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

3005

• Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 3005. "Variance swap payoffs, risk premia and extreme market conditions," CREATES Research Papers 2017-21, Department of Economics and Business Economics, Aarhus University.

2702

• Torben G. Andersen & Rasmus T. Varneskov, 2702. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.

2606

• Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe, 2017. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations Of Market Forecasts, And Sentiment," Discussion Papers 17-10, University of Copenhagen. Department of Economics.
  • Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2606. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment," CREATES Research Papers 2017-23, Department of Economics and Business Economics, Aarhus University.

2108

• Tom Engsted & Thomas Q. Pedersen, 2108. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.

2019

• Ines Chaieb & Hugues Langlois & O. Scaillet, 2018. "Time-Varying Risk Premia in Large International Equity Markets," Swiss Finance Institute Research Paper Series 18-04, Swiss Finance Institute, revised Jun 2018.
  • Langlois, Hugues & Chaieb, Ines & Scaillet, O., 2018. "Time-Varying Risk Premia in Large International Equity Markets," HEC Research Papers Series 1250, HEC Paris, revised 29 May 2019.

2018

• Marcin Dec, 2018. "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," Working Papers 2018-038, Warsaw School of Economics, Collegium of Economic Analysis.
• Marcin Dec, 2018. "On the trade-offs in money market benchmarks' stabilisation," Working Papers 2018-039, Warsaw School of Economics, Collegium of Economic Analysis.
• Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2018. "Individual Investors Look at Price Tags," Working Papers, Department of Economics 2018_17, University of São Paulo (FEA-USP).
• Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2015. "Short-Selling Bans and Bank Stability," CSEF Working Papers 423, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 15 Dec 2017.
  • Beber, Alessandro & Fabbri, Daniela & Pagano, Marco & Simonelli, Saverio, 2018. "Short-selling bans and bank stability," ESRB Working Paper Series 64, European Systemic Risk Board.
  • Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2016. "Short-Selling Bans and Bank Stability," EIEF Working Papers Series 1604, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2017.
  • Beber, Alessandro & Fabbri, Daniela & Pagano, Marco, 2016. "Short-Selling Bans and Bank Stability," CEPR Discussion Papers 11090, C.E.P.R. Discussion Papers.
• Perea, Maite De Sola & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2018. "Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment," ESRB Working Paper Series 65, European Systemic Risk Board.
• Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
  • Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
• Dunne, Peter G., 2018. "Positive liquidity spillovers from sovereign bond-backed securities," ESRB Working Paper Series 67, European Systemic Risk Board.
• Lotfaliei, Babak, 2018. "The variance risk premium and capital structure," ESRB Working Paper Series 70, European Systemic Risk Board.
• Ellul, Andrew & Jotikasthira, Chotibhak & Kartasheva, Anastasia & Lundblad, Christian T. & Wagner, Wolf, 2018. "Insurers as asset managers and systemic risk," ESRB Working Paper Series 75, European Systemic Risk Board.
• Timmer, Yannick, 2018. "Cyclical investment behavior across financial institutions," ESRB Working Paper Series 77, European Systemic Risk Board.
• Kirti, Divya, 2018. "Lending standards and output growth," ESRB Working Paper Series 79, European Systemic Risk Board.
• Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," Working Papers 2018:03, Department of Economics, University of Venice "Ca' Foscari".
  • Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," LEM Papers Series 2018/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Michele Dell’Era, 2018. "Financial Transaction Taxes and Expert Advice," Working and Discussion Papers WP 4/2018, Research Department, National Bank of Slovakia.
• Rui Fan & Oleksandr Talavera & Vu Tran, 2018. "Does connection with @realDonaldTrump affect stock prices?," Working Papers 2018-07, Swansea University, School of Management.
• Konstantinos Gavriilidis & Dimos S. Kambouroudis & Katerina Tsakou & Dimitris S. Tsouknidis, 2018. "Volatility forecasting across tanker freight rates: the role of oil price shocks," Working Papers 2018-27, Swansea University, School of Management.
• Rui Fan & Oleksandr Talavera & Vu Tran, 2018. "Social media bots and stock markets," Working Papers 2018-30, Swansea University, School of Management.
• Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017. "Corporate Credit Risk Premia," Research Papers repec:ecl:stabus:3617, Stanford University, Graduate School of Business.
  • Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia," NBER Working Papers 24213, National Bureau of Economic Research, Inc.
• Pierre Collin-Dufresne & Kent D. Daniel & Mehmet Saǧlam, 2018. "Liquidity Regimes and Optimal Dynamic Asset Allocation," NBER Working Papers 24222, National Bureau of Economic Research, Inc.
• Matthias Fleckenstein & Francis A. Longstaff, 2018. "Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints," NBER Working Papers 24224, National Bureau of Economic Research, Inc.
• Martin Lettau & Ananth Madhavan, 2018. "Exchange Traded Funds 101 For Economists," NBER Working Papers 24250, National Bureau of Economic Research, Inc.
• Daniel R. Feenberg & Clinton Tepper & Ivo Welch, 2018. "Are Interest Rates Really Low?," NBER Working Papers 24258, National Bureau of Economic Research, Inc.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2018. "Why Has Idiosyncratic Risk Been Historically Low in Recent Years?," Working Paper Series 2018-02, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  • Söhnke M. Bartram & Gregory W. Brown & René M. Stulz, 2018. "Why has Idiosyncratic Risk been Historically Low in Recent Years?," NBER Working Papers 24270, National Bureau of Economic Research, Inc.
• Bing Han & David Hirshleifer & Johan Walden, 2018. "Social Transmission Bias and Investor Behavior," NBER Working Papers 24281, National Bureau of Economic Research, Inc.
• Kenneth R. Ahern, 2018. "Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades," NBER Working Papers 24297, National Bureau of Economic Research, Inc.
• Cesa-Bianchi, Ambrogio & Pesaran, M Hashem & Rebucci, Alessandro, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," CEPR Discussion Papers 12713, C.E.P.R. Discussion Papers.
  • Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," NBER Working Papers 24325, National Bureau of Economic Research, Inc.
  • Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," CESifo Working Paper Series 6910, CESifo Group Munich.
  • Cesa-Bianchi, Ambrogio & Pesaran, M Hashem & Rebucci, Alessandro, 2018. "Uncertainty and economic activity: a multi-country perspective," Bank of England working papers 730, Bank of England.
• Grace Xing Hu & Jun Pan & Jiang Wang, 2018. "Chinese Capital Market: An Empirical Overview," NBER Working Papers 24346, National Bureau of Economic Research, Inc.
• Wolfgang Keller & Carol H. Shiue & Xin Wang, 2018. "Capital Markets and Grain Prices: Assessing the Storage Approach," NBER Working Papers 24388, National Bureau of Economic Research, Inc.
• Charles W. Calomiris & Harry Mamaysky, 2018. "How News and Its Context Drive Risk and Returns Around the World," NBER Working Papers 24430, National Bureau of Economic Research, Inc.
• Jessica A. Wachter & Yicheng Zhu, 2018. "The Macroeconomic Announcement Premium," NBER Working Papers 24432, National Bureau of Economic Research, Inc.
• Jianan Liu & Robert F. Stambaugh & Yu Yuan, 2018. "Size and Value in China," NBER Working Papers 24458, National Bureau of Economic Research, Inc.
• Augustin, Patrick & Chernov, Mikhail & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
  • Patrick Augustin & Mikhail Chernov & Dongho Song, 2018. "Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," NBER Working Papers 24506, National Bureau of Economic Research, Inc.
• Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2018. "A Measure of Risk Appetite for the Macroeconomy," NBER Working Papers 24529, National Bureau of Economic Research, Inc.
• Bryan Kelly & Seth Pruitt & Yinan Su, 2018. "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers 24540, National Bureau of Economic Research, Inc.
• George-Marios Angeletos & Zhen Huo, 2018. "Myopia and Anchoring," NBER Working Papers 24545, National Bureau of Economic Research, Inc.
• Yong Chen & Bryan Kelly & Wei Wu, 2018. "Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment," NBER Working Papers 24552, National Bureau of Economic Research, Inc.
• Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
  • Mikhail Chernov & Drew D. Creal, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," NBER Working Papers 24563, National Bureau of Economic Research, Inc.
• George O. Aragon & Rajnish Mehra & Sunil Wahal, 2018. "Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets," NBER Working Papers 24575, National Bureau of Economic Research, Inc.
• Martin Lettau & Markus Pelger, 2018. "Estimating Latent Asset-Pricing Factors," NBER Working Papers 24618, National Bureau of Economic Research, Inc.
• Jerry Tsai & Jessica A. Wachter, 2018. "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers 24641, National Bureau of Economic Research, Inc.
• Luis M. Viceira & Zixuan (Kevin) Wang, 2018. "Global Portfolio Diversification for Long-Horizon Investors," NBER Working Papers 24646, National Bureau of Economic Research, Inc.
• David Hirshleifer & Danling Jiang & Yuting Meng, 2018. "Mood Betas and Seasonalities in Stock Returns," NBER Working Papers 24676, National Bureau of Economic Research, Inc.
• Jorda, Oscar & Schularick, Moritz & Taylor, Alan M. & Ward, Felix, 2018. "Global Financial Cycles and Risk Premiums," Working Paper Series 2018-5, Federal Reserve Bank of San Francisco.
  • Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018. "Global Financial Cycles and Risk Premiums," NBER Working Papers 24677, National Bureau of Economic Research, Inc.
• David Greenlaw & James D. Hamilton & Ethan Harris & Kenneth D. West, 2018. "A Skeptical View of the Impact of the Fed’s Balance Sheet," NBER Working Papers 24687, National Bureau of Economic Research, Inc.
• Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2018. "Investor Experiences and Financial Market Dynamics," NBER Working Papers 24697, National Bureau of Economic Research, Inc.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2018. "q 5," NBER Working Papers 24709, National Bureau of Economic Research, Inc.
• Eric Budish, 2018. "The Economic Limits of Bitcoin and the Blockchain," NBER Working Papers 24717, National Bureau of Economic Research, Inc.
• Nicholas C. Barberis, 2018. "Psychology-based Models of Asset Prices and Trading Volume," NBER Working Papers 24723, National Bureau of Economic Research, Inc.
• Andreas Neuhierl & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo Group Munich.
  • Andreas Neuhierl & Michael Weber, 2018. "Monetary Momentum," NBER Working Papers 24748, National Bureau of Economic Research, Inc.
• Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2016. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," 2016 Meeting Papers 1224, Society for Economic Dynamics.
  • Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2018. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," NBER Working Papers 24757, National Bureau of Economic Research, Inc.
  • Elenev, Vadim & Landvoigt, Tim & van Nieuwerburgh, Stijn, 2017. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," CEPR Discussion Papers 12282, C.E.P.R. Discussion Papers.
• Marcin Kacperczyk & Savitar Sundaresan & Tianyu Wang, 2018. "Do Foreign Investors Improve Market Efficiency?," NBER Working Papers 24765, National Bureau of Economic Research, Inc.
• Atif Mian & Amir Sufi, 2018. "Credit Supply and Housing Speculation," NBER Working Papers 24823, National Bureau of Economic Research, Inc.
• Martin Lettau & Markus Pelger, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers 24858, National Bureau of Economic Research, Inc.
• Yukun Liu & Aleh Tsyvinski, 2018. "Risks and Returns of Cryptocurrency," NBER Working Papers 24877, National Bureau of Economic Research, Inc.
• Lubos Pastor & Pietro Veronesi, 2018. "Inequality Aversion, Populism, and the Backlash Against Globalization," NBER Working Papers 24900, National Bureau of Economic Research, Inc.
• Hugonnier, Julien & Lester, Benjamin & Weill, Pierre-Olivier, 2018. "Frictional intermediation in over-the-counter markets," CEPR Discussion Papers 13126, C.E.P.R. Discussion Papers.
  • Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2018. "Frictional Intermediation in Over-the-counter Markets," NBER Working Papers 24956, National Bureau of Economic Research, Inc.
• Hengjie Ai & Anmol Bhandari, 2018. "Asset Pricing with Endogenously Uninsurable Tail Risk," NBER Working Papers 24972, National Bureau of Economic Research, Inc.
• Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," NBER Working Papers 25016, National Bureau of Economic Research, Inc.
• Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
• Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
  • Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
  • Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
• Efraim Benmelech & Nittai Bergman, 2018. "Debt, Information, and Illiquidity," NBER Working Papers 25054, National Bureau of Economic Research, Inc.
• Lauren Cohen & Christopher Malloy & Quoc Nguyen, 2018. "Lazy Prices," NBER Working Papers 25084, National Bureau of Economic Research, Inc.
• Robert J. Hodrick & Tuomas Tomunen, 2018. "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," NBER Working Papers 25092, National Bureau of Economic Research, Inc.
• Sergey Chernenko & Adi Sunderam, 2018. "Do Fire Sales Create Externalities?," NBER Working Papers 25104, National Bureau of Economic Research, Inc.
• Ricardo Lagos & Shengxing Zhang, 2018. "Turnover Liquidity and the Transmission of Monetary Policy," NBER Working Papers 25106, National Bureau of Economic Research, Inc.
• Maarten Meeuwis & Jonathan A. Parker & Antoinette Schoar & Duncan I. Simester, 2018. "Belief Disagreement and Portfolio Choice," NBER Working Papers 25108, National Bureau of Economic Research, Inc.
• Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
• Adam, Klaus & Maatvev, Dmitry & Nagel, Stefan, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers 13213, C.E.P.R. Discussion Papers.
  • Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
  • Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo Group Munich.
• Jordan Brooks & Michael Katz & Hanno Lustig, 2018. "Post-FOMC Announcement Drift in U.S. Bond Markets," NBER Working Papers 25127, National Bureau of Economic Research, Inc.
• Malcolm Baker & Daniel Bergstresser & George Serafeim & Jeffrey Wurgler, 2018. "Financing the Response to Climate Change: The Pricing and Ownership of U.S. Green Bonds," NBER Working Papers 25194, National Bureau of Economic Research, Inc.
• Usman Ali & David Hirshleifer, 2018. "Shared Analyst Coverage: Unifying Momentum Spillover Effects," NBER Working Papers 25201, National Bureau of Economic Research, Inc.
• Mikhail Chernov & Drew D. Creal, 2018. "International Yield Curves and Currency Puzzles," NBER Working Papers 25206, National Bureau of Economic Research, Inc.
• Matthias Fleckenstein & Francis A. Longstaff, 2018. "Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes," NBER Working Papers 25216, National Bureau of Economic Research, Inc.
• Jean-Marc Fournier & Jakob Lehr, 2018. "Issuing GDP-linked bonds: Supply and demand can match," OECD Economics Department Working Papers 1500, OECD Publishing.
• Jana Šimáková, 2018. "The Study of the Effects of Exchange Rates on the Stock Companies in the Eurozone's Petrochemical Industry," Working Papers 0053, Silesian University, School of Business Administration.
• Pincheira, Pablo & Hardy, Nicolas, 2018. "Forecasting Base Metal Prices with Commodity Currencies," MPRA Paper 83564, University Library of Munich, Germany.
• Cerezo Sánchez, David, 2018. "The Valuation of Secrecy and the Privacy Multiplier," MPRA Paper 83954, University Library of Munich, Germany.
• Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018. "Financial bubbles and capital accumulation in altruistic economies," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 125-139.
  • Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018. "Financial bubbles and capital accumulation in altruistic economies," MPRA Paper 84429, University Library of Munich, Germany.
• Xing, Victor, 2018. "Yield Curve Flattening a Symptom of Ineffective Policy Tightening," MPRA Paper 84471, University Library of Munich, Germany.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena, 2018. "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," Working Papers 2018/02, Economics Department, Universitat Jaume I, Castellón (Spain).
  • Colasante, Annarita & Alfarano, Simone & Camacho-Cuena, Eva, 2018. "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," MPRA Paper 84835, University Library of Munich, Germany.
• Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  • Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," MPRA Paper 84886, University Library of Munich, Germany.
• Sovbetov, Yhlas, 2018. "Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero," MPRA Paper 85036, University Library of Munich, Germany.
• Bershadskii, Alexander, 2018. "Stock market activity and hormonal cycles," MPRA Paper 85298, University Library of Munich, Germany.
• White, Alan, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 85331, University Library of Munich, Germany.
• Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.
• CLERE, Roland & MARANDE, Stephane, 2018. "Default risk and equity value: forgotten factor or cultural revolution?," MPRA Paper 85659, University Library of Munich, Germany.
• Takaoka, Sumiko, 2018. "Convenience yield on government bonds and unconventional monetary policy in Japanese corporate bond spreads," MPRA Paper 86418, University Library of Munich, Germany.
• Simerský, Mojmír, 2018. "Czech Government Bond yields under FX pressure," MPRA Paper 86476, University Library of Munich, Germany.
• Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite
  [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
• Peter, Bossaerts & Jason, Shachat & Kuangli, Xie, 2018. "Arbitrage Opportunities: Anatomy and Remediation," MPRA Paper 87273, University Library of Munich, Germany.
• Vanessa Tchamyou & Simplice Asongu & Jacinta Nwachukwu, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," Working Papers of the African Governance and Development Institute. 18/007, African Governance and Development Institute..
  • Tchamyou, Vanessa & Asongu, Simplice & Nwachukwu, Jacinta, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," MPRA Paper 87870, University Library of Munich, Germany.
• William Barnett & Qing Han & Jianbo Zhang, 2018. "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201806, University of Kansas, Department of Economics, revised Aug 2018.
  • William, Barnett & Qing, Han & Jianbo, Zhang, 2018. "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," MPRA Paper 88261, University Library of Munich, Germany.
• He, Yong, 2018. "Can the visible and invisible hands coexist in land pricing?," MPRA Paper 88770, University Library of Munich, Germany.
• Tursoy, Turgut & Faisal, Faisal & Berk, Niyazi & Shahbaz, Muhammad, 2018. "How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL," MPRA Paper 88899, University Library of Munich, Germany.
• Cesteros, Santiago Rodrigo, 2018. "Sobre volatilidad macroeconómica y dolarización de la riqueza: el caso argentino
  [On macroeconomic volatility and wealth dollarization: the Argentine case]," MPRA Paper 88968, University Library of Munich, Germany.
• Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
• Zhou, Siwen, 2018. "Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach," MPRA Paper 89445, University Library of Munich, Germany.
• Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura
  [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
• MESTRE, Roman & Terraza, Michel, 2018. "Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché -
  [Forward Regression with Discrete and Continuous Wavel," MPRA Paper 89682, University Library of Munich, Germany.
• Riza Demirer & Rangan Gupta, 2018. "Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data," Working Papers 201811, University of Pretoria, Department of Economics.
• Rangan Gupta & Mark E. Wohar, 2018. "The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data," Working Papers 201851, University of Pretoria, Department of Economics.
• Rangan Gupta, 2018. "Manager Sentiment and Stock Market Volatility," Working Papers 201853, University of Pretoria, Department of Economics.
• Sowmya Subramaniam & David Gabauer & Rangan Gupta, 2018. "On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics," Working Papers 201864, University of Pretoria, Department of Economics.
• André C. Silva & Bernardino Adão, 2018. "The Effect of Firm Cash Holdings on Monetary Policy," Working Papers w201804, Banco de Portugal, Economics and Research Department.
• Sudipto Karmakar & Francisco Buera, 2017. "Real Effects of Financial Distress: The Role of Heterogeneity," 2017 Meeting Papers 1356, Society for Economic Dynamics.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers w201806, Banco de Portugal, Economics and Research Department.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers REM 2018/36, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Breedon, Francis, 2018. "On the transactions costs of UK quantitative easing," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 347-356.
  • Francis Breedon, 2018. "On the Transactions Costs of UK Quantitative Easing," Working Papers 848, Queen Mary University of London, School of Economics and Finance.
• Konstantinos Gkionis & Alexandros Kostakis & George Skiadopoulos & Przemyslaw S. Stilger, 2018. "Positive Stock Information In Out-Of-The-Money Option Prices," Working Papers 859, Queen Mary University of London, School of Economics and Finance.
• Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
• Kocher, Martin G. & Lucks, Konstantin E. & Schindler, David, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Papers in Economics 27572, University of Munich, Department of Economics.
  • Kocher, Martin & Lucks, Konstantin & Schindler, David, 2018. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Rationality and Competition Discussion Paper Series 81, CRC TRR 190 Rationality and Competition.
  • Martin G. Kocher & Konstantin E. Lucks & David Schindler, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," CESifo Working Paper Series 5812, CESifo Group Munich.
• Domenico Lombardi, Pierre Siklos, Samantha St. Amand, 2018. "Asset Price Spillovers From Unconventional Monetary Policy: A Global Empirical Perspective," LCERPA Working Papers 0109, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
• Martin T. Bohl, Pierre Siklos, Claudia Wellenreuther, 2018. "Speculative Activity and Returns to Volatility of Chinese Major Agricultural Commodity Futures," LCERPA Working Papers 0111, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
• Martin T. Bohl, Badye Essid, Pierre Siklos, 2018. "Short-Selling Bans and the Global Financial Crisis: Are they Inter-Connected?," LCERPA Working Papers 0112, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk premia and seasonality in commodity futures," Bank of England working papers 591, Bank of England.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2018. "Risk Premia and Seasonality in Commodity Futures," EMF Research Papers 18, Economic Modelling and Forecasting Group.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers 11169, C.E.P.R. Discussion Papers.
  • Constantino Hevia & Ivan Petrella & Martin Sola, 2016. "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers 2016_01, Universidad Torcuato Di Tella.
• Sung Jun Park & Ki Young Park, 2018. "Can Investors Profit from Security Analyst Recommendations?," Working papers 2018rwp-131, Yonsei University, Yonsei Economics Research Institute.
• Enrica Carbone & John Hey & Tibor Neugebauer, 2018. "An Experimental Comparison of Two Exchange Mechanisms, An Asset Market versus a Credit Market," Discussion Papers 18/08, Department of Economics, University of York.
• Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
• Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
  • Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018. "Interactions between stock, bond and housing markets," BERG Working Paper Series 133, Bamberg University, Bamberg Economic Research Group.
• Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
• Klein, Arne C. & Pliszka, Kamil, 2018. "The time-varying impact of systematic risk factors on corporate bond spreads," Discussion Papers 14/2018, Deutsche Bundesbank.
• Branger, Nicole & Konermann, Patrick & Meinerding, Christoph & Schlag, Christian, 2018. "Equilibrium asset pricing in directed networks," Discussion Papers 37/2018, Deutsche Bundesbank.
• Rischen, Tobias & Theissen, Erik, 2018. "Underpricing in the euro area corporate bond market: New evidence from post-crisis regulation and quantitative easing," CFR Working Papers 18-03, University of Cologne, Centre for Financial Research (CFR).
• Kräussl, Roman & Kräussl, Zsofia & Pollet, Joshua & Rinne, Kalle, 2018. "The performance of marketplace lenders: Evidence from lending club payment data," CFS Working Paper Series 598, Center for Financial Studies (CFS).
• Shachmurove, Yochanan & Vulanovic, Milos, 2018. "SPAC IPOs," EconStor Preprints 177392, ZBW - German National Library of Economics.
• Daube, Carl Heinz & Krivenkov, Vladislav, 2018. "Neu-Emissions-Prämien bei Anleihen - Eine empirische Untersuchung zu Existenz und Höhe von Prämien für Neu-Emissionen bei Unternehmensanleihen," EconStor Research Reports 179425, ZBW - German National Library of Economics.
• Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW).
• Lee, Jaeram & Lee, Geul & Ryu, Doojin, 2018. "Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach," Economics Discussion Papers 2018-68, Kiel Institute for the World Economy (IfW).
• Trebesch, Christoph & Zettelmeyer, Jeromin, 2018. "ECB interventions in distressed sovereign debt markets: The case of Greek bonds," Kiel Working Papers 2101, Kiel Institute for the World Economy (IfW).
• Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: Can they reduce sovereign borrowing costs?," Kiel Working Papers 2109, Kiel Institute for the World Economy (IfW).
• Demary, Markus, 2018. "IW Financial Expert Survey: Second Quarter 2018," IW-Reports 13/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2018. "IW Financial Expert Survey: First Quarter 2018," IW-Reports 2/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus & Neligan, Adriana, 2018. "Are green bonds a viable way to finance environmental goals? An analysis of chances and risks of green bonds," IW-Reports 28/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2018. "IW Financial Expert Survey: Third Quarter 2018," IW-Reports 29/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2018. "IW Financial Expert Survey: Fourth Quarter 2018," IW-Reports 37/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Stübinger, Johannes, 2018. "Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500," FAU Discussion Papers in Economics 01/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Acheson, Graeme G. & Coyle, Christopher & Jordan, David P. & Turner, John D., 2018. "Share trading activity and the rise of the rentier in the UK before 1920," QUCEH Working Paper Series 2018-04, Queen's University Belfast, Queen's University Centre for Economic History.
• Acheson, Graeme G. & Coyle, Christopher & Turner, John D., 2018. "Prices and informed trading: Evidence from an early stock market," QUCEH Working Paper Series 2018-05, Queen's University Belfast, Queen's University Centre for Economic History.
• Casarin, Roberto & Costola, Michele & Yenerdag, Erdem, 2018. "Financial bridges and network communities," SAFE Working Paper Series 208, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Huang, Darien & Schlag, Christian & Shaliastovich, Ivan & Thimme, Julian, 2018. "Volatility-of-volatility risk," SAFE Working Paper Series 210, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Huszár, Zsuzsa R. & Simon, Zorka, 2018. "The pricing implications of the oligopolistic securities lending market: A beneficial owner perspective," SAFE Working Paper Series 215, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2017. "Pricing sin stocks: Ethical preference vs. risk aversion," IWH Discussion Papers 20/2017, Halle Institute for Economic Research (IWH).
  • Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2018. "Pricing sin stocks: Ethical preference vs. risk aversion," SAFE Working Paper Series 216, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Giuliano Curatola & Stefano Colonnello & Alessandro Gioffré, 2018. "Pricing Sin Stocks: Ethical Preference vs. Risk Aversion," Working Papers - Economics wp2018_05.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
  • Getmansky, Mila & Jagannathan, Ravi & Pelizzon, Loriana & Schaumburg, Ernst & Yuferova, Darya, 2018. "Stock price crashes: Role of slow-moving capital," SAFE Working Paper Series 227, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Panzica, Roberto Calogero, 2018. "Idiosyncratic volatility puzzle: The role of assets' interconnections," SAFE Working Paper Series 228, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Harenberg, Daniel, 2018. "Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk," SAFE Working Paper Series 229, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2018. "A tale of one exchange and two order books: Effects of fragmentation in the absence of competition," SAFE Working Paper Series 234, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017. "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers 20781, University of Essex, Essex Business School.
  • Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018. "Exchange rate predictability and dynamic Bayesian learning," Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181523, Verein für Socialpolitik / German Economic Association.
