, Abderrahim & Bouezmarni, Taoufik

2012 Endogenous bourse structures
by Luque, Jaime & Faias, Marta

2012 Nonparametric estimation and inference for Granger causality measures
by El Ghouch, Anouar & Bouezmarni, Taoufik & Taamouti, Abderrahim

2012 Political risk and corporate investment decisions
by Correia, Ricardo & Restrepo, Diana & Población, Javier

2012 Survival of Hedge Funds : Frailty vs Contagion
by Serge Darolles & Patrick Gagliardini & Christian Gouriéroux

2012 Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
by Serge Darolles & Christian Gouriéroux & Emmanuelle Jay

2012 Correlated Risks vs Contagion in Stochastic Transition Models
by Patrick Gagliardini & Christian Gouriéroux

2012 Determinants of US financial fragility conditions
by Fabio Bagliano & Claudio Morana

2012 Sentiment Trades and Option Prices
by Thorsten Lehnert & Bart Frijns & Remco Zwinkels

2012 The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity
by Theoharry Grammatikos & Robert Vermeulen

2012 Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
by Yoichi Otsubo

2012 Noise Trading and the Cross-Section of Index Option Prices
by Fabian Irek & Thorsten Lehnert & Nicolas Martelin

2012 Bubbles and Experience: An Experiment with a Steady Inflow of New Traders
by Huan Xie & Jipeng Zhang

2012 From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks
by Martin Bohl & Philipp Kaufmann & Patrick Stephan

2012 Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
by Marc Lammerding & Patrick Stephan & Mark Trede & Bernd Wilfling

2012 Valuation Risk and Asset Pricing
by Albuquerque, Rui & Eichenbaum, Martin & Rebelo, Sérgio

2012 Empirical Cross-Sectional Asset Pricing
by Nagel, Stefan

2012 The Federal Reserve’s Large-Scale Asset Purchase Programs: Rationale and Effects
by D'Amico, Stefania & English, William & López-Salido, J David & Nelson, Edward

2012 Asset Prices and Institutional Investors
by Basak, Suleyman & Pavlova, Anna

2012 Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition
by Chen, Zhihua & Lookman, Aziz & Schürhoff, Norman & Seppi, Duane J

2012 Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets
by Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel

2012 The Cross-Section and Time-Series of Stock and Bond Returns
by Koijen, Ralph & Lustig, Hanno & van Nieuwerburgh, Stijn

2012 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
by Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn

2012 The Wealth-Consumption Ratio
by Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien

2012 Can Rare Events Explain the Equity Premium Puzzle?
by Ghosh, Anisha & Julliard, Christian

2012 Robust Capital Regulation
by Acharya, Viral V & Mehran, Hamid & Schuermann, Til & Thakor, Anjan

2012 Competing on Speed
by Pagnotta, Emiliano & Philippon, Thomas

2012 Evaporating Liquidity
by Nagel, Stefan

2012 Currency Momentum Strategies
by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas

2012 Sources of Risk in Currency Returns
by Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina

2012 House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
by Gelain, Paolo & Lansing, Kevin J. & Mendicino, Caterina

2012 Two-dimensional Fourier cosine series expansion method for pricing financial options
by Marjon Ruijter & Kees Oosterlee (CWI)

2012 The Impact of Supply Constraints on House Prices in England
by Wouter Vermeulen & Christian A.L. Hilber

2012 Optimal Portfolio Selection: A Note with a VBA Solution
by Ignacio Velez-Pareja, Pedro Fabián Castilla Ávila & Pedro F. Castilla

2012 Blind Man's Buff: On the Search of the Optimal Capital Structure
by Ignacio Velez-Pareja, Felipe Mejia-Pelaez, James W. Kolari & Felipe Mejia-Pelaez & James W. Kolari

2012 The Internal-Rate-of-Return approach and the AIRR paradigm: A refutation and a corroboration
by Carlo Alberto Magni

2012 The AIRR Approach for Investment Performance Measurement
by Carlo Alberto Magni

2012 Interval and fuzzy Average Internal Rate of Return for investment appraisal
by Maria Letizia Guerra & Carlo Alberto Magni & Luciano Stefanini

2012 Una Introducción Al Costo De Capital
by Ignacio Velez Pareja & Joseph Tham

2012 Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence
by Carlos León & Karen Leiton & Alejandro Reveiz

2012 Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange
by José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura

2012 Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News
by Peter Claeys & Borek Vasicek

2012 Macroprudential Policy and Its Instruments in a Small EU Economy
by Jan Frait & Zlatuse Komarkova

2012 Performance-Based Compensation and Firm Value: Experimental evidence
by Glenn Pfeiffer & Timothy Shields

2012 To buy or not to buy? The value of contradictory analyst signals
by Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne

2012 Risk Premia: Short and Long-term
by Stanislav Khrapov

2012 The investor in warrants
by Victor Mendes Santos

2012 Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes
by Christian Gollier

2012 Asset Pricing Implications of a New Keynesian Model: A Note
by Burkhard Heer & Torben Klarl & Alfred Maussner

2012 On Creditor Seniority and Sovereign Bond Prices in Europe
by Sven Steinkamp & Frank Westermann

2012 Testing Uncovered Interest Rate Parity Using LIBOR
by Muhammad Omer & Jakob de Haan & Bert Scholtens

2012 The Impact of Supply Constraints on House Prices in England
by Christian A. L. Hilber & Wouter Vermeulen

2012 Policy Design in a Model with Swings in Risk Appetite
by Bianca De Paoli & Pawel Zabczyk

2012 Cyclical Risk Aversion, Precautionary Saving and Monetary Policy
by Bianca De Paoli & Pawel Zabczyk

2012 The Real Effects of Hedge Fund Activism: Productivity, Risk, and Product Market Competition
by Alon Brav & Wei Jiang & Hyunseob Kim

2012 Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets
by Athanasios Geromichalos & Lucas Herrenbrueck

2012 Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios
by Doriana Ruffino

2012 Risk Management and Financial Derivatives: An Overview
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2012 Sovereign default and macroeconomic tipping points
by Joy, Mark

2012 Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
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2012 The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
by Michael King & Carol Osler & Dagfinn Rime

2012 Inflation Derivatives Under Inflation Target Regimes
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2012 Ambiguity Aversion and Variance Premium
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2012 Interaction between Single Stock Futures and the Underlying Securities: A Cross-Country Analysis
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2012 Effective Trade Execution
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2012 Application of a Search Model to Appropriate Designing of Reference Rates: Actual Transactions and Expert Judgment
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2012 Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
by Dimitris A. Georgoutsos & Petros Migiakis

2012 What determines bank stock price synchronicity? : Global evidence
by Francis, Bill & Hasan, Iftekhar & Song, Liang & Yeung, Bernard

2012 Signaling asset price bubbles with time-series methods
by Taipalus, Katja

2012 Why is price discovery in credit default swap markets news-specific?
by Marsh, Ian W. & Wagner, Wolf

2012 Real-time warning signs of emerging and collapsing Chinese house price bubbles
by Chen, Xi & Funke, Michael

2012 Integration of Chinese and Russian stock markets with world markets : National and sectoral Perspectives
by Babecký, Jan & Komárek, Lubos & Komárková, Zlatuse

2012 QE and the gilt market: a disaggregated analysis
by Daines, Martin & Joyce, Michael & Tong, Matthew

2012 Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
by de Vincent-Humphreys, Rupert & Noss, Joseph

2012 Measuring Sovereign Contagion in Europe
by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon

2012 House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy
by Paolo Gelain & Kevin J. Lansing & Caterina Mendicino

2012 Measuring sovereign contagion in Europe
by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon

2012 Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market
by M. Eskandar Shah & Sourafel Girm & R. Hudson

2012 Determinantes del Desarrollo de mercados financieros privados: ¿qué pueden decirnos los datos?
by Magdalena Borges & María Victoria Landaberry & Gerardo Licandro

2012 Equity Capital, Bankruptcy Risk and the Liquidity Trap
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2012 Asset Pricing with Second-Order Esscher Transforms
by Monfort, A. & Pegoraro, F.

2012 A model of the euro-area yield curve with discrete policy rates
by Renne, J-P.

2012 Commonality in hedge fund returns: driving factors and implications
by Bussiere, M. & Hoerova, M. & Klaus, B.

2012 A term structure model with level factor cannot be realistic and arbitrage free
by Dubecq , S. & Gourieroux , C.

2012 The role of financial investments in agricultural commodity derivatives markets
by Alessandro Borin & Virginia Di Nino

2012 Expected inflation and inflation risk premium in the euro area and in the United States
by Marcello Pericoli

2012 Real term structure and inflation compensation in the euro area
by Marcello Pericoli

2012 Recent estimates of sovereign risk premia for euro-area countries
by Antonio Di Cesare & Giuseppe Grande & Michele Manna & Marco Taboga

2012 An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
by Gregory H. Bauer & Antonio Diez de los Rios

2012 Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
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2012 Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
by Bruno Feunou & Jean-Sébastien Fontaine

2012 Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
by Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap

2012 The U.S.-Dollar Supranational Zero-Coupon Curve
by Francisco Rivadeneyra

2012 Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable
by Nandini Srivastava & Stephen Satchell

2012 Is Rational Speculation in the Presence of Positive Feedback Traders Destabilizing?
by Lutz G. Arnold & Stephan Brunner

2012 The mean-variance model from the inverse of the variance-covariance matrix
by Jordi Esteve Comas & Manuel Fernandez Lopez

2012 Estimating C-CAPM and the Equity Premium over the Frequency Domain
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2012 Pricing European Options on Deferred Insurance
by Jonathan Ziveyi & Craig Blackburn & Michael Sherris

2012 Are extreme returns priced in the stock market? European evidence
by ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt

2012 External imbalances and financial fragility in the euro area
by Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Filippo Presbitero

2012 Information Environment and the Cost of Capital: A New Approach
by Xuguang Sheng & Orie Barron & Maya Thevenot

2012 Advice and Fictive Learning: The Pricing of Assets in the Laboratory
by Jonathan E. Alevy & Michael K. Price

2012 Fear and Closed-End Fund Discounts
by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern

2012 The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds
by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern

2012 Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries
by Tom Engsted & Thomas Q. Pedersen

2012 Stock Return and Cash Flow Predictability: The Role of Volatility Risk
by Tim Bollerslev & Lai Xu & Hao Zhou

2012 Nonlinear Kalman Filtering in Affine Term Structure Models
by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui

2012 Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach
by Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois

2012 End-of-the-year economic growth and time-varying expected returns
by Stig V. Møller & Jesper Rangvid

2012 The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
by Daniela Osterrieder & Peter C. Schotman

2012 Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
by Nektarios Aslanidis & Charlotte Christiansen

2012 Integration of European Bond Markets
by Charlotte Christiansen

2012 Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
by Olaf Posch & Andreas Schrimpf

2012 Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates
by Heejoon Han & Dennis Kristensen

2012 Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs
by Zhenjiang Qin

2012 Heterogeneous Beliefs, Public Information, and Option Markets
by Zhenjiang Qin

2012 Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare
by Peter O. Christensen & Zhenjiang Qin

2012 Commodity derivatives pricing with inventory effects
by Christian Bach & Matt P. Dziubinski

2012 Finance at Fields
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2012 An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach
by Francis In & Sangbae Kim

2012 Security Analysis, Portfolio Management, and Financial Derivatives
by Cheng-Few Lee & Joseph Finnerty & John Lee & Alice C Lee & Donald Wort

2012 Investments And Portfolio Performance
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2012 Le taux d'escompte à long terme en tenant compte de la production
by Rüther, Pierre-Olivier

2012 Evaluating public policies : Normative models beyond cost benefit analysis
by Lucertini, Giulia

2012 Detecting asset price bubbles with time-series methods
by Taipalus, Katja

2012 Predicting the unpredictable: Forecastable bubbles and business cycles under rational expectations
by Gracia, Eduard

2012 The Public Debt Of Countries From Euro Zone. The Snowball Effect
by Radulescu, Andrei

2012 Systematic Risk Assesment Using Ols Method - The Case Of The Capital Market Of Bosnia And Herzegovina
by Azra Zaimovic

2012 Is the Romanian financial market prepared to support pension system reform?
by Laura Raisa MILOS

2012 Characteristics Of The Chinese Bourses (Stock Markets)
by Jeffrey E. Jarrett, Ph.D. & Eric Kyper, Ph.D.

2012 Under-Reaction Of S&P 500 Implied Volatility To Relevant Information
by Andrey KUDRYAVTSEV

2012 Impact Of Mergers On Corporate Performance: A Sample Study Of Indian Textile Industry
by AMARJIT SAINI & RAVI SINGLA

2012 Asset Pricing In The Indian Capital Market: A Study Of Positive And Negative Return Periods
by RAVI SINGLA & J. S. PASRICHA

2012 The Cross-Section of German Stock Returns: New Data and New Evidence
by Sabine Artmann & Philipp Finter & Alexander Kempf & Stefan Koch & Erik Theissen

2012 The APT Model and its Applicability in Romania’s Case
by Florin Dan PIELEANU

2012 Revisiting Mean Reversion in the Stock Prices of Nine Transition Countries: Threshold Unit Root Test
by Guochen Pan & Seng-Sung Chen & Tsangyao Chang

2012 UK cross-sectional equity data: The case for robust investability filters
by Rossi, Francesco

2012 Comparing Black Litterman Model and Markowitz Mean Variance Model with Beta Factor, Unsystematic Risk and Total Risk
by Caliskan, Tuncer

2012 Volatility Regimes For The Vix Index
by JACINTO MARABEL ROMO

2012 Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market
by Nawazish Mirza & Ayesha Afzal

2012 Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models
by Jianfeng Yu

2012 Bond Risk Premiums and Optimal Monetary Policy
by Francisco Palomino

2012 Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India
by Niyati Bhanja & Arif Billah Dar & Aviral Kumar Tiwari & Olaolu Richard Olayeni

2012 Callable and Puttable Bond Valuation and Embedded Call and Put Option on Bond Cash Flow
by Jaroslav Brada

2012 Interest Rate Swap Valuation for Accounting and Tax Purposes ABSTRACT
by Jaroslav Brada

2012 How Appraisers Develop Fair Value
by Miroslav Škoda

2012 Incomplete Markets and Financial Instability. The Role of Information
by Cristian Ionescu

2012 The Herd Behavior and the Financial Instability
by Cristian Ionescu

2012 Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima
by Gabriel Rodríguez & Alfredo Vargas

2012 Romanian Investment Funds Risk-Adjusted Performance Evaluation
by Filip Angela-Maria & Pochea Maria Miruna

2012 Foreign Direct Investments and Their Impact Upon Exterior Commerce. The Case of Romania
by Dumiter Florin Cornel & Halmi Mirela & David Delia

2012 Speculative Bubbles - A Behavioral Approach
by Dedu Vasile & Turcan Ciprian Sebastian & Turcan Radu

2012 A Study On Financial Derivative Worldwide Transactions -Futures Contracts
by CIOBANU Gheorghe & SECHEL Ioana-Cristina

2012 Underground Economy, Gdp And Stock Market
by Caus Vasile Aurel

2012 The design and implementation of the MNB’s euro sale programme introduced in relation to early repayments
by György Pulai & Zoltán Reppa

2012 Volume and Skewness Analysis in the Major Latin American Stock Markets
by Werner Kristjanpoller & Víctor Caballero

2012 Impact of Financial Reforms on Stock Price Index of Karachi Stock Exchange: An ARDL Cointegration Approach
by Shah Khalid & Wali Ullah & Fazli Rabbi

2012 Recognizability and Liquidity of Assets
by Young Sik Kim & Manjong Lee

2012 On the Origins of Conditional Heteroscedasticity in Time Series
by Richard Ashley

2012 Hayek, Keynes, and modern macroeconomics
by Roger Koppl & William Luther

2012 Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?
by Benjamin R. Auer

2012 Do Asymmetric Causal Relationships Exist between Macroeconomic Variables and Housing Returns in Taiwan?
by Kuan-Min Wang & Yuan-Ming Lee & Chien-Chiang Lee

2012 Dependencia de largo plazo en los rendimientos de acciones mexicanas selectas
by Caberra-Llanos, Agustín Ignacio. & López-Gil, Samantha Sofía. & López-Herrera, Francisco.

2012 Opciones reales en la evaluación económica de activos minerales y energéticos
by Pineda-Saavedra, HUgo & Sierra-Juárez, Guillermo

2012 Extracting Deflation Probability Forecasts from Treasury Yields
by Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch

2012 The News Content of Macroeconomic Announcements: What if Central Bank Communication Becomes Stale?
by Michael Ehrmann & David Sondermann

2012 Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds
by Richard Finlay & Sebastian Wende

2012 Indicator Of Financial Health Proposal And Its Impact On Probability Of Default, Propuesta De Un Indicador De Salud Financiera Y Su Efecto En La Prediccion Del Fracaso Empresarial
by Antonina Modica-Milo & Juan Samuel Baixauli Soler & Susana Alvarez Diez

2012 The Price of Stocks in Latin American Financial Markets: En Empirical Application of the Ohlson Model
by Pedro Martinez & Diego Prior & Josep Rialp

2012 Pricing Of Payment Deferred Vulnerable Options And Its Application To Vulnerable Range Accrual Notes
by Po-Cheng Wu & Chih-Wei Lee & Cheng-Kun Kuo

2012 Is The Value Effect Seasonal? Evidence From Global Equity Markets
by Praveen Kumar Das & S. P. Uma Rao

2012 Do Investors Use Customer Metrics To Value High Growth Service Firms?
by Neeraj J. Gupta & Joseph Golec

2012 Are Downside Higher Order Co-Moments Priced? : Evidence From The French Market
by Houda Hafsa & Dorra Hmaied

2012 Effect Of Auditor’S Judgment And Specialization On Their Differential Opinion Between Semiannual And Annual Financial Reports
by Hsiang-Tsai Chiang & Shu-Lin Lin

2012 Improving the Forecasting Power of Volatility Models
by Ahmed Bensaida

2012 How Do the Asian and the Asia-Pacific Equity Markets Covariate? The Linkage with Japan
by Chikashi Tsuji

2012 Bank Capital Structure, Liquidity and Profitability Evidence from the Nigerian Banking System
by Sebastian Ofumbia Uremadu

2012 Does It Matter Who Trades Energy Derivatives?
by Bahattin Büyüksahin & Michel A. Robe

2012 Real Oil Prices since the 1990s
by Claudio Morana

2012 The Role of Fees in Pension Fund Performance. Evidence from Spain
by Mercedes Alda & Luis Ferruz

2012 Time-Varying Betas of Banking Sectors
by Tomas Adam & Sona Benecka & Ivo Jansky

2012 Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?
by Vit Posta

2012 Internet valuations: The case of Terra-Lycos
by Pablo Fernandez

2012 House Price Comovements in the Eurozone Economies
by Andreas Merikas & Anna Merika & Nikiforos Laopodis & Anna Triantafyllou

2012 Stamp characteristics and long-term return after issuance: evidence from new China stamps
by Xin Chen & Xian Chen

2012 Does attention affect individual investors' investment return?
by Rongsheng Shi & Zhi Xu & Zhengrong Chen & Jing Huang

2012 New instruments for banking regulation and monetary policy after the crisis
by Daniel Detzer

2012 Rating Government Bonds: Can We Raise Our Grade?
by Marc D. Joffe

2012 Markowitz Modeline Dayali Optimal Portfoy Seciminde Islem Hacmi Kisiti
by Umut UYAR & Sinem Guler KANGALLI

2012 Beta Katsayilarinin Tahmini: Istanbul Menkul Kiymetler Borsasi Uzerine Bir Uygulama
by Omer ISKENDEROGLU

2012 Portfolio Selection – A Technical Note
by Ana Paula Martins

2012 Volume, volatility and information linkages in the stock and option markets
by Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong

2012 A logit model of retail investors' individual trading decisions and their relations to insider trades
by Stotz, Olaf & Georgi, Dominik

2012 Islamic investing
by Walkshäusl, Christian & Lobe, Sebastian

2012 Why U.S. firms delist from the Tokyo stock exchange: An empirical analysis
by Liu, Shinhua & Stowe, John D. & Hung, Ken

2012 Volatility risk premium decomposition of LIFFE equity options
by Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung

2012 Do investors value REITs and Non-REITs differently?
by Wei, Peihwang & Yang, Xiaolou

2012 Inside trading, public disclosure and imperfect competition
by Gong, Fuzhou & Liu, Hong

2012 The predictability of aggregate Japanese stock returns: Implications of dividend yield
by Chen, Sichong

2012 R&D, risks and overreaction in a market with the absence of the book-to-market effect
by Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang

2012 Asset pricing with idiosyncratic risk: The Spanish case
by Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis

2012 Intraday trading activities and volatility in round-the-clock futures markets
by Kao, Erin H. & Fung, Hung-Gay

2012 Parametric Value-at-Risk analysis: Evidence from stock indices
by Mabrouk, Samir & Saadi, Samir

2012 Do short selling restrictions destabilize stock markets? Lessons from Taiwan
by Bohl, Martin T. & Essid, Badye & Siklos, Pierre L.