• Wolfinger, Julia & Köhler, Ekkehard A. & Feld, Lars P. & Thomas, Tobias, 2018. "57 Channels (And Nothin On): Does TV-News on the Eurozone affect Government Bond Yield Spreads?," Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181610, Verein für Socialpolitik / German Economic Association.
• Daniel Harenberg & Ludwig, Alexander, 2015. "Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security," MEA discussion paper series 201403, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  • Harenberg, Daniel & Ludwig, Alexander, 2018. "Idiosyncratic risk, aggregate risk, and the welfare effects of social security," ZEW Discussion Papers 18-016, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
• Rehse, Dominik & Riordan, Ryan & Rottke, Nico & Zietz, Joachim, 2018. "The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy," ZEW Discussion Papers 18-024, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
• Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "On the determinants of bitcoin returns: a LASSO approach," Working Paper series 18-14, Rimini Centre for Economic Analysis.
• Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "The effects of markets, uncertainty and search intensity on bitcoin returns," Working Paper series 18-39, Rimini Centre for Economic Analysis.
• Carlos Viana de Carvalho & Daniel Cordeiro & Ruy Ribeiro & Eduardo Zilberman, 2018. "Gambling, Risk Appetite and Asset Pricing," Textos para discussão 664, Department of Economics PUC-Rio (Brazil).
• Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
• Cao, Xiaping & Huang, Bihong & Lai, Rose Neng, 2018. "The Impact of Exogenous Demand Shock on the Housing Market: Evidence from the Home Purchase Restriction Policy in the People’s Republic of China," ADBI Working Papers 824, Asian Development Bank Institute.
• Galvani, Valentina & Li, Lifang, 2018. "The Momentum Effect for Canadian Corporate Bonds," Working Papers 2018-16, University of Alberta, Department of Economics.
• Galvani, Valentina, 2018. "The Value Premium During Flights," Working Papers 2018-18, University of Alberta, Department of Economics.
• Bennouna, Hicham & Bounader, Lahcen, 2018. "Analyse de la transmission de la politique monétaire vers les taux souverains," Document de travail 2018-2, Bank Al-Maghrib, Département de la Recherche.
• Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2018. "The impact of central clearing on the market for single-name credit default swaps," Working Papers 18-1, HEC Montreal, Canada Research Chair in Risk Management.
• Li, Yong & Yu, Jun & Zeng, Tao, 2018. "Integrated Deviance Information Criterion for Latent Variable Models," Economics and Statistics Working Papers 6-2018, Singapore Management University, School of Economics.
• Xuan Zou, 2018. "Can the Greater Fool Theory Explain Bubbles? Evidence from China," Departmental Working Papers 201804, Rutgers University, Department of Economics.
• Alina Klein & Rudolf Klein, 2018. "Mean Reversion and Momentum in Central and Eastern European Countries ? A Case Study on Poland and Romania," Proceedings of International Academic Conferences 8208378, International Institute of Social and Economic Sciences.
• FARUK DAYI & Ibrahim Yasar GOK & Tolga ULUSOY, 2018. "The Relationship Between Footballer and Head Coach Transfer News and Stock Prices of Sport Clubs," Proceedings of International Academic Conferences 8209526, International Institute of Social and Economic Sciences.
• Ivo Speranda, 2018. "A New Perspective on Valuating of Common Stocks," Proceedings of Economics and Finance Conferences 6908849, International Institute of Social and Economic Sciences.
• Lorenzo, Menna & Patrizio, Tirelli, 2018. "Risk Premiums, Nominal Rigidities and Limited Asset Market Participation," Working Papers 388, University of Milano-Bicocca, Department of Economics, revised 25 Oct 2018.
• Francisco RUGE-MURCIA, 2018. "Asset Prices in a Small Production Network," Cahiers de recherche 02-2018, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
• Ye Jin Heo, 2018. "Population aging and housing prices: who are we calling old?," NBP Working Papers 288, Narodowy Bank Polski, Economic Research Department.
• Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty contests and the term structure," LSE Research Online Documents on Economics 87384, London School of Economics and Political Science, LSE Library.
  • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Economics Series Working Papers 846, University of Oxford, Department of Economics.
  • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Discussion Papers 1807, Centre for Macroeconomics (CFM).
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
• Rahul Nath, 2018. "Flexible Labour, Income Effects, and Asset Prices," Economics Series Working Papers 851, University of Oxford, Department of Economics.
• Carolina Castagnetti, 2018. "A novel approach for testing the parity relationship between CDS and credit spread," DEM Working Papers Series 161, University of Pavia, Department of Economics and Management.
• Carlos Francisco Alves & Duarte André de Castro Reis, 2018. "Evidence of Idiosyncratic Seasonality in ETFs Performance," FEP Working Papers 603, Universidade do Porto, Faculdade de Economia do Porto.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Pricing Carbon Emissions in China," Econometric Institute Research Papers EI 2018-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers 18-028/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Establishing National Carbon Emission Prices for China," Tinbergen Institute Discussion Papers 18-028/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Te-Ke Mai, 2018. "Establishing National Carbon Emission Prices for China," Documentos de Trabajo del ICAE 2018-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Laurs, DK & Renneboog, Luc, 2018. "My Kingdom for a Horse (or a Classic Car)," Discussion Paper 2018-037, Tilburg University, Center for Economic Research.
• Kocher, Martin G. & Lucks, Konstantin E. & Schindler, David, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Papers in Economics 27572, University of Munich, Department of Economics.
  • Schindler, David & Kocher, M.G. & Lucks, Konstantin E., 2018. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Paper 2018-010, Tilburg University, Center for Economic Research.
  • Kocher, Martin & Lucks, Konstantin & Schindler, David, 2018. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Rationality and Competition Discussion Paper Series 81, CRC TRR 190 Rationality and Competition.
  • Martin G. Kocher & Konstantin E. Lucks & David Schindler, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," CESifo Working Paper Series 5812, CESifo Group Munich.
• Edoardo Gaffeo, 2018. "Leverage and evolving heterogeneous beliefs in a simple agent-based financial market," DEM Working Papers 2018/03, Department of Economics and Management.
• Gollier, Christian, 2018. "On the efficient growth rate of carbon price under a carbon budget," TSE Working Papers 18-952, Toulouse School of Economics (TSE), revised Oct 2018.
• John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Pricing Carbon Emissions in China," Econometric Institute Research Papers EI 2018-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers 18-028/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Te-Ke Mai, 2018. "Establishing National Carbon Emission Prices for China," Documentos de Trabajo del ICAE 2018-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Establishing National Carbon Emission Prices for China," Tinbergen Institute Discussion Papers 18-028/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(4), pages 1-25, September.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Documentos de Trabajo del ICAE 2018-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Constantino Hevia & Martin Sola, 2018. "Bond risk premia and restrictions on risk prices," Department of Economics Working Papers 2018_03, Universidad Torcuato Di Tella.
• Aaron Hedlund, 2018. "Credit Constraints, House Prices, and the Impact of Life Cycle Dynamics," Working Papers 1807, Department of Economics, University of Missouri.
• Jose Apesteguia & Jörg Oechssler & Simon Weidenholzer, 2018. "Copy trading," Economics Working Papers 1615, Department of Economics and Business, Universitat Pompeu Fabra.
• Nektarios Aslanidis & Charlotte Christiansen & Andrea Cipollini, 2017. "Predicting Bond Betas using Macro-Finance Variables," CREATES Research Papers 2017-01, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios, & Christiansen, Charlotte & Cipollini, Andrea & Bons -- Models matemàtics, 2018. "Predicting Bond Betas using Macro-Finance Variables," Working Papers 2072/306546, Universitat Rovira i Virgili, Department of Economics.
• Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018. "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series 1808, University of St. Gallen, School of Economics and Political Science.
• Xue-Zhong He & Lei Shi & Marco Tolotti, 2018. "Are We Better-off for Working Hard?," Research Paper Series 391, Quantitative Finance Research Centre, University of Technology, Sydney.
• Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," LEM Papers Series 2018/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," Working Papers 2018:03, Department of Economics, University of Venice "Ca' Foscari".
• Krzysztof Kość & Paweł Sakowski & Robert Ślepaczuk, 2018. "Momentum and contrarian effects on the cryptocurrency market," Working Papers 2018-09, Faculty of Economic Sciences, University of Warsaw.
• Małgorzata Jabłczyńska & Krzysztof Kosc & Przemysław Ryś & Robert Ślepaczuk & Paweł Sakowski & Grzegorz Zakrzewski, 2018. "Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions," Working Papers 2018-18, Faculty of Economic Sciences, University of Warsaw.
• Vasily Astrov & Rumen Dobrinsky & Vladimir Gligorov & Richard Grieveson & Doris Hanzl-Weiss & Peter Havlik & Gabor Hunya & Sebastian Leitner & Isilda Mara & Olga Pindyuk & Leon Podkaminer & Sandor Ric, 2018. "Riding the Global Growth Wave," wiiw Forecast Reports Spring2018, The Vienna Institute for International Economic Studies, wiiw.
• Manuel Bachmann, 2018. "Market Illiquidity, Credit Freezes and Endogenous Funding Constraints," Department of Economics Working Papers wuwp255, Vienna University of Economics and Business, Department of Economics.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Pricing Carbon Emissions in China," Econometric Institute Research Papers EI 2018-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer & Te-Ke Mai, 2018. "Establishing National Carbon Emission Prices for China," Documentos de Trabajo del ICAE 2018-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers 18-028/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Establishing National Carbon Emission Prices for China," Tinbergen Institute Discussion Papers 18-028/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(4), pages 1-25, September.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Documentos de Trabajo del ICAE 2018-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Karel Janda, 2018. "Earnings Stability and Peer Selection for Indirect Valuation," Working Papers IES 2018/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2018.
• Onrej Tobek & Martin Hronec, 2018. "Does the Source of Fundamental Data Matter?," Working Papers IES 2018/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2018.
• Song, Dongho & Tang, Jenny, 2018. "News-driven uncertainty fluctuations," Working Papers 18-3, Federal Reserve Bank of Boston.
• Hur, Sewon & Kondo, Illenin O. & Perri, Fabrizio, 2018. "Inflation, Debt, and Default," Working Paper 1812, Federal Reserve Bank of Cleveland.
• Martinez-Garcia, Enrique & Grossman, Valerie, 2018. "Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World," Globalization and Monetary Policy Institute Working Paper 342, Federal Reserve Bank of Dallas, revised 01 Sep 2018.
• de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2018. "Valuation Risk Revalued," Working Papers 1808, Federal Reserve Bank of Dallas.
• Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018. "Global Financial Cycles and Risk Premiums," NBER Working Papers 24677, National Bureau of Economic Research, Inc.
  • Jorda, Oscar & Schularick, Moritz & Taylor, Alan M. & Ward, Felix, 2018. "Global Financial Cycles and Risk Premiums," Working Paper Series 2018-5, Federal Reserve Bank of San Francisco.
• Christensen, Jens H. E. & Lopez, Jose A. & Mussche, Paul, 2018. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Working Paper Series 2018-9, Federal Reserve Bank of San Francisco.
• Andrew Y. Chen & Thomas Zimmermann, 2018. "Publication Bias and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2018-033, Board of Governors of the Federal Reserve System (U.S.).
• Andrew C. Chang, 2018. "Nothing is Certain Except Death and Taxes : The Lack of Policy Uncertainty from Expiring "Temporary" Taxes," Finance and Economics Discussion Series 2018-041, Board of Governors of the Federal Reserve System (U.S.).
• Eric Engstrom & Steven A. Sharpe, 2018. "The Near-Term Forward Yield Spread as a Leading Indicator : A Less Distorted Mirror," Finance and Economics Discussion Series 2018-055, Board of Governors of the Federal Reserve System (U.S.).
• Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (U.S.).
• Song Han & Alan G. Huang & Madhu Kalimipalli & Ke Wang, 2018. "Information and Liquidity of OTC Securities : Evidence from Public Registration of Rule 144A Bonds," Finance and Economics Discussion Series 2018-061, Board of Governors of the Federal Reserve System (U.S.).
• Scott Mixon & Tugkan Tuzun, 2018. "Price Pressure and Price Discovery in the Term Structure of Interest Rates," Finance and Economics Discussion Series 2018-065, Board of Governors of the Federal Reserve System (U.S.).
• A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2018. "Does Smooth Ambiguity Matter for Asset Pricing?," International Finance Discussion Papers 1221, Board of Governors of the Federal Reserve System (U.S.).
• Bastian von Beschwitz & Donald B. Keim & Massimo Massa, 2018. "First to "Read" the News: New Analytics and Algorithmic Trading," International Finance Discussion Papers 1233, Board of Governors of the Federal Reserve System (U.S.).
• Olivier Jean Blanchard & Christopher G. Collins & Mohammad Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018. "Why Has the Stock Market Risen So Much Since the US Presidential Election?," International Finance Discussion Papers 1235, Board of Governors of the Federal Reserve System (U.S.).
• Velde, Francois R., 2018. "Lottery Loans in the Eighteenth Century," Working Paper Series WP-2018-7, Federal Reserve Bank of Chicago.
• Chien, YiLi & Lee, Junsang, 2018. "The Real Term Premium in a Stationary Economy with Segmented Asset Markets," Working Papers 2018-30, Federal Reserve Bank of St. Louis.
• Kovner, Anna & Van Tassel, Peter, 2018. "Regulatory changes and the cost of capital for banks," Staff Reports 854, Federal Reserve Bank of New York, revised 01 Oct 2018.
• Antill, Samuel & Sarkar, Asani, 2018. "Is size everything?," Staff Reports 864, Federal Reserve Bank of New York.
• Mertens, Thomas M. & Williams, John C., 2018. "What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices," Working Paper Series 2018-3, Federal Reserve Bank of San Francisco.
  • Mertens, Thomas M. & Williams, John C., 2018. "What to expect from the lower bound on interest rates: evidence from derivatives prices," Staff Reports 865, Federal Reserve Bank of New York.
• Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
  • Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
  • Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
• Van Tassel, Peter, 2018. "Relative pricing and risk premia in equity volatility markets," Staff Reports 867, Federal Reserve Bank of New York.
• Boyarchenko, Nina & Giannone, Domenico & Shachar, Or, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
• Allen, Franklin & Goldstein, Itay & Jagtiani, Julapa, 2018. "The Interplay Among Financial Regulations, Resilience, and Growth," Working Papers 18-9, Federal Reserve Bank of Philadelphia.
• Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2017. "Pricing sin stocks: Ethical preference vs. risk aversion," IWH Discussion Papers 20/2017, Halle Institute for Economic Research (IWH).
  • Giuliano Curatola & Stefano Colonnello & Alessandro Gioffré, 2018. "Pricing Sin Stocks: Ethical Preference vs. Risk Aversion," Working Papers - Economics wp2018_05.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  • Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2018. "Pricing sin stocks: Ethical preference vs. risk aversion," SAFE Working Paper Series 216, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Abramov Alexander, 2018. "Financial Markets and Financial Institutions in Russia in 2017," Published Papers ppaper-2018-305, Gaidar Institute for Economic Policy, revised 2018.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2012.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2017. "Ambiguity and the Historical Equity Premium," Post-Print hal-01646155, HAL.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rrr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2016.
  • Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2015.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2017. "Ambiguity and the historical equity premium," Working Papers 835, Queen Mary University of London, School of Economics and Finance.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00594096, HAL.
• Saker Sabkha & Christian De Peretti, 2018. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Working Papers hal-01710398, HAL.
• Becker, Janis & Leschinski, Christian, 2018. "Directional Predictability of Daily Stock Returns," Hannover Economic Papers (HEP) dp-624, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Becker, Janis & Leschinski, Christian, 2018. "Estimating the Volatility of Asset Pricing Factors," Hannover Economic Papers (HEP) dp-631, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Daniel L. Tortorice & Arben Kita, 2018. "Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries," Working Papers 1801, College of the Holy Cross, Department of Economics.
• Marco Di Maggio & Amir Kermani & Kaveh Majlesi, 2018. "Stock Market Returns and Consumption," NBER Working Papers 24262, National Bureau of Economic Research, Inc.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Paper Series 1198, Research Institute of Industrial Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Papers 2018:1, Lund University, Department of Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," IZA Discussion Papers 11357, Institute for the Study of Labor (IZA).
• Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Paper Series 1198, Research Institute of Industrial Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Papers 2018:1, Lund University, Department of Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," IZA Discussion Papers 11357, Institute for the Study of Labor (IZA).
  • Marco Di Maggio & Amir Kermani & Kaveh Majlesi, 2018. "Stock Market Returns and Consumption," NBER Working Papers 24262, National Bureau of Economic Research, Inc.
• Febi Wulandari & Dorothea Schäfer & Andreas Stephan & Chen Sun, 2018. "Liquidity Risk and Yield Spreads of Green Bonds," Discussion Papers of DIW Berlin 1728, DIW Berlin, German Institute for Economic Research.
  • Wulandaria, Febi & Schäfer, Dorothea & Stephan, Andreas & Sun, Chen, 2018. "Liquidity risk and yield spreads of green bonds," Ratio Working Papers 305, The Ratio Institute.
• Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers of Business and Economics 3/2018, University of Southern Denmark, Department of Business and Economics.
• Klova, Valeriia & Odegaard, Bernt Arne, 2018. "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance 2018/4, University of Stavanger, revised 20 Aug 2018.
• Masazumi Hattori & Ilhyock Shim & Yoshihiko Sugihara, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," BIS Working Papers 702, Bank for International Settlements.
  • Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," CIS Discussion paper series 667, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
• Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
• Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018. "Speculative activity and returns volatility of Chinese major agricultural commodity futures," CAMA Working Papers 2018-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," BIS Working Papers 742, Bank for International Settlements.
  • Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," CAMA Working Papers 2018-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Economics Series Working Papers 846, University of Oxford, Department of Economics.
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty contests and the term structure," LSE Research Online Documents on Economics 87384, London School of Economics and Political Science, LSE Library.
  • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Discussion Papers 1807, Centre for Macroeconomics (CFM).
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
• Kremens, Lukas & Martin, Ian, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.
  • Kremens, Lukas & Martin, Ian, 2018. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
• Pinter, Gabor, 2018. "Macroeconomic shocks and risk premia," LSE Research Online Documents on Economics 90370, London School of Economics and Political Science, LSE Library.
• Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
  • Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  • Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers 627, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Trebesch, Christoph & Zettelmeyer, Jeromin, 2015. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112809, Verein für Socialpolitik / German Economic Association.
  • Jeromin Zettelmeyer & Christoph Trebesch, 2018. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," Working Paper Series WP18-1, Peterson Institute for International Economics.
• Leandro, Alvaro & Zettelmeyer, Jeromin, 2018. "The Search for a Euro Area Safe Asset," CEPR Discussion Papers 12793, C.E.P.R. Discussion Papers.
  • Jeromin Zettelmeyer & Álvaro Leandro, 2018. "The Search for a Euro Area Safe Asset," Working Paper Series WP18-3, Peterson Institute for International Economics.
• Koichiro Kamada & Tetsuo Kurosaki & Ko Miura & Tetsuya Yamada, 2018. "Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data," IMES Discussion Paper Series 18-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
• Masayuki Kazato & Tetsuya Yamada, 2018. "The Implied Bail-in Probability in the Contingent Convertible Securities Market," IMES Discussion Paper Series 18-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
• Kenji Suganuma & Yoichi Ueno, 2018. "The Effects of the Bank of Japan fs Corporate and Government Bond Purchases on Credit Spreads," IMES Discussion Paper Series 18-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
• Loriana Pelizzon & Marti G. Subrahmanyam & Reiko Tobe & Jun Uno, 2018. "Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan," IMES Discussion Paper Series 18-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
• Ari, A. & Corsetti, G. & Dedola, L., 2018. "Debt Seniority and Sovereign Debt Crises," Cambridge Working Papers in Economics 1831, Faculty of Economics, University of Cambridge.
  • Anil Ari & Giancarlo Corsetti & Luca Dedola, 2018. "Debt Seniority and Sovereign Debt Crises," IMF Working Papers 18/104, International Monetary Fund.
• Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," CESifo Working Paper Series 7072, CESifo Group Munich.
  • Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," IMF Working Papers 18/98, International Monetary Fund.
• Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers REM 2018/26, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  • Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers Department of Economics 2018/01, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
• Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers Department of Economics 2018/01, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  • Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers REM 2018/26, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Maria Teresa Medeiros Garcia & Vítor Hugo Ferreira Carvalho, 2018. "A static approach to the Nelson-Siegel-Svensson model: an application for several negative yield cases," Working Papers REM 2018/35, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Sudipto Karmakar & Francisco Buera, 2017. "Real Effects of Financial Distress: The Role of Heterogeneity," 2017 Meeting Papers 1356, Society for Economic Dynamics.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers REM 2018/36, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers w201806, Banco de Portugal, Economics and Research Department.
• Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Paper Series 1198, Research Institute of Industrial Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," IZA Discussion Papers 11357, Institute for the Study of Labor (IZA).
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Papers 2018:1, Lund University, Department of Economics.
  • Marco Di Maggio & Amir Kermani & Kaveh Majlesi, 2018. "Stock Market Returns and Consumption," NBER Working Papers 24262, National Bureau of Economic Research, Inc.
• Butler, David & Cheung, Stephen L., 2018. "Mind, Body, Bubble! Psychological and Biophysical Dimensions of Behavior in Experimental Asset Markets," IZA Discussion Papers 11563, Institute for the Study of Labor (IZA).
• Colasante, Annarita & Alfarano, Simone & Camacho-Cuena, Eva, 2018. "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," MPRA Paper 84835, University Library of Munich, Germany.
  • Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena, 2018. "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," Working Papers 2018/02, Economics Department, Universitat Jaume I, Castellón (Spain).
• William Barnett & Qing Han & Jianbo Zhang, 2018. "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201806, University of Kansas, Department of Economics, revised Aug 2018.
• Mert Demirer & Umut Gokcen & Kamil Yilmaz, 2018. "Financial Sector Volatility Connectedness and Equity Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1803, Koc University-TUSIAD Economic Research Forum.
• Tanweer Akram & Huiqing Li, 2018. "The Dynamics of Japanese Government Bonds' Nominal Yields," Economics Working Paper Archive wp_906, Levy Economics Institute.
• Tanweer Akram & Anupam Das, 2018. "Australian Government Bonds' Nominal Yields: An Empirical Analysis," Economics Working Paper Archive wp_910, Levy Economics Institute.
• Donadelli, Michael & Grüning, Patrick & Jüppner, Marcus & Kizys, Renatas, 2017. "Global temperature, R&D expenditure, and growth," SAFE Working Paper Series 188, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Michael Donadelli & Patrick Grüning & Marcus Jüppner & Renatas Kizys, 2018. "Global temperature, R&D expenditure, and growth," Bank of Lithuania Discussion Paper Series 9, Bank of Lithuania.
• Viktors Ajevskis, 2018. "he Natural Rate of Interest: Information Derived from a Shadow Rate Model," Working Papers 2018/02, Latvijas Banka.
• Martin Boyer & Philippe De Donder & Claude-Denys Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1806, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  • M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1804, Chaire de recherche Industrielle Alliance sur les enjeux économiques des changements démographiques.
• M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1804, Chaire de recherche Industrielle Alliance sur les enjeux économiques des changements démographiques.
  • Martin Boyer & Philippe De Donder & Claude-Denys Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1806, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018. "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche 1807, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Joerg Schmidt, 2018. "Unconventional Monetary Policy and Bank Risk-Taking in the Euro Area," MAGKS Papers on Economics 201824, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Carlos Manuel Pinheiro & Hugo Hilário Varela, 2018. "Do Exchange Traded Funds (ETFs) Outperform the Market? Evidence from the Portuguese Stock Index," GEE Papers 0109, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Sep 2018.
• Jasper de Jong, 2018. "The effect of fiscal announcements on interest spreads: Evidence from the Netherlands," DNB Working Papers 584, Netherlands Central Bank, Research Department.
• Iman van Lelyveld & Sinziana Kroon, 2018. "Counterparty credit risk and the effectiveness of banking regulation," DNB Working Papers 599, Netherlands Central Bank, Research Department.
• Bahar Öztürk & Dorinth van Dijk & Frank van Hoenselaar & Sander Burgers, 2018. "The relation between supply constraints and house price dynamics in the Netherlands," DNB Working Papers 601, Netherlands Central Bank, Research Department.
• Jean-Baptiste Michau & Yoshiyasu Ono & Matthias Schlegl, 2018. "Wealth Preference and Rational Bubbles," CESifo Working Paper Series 7148, CESifo Group Munich.
  • Jean-Baptiste Michau & Yoshiyasu Ono & Matthias Schlegl, 2018. "Wealth Preference and Rational Bubbles," ISER Discussion Paper 1035, Institute of Social and Economic Research, Osaka University.
• Sessi Tokpavi & Christophe Boucher, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," EconomiX Working Papers 2018-39, University of Paris Nanterre, EconomiX.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2018. "Monetary Policy and Asset Price Bubbles," EconomiX Working Papers 2018-5, University of Paris Nanterre, EconomiX.
• Langlois, Hugues, 2018. "Measuring Skewness Premia," HEC Research Papers Series 1256, HEC Paris, revised 29 May 2019.
• Foucault, Thierry & Benamar, Hedi & Vega, Clara, 2018. "Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News," HEC Research Papers Series 1263, HEC Paris, revised 03 May 2018.
• Adriana Grasso & Filippo Natoli, 2018. "Consumption volatility risk and the inversion of the yield curve," Temi di discussione (Economic working papers) 1169, Bank of Italy, Economic Research and International Relations Area.
  • Grasso, Adriana & Natoli, Filippo, 2018. "Consumption volatility risk and the inversion of the yield curve," Working Paper Series 2141, European Central Bank.
• Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: can they reduce sovereign borrowing costs?," Working Paper Series 2162, European Central Bank.
• Schwert, Michael, 2018. "Is Borrowing from Banks More Expensive than Borrowing from the Market?," Working Paper Series 2017-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Söhnke M. Bartram & Gregory W. Brown & René M. Stulz, 2018. "Why has Idiosyncratic Risk been Historically Low in Recent Years?," NBER Working Papers 24270, National Bureau of Economic Research, Inc.
  • Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2018. "Why Has Idiosyncratic Risk Been Historically Low in Recent Years?," Working Paper Series 2018-02, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2018. "Motivating Factors," Working Paper Series 2018-03, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Ben-David, Itzhak & Li, Zhi & Wang, Zexi, 2018. "Financial Constraints and Industry Dynamics," Working Paper Series 2018-09, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2018. "Q5," Working Paper Series 2018-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Karnaukh, Nina, 2018. "The Dollar Ahead of FOMC Target Rate Changes," Working Paper Series 2018-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Li, Ye & Wang, Chen, 2018. "Rediscover Predictability: Information from the Relative Prices of Long-Term and Short-Term Dividends," Working Paper Series 2018-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Leif Andersen & Darrell Duffie & Yang Song, 2017. "Funding Value Adjustments," NBER Working Papers 23680, National Bureau of Economic Research, Inc.
  • Duffie, Darrell & Andersen, Leif & Song, Yang, 2018. "Funding Value Adjustments," Research Papers 3571, Stanford University, Graduate School of Business.
• Krishnamurthy, Arvind & Archarya, Viral V., 2018. "Capital Flow Management with Multiple Instruments," Research Papers 3646, Stanford University, Graduate School of Business.
• Lee, Charles M. C. & Qu, Yuanyu & Shen, Tao, 2018. "Going Public in China: Reverse Mergers versus IPOs," Research Papers 3655, Stanford University, Graduate School of Business.
• Guihai Zhao, 2018. "Ambiguity, Nominal Bond Yields and Real Bond Yields," Staff Working Papers 18-24, Bank of Canada.
• Jeffrey Gao & Jianjian Jin & Jacob Thompson, 2018. "The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market," Staff Working Papers 18-35, Bank of Canada.
• Sara Ferreira Filipe, 2018. "Housing prices and mortgage credit in Luxembourg," BCL working papers 117, Central Bank of Luxembourg.
• Alberto Fuertes & Ricardo Gimeno & José Manuel Marqués, 2018. "Extraction of inflation expectations from financial instruments in Latin America," Working Papers 1819, Banco de España;Working Papers Homepage.
• Filippo Natoli, 2018. "Analyzing the structural transformation of commodity markets: financialization revisited," Questioni di Economia e Finanza (Occasional Papers) 419, Bank of Italy, Economic Research and International Relations Area.
• Fabrizio Venditti & Francesco Columba & Alberto Maria Sorrentino, 2018. "A risk dashboard for the Italian economy," Questioni di Economia e Finanza (Occasional Papers) 425, Bank of Italy, Economic Research and International Relations Area.
• Michele Manna & Stefano Nobili, 2018. "Banks' holdings of and trading in government bonds," Temi di discussione (Economic working papers) 1166, Bank of Italy, Economic Research and International Relations Area.
• Grasso, Adriana & Natoli, Filippo, 2018. "Consumption volatility risk and the inversion of the yield curve," Working Paper Series 2141, European Central Bank.
  • Adriana Grasso & Filippo Natoli, 2018. "Consumption volatility risk and the inversion of the yield curve," Temi di discussione (Economic working papers) 1169, Bank of Italy, Economic Research and International Relations Area.
• Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
• Marcello Pericoli, 2018. "Macroeconomics determinants of the correlation between stocks and bonds," Temi di discussione (Economic working papers) 1198, Bank of Italy, Economic Research and International Relations Area.
• García-Verdú Santiago & Ramos Francia Manuel & Sánchez-Martínez Manuel, 2018. "TIIE-28 Swaps as Risk-Adjusted Forecasts of Monetary Policy in Mexico," Working Papers 2018-16, Banco de México.
• Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon & Sebastian Sanin-Restrepo, 2018. "Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality," Borradores de Economia 1051, Banco de la Republica de Colombia.
• Christian Pfister, 2018. "(Real-)Time Is Money," Working papers 675, Banque de France.
• Apesteguia, Jose & Oechssler, Jörg & Weidenholzer, Simon, 2018. "Copy Trading," Working Papers 0649, University of Heidelberg, Department of Economics.
  • Jose Apesteguia & Jörg Oechssler & Simon Weidenholzer, 2018. "Copy Trading," Working Papers 1048, Barcelona Graduate School of Economics.
• Kristyna Ters & Jörg Urban, 2018. "Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model," BIS Working Papers 689, Bank for International Settlements.
• Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," CIS Discussion paper series 667, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
  • Masazumi Hattori & Ilhyock Shim & Yoshihiko Sugihara, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," BIS Working Papers 702, Bank for International Settlements.
• Sven Klingler & Suresh Sundaresan, 2018. "An explanation of negative swap spreads: demand for duration from underfunded pension plans," BIS Working Papers 705, Bank for International Settlements.
• Elías Albagli & Luis Ceballos & Sebastián Claro & Damián Romero, 2015. "Channels of US Monetary Policy Spillovers into International Bond Markets," Working Papers Central Bank of Chile 771, Central Bank of Chile.
  • Elias Albagli & Luis Ceballos & Sebastián Claro & Damian Romero, 2018. "Channels of US monetary policy spillovers to international bond markets," BIS Working Papers 719, Bank for International Settlements.
• Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2018. "Identifying oil price shocks and their consequences: the role of expectations in the crude oil market," BIS Working Papers 725, Bank for International Settlements.
• Monika Piazzesi & Martin Schneider, 2018. "Payments, credit and asset prices," BIS Working Papers 734, Bank for International Settlements.
• Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," CAMA Working Papers 2018-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," BIS Working Papers 742, Bank for International Settlements.
• Saskia Ter Ellen & Edvard Jansen & Nina Larsson Midthjell, 2018. "ECB spillovers and domestic monetary policy effectiveness in small open economies," Working Paper 2018/9, Norges Bank.
• Boneva, Lena & de Roure, Calebe & Morley, Ben, 2018. "The impact of the Bank of England’s Corporate Bond Purchase Scheme on yield spreads," Bank of England working papers 719, Bank of England.
• Karvik, Geir-Are & Noss, Joseph & Worlidge, Jack & Beale, Daniel, 2018. "The deeds of speed: an agent-based model of market liquidity and flash episodes," Bank of England working papers 743, Bank of England.
• Lloyd, Simon, 2018. "Estimating nominal interest rate expectations: overnight indexed swaps and the term structure," Bank of England working papers 763, Bank of England.
• Carpenter, Jennifer N. & Lu, Fangzhou & Whitelaw, Robert F., 2018. "The real value of China’s stock market," BOFIT Discussion Papers 2, Bank of Finland, Institute for Economies in Transition.
• Carpenter, Jennifer N. & Lu, Fangzhou & Whitelaw, Robert F., 2018. "The real value of China’s stock market," BOFIT Discussion Papers 2/2018, Bank of Finland, Institute for Economies in Transition.
• Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1/2018, Bank of Finland.
  • Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1, Bank of Finland.
• Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1, Bank of Finland.
  • Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1/2018, Bank of Finland.
• Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
• Dimitris A. Georgoutsos & Petros M. Migiakis, 2018. "Risk perceptions and fundamental effects on sovereign spreads," Working Papers 250, Bank of Greece.
• Langlois, Hugues & Chaieb, Ines & Scaillet, O., 2018. "Time-Varying Risk Premia in Large International Equity Markets," HEC Research Papers Series 1250, HEC Paris, revised 29 May 2019.
  • Ines Chaieb & Hugues Langlois & O. Scaillet, 2018. "Time-Varying Risk Premia in Large International Equity Markets," Swiss Finance Institute Research Paper Series 18-04, Swiss Finance Institute, revised Jun 2018.
• Langlois, Hugues & Chaieb, Ines & Errunza, Vihang R., 2017. "Is Liquidity Risk Priced in Partially Segmented Markets?," HEC Research Papers Series 1254, HEC Paris, revised 04 Jun 2018.
  • Ines Chaieb & Vihang R. Errunza & Hugues Langlois, 2018. "Is Liquidity Risk Priced in Partially Segmented Markets?," Swiss Finance Institute Research Paper Series 18-05, Swiss Finance Institute, revised Jun 2018.
• Andrea Berardi & Alberto Plazzi, 2018. "Inflation Risk Premia, Yield Volatility and Macro Factors," Swiss Finance Institute Research Paper Series 18-13, Swiss Finance Institute, revised Mar 2018.
• Semyon Malamud & Marzena J. Rostek, 2018. "Decentralized Exchange," Swiss Finance Institute Research Paper Series 18-25, Swiss Finance Institute, revised Apr 2018.
• Paola Pederzoli, 2018. "Crash Risk in Individual Stocks," Swiss Finance Institute Research Paper Series 18-31, Swiss Finance Institute, revised May 2018.
• Damir Filipović & Martin Larsson & Tony Ware, 2018. "Polynomial Processes for Power Prices," Swiss Finance Institute Research Paper Series 18-34, Swiss Finance Institute.
• Roberto Steri, 2018. "A Corporate Financing-Based Asset Pricing Model," Swiss Finance Institute Research Paper Series 18-46, Swiss Finance Institute.
• M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," CIRANO Working Papers 2018s-13, CIRANO.
• Ivan Sutoris, 2018. "Asset Prices in a Production Economy with Long-run and Idiosyncratic Risk," Working Papers 2018/4, Czech National Bank, Research Department.
• Jose Ignacio Lopez, 2018. "Predictibilidad del Mercado Accionario Colombiano," DOCUMENTOS CEDE 016086, UNIVERSIDAD DE LOS ANDES-CEDE.
• Martin C. Schmalz & Sergey Zhuk, 2018. "Revealing Downturns," CESifo Working Paper Series 6879, CESifo Group Munich.
  • Schmalz, Martin & Zhuk, Sergey, 2018. "Revealing Downturns," CEPR Discussion Papers 12597, C.E.P.R. Discussion Papers.
• Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2018. "The Effect of Investment Constraints on Hedge Fund Investor Returns," CEPR Discussion Papers 12599, C.E.P.R. Discussion Papers.
• Robert Ready & Mariano Croce & Federico Gavazzoni & Riccardo Colacito, 2016. "Currency Risk Factors in a Recursive Multi-Country Economy," 2016 Meeting Papers 297, Society for Economic Dynamics.
  • Colacito, Riccardo & Croce, Mariano Massimiliano & Gavazzoni, Federico & Ready, Robert, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," CEPR Discussion Papers 12610, C.E.P.R. Discussion Papers.
• Semyon Malamud & Andreas Schrimpf, 2016. "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series 16-75, Swiss Finance Institute.
  • Malamud, Semyon & Schrimpf, Andreas, 2018. "Intermediation markups and monetary policy pass-through," CEPR Discussion Papers 12623, C.E.P.R. Discussion Papers.
  • Andreas Schrimpf & Semyon Malamud, 2017. "Intermediation Markups and Monetary Policy Passthrough," 2017 Meeting Papers 812, Society for Economic Dynamics.
• Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018. "Capital Share Risk in U.S. Asset Pricing," CEPR Discussion Papers 12628, C.E.P.R. Discussion Papers.
• Trebesch, Christoph & Zettelmeyer, Jeromin, 2018. "ECB interventions in distressed sovereign debt markets: The case of Greek bonds," CEPR Discussion Papers 12635, C.E.P.R. Discussion Papers.
• Wagner, Alexander F. & Zeckhauser, Richard J. & Ziegler, Alexandre, 2017. "Paths to Convergence: Stock Price Behavior after Donald Trump's Election," Working Paper Series rwp17-039, Harvard University, John F. Kennedy School of Government.
  • Wagner, Alexander F & Zeckhauser, Richard & Ziegler, Alexandre, 2018. "Paths to Convergence: Stock Price Behavior After Donald Trump's Election," CEPR Discussion Papers 12657, C.E.P.R. Discussion Papers.
• Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2018. "Efficiently Inefficient Markets for Assets and Asset Management," CEPR Discussion Papers 12664, C.E.P.R. Discussion Papers.
• Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
  • Lando, David & Pedersen, Lasse Heje & Skov Jensen, Christian, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
• Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
• Adrian, Tobias & Duarte, Fernando M., 2016. "Financial vulnerability and monetary policy," Staff Reports 804, Federal Reserve Bank of New York, revised 01 Sep 2017.
  • Adrian, Tobias & Duarte, Fernando, 2018. "Financial Vulnerability and Monetary Policy," CEPR Discussion Papers 12680, C.E.P.R. Discussion Papers.
  • Fernando Duarte & Tobias Adrian, 2017. "Financial Vulnerability and Monetary Policy," 2017 Meeting Papers 391, Society for Economic Dynamics.
• Asness, Clifford S. & Frazzini, Andrea & Israel, Ronen & Pedersen, Lasse Heje, 2018. "Size Matters, if You Control Your Junk," CEPR Discussion Papers 12684, C.E.P.R. Discussion Papers.
• Asness, Clifford S. & Liew, John M. & Pedersen, Lasse Heje & Thapar, Ashwin K, 2018. "Deep Value," CEPR Discussion Papers 12685, C.E.P.R. Discussion Papers.
• Asness, Clifford S. & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2018. "Betting Against Correlation: Testing Theories of the Low-Risk Effect," CEPR Discussion Papers 12686, C.E.P.R. Discussion Papers.
• Klinger, Sven & Lando, David, 2018. "Safe Haven CDS Premiums," CEPR Discussion Papers 12694, C.E.P.R. Discussion Papers.
• Collin-Dufresne, Pierre & Daniel, Kent & Saglam, Mehmet, 2018. "Liquidity Regimes and Optimal Dynamic Asset Allocation," CEPR Discussion Papers 12737, C.E.P.R. Discussion Papers.
• Buss, Adrian & Schönleber, Lorenzo & Vilkov, Grigory, 2018. "Expected Stock Returns and the Correlation Risk Premium," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
• Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Economics Series Working Papers 846, University of Oxford, Department of Economics.
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
  • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Discussion Papers 1807, Centre for Macroeconomics (CFM).
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty contests and the term structure," LSE Research Online Documents on Economics 87384, London School of Economics and Political Science, LSE Library.
• Colacito, Riccardo & Croce, Mariano Massimiliano & Ho, Steven & Howard, Philip, 2018. "BKK the EZ Way. International Long-Run Growth News and Capital Flows," CEPR Discussion Papers 12783, C.E.P.R. Discussion Papers.
• Bhamra, Harjoat Singh & Kuehn, Lars-Alexander & Strebulaev, Ilya, 2018. "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," CEPR Discussion Papers 12827, C.E.P.R. Discussion Papers.
• Chotibhak, Jotikasthira & Ellul, Andrew & Kartasheva, Anastasia & Lundblad, Christian & Wagner, Wolf, 2018. "Insurers as Asset Managers and Systemic Risk," CEPR Discussion Papers 12849, C.E.P.R. Discussion Papers.
• Patrick Augustin & Mikhail Chernov & Dongho Song, 2018. "Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," NBER Working Papers 24506, National Bureau of Economic Research, Inc.
  • Augustin, Patrick & Chernov, Mikhail & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
• Allen, Franklin & Goldstein, Itay & Jagtiani, Julapa, 2018. "The Interplay between Financial Regulations, Resilience, and Growth," CEPR Discussion Papers 12861, C.E.P.R. Discussion Papers.
• Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of CoCos," Papers 1804.06890, arXiv.org.
  • Derksen, Mike & Spreij, Peter & van Wijnbergen, Sweder, 2018. "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers 12869, C.E.P.R. Discussion Papers.
  • Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of Cocos," Tinbergen Institute Discussion Papers 18-037/VI, Tinbergen Institute.
• Marcin Kacperczyk & Jaromir B. Nosal & Luminita Stevens, 2014. "Investor Sophistication and Capital Income Inequality," NBER Working Papers 20246, National Bureau of Economic Research, Inc.
  • Kacperczyk, Marcin & Nosal, Jaromir & Stevens, Luminita, 2018. "Investor Sophistication and Capital Income Inequality," CEPR Discussion Papers 12870, C.E.P.R. Discussion Papers.
  • Marcin Kacperczyk & Jaromir Nosal & Luminita Stevens, 2015. "Investor sophistication and capital income inequality," NBP Working Papers 199, Narodowy Bank Polski, Economic Research Department.
• Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
• Mikhail Chernov & Drew D. Creal, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," NBER Working Papers 24563, National Bureau of Economic Research, Inc.
  • Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
• Lettau, Martin & Pelger, Markus, 2018. "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers 12926, C.E.P.R. Discussion Papers.
• Christian Bayer & Chi Hyun Kim & Alexander Kriwoluzky, 2018. "The Term Structure of Redenomination Risk," Discussion Papers of DIW Berlin 1740, DIW Berlin, German Institute for Economic Research.
  • Bayer, Christian & Kim, Chi & Kriwoluzky, Alexander, 2018. "The term structure of redenomination risk," CEPR Discussion Papers 12965, C.E.P.R. Discussion Papers.
• Jordá, Óscar & Schularick, Moritz & Taylor, Alan M. & Ward, Felix, 2018. "Global financial cycles and risk premiums," CEPR Discussion Papers 12969, C.E.P.R. Discussion Papers.
• Leombroni, Matteo & Vedolin, Andrea & Venter, Gyuri & Whelan, Paul, 2018. "Central Bank Communication and the Yield Curve," CEPR Discussion Papers 12970, C.E.P.R. Discussion Papers.
• Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CEPR Discussion Papers 13020, C.E.P.R. Discussion Papers.
• Atmaz, Adem & Basak, Suleyman, 2018. "Option Prices and Costly Short-Selling," CEPR Discussion Papers 13029, C.E.P.R. Discussion Papers.
• Lettau, Martin & Pelger, Markus, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers 13049, C.E.P.R. Discussion Papers.
• Pástor, Luboš & Veronesi, Pietro, 2018. "Inequality Aversion, Populism, and the Backlash Against Globalization," CEPR Discussion Papers 13107, C.E.P.R. Discussion Papers.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2018. "Frictional Intermediation in Over-the-counter Markets," NBER Working Papers 24956, National Bureau of Economic Research, Inc.
  • Hugonnier, Julien & Lester, Benjamin & Weill, Pierre-Olivier, 2018. "Frictional intermediation in over-the-counter markets," CEPR Discussion Papers 13126, C.E.P.R. Discussion Papers.
• Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2018. "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers 13137, C.E.P.R. Discussion Papers.
• Gürkaynak, Refet S. & Kisacikoglu, Burçin & Wright, Jonathan H., 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," CEPR Discussion Papers 13153, C.E.P.R. Discussion Papers.
• Schoenmaker, Dirk & Schramade, Willem, 2018. "Investing for Long-Term Value Creation," CEPR Discussion Papers 13175, C.E.P.R. Discussion Papers.
• Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, C.E.P.R. Discussion Papers.
• Gehrig, Thomas & Sögner, Leopold & Westerkamp, Arne, 2018. "Making Parametric Portfolio Policies Work," CEPR Discussion Papers 13193, C.E.P.R. Discussion Papers.
• Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
  • Adam, Klaus & Maatvev, Dmitry & Nagel, Stefan, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers 13213, C.E.P.R. Discussion Papers.
  • Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo Group Munich.
• Chernov, Mikhail & Creal, Drew, 2018. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
• Bergemann, Dirk & Heumann, Tibor & Morris, Stephen, 2018. "Information and Market Power," CEPR Discussion Papers 13295, C.E.P.R. Discussion Papers.
• Fabian Goessling, 2018. "Human Capital, Growth, and Asset Prices," CQE Working Papers 6918, Center for Quantitative Economics (CQE), University of Muenster.
• Balbas Aparicio, Raquel & Balbas Aparicio, Beatriz & Balbas de la Corte, Alejandro, 2018. "Relationships between the stochastic discount factor and the optimal omega ratio," INDEM - Working Paper Business Economic Series 26348, Instituto para el Desarrollo Empresarial (INDEM).
• Afees A. Salisu, 2018. "United we stand, divided we fall: A PANICCA test evidence for stock exchanges in OECD," Working Papers 049, Centre for Econometric and Allied Research, University of Ibadan.
• Afees A. Salisu & Taofeek O. Ayinde, 2018. "Testing for spillovers in Naira exchange rates: The role of electioneering& global financial crisis," Working Papers 050, Centre for Econometric and Allied Research, University of Ibadan.
• Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2018. "Speculation and Price Indeterminacy in Financial Markets: An Experimental Study," Cowles Foundation Discussion Papers 2134, Cowles Foundation for Research in Economics, Yale University.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo Group Munich.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1718, DIW Berlin, German Institute for Economic Research.
• Daniel Bierbaumer & Malte Rieth & Anton Velinov, 2018. "Nonlinear Intermediary Pricing in the Oil Futures Market," Discussion Papers of DIW Berlin 1722, DIW Berlin, German Institute for Economic Research.
• Wulandaria, Febi & Schäfer, Dorothea & Stephan, Andreas & Sun, Chen, 2018. "Liquidity risk and yield spreads of green bonds," Ratio Working Papers 305, The Ratio Institute.
  • Febi Wulandari & Dorothea Schäfer & Andreas Stephan & Chen Sun, 2018. "Liquidity Risk and Yield Spreads of Green Bonds," Discussion Papers of DIW Berlin 1728, DIW Berlin, German Institute for Economic Research.
• Bayer, Christian & Kim, Chi & Kriwoluzky, Alexander, 2018. "The term structure of redenomination risk," CEPR Discussion Papers 12965, C.E.P.R. Discussion Papers.
  • Christian Bayer & Chi Hyun Kim & Alexander Kriwoluzky, 2018. "The Term Structure of Redenomination Risk," Discussion Papers of DIW Berlin 1740, DIW Berlin, German Institute for Economic Research.
• Tchamyou, Vanessa & Asongu, Simplice & Nwachukwu, Jacinta, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," MPRA Paper 87870, University Library of Munich, Germany.
  • Vanessa Tchamyou & Simplice Asongu & Jacinta Nwachukwu, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," Working Papers of the African Governance and Development Institute. 18/007, African Governance and Development Institute..
• Derksen, Mike & Spreij, Peter & van Wijnbergen, Sweder, 2018. "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers 12869, C.E.P.R. Discussion Papers.
  • Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of CoCos," Papers 1804.06890, arXiv.org.
  • Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of Cocos," Tinbergen Institute Discussion Papers 18-037/VI, Tinbergen Institute.
• Jose Apesteguia & Jörg Oechssler & Simon Weidenholzer, 2018. "Copy Trading," Working Papers 1048, Barcelona Graduate School of Economics.
  • Apesteguia, Jose & Oechssler, Jörg & Weidenholzer, Simon, 2018. "Copy Trading," Working Papers 0649, University of Heidelberg, Department of Economics.
• Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
  • Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers 627, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  • Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Massimo Guidolin & Andrea Ricci, 2018. "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers 1888, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & Perez de Gracia, Fernando, 2018. "Oil volatility, oil and gas firms and portfolio diversification," Energy Economics, Elsevier, vol. 70(C), pages 499-515.
  • Nikolaos Antonakakis & Juncal Cunado & George Filis & David Gabauer & Fernando Perez de Gracia, 2018. "Oil volatility, oil and gas firms and portfolio diversification," BAFES Working Papers BAFES18, Department of Accounting, Finance & Economic, Bournemouth University.
• Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
• Russell Barnett & Konrad Zmitrowicz, 2018. "Assessing the Impact of Demand Shocks on the US Term Premium," Discussion Papers 18-7, Bank of Canada.
• Cheolbeom Park & Suyeon Park, 2018. "Rare Disasters and Exchange Rates: An Empirical Investigation of South Korean Exchange Rates under Tension between the Two Koreas," Working Papers 2018-8, Economic Research Institute, Bank of Korea.
• Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018. "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers 123, Brandeis University, Department of Economics and International Businesss School.
• Altermatt, Lukas, 2018. "Savings, asset scarcity, and monetary policy," Working papers 2018/13, Faculty of Business and Economics - University of Basel.
• Arthur Korus & Samir Kadiric, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
• Anil Ari & Giancarlo Corsetti & Luca Dedola, 2018. "Debt Seniority and Sovereign Debt Crises," IMF Working Papers 18/104, International Monetary Fund.
  • Ari, A. & Corsetti, G. & Dedola, L., 2018. "Debt Seniority and Sovereign Debt Crises," Cambridge Working Papers in Economics 1831, Faculty of Economics, University of Cambridge.
• João M. Pinto & Mário C. Santos, 2018. "The Choice Between Corporate And Structured Financing: Evidence From New Corporate Borrowings," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
• Guodong Chen & Minjoon Lee & Tong-yob Nam, 2018. "Forced Retirement Risk and Portfolio Choice," Carleton Economic Papers 18-06, Carleton University, Department of Economics.
• De Sola Perea, Maite & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2018. "Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment," Research Technical Papers 3/RT/18, Central Bank of Ireland.
• Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
  • Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
• Dunne, Peter G., 2018. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," Research Technical Papers 5/RT/18, Central Bank of Ireland.
• Moritz Wagner & John Byong-Tek Lee & Dimitris Margaritis, 2018. "Mutual Fund Flows and Seasonalities in Stock Returns," Working Papers in Economics 18/17, University of Canterbury, Department of Economics and Finance.
• Christian A. L. Hilber & Olivier Schöni, 2018. "The Economic Impacts of Constraining Home Investments," CEP Discussion Papers dp1556, Centre for Economic Performance, LSE.
• Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018. "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers wp619, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1718, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo Group Munich.
• Schmalz, Martin & Zhuk, Sergey, 2018. "Revealing Downturns," CEPR Discussion Papers 12597, C.E.P.R. Discussion Papers.
  • Martin C. Schmalz & Sergey Zhuk, 2018. "Revealing Downturns," CESifo Working Paper Series 6879, CESifo Group Munich.
• Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M. Taylor, 2017. "The Rate of Return on Everything, 1870–2015," NBER Working Papers 24112, National Bureau of Economic Research, Inc.
  • Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M. Taylor, 2018. "The Rate of Return on Everything, 1870-2015," CESifo Working Paper Series 6899, CESifo Group Munich.
  • Jorda, Oscar & Knoll, Katharina & Kuvshinov, Dmitry & Schularick, Moritz & Taylor, Alan M., 2017. "The Rate of Return on Everything, 1870–2015," Working Paper Series 2017-25, Federal Reserve Bank of San Francisco.
  • Jord�, �scar & Knoll, Katharina & Kuvshinov, Dmitry & Schularick, Moritz & Taylor, Alan M., 2017. "The Rate of Return on Everything, 1870-2015," CEPR Discussion Papers 12509, C.E.P.R. Discussion Papers.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "On the Frequency of Price Overreactions," CESifo Working Paper Series 7011, CESifo Group Munich.
• Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," IMF Working Papers 18/98, International Monetary Fund.
  • Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," CESifo Working Paper Series 7072, CESifo Group Munich.
• Marcos Chamon & Julian Schumacher & Christoph Trebesch, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CESifo Working Paper Series 7137, CESifo Group Munich.
• Jean-Baptiste Michau & Yoshiyasu Ono & Matthias Schlegl, 2018. "Wealth Preference and Rational Bubbles," ISER Discussion Paper 1035, Institute of Social and Economic Research, Osaka University.
  • Jean-Baptiste Michau & Yoshiyasu Ono & Matthias Schlegl, 2018. "Wealth Preference and Rational Bubbles," CESifo Working Paper Series 7148, CESifo Group Munich.
• Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo Group Munich.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo Group Munich.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo Group Munich.
• Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," CESifo Working Paper Series 7229, CESifo Group Munich.
• Caporale Guglielmo Maria & Luis A. Gil-Alana & Trilochan Tripathy, 2018. "Persistence in the Russian Stock Market Volatility Indices," CESifo Working Paper Series 7243, CESifo Group Munich.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2018. "Bitcoin Fluctuations and the Frequency of Price Overreactions," CESifo Working Paper Series 7280, CESifo Group Munich.
• Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
  • Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo Group Munich.
  • Adam, Klaus & Maatvev, Dmitry & Nagel, Stefan, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers 13213, C.E.P.R. Discussion Papers.
• Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Economics Series Working Papers 846, University of Oxford, Department of Economics.
  • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Discussion Papers 1807, Centre for Macroeconomics (CFM).
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty contests and the term structure," LSE Research Online Documents on Economics 87384, London School of Economics and Political Science, LSE Library.
• Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).