2012 The investment value of the value premium
by Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A.

2012 Evaluating asset pricing models in the Korean stock market
by Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo

2012 The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market
by Luo, Yongli & Fang, Fang & Esqueda, Omar A.

2012 The foreclosure discount: Myth or reality?
by Harding, John P. & Rosenblatt, Eric & Yao, Vincent W.

2012 Investor demand and spot commodity prices: Reply 2
by Tilton, John E. & Humphreys, David & Radetzki, Marian

2012 The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study
by Siddiqi, Hammad

2012 Common trends and common cycles among interest rates of the G7-countries
by Lindenberg, Nannette & Westermann, Frank

2012 Information contagion within small worlds and changes in kurtosis and volatility in financial prices
by Bowden, Mark P.

2012 Central bank announcements of asset purchases and the impact on global financial and commodity markets
by Glick, Reuven & Leduc, Sylvain

2012 International diversification with securitized real estate and the veiling glare from currency risk
by Kroencke, Tim A. & Schindler, Felix

2012 Sovereign risk premiums in the European government bond market
by Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger

2012 When does uncovered interest parity hold?
by Moore, Michael J. & Roche, Maurice J.

2012 Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets
by Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad

2012 The Greek financial crisis: Growing imbalances and sovereign spreads
by Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S.

2012 Investor yield and gross underwriting spread comparisons among U.S. dollar domestic, Yankee, Eurodollar, and global bonds
by Resnick, Bruce G.

2012 Global liquidity risk in the foreign exchange market
by Banti, Chiara & Phylaktis, Kate & Sarno, Lucio

2012 Using survey data to resolve the exchange risk exposure puzzle: Evidence from U.S. multinational firms
by Jongen, R. & Muller, A. & Verschoor, W.F.C.

2012 Securitization, risk-transferring and financial instability: The case of Spain
by Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco

2012 Aging and house prices
by Takáts, Előd

2012 Currency momentum strategies
by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas

2012 Stock returns after major price shocks: The impact of information
by Savor, Pavel G.

2012 Multifactor models and their consistency with the ICAPM
by Maio, Paulo & Santa-Clara, Pedro

2012 Pinning in the S&P 500 futures
by Golez, Benjamin & Jackwerth, Jens Carsten

2012 Geographic dispersion and stock returns
by García, Diego & Norli, Øyvind

2012 ‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables
by Paye, Bradley S.

2012 Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing
by Dezső, Cristian L. & Ross, David Gaddis

2012 The term structure of inflation expectations
by Chernov, Mikhail & Mueller, Philippe

2012 Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban
by Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick

2012 The option to stock volume ratio and future returns
by Johnson, Travis L. & So, Eric C.

2012 Predictive regressions with time-varying coefficients
by Dangl, Thomas & Halling, Michael

2012 Testing conditional factor models
by Ang, Andrew & Kristensen, Dennis

2012 Limited arbitrage between equity and credit markets
by Kapadia, Nikunj & Pu, Xiaoling

2012 Sell-order liquidity and the cross-section of expected stock returns
by Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing

2012 Displacement risk and asset returns
by Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros

2012 What does futures market interest tell us about the macroeconomy and asset prices?
by Hong, Harrison & Yogo, Motohiro

2012 Size, value, and momentum in international stock returns
by Fama, Eugene F. & French, Kenneth R.

2012 A unique view of hedge fund derivatives usage: Safeguard or speculation?
by Aragon, George O. & Spencer Martin, J.

2012 How are shorts informed?
by Engelberg, Joseph E. & Reed, Adam V. & Ringgenberg, Matthew C.

2012 Understanding commonality in liquidity around the world
by Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A.

2012 Pricing of commercial real estate securities during the 2007–2009 financial crisis
by Driessen, Joost & Van Hemert, Otto

2012 Variance bounds on the permanent and transitory components of stochastic discount factors
by Bakshi, Gurdip & Chabi-Yo, Fousseni

2012 Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises
by Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G.

2012 Payout yield, risk, and mispricing: A Bayesian analysis
by Shanken, Jay & Tamayo, Ane

2012 Econometric measures of connectedness and systemic risk in the finance and insurance sectors
by Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana

2012 The role of institutional investors in propagating the crisis of 2007–2008
by Manconi, Alberto & Massa, Massimo & Yasuda, Ayako

2012 Arbitrage crashes and the speed of capital
by Mitchell, Mark & Pulvino, Todd

2012 Investor attention, psychological anchors, and stock return predictability
by Li, Jun & Yu, Jianfeng

2012 Measuring investor sentiment with mutual fund flows
by Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi

2012 Chasing noise
by Mendel, Brock & Shleifer, Andrei

2012 The short of it: Investor sentiment and anomalies
by Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu

2012 Global, local, and contagious investor sentiment
by Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu

2012 Realization utility
by Barberis, Nicholas & Xiong, Wei

2012 Time series momentum
by Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje

2012 Cash holdings, risk, and expected returns
by Palazzo, Berardino

2012 Endogenous liquidity in credit derivatives
by Qiu, Jiaping & Yu, Fan

2012 Corporate bond liquidity before and after the onset of the subprime crisis
by Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David

2012 Do arbitrageurs amplify economic shocks?
by Hong, Harrison & Kubik, Jeffrey D. & Fishman, Tal

2012 Is momentum really momentum?
by Novy-Marx, Robert

2012 Endogenous technological progress and the cross-section of stock returns
by Lin, Xiaoji

2012 Counterparty credit risk and the credit default swap market
by Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A.

2012 CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
by Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi

2012 Rational asset pricing bubbles and portfolio constraints
by Hugonnier, Julien

2012 Forecasting the forecasts of others: Implications for asset pricing
by Makarov, Igor & Rytchkov, Oleg

2012 Equilibrium in securities markets with heterogeneous investors and unspanned income risk
by Christensen, Peter Ove & Larsen, Kasper & Munk, Claus

2012 Why does bad news increase volatility and decrease leverage?
by Fostel, Ana & Geanakoplos, John

2012 Securities market theory: Possession, repo and rehypothecation
by Bottazzi, Jean-Marc & Luque, Jaime & Páscoa, Mário R.

2012 Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction
by Barbedo, Claudio H.S. & de Melo, Eduardo F.L.

2012 Real aggregate activity and stock returns
by Du, Ding & Denning, Karen & Zhao, Xiaobing

2012 Volatility persistence in metal returns: A FIGARCH approach
by Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde

2012 Private investment and public equity returns
by Couch, Robert & Wu, Wei

2012 The dynamic adjustments of stock prices to inflation disturbances
by Valcarcel, Victor J.

2012 Delegated portfolio management with career concerns
by Scotti, Massimo

2012 Speculative growth, overreaction, and the welfare cost of technology-driven bubbles
by Lansing, Kevin J.

2012 Estimating behavioural heterogeneity under regime switching
by Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan

2012 Heterogeneous gain learning and the dynamics of asset prices
by LeBaron, Blake

2012 Financial crises and regime-dependent dynamics
by Huang, Weihong & Zheng, Huanhuan

2012 A behavioral model of house prices
by Madsen, Jakob B.

2012 Herding effects in order driven markets: The rise and fall of gurus
by Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro

2012 Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
by Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K.

2012 Does the choice of estimator matter when forecasting returns?
by Westerlund, Joakim & Narayan, Paresh Kumar

2012 State uncertainty in stock markets: How big is the impact on the cost of equity?
by Han, Yufeng

2012 What explains the investment growth anomaly?
by Prombutr, Wikrom & Phengpis, Chanwit & Zhang, Ying

2012 Downside risk of international stock returns
by Galsband, Victoria

2012 Option trading: Information or differences of opinion?
by Choy, Siu Kai & Wei, Jason

2012 Are corporate bond market returns predictable?
by Hong, Yongmiao & Lin, Hai & Wu, Chunchi

2012 Institutional ownership, analyst following, and share prices
by Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A.

2012 Asset pricing with partial-moments
by Anthonisz, Sean A.

2012 Multimarket trading and corporate bond liquidity
by Petrasek, Lubomir

2012 Informed trading, information uncertainty, and price momentum
by Chen, Yifan & Zhao, Huainan

2012 The week-of-the-year effect: Evidence from around the globe
by Levy, Tamir & Yagil, Joseph

2012 Bounds on the autocorrelation of admissible stochastic discount factors
by Chrétien, Stéphane

2012 An alternative three-factor model for international markets: Evidence from the European Monetary Union
by Ammann, Manuel & Odoni, Sandro & Oesch, David

2012 Information demand and stock market volatility
by Vlastakis, Nikolaos & Markellos, Raphael N.

2012 Asset pricing with Second-Order Esscher Transforms
by Monfort, Alain & Pegoraro, Fulvio

2012 Assessing the risk-return trade-off in loan portfolios
by Mencía, Javier

2012 Endogenizing exogenous default barrier models: The MM algorithm
by Forte, Santiago & Lovreta, Lidija

2012 Are good-news firms riskier than bad-news firms?
by Min, Byoung-Kyu & Kim, Tong Suk

2012 Extreme downside risk and expected stock returns
by Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng

2012 Using industry momentum to improve portfolio performance
by Behr, Patrick & Guettler, Andre & Truebenbach, Fabian

2012 The term structure of illiquidity premia
by Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese

2012 On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum
by Bhootra, Ajay & Hur, Jungshik

2012 Pitfalls in VAR based return decompositions: A clarification
by Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten

2012 Earnings conference calls and stock returns: The incremental informativeness of textual tone
by Price, S. McKay & Doran, James S. & Peterson, David R. & Bliss, Barbara A.