2017

• Cheung, Kwok Tong Samuel & Naidu, Dharmendra & Navissi, Farshid & Ranjeeni, Kumari, 2017. "Valuing talent: Do CEOs' ability and discretion unambiguously increase firm performance," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 15-35.
• Borochin, Paul & Yang, Jie, 2017. "Options, equity risks, and the value of capital structure adjustments," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 150-178.
• Chen, Changling & Kim, Jeong-Bon & Yao, Li, 2017. "Earnings smoothing: Does it exacerbate or constrain stock price crash risk?," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 36-54.
• Abdoh, Hussein & Varela, Oscar, 2017. "Product market competition, idiosyncratic and systematic volatility," Journal of Corporate Finance, Elsevier, vol. 43(C), pages 500-513.
• Berentsen, Aleksander & McBride, Michael & Rocheteau, Guillaume, 2017. "Limelight on dark markets: Theory and experimental evidence on liquidity and information," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 70-90.
  • Aleksander Berentsen & Michael McBride & Guillaume Rocheteau, 2013. "Limelight on dark markets: theory and experimental evidence on liquidity and information," ECON - Working Papers 126, Department of Economics - University of Zurich, revised Apr 2015.
• Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping in the housing market," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 232-263.
  • Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping in the Housing Market," MPRA Paper 76443, University Library of Munich, Germany.
  • Charles Ka Yui Leung & Chung-Yi Tse, 2017. "Flipping in the Housing Market," ISER Discussion Paper 0989, Institute of Social and Economic Research, Osaka University.
• Guo, Jing & He, Xue Dong, 2017. "Equilibrium asset pricing with Epstein-Zin and loss-averse investors," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 86-108.
• Coqueret, Guillaume, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 180-201.
• Akram, Tanweer & Li, Huiqing, 2017. "What keeps long-term U.S. interest rates so low?," Economic Modelling, Elsevier, vol. 60(C), pages 380-390.
• Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
• Liang, Hanchao & Yang, Chunpeng & Cai, Chuangqun, 2017. "Beauty contest, bounded rationality, and sentiment pricing dynamics," Economic Modelling, Elsevier, vol. 60(C), pages 71-80.
• Leung, Henry & Schiereck, Dirk & Schroeder, Florian, 2017. "Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises," Economic Modelling, Elsevier, vol. 61(C), pages 169-180.
• Atanasov, Victoria & Nitschka, Thomas, 2017. "Firm size, economic risks, and the cross-section of international stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 110-126.
• Ke, Wen-Chyan & Chen, Hueiling & Lin, Hsiou-Wei W. & Liu, Yo-Chia, 2017. "The impact of numerical superstition on the final digit of stock price," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 145-157.
• Wei, Yu-Chen & Lu, Yang-Cheng & Chen, Jen-Nan & Hsu, Yen-Ju, 2017. "Informativeness of the market news sentiment in the Taiwan stock market," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 158-181.
• Filzen, Joshua J. & Schutte, Maria Gabriela, 2017. "Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 19-37.
• Hüning, Hendrik, 2017. "Asset market response to monetary policy news from SNB press releases," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 160-177.
• Jeon, Hyunglae & Kang, Jangkoo & Lee, Changjun, 2017. "Precision about manager skill, mutual fund flows, and performance persistence," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 222-237.
• Dolmas, Jim, 2017. "Campbell and Cochrane meet Melino and Yang: Reverse engineering the surplus ratio in a Mehra–Prescott economy," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 55-62.
• Dong, Yingjie & Tse, Yiu-Kuen, 2017. "On estimating market microstructure noise variance," Economics Letters, Elsevier, vol. 150(C), pages 59-62.
• Chaudhury, Mo, 2017. "Volatility and expected option returns: A note," Economics Letters, Elsevier, vol. 152(C), pages 1-4.
• Leoni, Patrick & Lundtofte, Frederik, 2017. "Information, stochastic dominance and bidding: The case of Treasury auctions," Economics Letters, Elsevier, vol. 153(C), pages 80-82.
• Crotty, Kevin & Teguia, Alberto, 2017. "Estimating asset pricing models with frictions," Economics Letters, Elsevier, vol. 154(C), pages 24-27.
• Piljak, Vanja & Swinkels, Laurens, 2017. "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 232-255.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017. "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, vol. 30(C), pages 66-95.
  • Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
• Kinnunen, Jyri, 2017. "Dynamic cross-autocorrelation in stock returns," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 162-173.
• Barinov, Alexander, 2017. "Institutional ownership and aggregate volatility risk," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 20-38.
• Huszár, Zsuzsa R. & Tan, Ruth S.K. & Zhang, Weina, 2017. "Do short sellers exploit industry information?," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 118-139.
• Khimich, Natalya, 2017. "A comparison of alternative cash flow and discount rate news proxies," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 31-52.
• Philippe Bacchetta & Eric Van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 17.05, Université de Lausanne, Faculté des HEC, DEEP.
  • Philippe Bacchetta & Eric van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Swiss Finance Institute Research Paper Series 17-15, Swiss Finance Institute.
  • Philippe Bacchetta & Eric van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," NBER Working Papers 23363, National Bureau of Economic Research, Inc.
  • Bacchetta, Philippe & van Wincoop, Eric, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," CEPR Discussion Papers 11983, C.E.P.R. Discussion Papers.
• Damir Filipović & Martin Larsson & Francesco Statti, 2017. "Unspanned Stochastic Volatility in the Multi-Factor CIR Model," Swiss Finance Institute Research Paper Series 17-16, Swiss Finance Institute, revised Apr 2018.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Papers 1704.08175, arXiv.org, revised Jun 2017.
  • Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series 17-19, Swiss Finance Institute.
• Anastasiia Sokko & Klaus Reiner Schenk-Hoppé, 2017. "Margin Requirements and Evolutionary Asset Pricing," Swiss Finance Institute Research Paper Series 17-20, Swiss Finance Institute.
• Didier Sornette & Peter Cauwels & Georgi Smilyanov, 2017. "Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles," Swiss Finance Institute Research Paper Series 17-27, Swiss Finance Institute.
• Hendershott, Terrence & Li, Dan & Livdan, Dmitry & Sch�rhoff, Norman, 2017. "Relationship Trading in OTC Markets," CEPR Discussion Papers 12472, C.E.P.R. Discussion Papers.
  • Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2017. "Relationship Trading in OTC Markets," Swiss Finance Institute Research Paper Series 17-30, Swiss Finance Institute.
• Per Östberg & Thomas Richter, 2017. "The Sovereign Debt Crisis: Rebalancing or Freezes?," Swiss Finance Institute Research Paper Series 17-32, Swiss Finance Institute.
• Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017. "Paths to Convergence: Stock Price Behavior After Donald Trump's Election," Swiss Finance Institute Research Paper Series 17-36, Swiss Finance Institute, revised Feb 2018.
• Damien Ackerer & Damir Filipović, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Swiss Finance Institute Research Paper Series 17-41, Swiss Finance Institute.
• Wojciech Zurowski, 2017. "Monetary Policy and Bond Risk Premia in the US and the UK," Swiss Finance Institute Research Paper Series 17-42, Swiss Finance Institute.
• Biljana Seistrajkova, 2017. "Short Selling and the Subsequent Performance of Initial Public Offerings," Swiss Finance Institute Research Paper Series 17-49, Swiss Finance Institute.
• Damir Filipović & Sander Willems, 2017. "A Term Structure Model for Dividends and Interest Rates," Swiss Finance Institute Research Paper Series 17-52, Swiss Finance Institute.
• Damir Filipović & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Swiss Finance Institute Research Paper Series 17-60, Swiss Finance Institute.
• Andrea Barbon & Marco Di Maggio & Francesco A. Franzoni & Augustin Landier, 2017. "Brokers and Order Flow Leakage: Evidence from Fire Sales," Swiss Finance Institute Research Paper Series 17-61, Swiss Finance Institute, revised Jun 2018.
• Alexey Ivashchenko, 2017. "Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability," Swiss Finance Institute Research Paper Series 17-67, Swiss Finance Institute, revised Jan 2018.
• Alessio Ruzza & Wojciech Zurowski, 2017. "Corporate Bond Dealers' Inventory Risk and FOMC," Swiss Finance Institute Research Paper Series 17-68, Swiss Finance Institute.
• Walter Farkas & Ciprian Necula, 2017. "The Dynamics of Heterogeneity and Asset Prices," Swiss Finance Institute Research Paper Series 17-76, Swiss Finance Institute.
• Ying Liu, 2018. "Why Do Large Investors Disclose Their Information?," Swiss Finance Institute Research Paper Series 18-17, Swiss Finance Institute.
• Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2018. "Model-Free International Stochastic Discount Factors," Swiss Finance Institute Research Paper Series 18-18, Swiss Finance Institute.
• Ying Liu & Sebastian Vogel & Yuan Zhang, 2018. "Electronic Trading in OTC Markets vs. Centralized Exchange," Swiss Finance Institute Research Paper Series 18-19, Swiss Finance Institute.
• Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2018. "Levered Returns and Capital Structure Imbalances," Swiss Finance Institute Research Paper Series 18-36, Swiss Finance Institute.
• Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2017_1711, CEMFI.
• Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
• Julio A. Crego & Jin Huang, 2017. "Early Birds and Second Mice in the Stock Market," Working Papers wp2017_1717, CEMFI.
• Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2018_1711, CEMFI.
• Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2018_1714, CEMFI.
• Julio A. Crego & Jin Huang, 2017. "Early Birds and Second Mice in the Stock Market," Working Papers wp2018_1717, CEMFI.
• Adam Kucera & Michal Dvorak & Lubos Komarek & Zlatuse Komarkova, 2017. "Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve," Working Papers 2017/12, Czech National Bank, Research Department.
• Peter Claeys & Borek Vasicek, 2017. "Transmission of Uncertainty Shocks: Learning from Heterogeneous Responses on a Panel of EU Countries," Working Papers 2017/13, Czech National Bank, Research Department.
• Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, vol. 78, February.
  • Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 903, Banco de la Republica de Colombia.
  • Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandía & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," BORRADORES DE ECONOMIA 013700, BANCO DE LA REPÚBLICA.
• Peter Claeys, 2017. "Uncertainty spillover and policy reactions," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(82), pages 64-77, April.
  • Peter Claeys, 2017. "Uncertainty spillover and policy reactions," Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 35(82), pages 64-77, April.
• Pablo Andrés Garay Rodriguez & Peter David Lowy Galvis, 2017. "Análisis de recomposición del portafolio accionario por sectores en Colombia basado en Valor en Riesgo entre el Q2 2013-Q2 2014 y Q2 2015-Q2 2016," VNIVERSITAS ECONÓMICA 015939, UNIVERSIDAD JAVERIANA - BOGOTÁ.
• Jason N. Harris & Jason Nassios & James A. Giesecke, 2017. "Determining agent-specific rates of return in a Financial CGE model of Australia," Centre of Policy Studies/IMPACT Centre Working Papers g-270, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Ed Westerhout & Ona Ciocyte, 2017. "The role of inflation-linked bonds," CPB Discussion Paper 344, CPB Netherlands Bureau for Economic Policy Analysis.
• Orphanides, Athanasios, 2017. "Central Bank Policies and the Debt Trap," CEPR Discussion Papers 11834, C.E.P.R. Discussion Papers.
• Wagner, Alexander F & Zeckhauser, Richard & Ziegler, Alexandre, 2017. "Company Stock Price Reactions to the 2016 Election Shock: Trump, Taxes and Trade," CEPR Discussion Papers 11837, C.E.P.R. Discussion Papers.
• Lubos Pastor & Pietro Veronesi, 2017. "Political Cycles and Stock Returns," NBER Working Papers 23184, National Bureau of Economic Research, Inc.
  • P�stor, Lubo� & Veronesi, Pietro, 2017. "Political Cycles and Stock Returns," CEPR Discussion Papers 11864, C.E.P.R. Discussion Papers.
• Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2018. "Bid-to-cover and yield changes around public debt auctions in the euro area," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 118-134.
  • Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2017. "Bid-to-cover and yield changes around public debt auctions in the euro area," Working Paper Series 2056, European Central Bank.
  • Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Hanson, Jesper, 2017. "Bid-to-cover and yield changes around public debt auctions in the euro area," CEPR Discussion Papers 11932, C.E.P.R. Discussion Papers.
• Martin Schneider & Cosmin Ilut & Francesco Bianchi, 2013. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," 2013 Meeting Papers 202, Society for Economic Dynamics.
  • Bianchi, Francesco & Ilut, Cosmin & Schneider, Martin, 2017. "Uncertainty shocks, asset supply and pricing over the business cycle," CEPR Discussion Papers 11950, C.E.P.R. Discussion Papers.
  • Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2014. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," NBER Working Papers 20081, National Bureau of Economic Research, Inc.
• Kremens, Lukas & Martin, Ian, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.
  • Kremens, Lukas & Martin, Ian, 2018. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
• Philippe Bacchetta & Eric Van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 17.05, Université de Lausanne, Faculté des HEC, DEEP.
  • Bacchetta, Philippe & van Wincoop, Eric, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," CEPR Discussion Papers 11983, C.E.P.R. Discussion Papers.
  • Philippe Bacchetta & Eric van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," NBER Working Papers 23363, National Bureau of Economic Research, Inc.
  • Philippe Bacchetta & Eric van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Swiss Finance Institute Research Paper Series 17-15, Swiss Finance Institute.
• Aminadav, Gur & Massa, Massimo & Zhang, Hong & Zhu, Weikang, 2017. "Mergers and Acquisitions and the Value of Control," CEPR Discussion Papers 11986, C.E.P.R. Discussion Papers.
• Beetsma, Roel & Lekniute, Zina & Ponds, Eduard, 2017. "U.S. municipal yields and unfunded state pension liabilities," CEPR Discussion Papers 11998, C.E.P.R. Discussion Papers.
• Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
  • Atmaz, Adem & Basak, Suleyman, 2017. "Belief Dispersion in the Stock Market," CEPR Discussion Papers 12056, C.E.P.R. Discussion Papers.
• Manresa, Elena & Pe�aranda, Francisco & Sentana, Enrique, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
• Miles, David K & Sefton, James, 2017. "Houses across time and across place," CEPR Discussion Papers 12103, C.E.P.R. Discussion Papers.
• Richard S.Grossman, 2017. "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," Wesleyan Economics Working Papers 2017-004, Wesleyan University, Department of Economics.
  • Grossman, Richard, 2017. "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," CEPR Discussion Papers 12121, C.E.P.R. Discussion Papers.
• Jonas Heipertz & Amine Ouazad & Romain Rancière & Natacha Valla, 2017. "Balance-Sheet Diversification in General Equilibrium: Identification and Network Effects," NBER Working Papers 23572, National Bureau of Economic Research, Inc.
  • Heipertz, Jonas & Ouazad, Amine & Ranci�re, Romain & Valla, Natacha, 2017. "Balance-Sheet Diversification in General Equilibrium: Identification and Network Effects," CEPR Discussion Papers 12134, C.E.P.R. Discussion Papers.
• Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
  • Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2017. "Intraday Market Making with Overnight Inventory Costs," CEPR Discussion Papers 12245, C.E.P.R. Discussion Papers.
• Adrian, Tobias & Boyarchenko, Nina & Shachar, Or, 2017. "Dealer balance sheets and bond liquidity provision," Journal of Monetary Economics, Elsevier, vol. 89(C), pages 92-109.
  • Adrian, Tobias & Boyarchenko, Nina & Shachar, Or, 2016. "Dealer balance sheets and bond liquidity provision," Staff Reports 803, Federal Reserve Bank of New York, revised 01 Mar 2017.
  • Adrian, Tobias & Boyarchenko, Nina & Shachar, Or, 2017. "Dealer Balance Sheets and Bond Liquidity Provision," CEPR Discussion Papers 12246, C.E.P.R. Discussion Papers.
• Adrian, Tobias & Fleming, Michael J. & Shachar, Or & Vogt, Erik, 2016. "Market liquidity after the financial crisis," Staff Reports 796, Federal Reserve Bank of New York, revised 01 Jun 2017.
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• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
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  • Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
• van Nieuwerburgh, Stijn, 2017. "Why Are REITS Currently So Expensive?," CEPR Discussion Papers 12281, C.E.P.R. Discussion Papers.
• Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2016. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," 2016 Meeting Papers 1224, Society for Economic Dynamics.
  • Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2018. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," NBER Working Papers 24757, National Bureau of Economic Research, Inc.
  • Elenev, Vadim & Landvoigt, Tim & van Nieuwerburgh, Stijn, 2017. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," CEPR Discussion Papers 12282, C.E.P.R. Discussion Papers.
• Stijn Van Nieuwerburgh & Jack Favilukis, 2017. "Out-of-town Home Buyers and City Welfare," 2017 Meeting Papers 486, Society for Economic Dynamics.
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• Edmans, Alex & Fang, Vivian & Huang, Allen, 2017. "The Long-Term Consequences of Short-Term Incentives," CEPR Discussion Papers 12305, C.E.P.R. Discussion Papers.
• Amiraslani, Hami & Lins, Karl & Servaes, Henri & Tamayo, Ane, 2017. "A Matter of Trust? The Bond Market Benefits of Corporate Social Capital during the Financial Crisis," CEPR Discussion Papers 12321, C.E.P.R. Discussion Papers.
• Brunnermeier, Markus K & Rother, Simon & Schnabel, Isabel, 2017. "Asset Price Bubbles and Systemic Risk," CEPR Discussion Papers 12362, C.E.P.R. Discussion Papers.
• Buss, Adrian & Uppal, Raman, 2017. "Financial Innovation and Asset Prices," CEPR Discussion Papers 12416, C.E.P.R. Discussion Papers.
• Gu, Lifeng & Hackbarth, Dirk & Johnson, Tim, 2017. "Inflexibility and Stock Returns," CEPR Discussion Papers 12441, C.E.P.R. Discussion Papers.
• Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Claessens, Stijn & Kose, Ayhan, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
  • Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
  • Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
• Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic Implications of Financial Imperfections: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1719, Koc University-TUSIAD Economic Research Forum.
  • Claessens, Stijn & Kose, Ayhan, 2017. "Macroeconomic Implications of Financial Imperfections: A Survey," CEPR Discussion Papers 12461, C.E.P.R. Discussion Papers.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic implications of financial imperfections: A survey," CAMA Working Papers 2017-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Claessens ,Stijn & Kose,Ayhan, 2017. "Macroeconomic implications of financial imperfections : a survey," Policy Research Working Paper Series 8260, The World Bank.
  • Stijn Claessens & M Ayhan Kose, 2017. "Macroeconomic implications of financial imperfections: a survey," BIS Working Papers 677, Bank for International Settlements.
• Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2017. "Shrinking the Cross Section," NBER Working Papers 24070, National Bureau of Economic Research, Inc.
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• Terrence Hendershott & Dan Li & Dmitry Livdan & Norman Schürhoff, 2017. "Relationship Trading in OTC Markets," Swiss Finance Institute Research Paper Series 17-30, Swiss Finance Institute.
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• Bailey, Michael & D�vila, Eduardo & Kuchler, Theresa & Str�bel, Johannes, 2017. "House Price Beliefs And Mortgage Leverage Choice," CEPR Discussion Papers 12476, C.E.P.R. Discussion Papers.
• Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M. Taylor, 2017. "The Rate of Return on Everything, 1870–2015," NBER Working Papers 24112, National Bureau of Economic Research, Inc.
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• Farley Grubb, 2017. "The Paper Money of Colonial North Carolina, 1712-1774," Working Papers 17-01, University of Delaware, Department of Economics.
• Ryan van Lamoen & Simona Mattheussens & Martijn Dröes, 2017. "Quantitative easing and exuberance in government bond markets: Evidence from the ECB's expanded asset purchase program," DNB Working Papers 548, Netherlands Central Bank, Research Department.
• Dirk Broeders & Arco van Oord & David Rijsbergen, 2017. "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," DNB Working Papers 561, Netherlands Central Bank, Research Department.
• Gabriele Galati & Federica Teppa & Rob Alessie, 2013. "Heterogeneity in house price dynamics," DNB Working Papers 371, Netherlands Central Bank, Research Department.
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• Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping in the housing market," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 232-263.
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• Houdou Basse Mama & Rachidi Kotchoni, 2017. "Investor Relations' Quality and Mispricing," EconomiX Working Papers 2017-33, University of Paris Nanterre, EconomiX.
• Catherine, Sylvain, 2016. "Countercyclical Income Risk and Portfolio Choices over the Life-Cycle," HEC Research Papers Series 1147, HEC Paris.
• Lovo, Stefano & Spaenjers, Christophe, 2014. "A Model of Trading in the Art Market," HEC Research Papers Series 1150, HEC Paris, revised 22 Sep 2017.
• Schmidt, Daniel & Lunghi, Sandro & von Beschwitz, Bastian, 2017. "Limits of Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," HEC Research Papers Series 1206, HEC Paris, revised 13 Aug 2017.
• Honkanen, Pekka & Schmidt, Daniel, 2017. "Price and Liquidity Spillovers during Fire Sale Episodes," HEC Research Papers Series 1214, HEC Paris, revised 07 Jul 2017.
• Rosu, Ioanid & Sojli, Elvira & Tham, Wing Wah, 2017. "Quotes, Trades and the Cost of Capital," HEC Research Papers Series 1231, HEC Paris, revised 26 Jan 2018.
• Rosu, Ioanid & Sojli, Elvira & Tham, Wing Wah, 2017. "Quotes, Trades and the Cost of Capital," HEC Research Papers Series 1232, HEC Paris, revised 26 Jan 2018.
• Langlois, Hugues & Chaieb, Ines & Errunza, Vihang R., 2017. "Is Liquidity Risk Priced in Partially Segmented Markets?," HEC Research Papers Series 1254, HEC Paris, revised 04 Jun 2018.
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• Giovanni Cespa & Xavier Vives, 2016. "High Frequency Trading and Fragility," CESifo Working Paper Series 6279, CESifo Group Munich.
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• Corradin, Stefano, 2017. "Is collateral eligibility priced?," Research Bulletin, European Central Bank, vol. 31.
• Kick, Heinrich, 2017. "Pricing of bonds and equity when the zero lower bound is relevant," Working Paper Series 1992, European Central Bank.
• Speck, Christian, 2017. "Inflation anchoring in the euro area," Working Paper Series 1998, European Central Bank.
• Giovanni Cespa & Xavier Vives, 2016. "High Frequency Trading and Fragility," CESifo Working Paper Series 6279, CESifo Group Munich.
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  • Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
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• De Santis, Roberto A. & Holm-Hadulla, Fédéric, 2017. "Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment," Working Paper Series 2052, European Central Bank.
• Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2018. "Bid-to-cover and yield changes around public debt auctions in the euro area," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 118-134.
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• Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
• Schumacher, Malte D. & Żochowski, Dawid, 2017. "The risk premium channel and long-term growth," Working Paper Series 2114, European Central Bank.
• Alexander Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," NBER Working Papers 23152, National Bureau of Economic Research, Inc.
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• Wagner, Alexander F. & Zeckhauser, Richard J. & Ziegler, Alexandre, 2017. "Paths to Convergence: Stock Price Behavior after Donald Trump's Election," Working Paper Series rwp17-039, Harvard University, John F. Kennedy School of Government.
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• Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2016. "Exchange Traded Funds (ETFs)," Swiss Finance Institute Research Paper Series 16-64, Swiss Finance Institute.
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• Wruck, Karen H. & Wu, YiLin, 2017. "Equity Incentives, Disclosure Quality, and Stock Liquidity Risk," Working Paper Series 2017-02, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Panayides, Marios A. & Rindi, Barbara & Werner, Ingrid M., 2017. "Trading Fees and Intermarket Competition," Working Paper Series 2017-03, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Anderson, Mike & Stulz, Rene M., 2017. "Is Post-crisis Bond Liquidity Lower?," Working Paper Series 2017-09, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Chen Lin & Thomas Schmid & Michael S. Weisbach, 2017. "Price Risk, Production Flexibility, and Liquidity Management: Evidence from Electricity Generating Firms," NBER Working Papers 23434, National Bureau of Economic Research, Inc.
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• Goncalves, Andrei, 2017. "Can Reinvestment Risk Explain the Dividend and Bond Term Structures?," Working Paper Series 2017-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Beltratti, Andrea & Stulz, Rene M., 2017. "How Important Was Contagion Through Banks During the European Sovereign Crisis?," Working Paper Series 2017-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2017. "The Economics of Value Investing," Working Paper Series 2017-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Bao, Jack & Hou, Kewei, 2017. "De Facto Seniority, Credit Risk, and Corporate Bond Prices," Working Paper Series 2017-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Rindi, Barbara & Werner, Ingrid M., 2017. "U.S. Tick Size Pilot," Working Paper Series 2017-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Goncalves, Andrei & Xue, Chen & Zhang, Lu, 2017. "Aggregation, Capital Heterogeneity, and the Investment CAPM," Working Paper Series 2017-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Wruck, Karen H. & Wu, YiLin, 2017. "Do CEOs Make Their Own Luck? Relative Versus Absolute Performance Evaluation and Firm Risk," Working Paper Series 2017-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Jongha Lim & Michael W. Schwert & Michael S. Weisbach, 2017. "The Economics of PIPEs," NBER Working Papers 23967, National Bureau of Economic Research, Inc.
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• Li, Ye, 2017. "Procyclical Finance: The Money View," Working Paper Series 2017-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Tang, Ke & Zhang, Bohui, 2017. "Political Uncertainty and Commodity Prices," Working Paper Series 2017-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Arif, Salman & Ben-Rephael, Azi & Lee, Charles M. C., 2017. "Mutual Funds and Short-Sellers: Why Does Short-Sale Volume Predict Stock Returns?," Research Papers 3162, Stanford University, Graduate School of Business.
• Lee, Charles M. C. & So, Eric C. & Wang, Charles C. Y., 2017. "Evaluating Firm-Level Expected-Return Proxies," Research Papers 3188, Stanford University, Graduate School of Business.
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• Lee, Charles M. C. & Qu, Yuanyu & Shen, Tao, 2017. "Reverse Mergers, Shell Value, and Regulation Risk in Chinese Equity Markets," Research Papers repec:ecl:stabus:3604, Stanford University, Graduate School of Business.
• Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017. "Corporate Credit Risk Premia," Research Papers repec:ecl:stabus:3617, Stanford University, Graduate School of Business.
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• Kuo-Shing Chen & Chien-Chiang Lee & Chun-Ming Chen, 2017. "Arbitrage, Covered Interest Parity and Cointegration Analysis on the New Taiwan Dollar/US Dollar FOREX Market Revisited," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 420-428.
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• Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.
• Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
• Jean-Sébastien Fontaine & Guillaume Nolin, 2017. "Measuring Limits of Arbitrage in Fixed-Income Markets," Staff Working Papers 17-44, Bank of Canada.
• Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
• Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
• Bruno Feunou & Cédric Okou, 2017. "Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models," Staff Working Papers 17-55, Bank of Canada.
• Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
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• Giuseppe Ferrero & Michele Loberto & Marcello Miccoli, 2017. "The collateral channel of unconventional monetary policy," Temi di discussione (Economic working papers) 1119, Bank of Italy, Economic Research and International Relations Area.
• Sara Cecchetti, 2017. "A quantitative analysis of risk premia in the corporate bond market," Temi di discussione (Economic working papers) 1141, Bank of Italy, Economic Research and International Relations Area.
• J. Sebastian Amador-Torres & Jose Eduardo Gomez-Gonzalez & Sebastian Sanin-Restrepo, 2017. "I know what you did during the last bubble: Determinants of housing bubbles' duration in OECD countries," Borradores de Economia 1005, Banco de la Republica de Colombia.
• Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon, 2017. "Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study," Borradores de Economia 1009, Banco de la Republica de Colombia.
• Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon & Jorge M. Uribe, 2017. "Dynamic Connectedness and Causality between Oil prices and Exchange Rates," Borradores de Economia 1025, Banco de la Republica de Colombia.
• Gomez-Gonzalez, Jose Eduardo & Sanin-Restrepo, Sebastian, 2018. "The maple bubble: A history of migration among Canadian provinces," Journal of Housing Economics, Elsevier, vol. 41(C), pages 57-71.
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• Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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• Leif Brubakk & Saskia ter Ellen & Hong Xu, 2017. "Forward guidance through interest rate projections: does it work?," Working Paper 2017/6, Norges Bank.
• Saskia ter Ellen & Cars H. Hommes & Remco C.J. Zwinkels, 2017. "Comparing behavioural heterogeneity across asset classes," Working Paper 2017/12, Norges Bank.
• Vegard Høghaug Larsen & Leif Anders Thorsrud, 2017. "Asset returns, news topics, and media effects," Working Papers No 5/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
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• Vegard H. Larsen & Leif Anders Thorsrud, 2017. "Asset returns, news topics, and media effects," Working Paper 2017/17, Norges Bank.
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• Bardoscia, Marco & Barucca, Paolo & Brinley Codd, Adam & Hill, John, 2017. "The decline of solvency contagion risk," Bank of England working papers 662, Bank of England.
• Douglas, Graeme & Noss, Joseph & Vause, Nicholas, 2017. "The impact of Solvency II regulations on life insurers’ investment behaviour," Bank of England working papers 664, Bank of England.
• Baranova, Yuliya & Liu, Zijun & Shakir, Tamarah, 2017. "Staff Working Paper No. 665: Dealer intermediation, market liquidity and the impact of regulatory reform," Bank of England working papers 665, Bank of England.
• Czech, Robert & Roberts-Sklar, Matt, 2017. "Investor behaviour and reaching for yield: evidence from the sterling corporate bond market," Bank of England working papers 685, Bank of England.
• Schmelzing, Paul, 2017. "Staff Working Paper No. 686: Eight centuries of the risk-free rate: bond market reversals from the Venetians to the ‘VaR shock’," Bank of England working papers 686, Bank of England.
• Bicu, Andreea & Chen, Louisa & Elliott, David, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England, revised 19 Dec 2017.
• Kaminska, Iryna & Roberts-Sklar, Matt, 2018. "Volatility in equity markets and monetary policy rate uncertainty," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 68-83.
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• Baranova, Yuliya & Coen, Jamie & Noss, Joseph & Lowe, Pippa & Silvestri, Laura, 2017. "Simulating stress across the financial system: the resilience of corporate bond markets and the role of investment funds," Bank of England Financial Stability Papers 42, Bank of England.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
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• Vasilis Siakoulis, 2017. "Fiscal policy effects on non-performing loan formation," Working Papers 224, Bank of Greece.
• Leonidas S. Rompolis, 2017. "The effectiveness of unconventional monetary policy on risk aversion and uncertainty," Working Papers 231, Bank of Greece.
• G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
• Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
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• Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Businesss School.
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• Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116R, Brandeis University, Department of Economics and International Businesss School, revised Feb 2018.
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• Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116, Brandeis University, Department of Economics and International Businesss School.
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• Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
• Lloyd, S. P., 2017. "Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio Rebalancing," Cambridge Working Papers in Economics 1735, Faculty of Economics, University of Cambridge.
• João M. Pinto & Mafalda C. Correia, 2017. "Are Covered Bonds Different from Asset Securitization Bonds?," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
• Muhammad A. Cheema & Gilbert V. Nartea, 2017. "Investor Sentiment Dynamics, the Cross-section of Stock Returns and the MAX Effect," Working Papers in Economics 17/13, University of Canterbury, Department of Economics and Finance.
• Muhammad A. Cheema & Gilbert V. Nartea, 2017. "Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Are Islamic Stocks Different?," Working Papers in Economics 17/14, University of Canterbury, Department of Economics and Finance.
• Jędrzej Białkowski & Ehud I. Ronn, 2017. "The Global Equity Premium Revisited: What Human Rights Imply for Assets’ Purchasing Power," Working Papers in Economics 17/19, University of Canterbury, Department of Economics and Finance.
• Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018. "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
  • António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects," CESifo Working Paper Series 6691, CESifo Group Munich.
  • Afonso, António & Arghyrou, Michael G & Gadea, María Dolores & Kontonikas, Alexandros, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Cardiff Economics Working Papers E2017/12, Cardiff University, Cardiff Business School, Economics Section.
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• Leland E. Farmer & Alexis Akira Toda, 2017. "Discretizing nonlinear, non‐Gaussian Markov processes with exact conditional moments," Quantitative Economics, Econometric Society, vol. 8(2), pages 651-683, July.
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• Alexis Akira Toda & Kieran James Walsh, 2017. "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1156-1177, September.
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• Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Osmundsen, Petter & Lovas, Kjell & Emhjellen, Magne, 2017. "Petroleum tax competition subject to capital rationing," UiS Working Papers in Economics and Finance 2017/5, University of Stavanger.
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• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
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• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin 1647, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," CESifo Working Paper Series 6396, CESifo Group Munich.
• M. Hashem Pesaran & Takashi Yamagata, 2017. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," Discussion Papers 17/04, Department of Economics, University of York.
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• Michael Weber & Ali Ozdagli, 2016. "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers 148, Society for Economic Dynamics.
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• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," Discussion Papers of DIW Berlin 1670, DIW Berlin, German Institute for Economic Research.
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• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2016. "Why Does Idiosyncratic Risk Increase with Market Risk?," Working Paper Series 2016-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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• Andreas Neuhierl & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo Group Munich.
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• Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018. "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
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  • António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects," CESifo Working Paper Series 6691, CESifo Group Munich.
  • António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Working Papers REM 2017/02, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," Discussion Papers of DIW Berlin 1694, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo Group Munich.
• Zeno Enders & Hendrik Hakenes, 2017. "Market Depth, Leverage, and Speculative Bubbles," CESifo Working Paper Series 6806, CESifo Group Munich.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1703, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," CESifo Working Paper Series 6811, CESifo Group Munich.
• Leo Kaas & Wei Cui, 2017. "Default Cycles," 2017 Meeting Papers 1288, Society for Economic Dynamics.
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• Marcus Miller & Lei Zhang & Songklod Rastapana, 2017. "Subprime assets and financial crisis: theory, policy and the law," CAGE Online Working Paper Series 340, Competitive Advantage in the Global Economy (CAGE).
• Ally Quan Zhang, 2017. "Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints," Swiss Finance Institute Research Paper Series 17-02, Swiss Finance Institute.
• Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2017. "Re-use of Collateral: Leverage, Volatility, and Welfare," 2017 Meeting Papers 697, Society for Economic Dynamics.
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• Alexander Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," NBER Working Papers 23152, National Bureau of Economic Research, Inc.
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• Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla, 2017. "The Relevance of Broker Networks for Information Diffusion in the Stock Market," Swiss Finance Institute Research Paper Series 17-08, Swiss Finance Institute.
• Jan Voelzke & Jeanne Diesteldorf & Fabian Goessling & Till Weigt, 2017. "Investors' favourite - A different look at valuing individual labour income," CQE Working Papers 6017, Center for Quantitative Economics (CQE), University of Muenster.
• Christian Gross, 2017. "Examining the Common Dynamics of Commodity Futures Prices," CQE Working Papers 6317, Center for Quantitative Economics (CQE), University of Muenster.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2017. "Does monetary policy generate asset price bubbles ?," Documents de Travail de l'OFCE 2017-05, Observatoire Francais des Conjonctures Economiques (OFCE).
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• Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2017. "Differential equations connecting VaR and CVaR," INDEM - Working Paper Business Economic Series 24017, Instituto para el Desarrollo Empresarial (INDEM).
• Lafuente Luengo, Juan Ángel & Serrano Jiménez, Pedro José & Petit, Nuria, 2017. "Dissecting interbank risk," DEE - Working Papers. Business Economics. WB 24553, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
• Gonzalo Jesús & Taamouti Abderrahim, 2017. "The reaction of stock market returns to unemployment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-20, September.
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• Salmeron Garrido, Jose Antonio & García Martí, Dolores & D'Auria, Bernardo, 2017. "Optimal portfolio with insider information on the stochastic interest rate," DES - Working Papers. Statistics and Econometrics. WS 25819, Universidad Carlos III de Madrid. Departamento de Estadística.
• Raymond Swaray & Afees A. Salisu, 2017. "The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?," Working Papers 021, Centre for Econometric and Allied Research, University of Ibadan.
• Ana Fostel & John Geanakoplos & Gregory Phelan, 2015. "Global Collateral: How Financial Innovation Drives Capital Flows and Increases Financial Instability," Department of Economics Working Papers 2015-12, Department of Economics, Williams College, revised Feb 2017.
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• Gérard CHARREAUX, 2017. "Gestion de portefeuille et politique:existe-t-il une prime partisane sur le marché français ?, Portfolio management and politics:is there a presidential premium on the French market ?," Working Papers CREGO 1170201, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," CESifo Working Paper Series 6396, CESifo Group Munich.
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• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," CESifo Working Paper Series 6534, CESifo Group Munich.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," Discussion Papers of DIW Berlin 1670, DIW Berlin, German Institute for Economic Research.
• Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo Group Munich.
  • Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," Discussion Papers of DIW Berlin 1694, DIW Berlin, German Institute for Economic Research.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," CESifo Working Paper Series 6811, CESifo Group Munich.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1703, DIW Berlin, German Institute for Economic Research.
• Nektarios Aslanidis & Charlotte Christiansen & Andrea Cipollini, 2017. "Predicting Bond Betas using Macro-Finance Variables," CREATES Research Papers 2017-01, Department of Economics and Business Economics, Aarhus University.
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• Thomas Quistgaard Pedersen & Erik Christian Montes Schütte, 2017. "Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations," CREATES Research Papers 2017-09, Department of Economics and Business Economics, Aarhus University.
• Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris, 2017. "The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode," CREATES Research Papers 2017-25, Department of Economics and Business Economics, Aarhus University.
• Kyle C. Meng, 2017. "Using a Free Permit Rule to Forecast the Marginal Abatement Cost of Proposed Climate Policy," American Economic Review, American Economic Association, vol. 107(3), pages 748-784, March.
• Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 1-39, January.
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• Victor Echevarria-Icaza & Simón Sosvilla-Rivero, 2017. "Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk," IREA Working Papers 201707, University of Barcelona, Research Institute of Applied Economics, revised Apr 2017.
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• Tchamyou, Vanessa S. & Asongu, Simplice A., 2017. "Conditional market timing in the mutual fund industry," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1355-1366.
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• Dharmasena, Senarath & Yang, Tingyi & Capps, Oral Jr., 2017. "U.S. Demand for Dairy Alternative Beverages: Attribute Space Distance and Hedonic Matric Approaches," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252742, Southern Agricultural Economics Association.
• Carson, Nathaniel & Langemeier, Michael, 2017. "An Examination of the Relationship Between Net Crop Returns and Cash Rent Values in Indiana," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252768, Southern Agricultural Economics Association.
• Miao, Ruiqing & Hennessy, David A. & Feng, Hongli, 2016. "Grassland Easement Evaluation and Acquisition: an Integrated Framework," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236176, Agricultural and Applied Economics Association.
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• Xavier Raurich & Thomas Seegmuller, 2017. "Growth and Bubbles: The Interplay between Productive Investment and the Cost of Rearing Children," Working Papers halshs-01563555, HAL.
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• Nur Dilbaz Alacahan & Seda Yavuzaslan Soylemez, 2017. "The Impact of Petrol Prices on Stock Prices of Energy Companies: A Panel Data Analysis for Turkey," EconWorld Working Papers 17006, WERI-World Economic Research Institute, revised Oct 2017.
• Dickinson, David L. & Chaudhuri, Ananish & Greenaway-McGrevy, Ryan, 2017. "Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market," IZA Discussion Papers 10984, Institute for the Study of Labor (IZA).
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• Florian Nagler & Giorgio Ottonello, 2017. "Structural Changes in Corporate Bond Underpricing," BAFFI CAREFIN Working Papers 1748, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Marios Panayides & Barbara Rindi & Ingrid M.Werner, 2017. "Trading Fees and Intermarket Competition," BAFFI CAREFIN Working Papers 1751, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
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• Elvira Caloiero & Massimo Guidolin, 2017. "Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?," BAFFI CAREFIN Working Papers 1763, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Doncho Donev, 2017. "Price bubbles and financial markets efficiency," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 115-131.
• Jean-Sébastien Fontaine & James Hately & Adrian Walton, 2017. "Repo Market Functioning when the Interest Rate Is Low or Negative," Discussion Papers 17-3, Bank of Canada.
• Ronan C Lyons, 2017. "Credit conditions and the housing price ratio: evidence from Ireland's bubble and crash," Trinity Economics Papers tep0717, Trinity College Dublin, Department of Economics.
• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
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• Martijn (M.I.) Droes & Ryan van Lamoen & Simona Mattheussens, 2017. "Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Assets Purchase Program," Tinbergen Institute Discussion Papers 17-080/IV, Tinbergen Institute.
• Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Discussion Paper 2017-027, Tilburg University, Center for Economic Research.
• Luc Renneboog & Peter G. Szilagyi & Cara Vansteenkiste, 2017. "Creditor rights, claims enforcement, and bond performance in mergers and acquisitions," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 48(2), pages 174-194, February.
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• Hörner, Johannes & Lovo, Stefano, 2017. "Belief-free Price Formation," TSE Working Papers 17-790, Toulouse School of Economics (TSE).
• Gollier, Christian, 2017. "Valuation of natural capital under uncertain substitutability," IDEI Working Papers 871, Institut d'Économie Industrielle (IDEI), Toulouse.
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• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
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• Simón Sosvilla-Rivero & Victor Echevarria Icaza, 2017. "Systemic banks, capital composition and CoCo bonds issuance:The effects on bank risk," Working Papers 17-03, Asociación Española de Economía y Finanzas Internacionales.
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• Imran Hussain Shah & Simón Sosvilla-Rivero, 2017. "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," IREA Working Papers 201710, University of Barcelona, Research Institute of Applied Economics, revised May 2017.
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• Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 125(1), pages 140-223.
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• Chien, YiLi & Lustig, Hanno & Naknoi, Kanda, 2015. "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working Papers 2015-39, Federal Reserve Bank of St. Louis, revised 26 Sep 2017.
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• Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Liquidity sentiments," Economics Working Papers 1583, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2018.
• Dare, Wale, 2017. "Testing efficiency in small and large financial markets," Economics Working Paper Series 1714, University of St. Gallen, School of Economics and Political Science.
• Ruf, Daniel, 2017. "Agglomeration Effects and Liquidity Gradients in Local Rental Housing Markets," Working Papers on Finance 1702, University of St. Gallen, School of Finance.
• Borisenko, Dmitry & Pozdeev, Igor, 2017. "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance 1708, University of St. Gallen, School of Finance, revised 1710.
• Bucher, Melk C., 2017. "Investor Attention and Sentiment: Risk or Anomaly?," Working Papers on Finance 1712, University of St. Gallen, School of Finance.
• Ruenzi, Stefan & Weigert, Florian, 2018. "Momentum and crash sensitivity," Economics Letters, Elsevier, vol. 165(C), pages 77-81.
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• Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series 385, Quantitative Finance Research Centre, University of Technology, Sydney.
• Pietro Dindo & Jacopo Staccioli, 2017. "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," LEM Papers Series 2017/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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• Yang Hu & Les Oxley, 2017. "Bubble Contagion: Evidence from Japan's Asset Price Bubble of the 1980-90s," Working Papers in Economics 17/20, University of Waikato.
• Leon Li & Nen-Chen Richard Hwang, 2017. "Prospect Theory and Earnings Manipulation: Examination of the Non-Uniform Relationship between Earnings Manipulation and Stock Returns Using Quantile Regression," Working Papers in Economics 17/25, University of Waikato.
• Anginer, Deniz & Yildizhan, Celim & Han, Xue Snow, 2017. "Do Individual Investors Ignore Transaction Costs?," MPRA Paper 79358, University Library of Munich, Germany.
  • Anginer,Deniz & Han,Snow Xue & Yildizhan,Celim, 2017. "Do individual investors ignore transaction costs ?," Policy Research Working Paper Series 8098, The World Bank.
• Grossman, Richard, 2017. "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," CEPR Discussion Papers 12121, C.E.P.R. Discussion Papers.
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• Gong Feixue & Gregory Phelan, 2017. "Debt Collateralization, Structured Finance, and the CDS Basis," Department of Economics Working Papers 2017-06, Department of Economics, Williams College.
• Philip Stork & Luiz Felix & Roman Kraussl, 2017. "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers 17-002/IV, Tinbergen Institute, revised 26 Jan 2018.
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• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Single stock call options as lottery tickets," CFS Working Paper Series 566, Center for Financial Studies (CFS).
• Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
• Bannier, Christina E. & Pauls, Thomas & Walter, Andreas, 2017. "CEO-speeches and stock returns," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168192, Verein für Socialpolitik / German Economic Association.
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• Goncharenko, Roman & Ongena, Steven & Rauf, Asad, 2017. "The agency of CoCo: Why do banks issue contingent convertible bonds?," CFS Working Paper Series 586, Center for Financial Studies (CFS).
• Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2018. "Market fragility and the paradox of the recent stock-bond dissonance," Economics Letters, Elsevier, vol. 162(C), pages 162-166.
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• Dumitru, Ana-Maria & Holden, Tom, 2017. "A Hawkes model of the transmission of European sovereign default risk," EconStor Conference Papers 168431, ZBW - German National Library of Economics.
• Tennert, Julius & Lambert, Marie & Burghof, Hans-Peter, 2017. "Moral hazard in VC finance: More expensive than you thought," Hohenheim Discussion Papers in Business, Economics and Social Sciences 02-2017, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
• Jopp, Tobias A., 2017. "How does the public perceive alliances? The Central and Allied Powers in World War I," IBF Paper Series 12-17, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main.
• Han, Liyan & Xu, Yang & Yin, Libo, 2017. "Does investor attention matter? The attention-return relation in gold futures market," Economics Discussion Papers 2017-37, Kiel Institute for the World Economy (IfW).
• Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW).
• Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
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• Boeing-Reicher, Claire A. & Boysen-Hogrefe, Jens, 2017. "Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments," Kiel Working Papers 2086, Kiel Institute for the World Economy (IfW).
• Xiong, Qizhou, 2018. "The liquidity premium of safe assets: The role of government debt supply," IWH Discussion Papers 11/2017, Halle Institute for Economic Research (IWH).
• Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2017. "Pricing sin stocks: Ethical preference vs. risk aversion," IWH Discussion Papers 20/2017, Halle Institute for Economic Research (IWH).
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• Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers 4/2017, Halle Institute for Economic Research (IWH).
• Demary, Markus, 2017. "IW Financial Expert Survey: 2. Quartal 2017," IW-Reports 12/2017, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2017. "IW Financial Expert Survey: 3. Quartal 2017," IW-Reports 22/2017, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2017. "IW Financial Expert Survey: 4. Quartal 2017," IW-Reports 31/2017, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Hanna, Alan J. & Turner, John D. & Walker, Clive B., 2017. "News media and investor sentiment over the long run," QUCEH Working Paper Series 2017-06, Queen's University Belfast, Queen's University Centre for Economic History.
• Giuliano Curatola & Michael Donadelli & Patrick Grüning, 2017. "Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices," Bank of Lithuania Working Paper Series 47, Bank of Lithuania.
  • Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick, 2017. "Technology trade with asymmetric tax regimes and heterogeneous labor markets: Implications for macro quantities and asset prices," SAFE Working Paper Series 163, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Michael Donadelli & Patrick Gruning, 2017. "Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare," Bank of Lithuania Working Paper Series 43, Bank of Lithuania.
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• Kamga, Merlin Kuate & Wilde, Christian, 2017. "Liquidity premia in CDS markets," SAFE Working Paper Series 173, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Curatola, Giuliano & Dergunov, Ilya, 2017. "International capital markets with time-varying preferences," SAFE Working Paper Series 176, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Donadelli, M. & Jüppner, M. & Riedel, M. & Schlag, C., 2017. "Temperature shocks and welfare costs," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 331-355.
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• Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017. "Coming early to the party," SAFE Working Paper Series 182, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017. "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series 183, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Patrick Grüning, 2017. "Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics," Bank of Lithuania Occasional Paper Series 16, Bank of Lithuania.
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• Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017. "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series 186, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Donadelli, Michael & Grüning, Patrick & Jüppner, Marcus & Kizys, Renatas, 2017. "Global temperature, R&D expenditure, and growth," SAFE Working Paper Series 188, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Michael Donadelli & Patrick Grüning & Marcus Jüppner & Renatas Kizys, 2018. "Global temperature, R&D expenditure, and growth," Bank of Lithuania Discussion Paper Series 9, Bank of Lithuania.
• Eichler, Stefan & Rövekamp, Ingmar, 2017. "Eurozone exit risk," CEPIE Working Papers 07/17, Technische Universität Dresden, Center of Public and International Economics (CEPIE).
• Voelzke, Jan & Gößling, Fabian & Diesteldorf, Jeanne & Weigt, Till, 2017. "Investors' favourite - A different look at valuing individual labour income," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168065, Verein für Socialpolitik / German Economic Association.
• Bannier, Christina & Pauls, Thomas & Walter, Andreas, 2017. "CEO-speeches and stock returns," CFS Working Paper Series 583, Center for Financial Studies (CFS).
  • Bannier, Christina E. & Pauls, Thomas & Walter, Andreas, 2017. "CEO-speeches and stock returns," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168192, Verein für Socialpolitik / German Economic Association.
• Holzmann, Carolin & Scholz, Hendrik & Kreidl, Felix & Büttner, Thiess, 2017. "Stock Market Behavior on Ex-Dividend Dates: The Case of Cum-Ex Transactions in Germany," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168242, Verein für Socialpolitik / German Economic Association.