2012 A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns
by Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D.

2012 Modeling and measuring intraday overreaction of stock prices
by Klößner, Stefan & Becker, Martin & Friedmann, Ralph

2012 An empirical analysis of marginal conditional stochastic dominance
by Clark, Ephraim & Kassimatis, Konstantinos

2012 Cross-sectional performance and investor sentiment in a multiple risk factor model
by Berger, Dave & Turtle, H.J.

2012 The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors
by Murtazashvili, Irina & Vozlyublennaia, Nadia

2012 Higher co-moments and asset pricing on London Stock Exchange
by Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios

2012 Short selling of ADRs and foreign market short-sale constraints
by Blau, Benjamin M. & Van Ness, Robert A. & Warr, Richard S.

2012 Fast profits: Investor sentiment and stock returns during Ramadan
by Białkowski, Jędrzej & Etebari, Ahmad & Wisniewski, Tomasz Piotr

2012 The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns
by Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R.

2012 Order flow, bid–ask spread and trading density in foreign exchange markets
by Chen, Shikuan & Chien, Chih-Chung & Chang, Ming-Jen

2012 A unique “T+1 trading rule” in China: Theory and evidence
by Guo, Ming & Li, Zhan & Tu, Zhiyong

2012 An improved estimation method and empirical properties of the probability of informed trading
by Yan, Yuxing & Zhang, Shaojun

2012 Another look at trading costs and short-term reversal profits
by de Groot, Wilma & Huij, Joop & Zhou, Weili

2012 Credit rating dynamics in the presence of unknown structural breaks
by Xing, Haipeng & Sun, Ning & Chen, Ying

2012 Option-implied volatility factors and the cross-section of market risk premia
by Li, Junye

2012 Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system
by Fan, Longzhen & Tian, Shu & Zhang, Chu

2012 Distress risk premia in expected stock and bond returns
by Zhang, Andrew Jianzhong

2012 Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
by Beliaeva, Natalia & Nawalkha, Sanjay

2012 Informed or speculative: Short selling analyst recommendations
by Blau, Benjamin M. & Wade, Chip

2012 Models of the yield curve and the curvature of the implied forward rate function
by Yallup, Peter J.

2012 Financial crises in efficient markets: How fundamentalists fuel volatility
by Szafarz, Ariane

2012 Why do firms issue private equity repeatedly? On the motives and information content of multiple PIPE offerings
by Floros, Ioannis V. & Sapp, Travis R.A.

2012 Downside risk aversion, fixed-income exposure, and the value premium puzzle
by Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim

2012 Liquidity risk and stock returns around the world
by Liang, Samuel Xin & Wei, John K.C.

2012 Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London
by Fukuda, Shin-ichi

2012 Estimating the cost of capital with basis assets
by Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng

2012 Mutual fund flows, expected returns, and the real economy
by Jank, Stephan

2012 Intraday technical analysis of individual stocks on the Tokyo Stock Exchange
by Yamamoto, Ryuichi

2012 Corporate taxes, strategic default, and the cost of debt
by Nejadmalayeri, Ali & Singh, Manohar

2012 Day and night returns of Chinese ADRs
by He, Hui & Yang, Jiawen

2012 Momentum, contrarian, and the January seasonality
by Yao, Yaqiong

2012 Pricing the US residential asset through the rent flow: A cross-sectional study
by Goswami, Gautam & Tan, Sinan

2012 The implied cost of capital: A new approach
by Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei

2012 Earnings dispersion and aggregate stock returns
by Jorgensen, Bjorn & Li, Jing & Sadka, Gil

2012 An intertemporal capital asset pricing model with heterogeneous expectations
by Koutmos, Dimitrios

2012 The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
by Arghyrou, Michael G. & Kontonikas, Alexandros

2012 The role of data limitations, seasonality and frequency in asset pricing models
by Murtazashvili, Irina & Vozlyublennaia, Nadia

2012 Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC
by Bley, Jorg & Saad, Mohsen

2012 The efficiency of the buy-write strategy: Evidence from Australia
by Mugwagwa, Tafadzwa & Ramiah, Vikash & Naughton, Tony & Moosa, Imad

2012 Exchange rate risk in the US stock market
by Du, Ding & Hu, Ou

2012 Pricing currency risk in the stock market: Evidence from Finland and Sweden 1970–2009
by Antell, Jan & Vaihekoski, Mika

2012 Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
by Ahčan, Aleš

2012 The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility
by Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli

2012 Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?
by Borio, Claudio & Zhu, Haibin

2012 Primary market characteristics and secondary market frictions of stocks
by Boehme, Rodney & Çolak, Gönül

2012 An improved test for statistical arbitrage
by Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch

2012 What does PIN identify? Evidence from the T-bill market
by Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B.

2012 Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds
by Flynn, Sean Masaki

2012 Hard assets: The returns on rare diamonds and gems
by Renneboog, Luc & Spaenjers, Christophe

2012 Measuring economic uncertainty and its impact on the stock market
by Dzielinski, Michal

2012 Can dual-currency sovereign CDS predict exchange rate returns?
by Pu, Xiaoling & Zhang, Jianing

2012 Some curious power properties of long-horizon tests
by Hjalmarsson, Erik

2012 Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory
by Jarrow, Robert & Protter, Philip

2012 Investor sentiment and stock returns: Wenchuan Earthquake
by Shan, Liwei & Gong, Stephen X.

2012 Wealth dynamics and a bias toward momentum trading
by LeBaron, Blake

2012 Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011
by Choudhry, Taufiq & Jayasekera, Ranadeva

2012 When the market becomes inefficient: Comparing BRIC markets with markets in the USA
by Majumder, Debasish

2012 Common factors, principal components analysis, and the term structure of interest rates
by Juneja, Januj

2012 Empirical analysis of credit spread changes of US corporate bonds
by Loncarski, Igor & Szilagyi, Peter G.

2012 Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence
by Azad, A.S.M. Sohel & Fang, Victor & Hung, Chi-Hsiou

2012 An analysis of intraday market behaviour before takeover announcements
by Rodrigues, Bruno Dore & Souza, Reinaldo Castro & Stevenson, Maxwell J.

2012 The role of the media in a bubble
by Campbell, Gareth & Turner, John D. & Walker, Clive B.

2012 Oil shocks and their impact on energy related stocks in China
by Broadstock, David C. & Cao, Hong & Zhang, Dayong

2012 Pricing emission permits in the absence of abatement
by Hintermann, Beat

2012 Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries
by Lee, Bi-Juan & Yang, Chin Wei & Huang, Bwo-Nung

2012 Oil price shocks and European industries
by Scholtens, Bert & Yurtsever, Cenk

2012 A utility based approach to energy hedging
by Cotter, John & Hanly, Jim

2012 On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness
by Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong

2012 Testing the Masters Hypothesis in commodity futures markets
by Irwin, Scott H. & Sanders, Dwight R.

2012 A meta-analysis of the equity premium
by van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos)

2012 Fractal market time
by McCulloch, James

2012 Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors
by Liu, Xinyi & Margaritis, Dimitris & Wang, Peiming

2012 Smooth transition patterns in the realized stock–bond correlation
by Aslanidis, Nektarios & Christiansen, Charlotte

2012 Time-varying performance of international mutual funds
by Turtle, H.J. & Zhang, Chengping

2012 Global style momentum
by Chao, Hsiao-Ying & Collver, Charles & Limthanakom, Natcha

2012 Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis
by Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang

2012 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
by Engsted, Tom & Pedersen, Thomas Q.

2012 When does investor sentiment predict stock returns?
by Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying

2012 The investment value of the frequency of analyst recommendation changes for the ordinary investor
by Hobbs, Jeffrey & Kovacs, Tunde & Sharma, Vivek

2012 Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims
by Wang, Zhenyu & Zhang, Xiaoyan

2012 Emerging market sovereign bond spreads: Estimation and back-testing
by Comelli, Fabio

2012 The time-varying integration of euro area government bond markets
by Pozzi, Lorenzo & Wolswijk, Guido

2012 Multifactor explanations of returns on the Warsaw Stock Exchange in light of the ICAPM
by Urbański, Stanisław

2012 Econometric analysis of present value models when the discount factor is near one
by West, Kenneth D.

2012 Local GMM estimation of time series models with conditional moment restrictions
by Gospodinov, Nikolay & Otsu, Taisuke

2012 Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach
by Peñaranda, Francisco & Sentana, Enrique

2012 Term structure models and the zero bound: An empirical investigation of Japanese yields
by Kim, Don H. & Singleton, Kenneth J.

2012 Identification and estimation of Gaussian affine term structure models
by Hamilton, James D. & Wu, Jing Cynthia

2012 A semiparametric stochastic volatility model
by Yu, Jun

2012 Semiparametric inference in a GARCH-in-mean model
by Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M.

2012 ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
by Han, Heejoon & Park, Joon Y.

2012 Bayesian hypothesis testing in latent variable models
by Li, Yong & Yu, Jun

2012 MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets
by Emre Alper, C. & Fendoglu, Salih & Saltoglu, Burak

2012 Forecasting the yield curve for the Euro region
by Tabak, B.M. & Sollaci, A.B. & Gomes, G.M. & Cajueiro, D.O.

2012 Asymmetric extreme tails and prospective utility of momentum returns
by Gregory-Allen, Russell & Lu, Helen & Stork, Philip

2012 Disagreement, correlation and asset prices
by He, Xue-Zhong & Shi, Lei

2012 Stock index return forecasting: The information of the constituents
by Cai, Charlie X. & Kyaw, Khine & Zhang, Qi

2012 A variance decomposition of index-linked bond returns
by Breedon, Francis

2012 Can industry regulators learn collusion structures from information-efficient asset markets?
by Zimper, Alexander & Hassan, Shakill

2012 A refined consumption–wealth ratio and its role on time-varying consumption risk
by Quijano, Margot

2012 Transition probabilities in a problem of stochastic process switching
by Veestraeten, Dirk

2012 Structural breaks and GARCH models of stock return volatility: The case of South Africa
by Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel

2012 Information disclosure with leakages
by Grégoire, Philippe & Huang, Hui

2012 Pricing of collectibles: Baedeker guidebooks
by Erdős, Péter & Ormos, Mihály

2012 Modeling hedge fund exposure to risk factors
by Jawadi, Fredj & Khanniche, Sabrina

2012 South African stock return predictability in the context data mining: The role of financial variables and international stock returns
by Gupta, Rangan & Modise, Mampho P.

2012 Modelling the risk–return relation for the S&P 100: The role of VIX
by Kanas, Angelos

2012 Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
by Bao, Qunfang & Chen, Si & Li, Shenghong

2012 Dynamic modelling of real estate investment trusts and stock markets
by Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin

2012 Liquidity-adjusted conditional capital asset pricing model
by Wang, Jinan & Chen, Langnan

2012 Impacts of Macroeconomic Forces and External Shocks on Real Output for Indonesia
by Yu Hsing

2012 Estimation of an agent-based model of investor sentiment formation in financial markets
by Lux, Thomas

2012 Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
by Franke, Reiner & Westerhoff, Frank

2012 Excess covariance and dynamic instability in a multi-asset model
by Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo

2012 Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
by He, Xue-Zhong & Li, Kai

2012 Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
by De Giorgi, Enrico G. & Legg, Shane

2012 Inflation, human capital and Tobin's q
by Basu, Parantap & Gillman, Max & Pearlman, Joseph

2012 Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach
by Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J.

2012 Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
by Lin, Yueh-Neng & Chang, Chien-Hung

2012 Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
by Zimper, Alexander

2012 Small noise methods for risk-sensitive/robust economies
by Anderson, Evan W. & Hansen, Lars Peter & Sargent, Thomas J.

2012 Good timing: The economics of optimal stopping
by Davis, Graham A. & Cairns, Robert D.

2012 Evolving macroeconomic perceptions and the term structure of interest rates
by Orphanides, Athanasios & Wei, Min

2012 Relative risk aversion and the transmission of financial crises
by Boschi, Melisso & Goenka, Aditya

2012 Heterogeneity in stock prices: A STAR model with multivariate transition function
by Lof, Matthijs

2012 Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle
by Barinov, Alexander

2012 Diversification in the hedge fund industry
by Shawky, Hany A. & Dai, Na & Cumming, Douglas

2012 Access to private equity and real firm activity: Evidence from PIPEs
by Brown, James R. & Floros, Ioannis V.

2012 Chinese block transactions and the market reaction
by Bian, Jiangze & Wang, Jun & Zhang, Ge

2012 Is the Chinese stock market really inefficient?
by Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming

2012 The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange
by Muhammed Monjurul Quadir

2012 Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)
by Sahbi FARHANI

2012 Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies
by Bettina Lis & Christian Neßler & Jan Retzmann

2012 Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical
by Seyyed Ali Paytakhti Oskooe

2012 Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis
by Saban Celik

2012 A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions
by Josep Maria Puigvert-Gutiérrez & Rupert de Vincent-Humphreys

2012 Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”
by Rangan GUPTA & Roula INGLESI-LOTZ

2012 Identification, Analysis, Modeling and Prediction of Time Series Characterizing the Indicators of Asset Structure in the Credit Institutions Operating in Romania
by Ramona Mariana CALINICA & Daniel CALINICA

2012 The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective
by Tianyi Wang & Zhuo Huang

2012 Tests of Mean-Variance Spanning
by Raymond Kan & Guofu Zhou

2012 Gerenciamiento de activos tangibles en empresas del sector real: un paralelo entre industria de refinación de crudos e industria de refinación de minerales no metálicos en Colombia
by John Jairo Forero Romero & Carlos Alberto Orozco Hurtado

2012 Enfoque de opciones reales para la valoración financiera de marcas
by Yessica González Londoño & Mauricio Zuluaga Carmona & Cecilia Maya Ochoa

2012 Validación empírica del modelo CAPM para Colombia 2003-2010
by Andrés Ramírez Hassan & Maribel Serna Rodriguez

2012 Volumen y asimetría en los principales mercados accionarios latinoamericanos
by Kristjanpoller Rodriguez, Werner & Caballero Ugarte, Víctor

2012 More RRBs, Please! Why Ottawa Should Issue More Inflation-Indexed Bonds
by Philippe Bergevin & William B.P. Robson

2012 More RRBs, Please! Why Ottawa Should Issue More Inflation-Indexed Bonds
by Philippe Bergevin & William B.P. Robson

2012 Les liens entre la rentabilité des actions et les fondamentaux macroéconomiques en Inde
by A. Kanakaraj & B. Karan Singh

2012 Normes comptables et création de valeur
by Philippe Danjou

2012 Production de liquidité par les marchés boursiers, valorisation des actifs et coût de financement
by Fabrice Riva

2012 La volatilité des actions françaises sur le long terme
by David Le Bris

2012 The Impact of the Financial Crisis on the Currency Risk Premium Dynamics within the G20 :Evidence from the ICAPM
by Salem Boubakri

2012 Evaluating Asset Pricing Models in a Simulated Multifactor Approach
by Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone

2012 Latent Fundamentals Arbitrage with a Mixed Effects Factor Model
by Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan

2012 Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns
by Pradosh Simlai

2012 Measuring the Spread Components of Oil and Gas Companies from CDS
by Juliano Ribeiro de Almeida & Guilherme Ribeiro de Almeida

2012 Efficiency and Limited Arbitrage in the Stock Markets:Evidences from ISE
by Bekir Elmas

2012 Reviewing the proposals for common bond issuances by the euro-area sovereign under a long-term perspective
by Petros M. Migiakis

2012 Market Correlation, Market Returns And Portfolio Implication
by ALEXANDRU Ciprian Antoniade & CONSTANTINESCU Dan

2012 Impact Of Liquidity And Size Premium On Equity Price Formation In Serbia
by Jelena Minović & Boško Živković

2012 Determinants of Cyclical Aggregate Dividend Behavior
by Samih Antoine Azar

2012 Bubbles and Crashes Revisited
by Dean Johnson & Patrick Joyce

2012 Equity prices, corporate information or random walk?
by Roberto Ruozi

2012 Rare Macroeconomic Disasters
by Robert J. Barro & José F. Ursúa

2012 Closed-End Funds: A Survey
by Martin Cherkes

2012 Valuation of Government Policies and Projects
by Deborah Lucas

2012 Consumption-Based Asset Pricing Models
by Rajnish Mehra

2012 Economic Activity of Firms and Asset Prices
by Leonid Kogan & Dimitris Papanikolaou

2012 Regime Changes and Financial Markets
by Andrew Ang & Allan Timmermann

2012 A Survey of Systemic Risk Analytics
by Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis

2012 Efficient Markets and the Law: A Predictable Past and an Uncertain Future
by Henry T.C. Hu

2012 Trading Carbon Dioxide On The European Cabon Market Using The Eu Ets Platform
by Florin Sebastian Duma & Ioan Alin Nistor

2012 Does intrinsic value still have a role in capital market pricing?
by Iván Bélyácz

2012 The Implications Of Liquidity Crises In The Context Of Emerging Capital Market
by Felicia Ramona Birău

2012 Identifying arbitrage opportunities on SIBEX market
by Maria-Miruna POCHEA & Angela-Maria FILIP

2012 Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach
by Kusdhianto SETIAWAN

2012 Idiosyncratic Volatility and Expected Stock Returns: Evidence from Thailand
by Pithak Srisuksai

2012 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
by Yacine Aït-Sahalia & Jean Jacod

2012 Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments
by Mikhail Anufriev & Cars Hommes

2012 Speculative Bubbles and Financial Crises
by Pengfei Wang & Yi Wen

2012 Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes
by Ana Fostel & John Geanakoplos

2012 Contagious Adverse Selection
by Stephen Morris & Hyun Song Shin

2012 Self-Fulfilling Risk Panics
by Philippe Bacchetta & Cédric Tille & Eric van Wincoop

2011 Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors
by Rangan Gupta & Mampho P. Modise & Josine Uwilingiye

2011 Macroeconomic Variables and South African Stock Return Predictability
by Rangan Gupta & Mampho P. Modise

2011 How to Ensure Consistency between Discount Rates and Cash Flows?
by Sergei Vasilievich CHEREMUSHKIN

2011 Investment Recommendations Made by Financial Analysts and Their Impact upon the Price Evolution of the Shares Listed on the Bucharest Stock Exchange
by Carmen LIPARA

2011 Frequently Asked Questions (FAQ) on Valuation of Business Intangible Assets
by Sorin V. STAN

2011 Asset Pricing Puzzle: The Long-Run Risks Model's Approach
by Francesca Brusa

2011 The Failure of Neoclassical Financial Economics: The Capital Asset Pricing Model and its Pillars as an Illustration
by Moosa, Imad

2011 Interest Rates After the Credit Crunch: Markets and Models Evolution
by Bianchetti, Marco & Carlicchi, Mattia

2011 House Price Dynamics in Italy - La dinamica delle quotazioni immobiliari in Italia
by Caliman, Tiziana & Di Bella, Enrico

2011 Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors
by Wamg, Jianxin

2011 Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel
by Sebastian Lobe & Klaus Röder

2011 Der Erfolg von Insidertransaktionen – Timing oder Fundamentalbewertung?
by Cetin-Behzet Cengiz & Marc Emanuel Schüssler & Rüdiger von Nitzsch