• Aldrich, Eric M. & Friedman, Daniel, 2017. "Order protection through delayed messaging," Discussion Papers, Research Professorship Market Design: Theory and Pragmatics SP II 2017-502, WZB Berlin Social Science Center.
• Florian Madison, 2017. "Frictional asset reallocation under adverse selection," ECON - Working Papers 261, Department of Economics - University of Zurich, revised Jan 2018.
• Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping in the housing market," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 232-263.
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  • Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping in the Housing Market," MPRA Paper 76443, University Library of Munich, Germany.
• Swamy, Vighneswara, 2017. "Wealth Effects and Macroeconomic Dynamics – Evidence from Indian Economy," MPRA Paper 76836, University Library of Munich, Germany.
• Janda, Karel & Kaszas, Micha, 2017. "Indirect Firm Valuation and Earnings Stability," MPRA Paper 77234, University Library of Munich, Germany.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena & Mauro Gallegati, 2017. "Long-run expectations in a Learning-to-Forecast Experiment: A Simulation Approach," Working Papers 2017/03, Economics Department, Universitat Jaume I, Castellón (Spain).
  • Colasante, Annarita & Alfarano, Simone & Camacho Cuena, Eva & Gallegati, Mauro, 2017. "Long-run expectations in a Learning-to-Forecast-Experiment: a simulation approach," MPRA Paper 77618, University Library of Munich, Germany.
• Pham, Ngoc-Sang, 2017. "Assets with possibly negative dividends," MPRA Paper 78193, University Library of Munich, Germany.
• Lakdawala, Aeimit & Wu, Shu, 2017. "Federal Reserve credibility and the term structure of interest rates," European Economic Review, Elsevier, vol. 100(C), pages 364-389.
  • Lakdawala, Aeimit & Wu, Shu, 2017. "Federal Reserve Credibility and the Term Structure of Interest Rates," MPRA Paper 78253, University Library of Munich, Germany.
• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017. "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper 78771, University Library of Munich, Germany, revised 04 Apr 2017.
• Cheema, Muhammad A. & Nartea, Gilbert V & Man, Yimei, 2017. "Cross-Sectional and Time-Series Momentum Returns and Market States," MPRA Paper 78989, University Library of Munich, Germany.
• Cantillo, Miguel, 2017. "A Reconsideration of the Equity Premium Puzzle," MPRA Paper 79357, University Library of Munich, Germany.
• Anginer,Deniz & Han,Snow Xue & Yildizhan,Celim, 2017. "Do individual investors ignore transaction costs ?," Policy Research Working Paper Series 8098, The World Bank.
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• OUATTARA, Aboudou, 2017. "Impact de la publication des notes financières sur les cours et les volume de transaction des sociétés cotées à la BRVM : Une analyse à partir des études d'évenement
  [Impact of Rating released on s," MPRA Paper 79837, University Library of Munich, Germany.
• Parker, Edgar, 2017. "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper 80036, University Library of Munich, Germany.
• Lindblad, Annika, 2017. "Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility," MPRA Paper 80266, University Library of Munich, Germany.
• Širůček, Martin, 2017. "Využití Indikátorů P/E A P/Bv Při Sestavení Akciového Portfolia
  [Using Of P/E And P/Bv Indicators By Building A Stock Portfolio]," MPRA Paper 80527, University Library of Munich, Germany.
• Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan, 2017. "Factor pricing in commodity futures and the role of liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1745-1757, November.
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• Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2017. "Costly Information Acquisition, Social Networks and Asset Prices: Experimental Evidence," MPRA Paper 80658, University Library of Munich, Germany.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "Carry Trades and Commodity Risk Factors," MPRA Paper 80789, University Library of Munich, Germany.
• BENDOB, Ali & Benahmed-Daho, Rachida, 2017. "Pourrions-nous utiliser l'Euribor comme taux de rendement sans risque dans la région Arabe ?
  [Could we use the Euribor as risk-free rate return in Arabic region?]," MPRA Paper 81405, University Library of Munich, Germany, revised Jun 2017.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, vol. 33(C), pages 90-101.
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• William Barnett & Jinan Liu, 2017. "User Cost of Credit Card Services under Risk with Intertemporal Nonseparability," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201705, University of Kansas, Department of Economics, revised Sep 2017.
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• Magni, Carlo Alberto & Veronese, Piero & Graziani, Rebecca, 2017. "Chisini means and rational decision making: Equivalence of investment criteria," MPRA Paper 81532, University Library of Munich, Germany.
• Harri Pönkä, 2018. "Sentiment and sign predictability of stock returns," Economics Bulletin, AccessEcon, vol. 38(3), pages 1676-1684.
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• Caspi, Itamar & Graham, Meital, 2017. "Testing for Bubbles in Stock Markets with Irregular Dividend Distribution," MPRA Paper 82261, University Library of Munich, Germany, revised 29 Oct 2017.
• Tchamyou, Vanessa S. & Asongu, Simplice A., 2017. "Conditional market timing in the mutual fund industry," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1355-1366.
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• Withanage, Yeshan & Jayasinghe, Prabhath, 2017. "Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan," MPRA Paper 82782, University Library of Munich, Germany, revised Nov 2017.
• Ephraim Clark & Zhuo Qiao & Wing-Keung Wong, 2016. "Theories Of Risk: Testing Investor Behavior On The Taiwan Stock And Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, vol. 54(2), pages 907-924, April.
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• Xing, Victor, 2017. "Non-bank Financial Institutions at the Ground Zero of Next Crisis," MPRA Paper 83077, University Library of Munich, Germany.
• Abdullahi, Shafiu Ibrahim, 2017. "Stock Market Linkage, Financial Contagion and Assets Price Movements: Evidence from Nigerian Stock Exchange," MPRA Paper 83455, University Library of Munich, Germany, revised Nov 2017.
• Fan, Minyou & Li, Youwei & Liu, Jiadong, 2018. "Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches," Research in International Business and Finance, Elsevier, vol. 46(C), pages 131-140.
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• Tan, Zekuang, 2017. "RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy," MPRA Paper 83669, University Library of Munich, Germany.
• LEGOUGUI, Fateh & CHIKHI, Mohamed, 2017. "استخدام نماذج Arch لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية –
  [Modelling Saudi Stock Market Volatility Using ARCH Models –Case Study : Etihad Etisala," MPRA Paper 84263, University Library of Munich, Germany, revised Oct 2017.
• MESTRE, Roman & Terraza, Michel, 2017. "Analyse Temps-fréquence du MEDAF –Application au CAC 40 –
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• MESTRE, Roman & TERRAZA, Michel, 2017. "Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-
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• Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
• Ekong, Christopher N. & Onye, Kenneth U., 2017. "Application of Garch Models to Estimate and Predict Financial Volatility of Daily Stock Returns in Nigeria," MPRA Paper 88309, University Library of Munich, Germany.
• Aviral Kumar Tiwari & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2017. "Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data," Working Papers 201735, University of Pretoria, Department of Economics.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017. "The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility," Working Papers 201770, University of Pretoria, Department of Economics.
• Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
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• Laura Wallenius & Elena Fedorova & Sheraz Ahmed & Mikael Collan, 2017. "Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets," Prague Economic Papers, University of Economics, Prague, vol. 2017(1), pages 55-71.
• John Hartwick, 2017. "Daily Share Price-changes for Eleven D-J Companies over Five Three-month Periods and Short-term Profit-seeking," Working Papers 1395, Queen's University, Department of Economics.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
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  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2012.
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• Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," NBER Working Papers 23191, National Bureau of Economic Research, Inc.
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• Anthony Newell & Lionel Page, 2017. "Countercyclical risk aversion and self-reinforcing feedback loops in experimental asset markets," QuBE Working Papers 050, QUT Business School.
• Bielagk, Jana & Horst, Ulrich & Moreno-Bromberg, Santiago, 2017. "Trading under Market Impact," Rationality and Competition Discussion Paper Series 39, CRC TRR 190 Rationality and Competition.
• Pierlauro Lopez, 2018. "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 29, pages 85-105, July.
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• Cheng-Te Lee & Deng-Sing Huang, 2017. "Asymmetric Globalization and Specialization," IEAS Working Paper : academic research 17-A004, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Fuhrer, Lucas Marc, 2018. "Liquidity in the repo market," Journal of International Money and Finance, Elsevier, vol. 84(C), pages 1-22.
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• Aleksander Berentsen & Benjamin Müller, 2014. "A tale of fire-sales and liquidity hoarding," ECON - Working Papers 139, Department of Economics - University of Zurich, revised Jun 2015.
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• Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2017. "Uncovering Skilled Short-sellers," Working Papers, Department of Economics 2017_01, University of São Paulo (FEA-USP).
• Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2017. "The Price Tag Illusion," Working Papers, Department of Economics 2017_31, University of São Paulo (FEA-USP).
• Selcuk Kendirli & Muhammet Cankaya & Altug Cagatay, 2017. "The Effects of Global Economic Crisis of 2008 to Financial Statements and Liquidity Ratios Which Companies are Settled In BIST Energy Sector (2005-2013 Term Review)," Journal of Economic Development, Environment and People, Alliance of Central-Eastern European Universities, vol. 6(1), pages 6-21, March.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2017. "Does monetary policy generate asset price bubbles ?," Documents de Travail de l'OFCE 2017-05, Observatoire Francais des Conjonctures Economiques (OFCE).
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• Roi D. Taussig & Sagi Akron, 2017. "Returns to scale, operating leverage, and expected stock returns," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 7(1), pages 141-155, April.
• Constantinos Kardaras & Scott Robertson, 2017. "Continuous-time perpetuities and time reversal of diffusions," Finance and Stochastics, Springer, vol. 21(1), pages 65-110, January.
• Holger Kraft & Thomas Seiferling & Frank Thomas Seifried, 2017. "Optimal consumption and investment with Epstein–Zin recursive utility," Finance and Stochastics, Springer, vol. 21(1), pages 187-226, January.
• Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö, 2017. "The scaling limit of superreplication prices with small transaction costs in the multivariate case," Finance and Stochastics, Springer, vol. 21(2), pages 487-508, April.
• Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2017. "Local risk-minimization for Barndorff-Nielsen and Shephard models," Finance and Stochastics, Springer, vol. 21(2), pages 551-592, April.
• Tomas Björk & Mariana Khapko & Agatha Murgoci, 2017. "On time-inconsistent stochastic control in continuous time," Finance and Stochastics, Springer, vol. 21(2), pages 331-360, April.
• Houdou Basse Mama & Alexander Bassen, 2017. "Neglected disciplinary effects of investor relations: evidence from corporate cash holdings," Journal of Business Economics, Springer, vol. 87(2), pages 221-261, February.
• Gregory Phelan, 2017. "Collateralized borrowing and increasing risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 471-502, February.
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• Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez, 2017. "Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 71-103, February.
• Jun-Biao Lina & Ping-Yeh Su, 2017. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-2.
• Jun-Biao Lina & Ping-Yeh Su, 2017. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 0, pages 2-2.
• D'Errico, Marco & Roukny, Tarik, 2017. "Compressing over-the-counter markets," ESRB Working Paper Series 44, European Systemic Risk Board.
• Ferrari, Massimo & Guagliano, Claudia & Mazzacurati, Julien, 2017. "Collateral scarcity premia in euro area repo markets," ESRB Working Paper Series 55, European Systemic Risk Board.
• Pan, Kevin & Zeng, Yao, 2017. "ETF arbitrage under liquidity mismatch," ESRB Working Paper Series 59, European Systemic Risk Board.
• Pietro Dindo & Jacopo Staccioli, 2017. "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," Working Papers 2017:31, Department of Economics, University of Venice "Ca' Foscari".
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• Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Energy Economics, Elsevier, vol. 66(C), pages 536-546.
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• Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017. "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers 2017-09, University of Tasmania, Tasmanian School of Business and Economics.
• Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers 2017-10, University of Tasmania, Tasmanian School of Business and Economics.
• Deng, Xiaohu & Gao, Lei & Kemme, David, 2017. "The information content of short selling and put option trading: When are they substitutes?," Working Papers 2017-13, University of Tasmania, Tasmanian School of Business and Economics.
• Charles G. Nathanson & Eric Zwick, 2017. "Arrested Development: Theory and Evidence of Supply-Side Speculation in the Housing Market," NBER Working Papers 23030, National Bureau of Economic Research, Inc.
• Briana Chang & Harrison Hong, 2017. "Assignment of Stock Market Coverage," NBER Working Papers 23115, National Bureau of Economic Research, Inc.
• Wagner, Alexander F. & Zeckhauser, Richard J. & Siegler, Alexandre, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," Working Paper Series rwp17-005, Harvard University, John F. Kennedy School of Government.
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• Fatih Guvenen & Sam Schulhofer-Wohl & Jae Song & Motohiro Yogo, 2017. "Worker Betas: Five Facts about Systematic Earnings Risk," American Economic Review, American Economic Association, vol. 107(5), pages 398-403, May.
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• P�stor, Lubo� & Veronesi, Pietro, 2017. "Political Cycles and Stock Returns," CEPR Discussion Papers 11864, C.E.P.R. Discussion Papers.
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• Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," Working Paper 504391, Harvard University OpenScholar.
  • Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," NBER Working Papers 23191, National Bureau of Economic Research, Inc.
• Joel Hasbrouck & Richard M. Levich, 2017. "FX Market Metrics: New Findings Based on CLS Bank Settlement Data," NBER Working Papers 23206, National Bureau of Economic Research, Inc.
• Lu Zhang, 2017. "The Investment CAPM," NBER Working Papers 23226, National Bureau of Economic Research, Inc.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo Group Munich.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo Group Munich.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
• Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek, 2017. "Asset Mispricing," NBER Working Papers 23231, National Bureau of Economic Research, Inc.
• Maryam Farboodi & Gregor Jarosch & Robert Shimer, 2017. "The Emergence of Market Structure," NBER Working Papers 23234, National Bureau of Economic Research, Inc.
• Azi Ben-Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2017. "Demand for Information and Asset Pricing," NBER Working Papers 23274, National Bureau of Economic Research, Inc.
• Vahid Gholampour & Eric van Wincoop, 2017. "What can we Learn from Euro-Dollar Tweets?," NBER Working Papers 23293, National Bureau of Economic Research, Inc.
• Cristina Arellano & Yan Bai & Luigi Bocola, 2017. "Sovereign Default Risk and Firm Heterogeneity," NBER Working Papers 23314, National Bureau of Economic Research, Inc.
• Mike Anderson & René M. Stulz, 2017. "Is Post-Crisis Bond Liquidity Lower?," NBER Working Papers 23317, National Bureau of Economic Research, Inc.
• Takatoshi Ito & Masahiro Yamada, 2017. "Did the Reform Fix the London Fix Problem?," NBER Working Papers 23327, National Bureau of Economic Research, Inc.
• Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor, 2017. "Sharing R&D Risk in Healthcare via FDA Hedges," NBER Working Papers 23344, National Bureau of Economic Research, Inc.
• Bacchetta, Philippe & van Wincoop, Eric, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," CEPR Discussion Papers 11983, C.E.P.R. Discussion Papers.
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• Ralph S.J. Koijen & Motohiro Yogo, 2017. "Risk of Life Insurers: Recent Trends and Transmission Mechanisms," NBER Working Papers 23365, National Bureau of Economic Research, Inc.
• Kaiji Chen & Jue Ren & Tao Zha, 2017. "The Nexus of Monetary Policy and Shadow Banking in China," NBER Working Papers 23377, National Bureau of Economic Research, Inc.
• Kewei Hou & Chen Xue & Lu Zhang, 2017. "Replicating Anomalies," NBER Working Papers 23394, National Bureau of Economic Research, Inc.
• Michael Weber & Ali Ozdagli, 2016. "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers 148, Society for Economic Dynamics.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," NBER Working Papers 23424, National Bureau of Economic Research, Inc.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," CESifo Working Paper Series 6486, CESifo Group Munich.
  • Ozdagli, Ali K. & Weber, Michael, 2017. "Monetary policy through production networks: evidence from the stock market," Working Papers 17-15, Federal Reserve Bank of Boston.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," Working Papers 2017-07, Becker Friedman Institute for Research In Economics.
• David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2017. "Innovative Originality, Profitability, and Stock Returns," NBER Working Papers 23432, National Bureau of Economic Research, Inc.
• Eric Zwick & Charles Nathanson & Anthony DeFusco, 2017. "Speculative Dynamics of Prices and Volume," 2017 Meeting Papers 239, Society for Economic Dynamics.
  • Anthony A. DeFusco & Charles G. Nathanson & Eric Zwick, 2017. "Speculative Dynamics of Prices and Volume," NBER Working Papers 23449, National Bureau of Economic Research, Inc.
• Daniel Andrei & Bruce I. Carlin, 2017. "Asset Pricing in the Quest for the New El Dorado," NBER Working Papers 23455, National Bureau of Economic Research, Inc.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2017. "Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows," NBER Working Papers 23474, National Bureau of Economic Research, Inc.
• Andrea L. Eisfeldt & Hanno Lustig & Lei Zhang, 2017. "Complex Asset Markets," NBER Working Papers 23476, National Bureau of Economic Research, Inc.
• Michael D. Bauer & James D. Hamilton, 2015. "Robust Bond Risk Premia," CESifo Working Paper Series 5541, CESifo Group Munich.
  • Michael D. Bauer & James D. Hamilton, 2017. "Robust Bond Risk Premia," NBER Working Papers 23480, National Bureau of Economic Research, Inc.
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• Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Chapters,in: NBER Macroeconomics Annual 2017, volume 32, pages 493-523 National Bureau of Economic Research, Inc.
  • Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Working Papers 23512, National Bureau of Economic Research, Inc.
• Marco Di Maggio & Francesco Franzoni & Amir Kermani & Carlo Sommavilla, 2017. "The Relevance of Broker Networks for Information Diffusion in the Stock Market," NBER Working Papers 23522, National Bureau of Economic Research, Inc.
• Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
• Gustavo S. Cortes & Marc D. Weidenmier, 2017. "Stock Volatility and the Great Depression," NBER Working Papers 23554, National Bureau of Economic Research, Inc.
• Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2017. "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," NBER Working Papers 23557, National Bureau of Economic Research, Inc.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2017. "The Economics of Value Investing," NBER Working Papers 23563, National Bureau of Economic Research, Inc.
• Efraim Benmelech & Adam Guren & Brian T. Melzer, 2017. "Making the House a Home: The Stimulative Effect of Home Purchases on Consumption and Investment," NBER Working Papers 23570, National Bureau of Economic Research, Inc.
• Alexander M. Chinco & Mao Ye, 2017. "Investment-Horizon Spillovers," NBER Working Papers 23650, National Bureau of Economic Research, Inc.
• Leif Andersen & Darrell Duffie & Yang Song, 2017. "Funding Value Adjustments," NBER Working Papers 23680, National Bureau of Economic Research, Inc.
  • Duffie, Darrell & Andersen, Leif & Song, Yang, 2018. "Funding Value Adjustments," Research Papers 3571, Stanford University, Graduate School of Business.
• Anisha Ghosh & George M. Constantinides, 2017. "What Information Drives Asset Prices?," NBER Working Papers 23689, National Bureau of Economic Research, Inc.
• João F. Gomes & Marco Grotteria & Jessica A. Wachter, 2017. "Cyclical Dispersion in Expected Defaults," NBER Working Papers 23704, National Bureau of Economic Research, Inc.
• Marcel Nutz & Jos'e A. Scheinkman, 2017. "Supply and Shorting in Speculative Markets," Papers 1705.05882, arXiv.org, revised Aug 2017.
  • Marcel Nutz & José A. Scheinkman, 2017. "Supply and Shorting in Speculative Markets," NBER Working Papers 23751, National Bureau of Economic Research, Inc.
• Wenxin Du & Joanne Im & Jesse Schreger, 2017. "The U.S. Treasury Premium," NBER Chapters,in: NBER International Seminar on Macroeconomics 2017 National Bureau of Economic Research, Inc.
  • Wenxin Du & Joanne Im & Jesse Schreger, 2017. "The U.S. Treasury Premium," NBER Working Papers 23759, National Bureau of Economic Research, Inc.
• Chari, V. V. & Christiano, Lawrence J., 2017. "Financialization in Commodity Markets," Working Paper Series WP-2017-15, Federal Reserve Bank of Chicago.
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• Cory Cutsail & Farley Grubb, 2017. "The Paper Money of Colonial North Carolina, 1712-1774," NBER Working Papers 23783, National Bureau of Economic Research, Inc.
• Stefano Giglio & Ian Dew-Becker & David Berger, 2017. "Uncertainty Shocks as Second-Moment News Shocks," 2017 Meeting Papers 403, Society for Economic Dynamics.
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• Xiaomeng Lu & Robert F. Stambaugh & Yu Yuan, 2017. "Anomalies Abroad: Beyond Data Mining," NBER Working Papers 23809, National Bureau of Economic Research, Inc.
• Laura A. Bakkensen & Lint Barrage, 2017. "Flood Risk Belief Heterogeneity and Coastal Home Price Dynamics: Going Under Water?," NBER Working Papers 23854, National Bureau of Economic Research, Inc.
• Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2017. "Diagnostic Expectations and Stock Returns," NBER Working Papers 23863, National Bureau of Economic Research, Inc.
• Samuel M. Hartzmark & Kelly Shue, 2017. "A Tough Act to Follow: Contrast Effects In Financial Markets," NBER Working Papers 23883, National Bureau of Economic Research, Inc.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
• Andrei S. Gonçalves & Chen Xue & Lu Zhang, 2017. "Does the Investment Model Explain Value and Momentum Simultaneously?," NBER Working Papers 23910, National Bureau of Economic Research, Inc.
• Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017. "Sparse Signals in the Cross-Section of Returns," NBER Working Papers 23933, National Bureau of Economic Research, Inc.
• Lim, Jongha & Schwert, Michael & Weisbech, Michael S., 2017. "The Economics of PIPEs," Working Paper Series 2017-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  • Jongha Lim & Michael W. Schwert & Michael S. Weisbach, 2017. "The Economics of PIPEs," NBER Working Papers 23967, National Bureau of Economic Research, Inc.
• Hombert, Johan & Biais, Bruno & Weill, Pierre-Olivier, 2017. "Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing," HEC Research Papers Series 1236, HEC Paris.
  • Bruno Biais & Johan Hombert & Pierre-Olivier Weill, 2017. "Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing," NBER Working Papers 23986, National Bureau of Economic Research, Inc.
• Ting Chen & Zhenyu Gao & Jibao He & Wenxi Jiang & Wei Xiong, 2017. "Daily Price Limits and Destructive Market Behavior," NBER Working Papers 24014, National Bureau of Economic Research, Inc.
• Ali Hortaçsu & Jakub Kastl & Allen Zhang, 2017. "Bid Shading and Bidder Surplus in the U.S. Treasury Auction System," NBER Working Papers 24024, National Bureau of Economic Research, Inc.
• Ravi Jagannathan & Ashwin Ravikumar & Marco Sammon, 2017. "Environmental, Social, and Governance Criteria: Why Investors are Paying Attention," NBER Working Papers 24063, National Bureau of Economic Research, Inc.
• Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2017. "Shrinking the Cross Section," CEPR Discussion Papers 12463, C.E.P.R. Discussion Papers.
  • Serhiy Kozak & Stefan Nagel & Shrihari Santosh, 2017. "Shrinking the Cross Section," NBER Working Papers 24070, National Bureau of Economic Research, Inc.
• Andrea Barbon & Marco Di Maggio & Francesco Franzoni & Augustin Landier, 2017. "Brokers and Order Flow Leakage: Evidence from Fire Sales," NBER Working Papers 24089, National Bureau of Economic Research, Inc.
• Michael Bailey & Eduardo Dávila & Theresa Kuchler & Johannes Stroebel, 2017. "House Price Beliefs And Mortgage Leverage Choice," NBER Working Papers 24091, National Bureau of Economic Research, Inc.
• Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
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• Jorda, Oscar & Knoll, Katharina & Kuvshinov, Dmitry & Schularick, Moritz & Taylor, Alan M., 2017. "The Rate of Return on Everything, 1870–2015," Working Paper Series 2017-25, Federal Reserve Bank of San Francisco.
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• David Hirshleifer & Chong Huang & Siew Hong Teoh, 2017. "Model Uncertainty, Ambiguity Aversion, and Market Participation," NBER Working Papers 24143, National Bureau of Economic Research, Inc.
• Yongqiang Chu & David Hirshleifer & Liang Ma, 2017. "The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies," NBER Working Papers 24144, National Bureau of Economic Research, Inc.
• Kent Daniel & David Hirshleifer & Lin Sun, 2017. "Short- and Long-Horizon Behavioral Factors," NBER Working Papers 24163, National Bureau of Economic Research, Inc.
• Kent Daniel & Lira Mota & Simon Rottke & Tano Santos, 2017. "The Cross-Section of Risk and Return," NBER Working Papers 24164, National Bureau of Economic Research, Inc.
• Rawley Z. Heimer & Alp Simsek, 2017. "Should Retail Investors' Leverage Be Limited?," NBER Working Papers 24176, National Bureau of Economic Research, Inc.
• Blume, Marshall E. & Keim, Donald B., 2017. "The Changing Nature of Institutional Stock Investing," Critical Finance Review, now publishers, vol. 7(1), pages 1-41, March.
• Eisdorfer, Assaf & Kohl, Elizabeth, 2017. "Corporate Sport Sponsorship and Stock Returns: Evidence from the NFL," Critical Finance Review, now publishers, vol. 7(1), pages 179-209, March.
• Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2016. "Fiscal policy and the cycle in Latin America: the role of financing conditions and fiscal rules," Working Papers 1604, Banco de España;Working Papers Homepage.
  • Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2017. "Fiscal policy and the cycle in Latin America: The role of financing conditions and fiscal rules," OECD Development Centre Working Papers 336, OECD Publishing.
• Jana Šimáková & Nikola Rusková, 2017. "Role of the Exchange Rates in the Stock Price Development of Companies in Chemical Industry," Working Papers 0042, Silesian University, School of Business Administration.
• Jun Sakamoto, 2017. "An empirical study on the risk premium caused by differences in the dispersion of information among investors," Discussion Papers in Economics and Business 17-11, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
• Jun Sakamoto, 2017. "An empirical analysis of the impact of differences in the disclosure among companies on the equity premium," Discussion Papers in Economics and Business 17-11-Rev., Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP), revised Jan 2018.
• Danilo Cascaldi-Garcia, 2017. "News Shocks and the Slope of the Term Structure of Interest Rates: Comment," American Economic Review, American Economic Association, vol. 107(10), pages 3243-3249, October.
  • Cascaldi-Garcia, Danilo, 2017. "News Shocks and the Slope of the Term Structure of Interest Rates : Comment," EMF Research Papers 15, Economic Modelling and Forecasting Group.
• Pawel Maryniak & Rafal Weron, 2017. "Habitat momentum," HSC Research Reports HSC/17/05, Hugo Steinhaus Center, Wroclaw University of Technology.
• M. Hashem Pesaran & Takashi Yamagata, 2017. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," CESifo Working Paper Series 6432, CESifo Group Munich.
  • M. Hashem Pesaran & Takashi Yamagata, 2017. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," Discussion Papers 17/04, Department of Economics, University of York.
• Laura Coroneo & Sergio Pastorello, 2017. "European spreads at the interest rate lower bound," Discussion Papers 17/10, Department of Economics, University of York.
• Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
  • Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," BERG Working Paper Series 119, Bamberg University, Bamberg Economic Research Group.
• Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
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• Lux, Thomas, 2017. "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers 2017-07, Christian-Albrechts-University of Kiel, Department of Economics.
• Korn, Olaf & Kuntz, Laura-Chloé, 2015. "Low-beta investment strategies," CFR Working Papers 15-17, University of Cologne, Centre for Financial Research (CFR).
• Korn, Olaf & Kuntz, Laura-Chloé, 2017. "Low-beta strategies," CFR Working Papers 15-17 [rev.], University of Cologne, Centre for Financial Research (CFR).
• Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
• Luc Renneboog & Peter G. Szilagyi & Cara Vansteenkiste, 2017. "Creditor rights, claims enforcement, and bond performance in mergers and acquisitions," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 48(2), pages 174-194, February.
  • Renneboog, Luc & Szilagyi, Peter & Vansteenkiste, Cara, 2017. "Creditor Rights, Claims Enforcement, and Bond Performance in Mergers and Acquisitions," Discussion Paper 2017-012, Tilburg University, Center for Economic Research.
• Robert Barro & Jesus Fernandez-Villaverde & Oren Levintal & Andrew Mollerus, 2017. "Safe Assets," PIER Working Paper Archive 17-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 May 2017.
• Adam Marszk, 2017. "Development of innovative financial products in Europe: Case of exchange-traded products in Germany," Working Papers 153/2017, Institute of Economic Research, revised May 2017.
• Tomas Meluzin & Marek Zinecker & doubravsky@fbm.vutbr.cz & Mirko Dohnal, 2017. "Effects of Rumours on IPO Success: A Qualitative Approach," Working Papers 79/2017, Institute of Economic Research, revised May 2017.
• Ewa Karwowski, 2017. "Corporate financialisation in South Africa: From investment strike to housing bubble," Working Papers 1708, Post Keynesian Economics Society (PKES).
• Karwowski, Ewa, 2017. "Corporate financialisation in South Africa: From investment strike to housing bubble," Economics Discussion Papers 2017-7, School of Economics, Kingston University London.
  • Ewa Karwowski, 2017. "Corporate financialisation in South Africa: From investment strike to housing bubble," Working Papers PKWP1708, Post Keynesian Economics Society (PKES).
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
• José Couto & Paula Brito & António Cerqueira, 2017. "The Method of Market Multiples on the Valuation of Companies: A Multivariate Approach," FEP Working Papers 586, Universidade do Porto, Faculdade de Economia do Porto.
• Wei Cui & Leo Kaas, 2017. "Default Cycles," Discussion Papers 1716, Centre for Macroeconomics (CFM).
  • Leo Kaas & Wei Cui, 2017. "Default Cycles," 2017 Meeting Papers 1288, Society for Economic Dynamics.
  • Cui, Wei & Kaas, Leo, 2017. "Default cycles," LSE Research Online Documents on Economics 86159, London School of Economics and Political Science, LSE Library.
• Sudipto Karmakar & Francisco Buera, 2017. "Real Effects of Financial Distress: The Role of Heterogeneity," 2017 Meeting Papers 1356, Society for Economic Dynamics.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers REM 2018/36, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers w201806, Banco de Portugal, Economics and Research Department.
• Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
  • Christian Wagner & Ian Martin, 2017. "What Is the Expected Return on a Stock?," 2017 Meeting Papers 146, Society for Economic Dynamics.
• Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C. & Wang, Yichuan, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
  • Yichuan Wang & Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2017. "The Term Structure of the Price of Variance Risk," 2017 Meeting Papers 1641, Society for Economic Dynamics.
• Anthony A. DeFusco & Charles G. Nathanson & Eric Zwick, 2017. "Speculative Dynamics of Prices and Volume," NBER Working Papers 23449, National Bureau of Economic Research, Inc.
  • Eric Zwick & Charles Nathanson & Anthony DeFusco, 2017. "Speculative Dynamics of Prices and Volume," 2017 Meeting Papers 239, Society for Economic Dynamics.
• Michael Weber & Andreas Neuhierl, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," Working Papers 2016-26, Becker Friedman Institute for Research In Economics.
  • Michael Weber & Andreas Neuhierl, 2017. "Monetary Policy and the Stock Market: Time Series Evidence," 2017 Meeting Papers 304, Society for Economic Dynamics.
  • Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo Group Munich.
  • Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
• Adrian, Tobias & Duarte, Fernando M., 2016. "Financial vulnerability and monetary policy," Staff Reports 804, Federal Reserve Bank of New York, revised 01 Sep 2017.
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  • Fernando Duarte & Tobias Adrian, 2017. "Financial Vulnerability and Monetary Policy," 2017 Meeting Papers 391, Society for Economic Dynamics.
• David Berger & Ian Dew-Becker & Stefano Giglio, 2017. "Uncertainty Shocks as Second-Moment News Shocks," NBER Working Papers 23796, National Bureau of Economic Research, Inc.
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• Roberto Marfè, 2015. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 429, Collegio Carlo Alberto.
  • Roberto Marfè, 2017. "Labor Rigidity and the Dynamics of the Value Premium," 2017 Meeting Papers 466, Society for Economic Dynamics.
  • Roberto Marfè, 2016. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 460, Collegio Carlo Alberto.
• Favilukis, Jack & van Nieuwerburgh, Stijn, 2017. "Out-of-town Home Buyers and City Welfare," CEPR Discussion Papers 12283, C.E.P.R. Discussion Papers.
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• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  • Francesco Bianchi, 2017. "Monetary Policy and Asset Valuation," 2017 Meeting Papers 500, Society for Economic Dynamics.
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• Colin Caines, 2016. "Can Learning Explain Boom-Bust Cycles In Asset Prices? An Application to the US Housing Boom," International Finance Discussion Papers 1181, Board of Governors of the Federal Reserve System (U.S.).
  • Colin Caines, 2017. "Can Learning Explain Boom-Bust Cycles in Asset Prices? An Application to the US Housing Boom," 2017 Meeting Papers 695, Society for Economic Dynamics.
• Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2017. "Re-Use of Collateral: Leverage, Volatility, and Welfare," Swiss Finance Institute Research Paper Series 17-04, Swiss Finance Institute.
  • Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2017. "Re-use of Collateral: Leverage, Volatility, and Welfare," 2017 Meeting Papers 697, Society for Economic Dynamics.
• Semyon Malamud & Andreas Schrimpf, 2016. "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series 16-75, Swiss Finance Institute.
  • Andreas Schrimpf & Semyon Malamud, 2017. "Intermediation Markups and Monetary Policy Passthrough," 2017 Meeting Papers 812, Society for Economic Dynamics.
  • Malamud, Semyon & Schrimpf, Andreas, 2018. "Intermediation markups and monetary policy pass-through," CEPR Discussion Papers 12623, C.E.P.R. Discussion Papers.
• Baojing Sun, 2017. "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index," Working Papers 2017-05, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
• Jeon, Bang Nam & Zheng, Dazhi & Zhu, Lei, 2017. "Exchange Rate Exposure : International Evidence from Daily Firm-Level Data," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 32(1), pages 112-159.
• Ewa Karwowski, 2017. "Corporate financialisation in South Africa: From investment strike to housing bubble," Working Papers PKWP1708, Post Keynesian Economics Society (PKES).
  • Karwowski, Ewa, 2017. "Corporate financialisation in South Africa: From investment strike to housing bubble," Economics Discussion Papers 2017-7, School of Economics, Kingston University London.
• Li, Yong & Yu, Jun & Zeng, Tao, 2017. "Deviance Information Criterion for Bayesian Model Selection: Justification and Variation," Economics and Statistics Working Papers 5-2017, Singapore Management University, School of Economics.
• Li, Yong & Yu, Jun & Zeng, Tao, 2017. "A Specification Test based on the MCMC Output," Economics and Statistics Working Papers 9-2017, Singapore Management University, School of Economics.
• Mediha Mezhoud & Asma Sghaier & Adel Boubaker, 2017. "The Impact of Internal Governance Mechanisms on the Share Price Volatility of Listed Companies in Paris Stock Exchange," Bulletin of Applied Economics, Risk Market Journals, vol. 4(1), pages 1-12.
• Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Papers 1711.04392, arXiv.org.
  • Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Departmental Working Papers 201711, Rutgers University, Department of Economics.
• Qing Zhou & Robert Faff, 2017. "The complementary role of cross-sectional and time-series information in forecasting stock returns," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 113-139, February.
• Shuang Li & Yanli Zhou & Yonghong Wu & Xiangyu Ge, 2017. "Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 276-295, May.
• Abhijeet Chandra & M. Thenmozhi, 2017. "Behavioural Asset Pricing: Review and Synthesis," Journal of Interdisciplinary Economics, , vol. 29(1), pages 1-31, January.
• Tomas Williams & Lorenzo Pandolfi, 2017. "Capital Flows and Sovereign Debt Markets: Evidence from Index Rebalancings," Working Papers 2017-11, The George Washington University, Institute for International Economic Policy.
  • Lorenzo Pandolfi & Tomas Williams, 2017. "Capital Flows and Sovereign Debt Markets: Evidence from Index Rebalancings," CSEF Working Papers 487, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
• I Doun Kuo, 2017. "Irrationality and Term Structure Anomaly," Proceedings of Economics and Finance Conferences 4507033, International Institute of Social and Economic Sciences.
• Mark Iarovyi & sasson Bar Yosef & Itzhak Venezia, 2017. "Implied Maturity Mismatches and Investor Disagreement," Proceedings of Economics and Finance Conferences 4507072, International Institute of Social and Economic Sciences.
• Sana Tauseef, 2017. "Cross-Sectional Variation in Stock Returns: Evidence from an Emerging Market," Proceedings of Economics and Finance Conferences 4807087, International Institute of Social and Economic Sciences.
• Mohsin Sadaqat & Hilal Anwar Butt, 2017. "Anomalous Returns, Risk Premiums and Diversification: Evidence from Emerging Market," Proceedings of Economics and Finance Conferences 4807461, International Institute of Social and Economic Sciences.
• Takahiro Hattori, 2017. "J-liquidity Measure: the Term Structure of the Liquidity Premium and the Decomposition of the Municipal Bond Spread," Discussion papers ron290, Policy Research Institute, Ministry of Finance Japan.
• Naji Massad & Jørgen Vitting Andersen, 2017. "Three different ways synchronization can cause contagion in financial markets," Documents de travail du Centre d'Economie de la Sorbonne 17059, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Shujie Ma & Oliver Linton & Jiti Gao, 2017. "Estimation and inference in semiparametric quantile factor models," Monash Econometrics and Business Statistics Working Papers 8/17, Monash University, Department of Econometrics and Business Statistics.
• Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Chapters,in: NBER Macroeconomics Annual 2017, volume 32, pages 493-523 National Bureau of Economic Research, Inc.
  • Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Working Papers 23512, National Bureau of Economic Research, Inc.
• Jonathan E. Alevy & Michael K. Price, 2017. "Advice in the marketplace: a laboratory study," Experimental Economics, Springer;Economic Science Association, vol. 20(1), pages 156-180, March.
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• François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.
• Manuel Hoffmann & Matthias Neuenkirch, 2017. "The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine," International Economics and Economic Policy, Springer, vol. 14(1), pages 61-73, January.
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• S. McKay Price & Michael J. Seiler & Jiancheng Shen, 2017. "Do Investors Infer Vocal Cues from CEOs During Quarterly REIT Conference Calls?," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 515-557, May.
• Sati P. Bandyopadhyay & Alan Guoming Huang & Kevin Jialin Sun & Tony S. Wirjanto, 2017. "The return premiums to accruals quality," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 83-115, January.
• Tao Shen, 2017. "Credit spreads and investment opportunities," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 117-152, January.
• Debarati Bhattacharya & Wei-Hsien Li & Gokhan Sonaer, 2017. "Has momentum lost its momentum?," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 191-218, January.
• Jeffrey Hobbs & Hei Wai Lee & Vivek Singh, 2017. "New evidence on the effect of belief heterogeneity on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 289-309, February.
• Stefan Dierkes & Ulrich Schäfer, 2017. "Corporate taxes, capital structure, and valuation: Combining Modigliani/Miller and Miles/Ezzell," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 363-383, February.
• Paul Brockman & Dennis Y. Chung & Kenneth W. Shaw, 2017. "The R&D-abnormal return anomaly: a transaction cost explanation," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 385-406, February.
• Andrei Semenov, 2017. "Background risk in consumption and the equity risk premium," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 407-439, February.
• Ying Jiang & Shamim Ahmed & Xiaoquan Liu, 2017. "Volatility forecasting in the Chinese commodity futures market with intraday data," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1123-1173, May.
• Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.
• Sharad Asthana, 2017. "Diversification by the audit offices in the US and its impact on audit quality," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1003-1030, May.
• Imran Hussain Shah & Ahmad Hassan Ahmad, 2017. "How important is the financial sector to price indices in an inflation targeting regime? An empirical analysis of the UK and the US," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1063-1082, May.
• Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
  • Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
  • Claessens, Stijn & Kose, Ayhan, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
  • Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
• Stijn Claessens & M Ayhan Kose, 2017. "Macroeconomic implications of financial imperfections: a survey," BIS Working Papers 677, Bank for International Settlements.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic Implications of Financial Imperfections: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1719, Koc University-TUSIAD Economic Research Forum.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic implications of financial imperfections: A survey," CAMA Working Papers 2017-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Claessens ,Stijn & Kose,Ayhan, 2017. "Macroeconomic implications of financial imperfections : a survey," Policy Research Working Paper Series 8260, The World Bank.
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• Massimo Franchi & Søren Johansen, 2017. "Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles," Econometrics, MDPI, Open Access Journal, vol. 5(2), pages 1-20, June.
  • Massimo Franchi & Søren Johansen, 2017. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," Discussion Papers 17-09, University of Copenhagen. Department of Economics.
  • Massimo Franchi & Søren Johansen, 2704. "Improved inference on cointegrating vectors in the presence of a near unit root using adjusted quantiles," CREATES Research Papers 2017-17, Department of Economics and Business Economics, Aarhus University.
• Roman Frydman & Søren Johansen & Anders Rahbek & Morten Nyboe, 2017. "The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations Of Market Forecasts, And Sentiment," Discussion Papers 17-10, University of Copenhagen. Department of Economics.
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• Martín Gonzalez-Eiras & Jesper Rüdiger, 2017. "Liquidity Shocks, Market Maker Turnover, and Bidding Behavior in Treasury Auctions," Discussion Papers 17-13, University of Copenhagen. Department of Economics.
• Katsuhiro Oshima, 2017. "Search-for-Yield and Business Cycle," KIER Working Papers 962, Kyoto University, Institute of Economic Research.
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• Philippe Bacchetta & Eric van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Swiss Finance Institute Research Paper Series 17-15, Swiss Finance Institute.
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• Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping the Housing Market," Globalization and Monetary Policy Institute Working Paper 301, Federal Reserve Bank of Dallas.
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• Vikram Nanda & Wei Wu & Xing Zhou, 2017. "Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads," Finance and Economics Discussion Series 2017-069, Board of Governors of the Federal Reserve System (U.S.).
• Christoph Frei & Agostino Capponi & Celso Brunetti, 2017. "Managing Counterparty Risk in OTC Markets," Finance and Economics Discussion Series 2017-083, Board of Governors of the Federal Reserve System (U.S.).
• Seung Jung Lee & Kelly E. Posenau & Viktors Stebunovs, 2017. "The Anatomy of Financial Vulnerabilities and Crises," International Finance Discussion Papers 1191, Board of Governors of the Federal Reserve System (U.S.).
• Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2017. "International Illiquidity," International Finance Discussion Papers 1201, Board of Governors of the Federal Reserve System (U.S.).
• Amir Akbari & Francesca Carrieri & Aytek Malkhozov, 2017. "Reversals in Global Market Integration and Funding Liquidity," International Finance Discussion Papers 1202, Board of Governors of the Federal Reserve System (U.S.).
• Ricardo M. Reyes-Heroles & Gabriel Tenorio, 2017. "Interest Rate Volatility and Sudden Stops : An Empirical Investigation," International Finance Discussion Papers 1209, Board of Governors of the Federal Reserve System (U.S.).
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• Chari, V. V. & Christiano, Lawrence J., 2017. "Financialization in Commodity Markets," Staff Report 552, Federal Reserve Bank of Minneapolis.
• Hanson, Samuel & Lucca, David O. & Wright, Jonathan H., 2017. "Interest rate conundrums in the twenty-first century," Staff Reports 810, Federal Reserve Bank of New York, revised 01 Aug 2018.
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• Li, Leon & Kuo, Chii-Shyan, 2017. "CEO equity compensation and earnings management: The role of growth opportunities," Finance Research Letters, Elsevier, vol. 20(C), pages 289-295.
• Luo, Xingguo & Qin, Shihua, 2017. "Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index," Finance Research Letters, Elsevier, vol. 20(C), pages 29-34.
• Fabozzi, Frank J. & Nawas, Mike E. & Vink, Dennis, 2017. "Exploring rating shopping for european triple a senior structured finance securities," Finance Research Letters, Elsevier, vol. 20(C), pages 35-39.
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• Tang, Dragon Yongjun & Yan, Hong, 2017. "Understanding transactions prices in the credit default swaps market," Journal of Financial Markets, Elsevier, vol. 32(C), pages 1-27.
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• Keiber, Karl Ludwig & Samyschew, Helene, 2017. "The world price of sentiment risk," Global Finance Journal, Elsevier, vol. 32(C), pages 62-82.
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• Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017. "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, vol. 86(C), pages 1-21.
• Shachmurove, Yochanan & Vulanovic, Milos, 2017. "U.S. SPACs with a focus on China," Journal of Multinational Financial Management, Elsevier, vol. 39(C), pages 1-18.
• Park, Heungju & Ju, Lan & Liang, Tianyu & Tu, Zhiyong, 2017. "Horizon analysis of art investments: Evidence from the Chinese market," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 17-25.
• Lin, Chaonan & Ko, Kuan-Cheng & Lin, Lin & Yang, Nien-Tzu, 2017. "Price limits and the value premium in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 26-45.
• Naifar, Nader & Mroua, Mourad & Bahloul, Slah, 2017. "Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 65-74.
• Huang, Chun-Kai & North, Delia & Zewotir, Temesgen, 2017. "Exchangeability, extreme returns and Value-at-Risk forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 204-216.
• Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017. "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 185-192.
• Noman, Abdullah & Naka, Atsuyuki & Zirek, Duygu, 2017. "Examining return predictability of industry style portfolios with prior return relative to a benchmark," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 193-203.
• McCown, James Ross & Shaw, Ron, 2017. "Investment potential and risk hedging characteristics of platinum group metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 328-337.
• Wu, Hui & Ma, Chaoqun & Yue, Shengjie, 2017. "Momentum in strategic asset allocation," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 115-127.
• Chiu, Junmao & Tsai, Kunchi, 2017. "Government interventions and equity liquidity in the sub-prime crisis period: Evidence from the ETF market," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 128-142.
• Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017. "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics 14/23, University of Canterbury, Department of Economics and Finance.
  • David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
  • David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Documentos de Trabajo del ICAE 2014-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Tao, Qizhi & Chen, Carl & Lu, Rui & Zhang, Ting, 2017. "Underfunding or distress? An analysis of corporate pension underfunding and the cross-section of expected stock returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 116-133.
• Kim, Myeong Hyeon & Sun, Lingxia, 2017. "Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 309-325.
• Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
• Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017. "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 34-48.
• Lai, Ya-Wen, 2017. "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 452-477.
• Kim, Kwanho, 2017. "Liquidity basis between credit default swaps and corporate bonds markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 98-115.
• Vortelinos, Dimitrios I. & Koulakiotis, Athanasios & Tsagkanos, Athanasios, 2017. "Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 150-168.
• Trabelsi Mnif, Afef, 2017. "Political uncertainty and behavior of Tunisian stock market cycles: Structural unobserved components time series models," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 206-214.
• Dinh, Minh Thi Hong, 2017. "The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 30-40.
• Cheong, Calvin W.H. & Sinnakkannu, Jothee & Ramasamy, Sockalingam, 2017. "On the predictability of carry trade returns: The case of the Chinese Yuan," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 358-376.
• Moussa, Faten & Delhoumi, Ezzeddine & Ouda, Olfa Ben, 2017. "Stock return and volatility reactions to information demand and supply," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 54-67.
• Ciaian, Pavel & Rajcaniova, Miroslava & Kancs, d'Artis, 2018. "Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 173-195.
  • Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs, 2017. "Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets," Papers 1706.07216, arXiv.org.
  • Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs, 2017. "Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets," EERI Research Paper Series EERI RP 2017/02, Economics and Econometrics Research Institute (EERI), Brussels.
  • Ciaian, Pavel & Kancs, d'Artis & Rajcaniova, Miroslava, 2017. "Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets," Working Papers 2017-05, Joint Research Centre, European Commission (Ispra site).
• Valerio Filoso, Valerio & Panico, Carlo & Papagni, Erasmo & Francesco, Purificato & Vázquez Suarez, Marta, 2016. "Causes and timing of the European debt crisis: An econometric evaluation," MPRA Paper 75847, University Library of Munich, Germany.
  • Valerio Filoso & Carlo Panico & Erasmo Papagni & Francesco Purificato & Marta Vázquez Suarez, 2017. "Causes and timing of the European debt crisis: An econometric evaluation," EERI Research Paper Series EERI RP 2017/03, Economics and Econometrics Research Institute (EERI), Brussels.
• Yasushi Asako & Yukihiko Funaki & Kozo Ueda & Nobuyuki Uto, 2016. "Symmetric Information Bubbles: Experimental Evidence," Working Papers 1613, Waseda University, Faculty of Political Science and Economics.
  • Yasushi Asako & Yukihiko Funaki & Kozo Ueda & Nobuyuki Uto, 2017. "Symmetric information bubbles: Experimental evidence," CAMA Working Papers 2017-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Asako, Yasushi & Funaki, Yukihiko & Ueda, Kozo & Uto, Nobuyuki, 2017. "(A)symmetric Information Bubbles: Experimental Evidence," Globalization and Monetary Policy Institute Working Paper 312, Federal Reserve Bank of Dallas.
• Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Energy Economics, Elsevier, vol. 66(C), pages 536-546.
  • Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Working Papers 2017-02, University of Tasmania, Tasmanian School of Business and Economics.
  • Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," CAMA Working Papers 2017-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil Price Shocks and Policy Uncertainty: New Evidence on the Effects of US and non-US Oil Production," Globalization and Monetary Policy Institute Working Paper 295, Federal Reserve Bank of Dallas.
• Domenico Lombardi, Pierre Siklos, Samantha St.Amand, 2017. "Government Bond Yields at the Effective Lower Bound: International Evidence," LCERPA Working Papers 0099, Laurier Centre for Economic Research and Policy Analysis, revised 01 Apr 2017.
  • Domenico Lombardi & Pierre L. Siklos & Samantha St. Amand, 2017. "Government bond yields at the effective lower bound: International evidence," CAMA Working Papers 2017-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Leo Krippner, 2017. "A comment on Wu and Xia (2016) from a macroeconomic perspective," CAMA Working Papers 2017-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic Implications of Financial Imperfections: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1719, Koc University-TUSIAD Economic Research Forum.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic implications of financial imperfections: A survey," CAMA Working Papers 2017-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Claessens ,Stijn & Kose,Ayhan, 2017. "Macroeconomic implications of financial imperfections : a survey," Policy Research Working Paper Series 8260, The World Bank.
  • Claessens, Stijn & Kose, Ayhan, 2017. "Macroeconomic Implications of Financial Imperfections: A Survey," CEPR Discussion Papers 12461, C.E.P.R. Discussion Papers.
  • Stijn Claessens & M Ayhan Kose, 2017. "Macroeconomic implications of financial imperfections: a survey," BIS Working Papers 677, Bank for International Settlements.
• Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
  • Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
  • Claessens, Stijn & Kose, Ayhan, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
• Kardaras, Constantinos & Robertson, Scott, 2017. "Continuous-time perpetuities and time reversal of diffusions," LSE Research Online Documents on Economics 67495, London School of Economics and Political Science, LSE Library.
• Michail Anthropelos & Constantinos Kardaras, 2014. "Equilibrium in risk-sharing games," Papers 1412.4208, arXiv.org, revised Jul 2016.
  • Anthropelos, Michail & Kardaras, Constantinos, 2017. "Equilibrium in risk-sharing games," LSE Research Online Documents on Economics 69767, London School of Economics and Political Science, LSE Library.
• Lleo, Sebastien & Ziemba, William T., 2017. "A tale of two indexes: predicting equity market downturns in China," LSE Research Online Documents on Economics 85131, London School of Economics and Political Science, LSE Library.
• Leo Kaas & Wei Cui, 2017. "Default Cycles," 2017 Meeting Papers 1288, Society for Economic Dynamics.
  • Cui, Wei & Kaas, Leo, 2017. "Default cycles," LSE Research Online Documents on Economics 86159, London School of Economics and Political Science, LSE Library.
  • Wei Cui & Leo Kaas, 2017. "Default Cycles," Discussion Papers 1716, Centre for Macroeconomics (CFM).