2011 Noise Trading in Stamm- und Vorzugsaktien
by Martin Jaron

2011 Return risk map in a fuzzy environment
by Brotons, José M. & Terceño, Antonio

2011 Testing for monotonicity in expected asset returns
by Joseph P. Romano & Michael Wolf

2011 International diversification benefits with foreign exchange investment styles
by Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas

2011 International diversification with securitized real estate and the veiling glare from currency risk
by Kroencke, Tim Alexander & Schindler, Felix

2011 International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk
by Schindler, Felix & Kröncke, Tim-Alexander

2011 Parameter estimation and forecasting for multiplicative lognormal cascades
by Leövey, Andrés E. & Lux, Thomas

2011 A Markov-switching multifractal approach to forecasting realized volatility
by Lux, Thomas & Morales-Arias, Leonardo & Sattarhoff, Cristina

2011 Overconfidence and bubbles in experimental asset markets
by Michailova, Julija & Schmidt, Ulrich

2011 On the neutrality of credit-driven asset bubbles
by Reicher, Christopher Phillip

2011 Modellierung von Zinsstrukturkurven
by Hewicker, Harald & Cremers, Heinz

2011 Market response to investor sentiment
by Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian

2011 Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test
by Hess, Dieter & Orbe, Sebastian

2011 Optimal leverage, its benefits, and the business cycle
by Hess, Dieter & Immenkötter, Philipp

2011 Extended dividend, cash flow and residual income valuation models: Accounting for deviations from ideal conditions
by Heinrichs, Nicolas & Hess, Dieter & Homburg, Carsten & Lorenz, Michael & Sievers, Soenke

2011 Mutual fund flows, expected returns, and the real economy
by Jank, Stephan

2011 Market response to investor sentiment
by Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian

2011 The impact of investor sentiment on the German stock market
by Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan

2011 Determinants of expected stock returns: Large sample evidence from the German market
by Artmann, Sabine & Finter, Philipp & Kempf, Alexander

2011 Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
by Hanauer, Matthias & Kaserer, Christoph & Rapp, Marc Steffen

2011 A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
by Puzanova, Natalia

2011 Interactions between the real economy and the stock market
by Westerhoff, Frank

2011 Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation
by Franke, Reiner & Westerhoff, Frank

2011 On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets
by Dieci, Roberto & Westerhoff, Frank

2011 Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
by Franke, Reiner & Westerhoff, Frank

2011 Balance sheet effect in the Polish economy
by Szymon Grabowski

2011 Monetary Policy and Asset Price Volatility: Should We Refill the Bernanke-Gertler Prescription?
by Kenneth Kuttner

2011 Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
by Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon

2011 The effect of monetary policy on investors’ risk perception: Evidence from the UK and Germany
by Dan Luo & Iris Biefang-Frisancho Mariscal & Peter Howells

2011 The effect of monetary policy on investors’ risk perception: Evidence from the UK and Germany
by Dan Luo & Iris Biefang-Frisancho Mariscal & Peter Howells

2011 Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model
by Xue-Zhong He & Kai Li

2011 Estimating Behavioural Heterogeneity Under Regime Switching
by Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng

2011 Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift
by Ron Bird & Daniel Choi & Danny Yeung

2011 The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?
by Ron Bird & Krishna Reddy & Danny Yeung

2011 Private Equity: Strategies for Improving Performance
by Ron Bird & Harry Liem & Susan Thorp

2011 Infrastructure: Real Assets and Real Returns
by Ron Bird & Harry Liem & Susan Thorp

2011 Emotions and Chat in a Financial Markets Experiment
by Shaun P. Hargreaves Heap & Daniel John Zizzo

2011 Affine Term Structure Constraints on Euribor data
by Giulio Tarditi

2011 Serial defaults, serial profits: Returns to sovereign lending in Habsburg Spain, 1566-1600
by Mauricio Drelichman & Joachim Voth

2011 The Damped Fluctuations as a Base of Market Quotations
by Magomet Yandiev

2011 Banks Net Interest Margin in the 2000s: A Macro-Accounting International Perspective
by Germán López-Espinosa & Antonio Moreno & Fernando Pérez de Gracia

2011 Speculation on Commodities Futures Markets and Destabilization Of Global Food Prices: Exploring the Connections
by Jayati Ghosh & James Heintz & Robert Pollin

2011 The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy
by James Crotty

2011 Emotions and chat in a financial markets experiment
by Shaun Hargreaves Heap & Daniel John Zizzo

2011 El traspaso de las tasas de interés en el sistema bancario uruguayo
by Diego Gianelli

2011 Determinants of trading activity after rating actions in the Corporate Debt Market
by Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez

2011 Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
by Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez

2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
by Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer

2011 Variance Swaps and Intertemporal Asset Pricing
by Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio

2011 Why do variance swaps exist?
by Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio

2011 Integration and Contagion in US Housing Markets
by John Cotter & Stuart Gabriel & Richard Roll

2011 A Utility Based Approach to Energy Hedging
by John Cotter & Jim Hanly

2011 Hedging Effectiveness under Conditions of Asymmetry
by John Cotter & Jim Hanly

2011 Implied Correlation from VaR
by John Cotter & Francois Longin

2011 Re-evaluating Hedging Performance
by John Cotter & Jim Hanly

2011 Volatility and Irish Exports
by Don Bredin & John Cotter

2011 Measuring Co-Movements of CDS Premia during the Greek Debt Crisis
by Sergio Andenmatten & Felix Brill

2011 Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009
by Jan Antell & Mika Vaihekoski

2011 Ambiguity and Volatility : Asset Pricing Implications
by Pataracchia, B.

2011 Hard Assets : The Returns on Rare Diamonds and Gems
by Renneboog, L.D.R. & Spaenjers, C.

2011 High Frequency Trading, Information, and Takeovers
by Humphery-Jenner, M.

2011 Market Liquidity and Exposure of Hedge Funds
by Arjen Siegmann & Denitsa Stefanova

2011 Risk Measures for Autocorrelated Hedge Fund Returns
by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries

2011 Turkiye Icin Getiri Egrileri Kullanilarak Enflasyon Telafisi Tahmin Edilmesi
by Murat Duran & Eda Gulsen & Refet Gurkaynak

2011 Nonlinearities in CDS-Bond Basis (CDS-Bono Farkinin Dogrusal Olmayan Duzeltme Hareketi)
by Kurmas Akdogan & Meltem Gulenay Chadwick

2011 Selection in asset markets: the good, the bad, and the unknown
by Giulio Bottazzi & Pietro Dindo

2011 Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
by Andras Fulop & Junye Li & Jun Yu

2011 Simulated Maximum Likelihood Estimation for Latent Diffusion Models
by Tore Selland Kleppe & Jun Yu & Hans J. Skaug

2011 Forecasting the Equity Risk Premium: The Role of Technical Indicators
by Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou

2011 Bayesian Hypothesis Testing in Latent Variable Models
by Yong Li & Jun Yu

2011 Simulated Maximum Likelihood Estimation for Latent Diffusion Models
by Tore Selland Kleppe & Jun Yu & Hans J. skaug

2011 Does Inter-Market Competition Lead to Less Regulation?
by Sarah Draus

2011 The Dynamics of Tobin’s q
by Giovanni W. Puopolo

2011 Learning from Prices, Liquidity Spillovers, and Market Segmentation
by Giovanni Cespa & Thierry Focault

2011 Higher Order Expectations, Illiquidity, and Short-term Trading
by Giovanni Cespa & Xavier Vives

2011 No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates
by Peter Aling & Shakill Hassan

2011 Testing for a rational bubble under long memory
by M. FRÖMMEL & R. KRUSE

2011 Riding the Yield Curve: A Spanning Analysis
by Galvani, Valentina & Landon, Stuart

2011 The Belief in the "Hot Hand" in the NFL: Evidence from Betting Volume Data
by Paul, Rodney & Weinbach, Andrew & Humphreys, Brad

2011 Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
by Massimiliano Marzo & Daniele Ritelli & Paolo Zagaglia

2011 The Greek Sovereign Debt Crisis: Testing for Regime Changes
by N. Apergis & E. Mamatzakis & C. Staikuras

2011 Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
by Davide Avino & Emese Lazar & Simone Varotto

2011 Model Risk in Variance Swap Rates
by Carol Alexander & Stamatis Leontsinis

2011 Long-Run Evidence Using Multifactor Asset Pricing Models
by Stefano D'Addona & Paola Brighi & Antonio Carlo Francesca Della Bina

2011 Asset Pricing And The Role Of Macroeconomic Volatility
by Stefano D'Addona & Christos Giannikos

2011 Does Equity Mispricing Influence Household and Firm Decisions?
by James Hansen

2011 Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
by Richard Finlay & Sebastian Wende

2011 Is There an Optimal Entry Time for Carbon Capture and Storage? A Case Study for Australia's National Electricity Market
by Liam Wagner & John Foster

2011 The Risk Premium and Long-Run Global Imbalances
by YiLi Chien & Kanda Naknoi

2011 The Chinese Warrants Bubble
by Wei Xiong & Jialin Yu

2011 Evaluating Asset Pricing Models in a Simulated Multifactor Approach
by Carrasco-Gutierrez, Carlos Enrique & Piazza, Wagner

2011 Firm Reputation and Cost of Debt Capital
by Anginer, Deniz & Mansi, Sattar & Warburton, A. Joseph & Yildizhan, Celim

2011 Risk Taking Behavior of Investors of Pakistan
by Rizvi, Aoun & Ali, Syed Babar

2011 Overconfidence and bubbles in experimental asset markets
by Michailova, Julija & Schmidt, Ulrich

2011 Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices
by Konchitchki, Yaniv

2011 Mutual influence of exchange assets: analysis and estimation
by Kozmenko, Serhiy & Plastun, Oleksiy

2011 Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence
by Hiremath, Gourishankar S & Bandi, Kamaiah

2011 Asymmetric Loss Functions and the Rationality of Expected Stock Returns
by Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F.

2011 Эконометрический Анализ Динамики Российских Паевых Инвестиционных Фондов В Кризисный И Посткризисный Периоды
by Zaytsev, Alexander

2011 Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US
by Lee, King Fuei

2011 Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych
by Piasecki, Krzysztof

2011 Effectiveness of securities with fuzzy probabilistic return
by Piasecki, Krzysztof

2011 Market Risk Measurement: Key Rate Duration as an asset allocation instrument
by Zeballos, David

2011 Public Sector Funding and Debt Management: A Case for GDP-Linked Sukuk
by Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene

2011 On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence
by Jiranyakul, Komain

2011 Avaliação de Bancos: Projeção das Demonstrações de Resultado do Exercício (DRE) com Enfoque em Modelos Econométricos
by Costa Junior, Celso Jose

2011 The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
by Marco, Bianchetti

2011 Foreign investors’ influence towards small stock exchanges boom and bust: Macedonian stock exchange case
by Lazarevski, Dimche

2011 Hedging dynamics with gold futures
by Singh, Saurabh & Saharawat, Swati

2011 Variance Risk Premium Differentials and Foreign Exchange Returns
by Arash, Aloosh

2011 Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
by Rossi, Francesco

2011 An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh
by FARUQUE, MUHAMMAD U

2011 U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters
by Rossi, Francesco

2011 Behavioral investment strategy matters: a statistical arbitrage approach
by Sun, David & Tsai, Shih-Chuan & Wang, Wei

2011 Theory and empirics of an affine term structure model applied to European data
by Jakas, Vicente

2011 Measuring market liquidity: an introductory survey
by Gabrielsen, Alexandros & Marzo, Massimiliano & Zagaglia, Paolo

2011 Product differentiation and systematic risk: theory and empirical evidence
by Bazdresch, Santiago

2011 Optimal trading execution with nonlinear market impact: an alternative solution method
by Massmiliano, Marzo & Daniele, Ritelli & Paolo, Zagaglia

2011 Is the Chinese Stock Market Really Efficient
by Yan, Isabel K. & Chong, Terence & Lam, Tau-Hing

2011 Financial Management of Weather Risk with Energy Derivatives
by Janda, Karel & Vylezik, Tomas

2011 Are the Major South Asian Equity Markets Co-Integrated?
by Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Mehar, Dr. Ayub & Osman, Ms. Amber

2011 Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)
by Hasan, Syed Akif & Subhani, Muhammad Imtiaz

2011 Integration and contagion in US housing markets
by Cotter, John & Gabriel, Stuart & Roll, Richard

2011 When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models
by Prono, Todd

2011 Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración
by Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio

2011 Clustering on the same news sources in an asset market
by Larson, Nathan

2011 Validity of capital asset pricing model: evidence from Karachi stock exchange
by Syed ali, Raza & Syed tehseen, jawaid & Imtiaz, arif & Fahim, qazi

2011 Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
by Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio

2011 A time-scale analysis of systematic risk: wavelet-based approach
by Khalfaoui Rabeh, K & Boutahar Mohamed, B

2011 White-collar crime and stock return: Empirical study from announcement effect
by Puah, Chin-Hong & Liew, Samuel Wei-Siew

2011 Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis?
by Leung, Charles Ka Yui & CHEUNG, W. Y. Patrick & TANG, C. H. Edward

2011 Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data
by Duran-Vazquez, Rocio & Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio

2011 The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis
by Santos, Carlos

2011 Thinking by analogy, systematic risk, and option prices
by Siddiqi, Hammad

2011 Impact of Monetary Policy on the Volatility of Stock Market in Pakistan
by Qayyum, Abdul & Anwar, Saba

2011 Analytical approximation of the transition density in a local volatility model
by Pagliarani, Stefano & Pascucci, Andrea

2011 Identi�cation of jumps in �financial price series
by Hellström, Jörgen & Lönnbark, Carl

2011 One numerical procedure for two risk factors modeling
by Cocozza, Rosa & De Simone, Antonio

2011 On the calculation of price sensitivities with jump-diffusion structure
by El-Khatib, Youssef & Abdulnasser, Hatemi-J

2011 Noncausality and Asset Pricing
by Lof, Matthijs

2011 Informational price cascades and non-aggregation of asymmetric information in experimental asset markets
by Shachat, Jason & Srivinasan, Anand

2011 The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks
by Efthymiou, Vassilis A. & Leledakis, George N.

2011 Risk Procyclicality and Dynamic Hedge Fund Strategies
by Francois-Éric Racicot & Raymond Théoret

2011 Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio
by Francois-Éric Racicot & Raymond Théoret

2011 First-Round Entrepreneurial Investments: Where, When and Why?
by Yochanan Shachmurove

2011 Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima
by Gabriel Rodríguez & Alfredo Vargas

2011 Ambiguity and the historical equity premium
by Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon

2011 Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?
by Stefan Kerbl

2011 The Role of Guarantees in Defined Contribution Pensions
by Pablo Antolín & Stéphanie Payet & Edward R. Whitehouse & Juan Yermo

2011 The Relative Performance of Debt-restricted Real Estate Investment Trusts (REITs): Does Faith Matter?
by M. Kabir Hassan & Yasser Alhenawi & Hesham Merdad

2011 Institutional Ownership Stability and Risk Taking: Evidence from the Life-Health Insurance Industry
by Jiang Cheng & Elyas Elyasiani & Jingyi (Jane) Jia

2011 The Real Effects of Financial Markets
by Philip Bond & Alex Edmans & Itay Goldstein

2011 International Contagion Through Leveraged Financial Institutions
by Eric van Wincoop

2011 Evaporating Liquidity
by Stefan Nagel

2011 Competing on Speed
by Emiliano Pagnotta & Thomas Philippon

2011 The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
by Yacine Ait-Sahalia & Jianqing Fan & Yingying Li

2011 Sovereign CDS and Bond Pricing Dynamics in the Euro-area
by Giorgia Palladini & Richard Portes

2011 Temperature, Aggregate Risk, and Expected Returns
by Ravi Bansal & Marcelo Ochoa

2011 The Effect of Liquidity on Governance
by Alex Edmans & Vivian W. Fang & Emanuel Zur

2011 The Forward Premium Puzzle in a Two-Country World
by Ian Martin

2011 The Lucas Orchard
by Ian Martin

2011 Testing Conditional Factor Models
by Andrew Ang & Dennis Kristensen

2011 A Theory of Asset Pricing Based on Heterogeneous Information
by Elias Albagli & Christian Hellwig & Aleh Tsyvinski

2011 Liquidity and the Threat of Fraudulent Assets
by Yiting Li & Guillaume Rocheteau & Pierre-Olivier Weill

2011 Price Dividend Ratio Factors : Proxies for Long Run Risk
by Ravi Jagannathan & Srikant Marakani

2011 Political Uncertainty and Risk Premia
by Lubos Pastor & Pietro Veronesi

2011 Crashes and Collateralized Lending
by Jakub W. Jurek & Erik Stafford

2011 Equity Yields
by Jules H. van Binsbergen & Wouter Hueskes & Ralph Koijen & Evert B. Vrugt

2011 Information Aggregation, Investment, and Managerial Incentives
by Elias Albagli & Christian Hellwig & Aleh Tsyvinski

2011 Rare Macroeconomic Disasters
by Robert J. Barro & José F. Ursua

2011 The Recovery Theorem
by Stephen A. Ross

2011 Natural Expectations, Macroeconomic Dynamics, and Asset Pricing
by Andreas Fuster & Benjamin Hebert & David Laibson

2011 The "CAPS" Prediction System and Stock Market Returns
by Christopher Avery & Judith A. Chevalier & Richard J. Zeckhauser

2011 Covariances versus Characteristics in General Equilibrium
by Xiaoji Lin & Lu Zhang

2011 International Risk Cycles
by François Gourio & Michael Siemer & Adrien Verdelhan

2011 The Continental Dollar: Initial Design, Ideal Performance, and the Credibility of Congressional Commitment
by Farley Grubb

2011 Global Asset Pricing
by Karen K. Lewis

2011 Sources of Entropy in Representative Agent Models
by David Backus & Mikhail Chernov & Stanley E. Zin

2011 The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous
by Ngoc-Khanh Tran & Richard J. Zeckhauser

2011 Issuer Quality and the Credit Cycle
by Robin Greenwood & Samuel G. Hanson

2011 Regime Changes and Financial Markets
by Andrew Ang & Allan Timmermann

2011 Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?
by Chongyang Chen & Zhonglan Dai & Douglas Shackelford & Harold Zhang

2011 A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
by Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg

2011 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
by Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh

2011 An Estimation of Economic Models with Recursive Preferences
by Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson

2011 The Real Exchange Rate, Real Interest Rates, and the Risk Premium
by Charles Engel

2011 Credit Risk and Disaster Risk
by Francois Gourio

2011 Credit Spreads and Business Cycle Fluctuations
by Simon Gilchrist & Egon Zakrajšek

2011 The Value of Secure Property Rights: Evidence from Global Fisheries
by Corbett A. Grainger & Christopher Costello

2011 Shocks and Crashes
by Martin Lettau & Sydney C. Ludvigson

2011 Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
by Andrew Ang & Francis A. Longstaff

2011 Stock Volatility During the Recent Financial Crisis
by G. William Schwert

2011 The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
by James D. Hamilton & Jing Cynthia Wu

2011 Why Surplus Consumption in the Habit Model May be Less Persistent than You Think
by Anthony W. Lynch & Oliver Randall

2011 Testable Implications of Affine Term Structure Models
by James D. Hamilton & Jing Cynthia Wu

2011 Generalized Transform Analysis of Affine Processes and Applications in Finance
by Hui Chen & Scott Joslin

2011 Inflation-Indexed Bonds and the Expectations Hypothesis
by Carolin E. Pflueger & Luis M. Viceira

2011 The Short of It: Investor Sentiment and Anomalies
by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan

2011 Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
by Carolin E. Pflueger & Luis M. Viceira

2011 Simple Variance Swaps
by Ian Martin

2011 Limits to Arbitrage and Hedging: Evidence from Commodity Markets
by Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai

2011 Advances in Consumption-Based Asset Pricing: Empirical Tests
by Sydney C. Ludvigson

2011 Market Timing, Investment, and Risk Management
by Patrick Bolton & Hui Chen & Neng Wang

2011 Hedge Fund Leverage
by Andrew Ang & Sergiy Gorovyy & Gregory B. van Inwegen

2011 Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market
by Patrick Bayer & Christopher Geissler & Kyle Mangum & James W. Roberts

2011 Margin-Based Asset Pricing and Deviations from the Law of One Price
by Nicolae Gârleanu & Lasse Heje Pedersen

2011 The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data
by Ravi Jagannathan & Iwan Meier & Vefa Tarhan

2011 Investors' and Central Bank's Uncertainty Embedded in Index Options
by Alexander David & Pietro Veronesi

2011 A Model of Momentum
by Laura Xiaolei Liu & Lu Zhang

2011 Capital-Market Effects of Securities Regulation: Prior Conditions, Implementation, and Enforcement
by Hans B. Christensen & Luzi Hail & Christian Leuz

2011 Differences of Opinion and International Equity Markets
by Bernard Dumas & Karen K. Lewis & Emilio Osambela

2011 What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
by Harrison Hong & Motohiro Yogo

2011 Central bank communication on financial stability
by Benjamin Born & Michael Ehrmann & Marcel Fratzscher

2011 Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
by Yin Liao & Heather M. Anderson

2011 Ambiguity and the historical equity premium
by Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon

2011 Ambiguity and the historical equity premium
by Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon

2011 Ambiguity and the historical equity premium
by Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon

2011 Ambiguity and the historical equity premium
by Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon

2011 Une analyse temps-fréquences des cycles financiers
by Christophe Boucher & Bertrand Maillet

2011 A New Correlation Coefficient for Bivariate Time-Series Data
by Orhan Erdem & Elvan Ceyhan & Yusuf Varlı

2011 Liquidity measures, liquidity drivers and expected returns on an early call auction market
by Carsten Burhop & Sergey Gelman

2011 A Repayment Model of House Prices
by Jakob B Madsen

2011 A q Model of House Prices
by Jakob B Madsen

2011 Aggregate Implications of Micro Asset Market Segmentation
by Chris Edmond & Pierre-Olivier Weill

2011 Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM
by Thomas Flavin & Gerald P. Dwyer & Mardi Dungey

2011 Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms
by Ulrich Oberndorfer & Marcus Wagner & Andreas Ziegler

2011 Arbitrage opportunities between NYSE and XETRA?: A comparison of simulation and high frequency data
by Jörg Rieger & Kirsten Rüchardt & Bodo Vogt

2011 Trade and Payments Theory in a Financialized Economy
by Michael Hudson

2011 The Greek financial crisis: growing imbalances and sovereign spreads
by Heather D. Gibson & Stephan G. Hall & George S. Tavlas

2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
by Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer

2011 Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance
by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong

2011 Tranching and Pricing in CDO-Transactions
by Günter Franke & Thomas Weber

2011 Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets
by Ferdinand Graf

2011 Parameter Estimation and Forecasting for Multiplicative Lognormal Cascades
by Andrés E. Leövey,Thomas Lux

2011 A Markov-switching Multifractal Approach to Forecasting Realized Volatility
by Thomas Lux & Leonardo Morales-Arias & Cristina Sattarhoff

2011 Overconfidence and Bubbles in Experimental Asset Markets
by Julija Michailova & Ulrich Schmidt

2011 Testing the Modigliani-Miller theorem directly in the lab
by M. Vittoria Levati & Jianying Qiu & Prashanth Mahagaonkar

2011 Extreme Value Theory as a Theoretical Background for Power Law Behavior
by Simone Alfarano & Thomas Lux

2011 Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
by Ehrlich, Isaac & Shin, Jong Kook & Yin, Yong

2011 Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
by Ehrlich, Isaac & Shin, Jong Kook & Yin, Yong

2011 Give Me Your Wired and Your Highly Skilled: Measuring the Impact of Immigration Policy on Employers and Shareholders
by Lin, Carl

2011 Give Me Your Wired and Your Highly Skilled: Measuring the Impact of Immigration Policy on Employers and Shareholders
by Lin, Carl

2011 League-Table Incentives and Price Bubbles in Experimental Asset Markets
by Cheung, Stephen L. & Coleman, Andrew

2011 League-Table Incentives and Price Bubbles in Experimental Asset Markets
by Cheung, Stephen L. & Coleman, Andrew

2011 Is Momentum Really Momentum? International Evidence
by Qiang Gong & Ming Liu & Qianqiu Liu

2011 Adverse Selection and Emissions Offsets
by Bushnell, James

2011 Stock Return Predictability and Oil Prices
by Jaime Casassus & Freddy Higuera

2011 Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns
by Jaime Casassus & Peng Liu & Ke Tang

2011 Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management
by Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

2011 Monetary policy and its impact on stock market liquidity: Evidence from the euro zone
by Octavio Fernandez-Amador & Martin Gächter & Martin Larch & Georg Peter

2011 When do stock futures dominate price discovery
by Nidhi Aggarwal & Susan Thomas

2011 Liquidity considerations in estimating implied volatility
by Rohini Grover & Susan Thomas

2011 On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection
by Sevinc Cukurova & Jose M. Marin

2011 Endogenous Rational Bubbles
by George A. Waters

2011 On the Evolutionary Stability of Rational Expectations
by William R. Parke & George A. Waters

2011 The Real Exchange Rate, Real Interest Rates, and the Risk Premium
by Engel, Charles

2011 Bayesian Factor Selection in Dynamic Term Structure Models
by Márcio Laurini

2011 Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
by Márcio Laurini & Luiz Koodi Hotta

2011 The smallest stocks are not just smaller: US and international evidence
by De Moor, Lieven & Sercu, Piet

2011 Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan
by Martin T. Bohl & Badye Essid & Pierre L. Siklos

2011 The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market
by Song Han & Dan Li

2011 Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data
by Song Han & Hao Zhou

2011 A Macro-Finance Approach to Exchange Rate Determination
by Yu-chin Chen & Kwok Ping Tsang

2011 Identification of jumps in financial price series
by Hellström, Jörgen & Lönnbark, Carl

2011 The Cost of Insecure Property Rights: R2 Revisited
by Bjuggren, Per-Olof & Eklund, Johan E

2011 Risk Aversion in the Large and in the Small
by Haug, Jørgen & Hens, Thorsten & Wöhrmann, Peter

2011 On the Pricing of Performance Sensitive Debt
by Mjøs, Aksel & Myklebust, Tor Åge & Persson, Svein-Arne

2011 The Defeasance of Control Rights
by Bienz, Carsten & Faure-Grimaud, Antoine & Fluck, Zsuzsanna

2011 Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns
by Nielsen, Caren Yinxia

2011 Idiosyncratic Risk and Higher-Order Cumulants
by Lundtofte, Frederik & Wilhelmsson, Anders

2011 The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010
by Hagströmer, Björn & Nilsson, Birger & Hansson, Björn

2011 Pooling, Pricing and Trading of Risks
by Flåm, Sjur Didrik

2011 About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis
by Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard

2011 Modellrisiko = Spezifikation + Validierung
by Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip

2011 Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests
by Francesco Guidi & Rakesh Gupta

2011 Policies Convertible Bonds and Stock Liquidity
by Jason West

2011 Adaptive continuous time Markov chain approximation model to general jump-diffusions
by Mario Cerrato & Chia Chun Lo & Konstantinos Skindilias

2011 Computing maximally smooth forward rate curves for coupon bonds: An iterative piecewise quartic polynomial interpolation method
by Paul Beaumont & Yaniv Jerassy-Etzion

2011 Nonlinear Regime Shifts in Oil Price Hedging Dynamics
by Giulio Cifarelli

2011 Financial market equilibria with heterogeneous agents: CAPM and market segmentation
by Matteo Del Vigna

2011 VAR Estimates of the Housing and Stock Wealth Effects: Cross-country Evidence
by Sheng Guo & Umut Unal

2011 Regression-based estimation of dynamic asset pricing models
by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

2011 Is there an S&P 500 index effect?
by Kasch, Maria & Sarkar, Asani

2011 Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets
by Mattesini, Fabrizio & Nosal, Ed

2011 Asian financial linkage: macro-finance dissonance
by Fujiwara, Ippei & Takahashi, Koji

2011 A sentiment-based explanation of the forward premium puzzle
by Yu, Jianfeng

2011 Informational Price Cascades and Non-aggregation of Asymmetric Information in Experimental Asset Markets
by Jason Shachat & Anand Srinivasan

2011 Pricing of Gas Swing Options using Monte Carlo Methods
by Andrea Klimešová & Tomáš Václavík

2011 The Term Structure of Interest Rates in Small Open Economy DSGE Model
by Aleš Maršál

2011 The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
by Michael G. Arghyrou & Alexandros Kontonikas

2011 On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
by Peter S. Schmidt & Andreas Schrimpf & Urs von Arx & Alexander F. Wagner & Andreas Ziegler

2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
by Hammoudeh, S.M. & Liu, T. & Chang, C-L. & McAleer, M.J.

2011 Anticipated and repeated shocks in liquid markets
by Dong Lou

2011 Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year
by Johnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro

2011 Strategic investment, industry concentration and the cross section of returns
by Maria Cecilia Bustamante

2011 Modifying Gaussian term structure models when interest rates are near the zero lower bound
by Leo Krippner

2011 Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
by Mardi Dungey & Gerald P. Dwyer & Thomas Flavin

2011 Do Mean Reverting based trading strategies outperform Buy and Hold?
by Dooruj Rambaccussing

2011 The Effect of Liquidity on Governance
by Edmans, Alex & Fang, Vivian W. & Zur, Emanuel

2011 Liquidity Hoarding
by Gale, Douglas & Yorulmazer, Tanju

2011 An Equilibrium Asset Pricing Model with Labor Market Search
by Kuehn, Lars-Alexander & Petrosky-Nadeau, Nicolas & Zhang, Lu

2011 Why Are U.S. Stocks More Volatile?
by Bartram, Sohnke M. & Brown, Gregory & Stulz, Rene M.

2011 Beyond the Disposition Effect: Do Investors Really Like Gains More Than Losses?
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2011 Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors
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