2016

• Sakuragawa, Masaya & Sakuragawa, Yukie, 2016. "Absence of safe assets and fiscal crisis," Journal of the Japanese and International Economies, Elsevier, vol. 40(C), pages 59-76.
• Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2016. "The impacts of the 2008 and 2011 crises on the Japan REIT market," Journal of the Japanese and International Economies, Elsevier, vol. 41(C), pages 30-40.
  • Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2016. "The Impacts of the 2008 and 2011 Crises on the Japan REIT Market," MPRA Paper 73463, University Library of Munich, Germany.
• Fukuda, Shin-ichi, 2016. "Strong sterling pound and weak European currencies in the crises: Evidence from covered interest parity of secured rates," Journal of the Japanese and International Economies, Elsevier, vol. 42(C), pages 109-122.
  • Shin-ichi Fukuda, 2015. "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Chapters,in: International Finance in the Global Markets National Bureau of Economic Research, Inc.
  • Shin-ichi Fukuda, 2016. "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Working Papers 21938, National Bureau of Economic Research, Inc.
• Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2016. "The effectiveness of the ECB's asset purchase programs of 2009 to 2012," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 45-57.
  • Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015. "The Effectiveness of the ECB’s Asset Purchase Programs of 2009 to 2012," Discussion Papers in Economics 15/24, Department of Economics, University of Leicester.
  • Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015. "The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012," Working Papers 199, Bank of Greece.
• Sinha, Arunima, 2016. "Monetary policy uncertainty and investor expectations," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 188-199.
• Elias, Christopher J., 2016. "A heterogeneous agent exchange rate model with speculators and non-speculators," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 203-223.
• Equiza-Goñi, Juan, 2016. "Government debt maturity and debt dynamics in euro area countries," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 292-311.
• Buncic, Daniel & Lentner, Philipp, 2016. "The term structure of interest rates in an estimated New Keynesian policy model," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 126-150.
• Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.
• Chaves, Denis B. & Viswanathan, Vivek, 2016. "Momentum and mean-reversion in commodity spot and futures markets," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 39-53.
• Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.
• Takino, Kazuhiro, 2016. "An equilibrium model for the OTC derivatives market with a collateral agreement," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 41-55.
• Cronin, David & McQuinn, Kieran, 2016. "Credit availability, macroprudential regulations and the house price-to-rent ratio," Journal of Policy Modeling, Elsevier, vol. 38(5), pages 971-984.
• Omura, Akihiro & Todorova, Neda & Li, Bin & Chung, Richard, 2016. "Steel scrap and equity market in Japan," Resources Policy, Elsevier, vol. 47(C), pages 115-124.
• Chauvet, Marcelle & Gabriel, Stuart & Lutz, Chandler, 2016. "Mortgage default risk: New evidence from internet search queries," Journal of Urban Economics, Elsevier, vol. 96(C), pages 91-111.
• Favilukis, Jack & Lin, Xiaoji, 2016. "Does wage rigidity make firms riskier? Evidence from long-horizon return predictability," Journal of Monetary Economics, Elsevier, vol. 78(C), pages 80-95.
  • Favilukis, Jack & Lin, Xiaoji, 2012. "Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability," Working Paper Series 2012-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Elenev, Vadim & Landvoigt, Tim & Van Nieuwerburgh, Stijn, 2016. "Phasing out the GSEs," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 111-132.
  • Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2015. "Phasing out the GSEs," 2015 Meeting Papers 977, Society for Economic Dynamics.
  • Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2015. "Phasing Out the GSEs," NBER Working Papers 21626, National Bureau of Economic Research, Inc.
• Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
  • Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016. "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks 449, Collegio Carlo Alberto.
• Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016. "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 182-200.
  • Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2012. "Decomposing real and nominal yield curves," Staff Reports 570, Federal Reserve Bank of New York, revised 01 Feb 2015.
• Gollier, Christian, 2016. "Evaluation of long-dated assets: The role of parameter uncertainty," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
  • Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
• Ghadhab, Imen, 2016. "The effect of additional foreign market presence on the trading volume of cross-listed/traded stocks," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 18-27.
• Chauhan, Yogesh & Kumar, K. Kiran & Chaturvedula, Chakrapani, 2016. "Information asymmetry and the information content of insider trades: Evidence from the Indian stock market," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 65-79.
• French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
• Bhaumik, S. & Karanasos, M. & Kartsaklas, A., 2016. "The informative role of trading volume in an expanding spot and futures market," Journal of Multinational Financial Management, Elsevier, vol. 35(C), pages 24-40.
• Hung, Chung-Wen & Shiu, Cheng-Yi, 2016. "Trader activities, ownership, and stock price reactions to MSCI standard index changes: Evidence from Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 49-63.
• Arakelyan, Armen & Serrano, Pedro, 2016. "Liquidity in Credit Default Swap Markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 139-157.
• Lin, Chaonan & Ko, Kuan-Cheng & Chen, Yu-Lin & Chu, Hsiang-Hui, 2016. "Information discreteness, price limits and earnings momentum," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 1-22.
• Heaney, Richard & Koh, SzeKee & Lan, Yihui, 2016. "Australian firm characteristics and the cross-section variation in equity returns," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 104-115.
• Zhu, Bo & Niu, Feng, 2016. "Investor sentiment, accounting information and stock price: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 125-134.
• Shams, Syed M.M. & Duong, Huu Nhan & Singh, Harminder, 2016. "Information content of directors' trading around acquisitions," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 177-193.
• Lin, Chaonan & Ko, Kuan-Cheng & Feng, Zhi-Xiang & Yang, Nien-Tzu, 2016. "Market dynamics and momentum in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 59-75.
• Hahn, Jaehoon & Yoon, Heebin, 2016. "Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 88-106.
• Ng, Chi Cheong Allen & Shen, Jianfu, 2016. "Screen winners from losers using simple fundamental analysis in the Pacific-Basin stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 159-177.
• Naifar, Nader & Hammoudeh, Shawkat, 2016. "Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 57-69.
• Chen, Jian & Jiang, Fuwei & Li, Hongyi & Xu, Weidong, 2016. "Chinese stock market volatility and the role of U.S. economic variables," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 70-83.
• Chen, Wei-Kuang & Lin, Ching-Ting, 2016. "Asymmetric responses to stock index reconstitutions: Evidence from the CSI 300 index additions and deletions," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 36-48.
• Godfrey, Keith R.L., 2016. "Detecting the great short squeeze on Volkswagen," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 323-334.
• Cuthbert, James R. & Magni, Carlo Alberto, 2016. "Measuring the inadequacy of IRR in PFI schemes using profitability index and AIRR," International Journal of Production Economics, Elsevier, vol. 179(C), pages 130-140.
  • Cuthbert, James R. & Magni, Carlo Alberto, 2016. "Measuring the inadequacy of IRR in PFI schemes using profitability index and AIRR," MPRA Paper 72857, University Library of Munich, Germany.
• Gollier, Christian, 2016. "Gamma discounters are short-termist," Journal of Public Economics, Elsevier, vol. 142(C), pages 83-90.
  • Gollier, Christian, 2014. "Gamma discounters are short-termist," TSE Working Papers 14-499, Toulouse School of Economics (TSE), revised Oct 2014.
  • Gollier, Christian, 2014. "Gamma discounters are short-termist," IDEI Working Papers 828, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
• Cheung, William & Fung, Scott & Tam, Lewis, 2016. "Does market microstructure matter for corporate finance? Theory and evidence on seasoned equity offering decisions," The Quarterly Review of Economics and Finance, Elsevier, vol. 60(C), pages 149-161.
• Quayes, Shakil & Jamal, Abul M.M., 2016. "Impact of demographic change on stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 60(C), pages 172-179.
• Jung, Young Cheol, 2016. "A portfolio insurance strategy for volatility index (VIX) futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 60(C), pages 189-200.
• Escobari, Diego & Jafarinejad, Mohammad, 2016. "Date stamping bubbles in Real Estate Investment Trusts," The Quarterly Review of Economics and Finance, Elsevier, vol. 60(C), pages 224-230.
  • Escobari, Diego & Jafarinejad, Mohammad, 2015. "Date Stamping Bubbles in Real Estate Investment Trusts," MPRA Paper 67372, University Library of Munich, Germany.
• Bohl, Martin T. & Czaja, Marc-Gregor & Kaufmann, Philipp, 2016. "Momentum profits, market cycles, and rebounds: Evidence from Germany," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 139-159.
• Su, Xuan-Qi, 2016. "Does systematic distress risk drive the investment growth anomaly?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 240-248.
• Ivanov, Stoyu I., 2016. "Analysis of ETF bid-ask spread components," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 249-259.
• Labidi, Chiraz & Yaakoubi, Soumaya, 2016. "Investor sentiment and aggregate volatility pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 53-63.
• Agapova, Anna & Madura, Jeff, 2016. "Market uncertainty and earnings guidance," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 97-111.
• Hiller, Norbert & Lerbs, Oliver W., 2016. "Aging and urban house prices," Regional Science and Urban Economics, Elsevier, vol. 60(C), pages 276-291.
• Bali, Rakesh & Francis, Jack Clark, 2016. "Ex day effects of the 2003 dividend tax cut," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 11-22.
• Le, Van & Zurbruegg, Ralf, 2016. "The impact of short sale restrictions on informed trading in the stock and options markets," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 262-273.
• Hu, May & Chao, Chi-Chur & Lim, Jin Hao, 2016. "Another explanation of the mutual fund fee puzzle," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 134-152.
• Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.
• Hao, Ying & Chu, Hsiang-Hui & Ho, Keng-Yu & Ko, Kuan-Cheng, 2016. "The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases?," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 121-138.
• Lin, Yueh-Neng & Lin, Anchor Y., 2016. "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 88-106.
• Gomes, Pedro & Taamouti, Abderrahim, 2016. "In search of the determinants of European asset market comovements," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 103-117.
• Suzuki, Masataka, 2016. "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 298-315.
• Shang, Hua & Yuan, Ping & Huang, Lin, 2016. "Macroeconomic factors and the cross-section of commodity futures returns," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 316-332.
• Laborda, Ricardo & Muñoz, Fernando, 2016. "Optimal allocation of government bond funds through the business cycle. Is money smart?," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 46-67.
• Chao, Shih-Wei, 2016. "Do economic variables improve bond return volatility forecasts?," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 10-26.
• Gong, Fuzhou & Liu, Hong, 2016. "Asymmetric information, heterogeneous prior beliefs, and public information," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 100-120.
• Smales, Lee A., 2016. "Trading behavior in S&P 500 index futures," Review of Financial Economics, Elsevier, vol. 28(C), pages 46-55.
• Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R., 2016. "Can stochastic discount factor models explain the cross-section of equity returns?," Review of Financial Economics, Elsevier, vol. 28(C), pages 56-68.
  • Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, "undated". "A Cross Section of Equity Returns: The No-Arbitrage Test," Discussion Papers 11/23, Department of Economics, University of York.
• Fischer, Mario & Hanauer, Matthias X. & Heigermoser, Robert, 2016. "Synthetic hedge funds," Review of Financial Economics, Elsevier, vol. 29(C), pages 12-22.
• Aiken, Adam L. & Kilic, Osman & Reid, Sean, 2016. "Can hedge funds time global equity markets? Evidence from emerging markets," Review of Financial Economics, Elsevier, vol. 29(C), pages 2-11.
• Atanasov, Victoria, 2016. "Conditional interest rate risk and the cross-section of excess stock returns," Review of Financial Economics, Elsevier, vol. 30(C), pages 23-32.
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• Takahiro Hattori, 2016. "The predictive power of the implied volatility of interest rates: Evidence from US Dollar, Euro, and Japanese Yen," Keio-IES Discussion Paper Series 2016-018, Institute for Economics Studies, Keio University.
• Jens Carsten Jackwerth & Anna Slavutskaya, 2016. "The total benefit of alternative assets to pension fund portfolios," Working Paper Series of the Department of Economics, University of Konstanz 2016-06, Department of Economics, University of Konstanz.
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• Axel Buchner, 2016. "Equilibrium liquidity premia of private equity funds," Journal of Risk Finance, Emerald Group Publishing, vol. 17(1), pages 110-128, January.
• Christian Fieberg & Thorsten Poddig & Armin Varmaz, 2016. "An investor’s perspective on risk-models and characteristic-models," Journal of Risk Finance, Emerald Group Publishing, vol. 17(3), pages 262-276, May.
• John D. Finnerty & Shantaram Hegde & Chris B Malone, 2016. "Fraud and firm performance: keeping the good times (apparently) rolling," Managerial Finance, Emerald Group Publishing, vol. 42(2), pages 151-172, February.
• Ming-Chieh Wang & Jin-Kui Ye, 2016. "The relationship between covariance risk and size effects in emerging equity markets," Managerial Finance, Emerald Group Publishing, vol. 42(3), pages 174-190, March.
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• Muhammad Zubair Tauni & Hong Xing Fang & Amjad Iqbal, 2016. "Information sources and trading behavior: does investor personality matter?," Qualitative Research in Financial Markets, Emerald Group Publishing, vol. 8(2), pages 94-117, May.
• Georges Hübner, 2016. "Option replication and the performance of a market timer," Studies in Economics and Finance, Emerald Group Publishing, vol. 33(1), pages 2-25, March.
• Bin Liu & Amalia Di Iorio, 2016. "Does idiosyncratic volatility predict future growth of the Australian economy?," Studies in Economics and Finance, Emerald Group Publishing, vol. 33(1), pages 69-90, March.
• Stoyu I. Ivanov, 2016. "Analysis of the factors impacting ETFs net fund flow changes," Studies in Economics and Finance, Emerald Group Publishing, vol. 33(2), pages 244-261, June.
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• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "How are VIX and Stock Index ETF Related?," Documentos de Trabajo del ICAE 2016-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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• David E Allen & Michael McAleer & Abhay K Singh, 2017. "An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series," Applied Economics, Taylor & Francis Journals, vol. 49(7), pages 677-692, February.
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• Bing XIAO, 2016. "Conditional Relationship Between Beta and Return in the US Stock Market," Expert Journal of Business and Management, Sprint Investify, vol. 4(1), pages 46-55.
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• Borja Amor-Tapia & Maria T. Tascon, 2016. "Separating Winners from Losers: Composite Indicators Based on Fundamentals in the European Context," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(1), pages 70-94, February.
• Mercedes Alda, 2016. "Manager Characteristics and Manager-Replacement: How Is Pension Fund Performance Affected?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(2), pages 161-180, April.
• Henryk Gurgul & Lukaz Lach & Tomasz Wojtowicz, 2016. "Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 405-425, October.
• Petra Buzkova & Milos Kopa, 2016. "On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 510-538, December.
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• Jan Polach & Jiri Kukacka, 2016. "Prospect Theory in the Heterogeneous Agent Model," Working Papers IES 2016/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2016.
• Malovaná, Simona & Frait, Jan, 2017. "Monetary policy and macroprudential policy: Rivals or teammates?," Journal of Financial Stability, Elsevier, vol. 32(C), pages 1-16.
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• Jian Chen & Chenghu Ma, 2016. "Option Pricing Based on Alternative Jump Size Distributions," Frontiers of Economics in China, Higher Education Press, vol. 11(3), pages 439-467, September.
• I. Anthopoulos & C. Pitelis & C. Liakou, 2016. "The Nature, Performance and Economic Impact of Sovereign Wealth Funds," Working papers wpaper135, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
• Hayashi, Fumio, 2016. "Affine term structure pricing with bond supply as factors," FRB Atlanta CQER Working Paper 2016-1, Federal Reserve Bank of Atlanta.
• Tao Zha & Jue Ren & Kaiji Chen, 2016. "What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending," 2016 Meeting Papers 82, Society for Economic Dynamics.
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• Gospodinov, Nikolay & Wei, Bin, 2016. "Forecasts of inflation and interest rates in no-arbitrage affine models," FRB Atlanta Working Paper 2016-3, Federal Reserve Bank of Atlanta.
• Gospodinov, Nikolay, 2016. "The role of commodity prices in forecasting U.S. core inflation," FRB Atlanta Working Paper 2016-5, Federal Reserve Bank of Atlanta.
• Ozdagli, Ali K. & Velikov, Mihail, 2016. "Show me the money: the monetary policy risk premium," Working Papers 16-27, Federal Reserve Bank of Boston.
• Ergungor, O. Emre, 2016. "Where the Wild Things Are: Measuring Systemic Risk through Investor Sentiment," Working Paper 1608, Federal Reserve Bank of Cleveland.
• Fuerst, Timothy S. & Mau, Ronald, 2016. "Term Premium Variability and Monetary Policy," Working Paper 1611, Federal Reserve Bank of Cleveland.
• Pieters, Gina & Vivanco, Sofia, 2017. "Financial regulations and price inconsistencies across Bitcoin markets," Information Economics and Policy, Elsevier, vol. 39(C), pages 1-14.
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• Ricardo T. Fernholz & Christoffer Koch, 2016. "The Rank Effect for Commodities," Papers 1607.07510, arXiv.org.
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• Doblas-Madrid, Antonio & Lansing, Kevin J., 2016. "Credit-fuelled bubbles," Working Paper Series 2016-2, Federal Reserve Bank of San Francisco.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2017. "Macrofinancial History and the New Business Cycle Facts," NBER Macroeconomics Annual, University of Chicago Press, vol. 31(1), pages 213-263.
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• Winkler, Fabian, 2016. "The Role of Learning for Asset Prices and Business Cycles," Finance and Economics Discussion Series 2016-019, Board of Governors of the Federal Reserve System (U.S.), revised 01 Mar 2017.
• Missaka Warusawitharana, 2016. "Time-varying Volatility and the Power Law Distribution of Stock Returns," Finance and Economics Discussion Series 2016-022, Board of Governors of the Federal Reserve System (U.S.).
• Kruttli, Mathias S., 2016. "From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors," Finance and Economics Discussion Series 2016-027, Board of Governors of the Federal Reserve System (U.S.), revised 26 Sep 2016.
• Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016. "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series 2016-032, Board of Governors of the Federal Reserve System (U.S.).
• Darst, R. Matthew & Refayet, Ehraz, 2016. "Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default," Finance and Economics Discussion Series 2016-042, Board of Governors of the Federal Reserve System (U.S.), revised 01 Jun 2016.
• Steven L. Heston & Nitish R. Sinha, 2016. "News versus Sentiment : Predicting Stock Returns from News Stories," Finance and Economics Discussion Series 2016-048, Board of Governors of the Federal Reserve System (U.S.).
• Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (U.S.).
• Song Han & Kleopatra Nikolaou, 2016. "Trading Relationships in the OTC Market for Secured Claims : Evidence from Triparty Repos," Finance and Economics Discussion Series 2016-064, Board of Governors of the Federal Reserve System (U.S.).
• Mark S. Carey & Michael B. Gordy, 2016. "The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds," Finance and Economics Discussion Series 2016-069, Board of Governors of the Federal Reserve System (U.S.).
• Taisuke Nakata & Hiroatsu Tanaka, 2016. "Equilibrium Yield Curves and the Interest Rate Lower Bound," Finance and Economics Discussion Series 2016-085, Board of Governors of the Federal Reserve System (U.S.).
• Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016. "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series 2016-087, Board of Governors of the Federal Reserve System (U.S.).
• Fang Cai & Song Han & Dan Li & Yi Li, 2016. "Institutional Herding and Its Price Impact : Evidence from the Corporate Bond Market," Finance and Economics Discussion Series 2016-091, Board of Governors of the Federal Reserve System (U.S.).
• Paul Borochin & Jie Yang, 2016. "Options, Equity Risks, and the Value of Capital Structure Adjustments," Finance and Economics Discussion Series 2016-097, Board of Governors of the Federal Reserve System (U.S.).
• Colin Caines, 2016. "Can Learning Explain Boom-Bust Cycles In Asset Prices? An Application to the US Housing Boom," International Finance Discussion Papers 1181, Board of Governors of the Federal Reserve System (U.S.).
  • Colin Caines, 2017. "Can Learning Explain Boom-Bust Cycles in Asset Prices? An Application to the US Housing Boom," 2017 Meeting Papers 695, Society for Economic Dynamics.
• Anna Paulson & Richard Rosen, 2016. "The Life Insurance Industry and Systemic Risk: A Bond Market Perspective," Annual Review of Financial Economics, Annual Reviews, vol. 8(1), pages 155-174, October.
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• Breach, Tomas & D'Amico, Stefania & Orphanides, Athanasios, 2016. "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers 11730, C.E.P.R. Discussion Papers.
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• Doh, Taeyoung & Wu, Shu, 2016. "The Equilibrium Term Structure of Equity and Interest Rates," Research Working Paper RWP 16-11, Federal Reserve Bank of Kansas City.
• Bhattarai, Saroj & Neely, Christopher J., 2016. "An Analysis of the Literature on International Unconventional Monetary Policy," Working Papers 2016-21, Federal Reserve Bank of St. Louis, revised 31 Oct 2018.
• Shengxing Zhang & Ricardo Lagos, 2016. "Turnover Liquidity and the Transmission of Monetary Policy," 2016 Meeting Papers 1569, Society for Economic Dynamics.
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• Baklanova, Viktoria & Caglio, Cecilia & Cipriani, Marco & Copeland, Adam, 2016. "The use of collateral in bilateral repurchase and securities lending agreements," Staff Reports 758, Federal Reserve Bank of New York, revised 01 Oct 2017.
• Van Tassel, Peter, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
• Boyarchenko, Nina & Haddad, Valentin & Plosser, Matthew, 2016. "The Federal Reserve and market confidence," Staff Reports 773, Federal Reserve Bank of New York, revised 01 Apr 2017.
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
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• Crump, Richard K. & Eusepi, Stefano & Moench, Emanuel, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York, revised 01 Apr 2018.
• Fleming, Michael J. & Sareen, Samita & Saggar, Seema, 2016. "Trading activity in the Indian government bond market," Staff Reports 785, Federal Reserve Bank of New York, revised 05 Aug 2016.
• Adrian, Tobias & Stackman, Daniel & Vogt, Erik, 2016. "Global price of risk and stabilization policies," Staff Reports 786, Federal Reserve Bank of New York.
• Cattaneo, Matias D. & Crump, Richard K. & Farrell, Max H. & Schaumburg, Ernst, 2016. "Characteristic-sorted portfolios: estimation and inference," Staff Reports 788, Federal Reserve Bank of New York, revised 01 Jan 2018.
• Van Tassel, Peter & Vogt, Erik, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
• Adrian, Tobias & Fleming, Michael J. & Shachar, Or & Vogt, Erik, 2016. "Market liquidity after the financial crisis," Staff Reports 796, Federal Reserve Bank of New York, revised 01 Jun 2017.
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• Adrian, Tobias & Capponi, Agostino & Vogt, Erik & Zhang, Hongzhong, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.
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• Adrian, Tobias & Duarte, Fernando M., 2016. "Financial vulnerability and monetary policy," Staff Reports 804, Federal Reserve Bank of New York, revised 01 Sep 2017.
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• Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Papers 1604.01338, arXiv.org.
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• Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
• Abramov Alexander, 2016. "Financial Markets and Financial Institutions in Russia in 2015," Published Papers ppaper-2016-265, Gaidar Institute for Economic Policy, revised 2016.
• Miguel Sarmiento, 2016. "Market Discipline and Liquidity Risk: Evidence from the Interbank Funds Market," IHEID Working Papers 14-2016, Economics Section, The Graduate Institute of International Studies.
• Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
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• Nicolas Brisset, 2016. "On Performativity: Option Theory and the Resistance of Financial Phenomena," GREDEG Working Papers 2016-31, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
• Nadarajah Sivathaasan & Searat Ali & Benjamin Liu & Allen Huang, 2016. "Stock liquidity, corporate governance, and leverage: New panel evidence," Discussion Papers in Finance finance:201603, Griffith University, Department of Accounting, Finance and Economics.
• Jeleva, Meglena & Tallon, Jean-Marc, 2016. "Ambiguïté, comportements et marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383, Mars-Juin.
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• Galariotis, Emilios C. & Krokida, Styliani-Iris & Spyrou, Spyros I., 2016. "Bond market investor herding: Evidence from the European financial crisis," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 367-375.
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• Legendre, François & Togola, Djibril, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Economic Modelling, Elsevier, vol. 58(C), pages 627-641.
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• Galariotis, Emilios C. & Makrichoriti, Panagiota & Spyrou, Spyros, 2016. "Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach," Journal of Financial Stability, Elsevier, vol. 26(C), pages 62-77.
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• Anthony Miloudi & Mondher Bouattour & Ramzi Benkraiem, 2016. "Relationships between Trading Volume, Stock Returns and Volatility: Evidence from the French Stock Market," Bankers, Markets & Investors, ESKA Publishing, issue 144, pages 44-58, September.
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• Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2016. "On the impact of macroeconomic news surprises on Treasury-bond returns," Annals of Finance, Springer, vol. 12(1), pages 29-53, February.
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• El Ouadghiri, Imane & Uctum, Remzi, 2016. "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Economic Modelling, Elsevier, vol. 54(C), pages 218-234.
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• Boubakri, Salem & Couharde, Cécile & Raymond, Hélène, 2016. "Effects of financial turmoil on financial integration and risk premia in emerging markets," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 120-138.
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  • Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512780, HAL.
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• Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Sciences Po publications 2016-12, Sciences Po.
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  • Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512779, HAL.
  • Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading," LEM Papers Series 2016/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading," Documents de Travail de l'OFCE 2016-12, Observatoire Francais des Conjonctures Economiques (OFCE).
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• Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Sciences Po publications 2016-12, Sciences Po.
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• de Oliveira Souza, Thiago, 2016. "The size premium and intertemporal risk," Discussion Papers of Business and Economics 3/2016, University of Southern Denmark, Department of Business and Economics.
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• Liu, Yuna, 2016. "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations," Umeå Economic Studies 926, Umeå University, Department of Economics.
• Sergey Egiev, 2016. "On Persistence of Uncertainty Shocks," HSE Working papers WP BRP 144/EC/2016, National Research University Higher School of Economics.
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• 江上, 雅彦 & 細野, 薫, 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―," HIT-REFINED Working Paper Series 54, Institute of Economic Research, Hitotsubashi University.
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• Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
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• Byun, Suk-Joon & Kim, Da-Hea, 2016. "Gambling preference and individual equity option returns," Journal of Financial Economics, Elsevier, vol. 122(1), pages 155-174.
• Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
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• Cremers, Martijn & Pareek, Ankur, 2016. "Patient capital outperformance: The investment skill of high active share managers who trade infrequently," Journal of Financial Economics, Elsevier, vol. 122(2), pages 288-306.
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• Chiang, Shu Ling & Yang, Tyler T. & Tsai, Ming Shann, 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," Journal of Housing Economics, Elsevier, vol. 32(C), pages 29-46.
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• Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
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• Christopher Boortz, 2016. "Irrational Exuberance and Herding in Financial Markets," SFB 649 Discussion Papers SFB649DP2016-016, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Philipp Koenig & David Pothier, 2016. "Information Acquisition and Liquidity Dry-Ups," SFB 649 Discussion Papers SFB649DP2016-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Ahmed Salhin & Mo Sherif & Edward Jones, 2016. "Investor Sentiment and Sector Returns," CFI Discussion Papers 1602, Centre for Finance and Investment, Heriot Watt University.
• Olha Karasyk & Maksym Petriuk, 2016. "Methods of Venture Investment Projects Assessment for Enterprises of Agricultural Sector," Accounting and Finance, Institute of Accounting and Finance, issue 1, pages 110-116, March.
• Jeffry Haber, 2016. "Spliced Correlation: Theory Development," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 10(1), pages 65-69.
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• Climent Serrano, Salvador, 2016. "¿Quién Paga, Quién Gana? El Caso De La Venta Del Bdv / Who Pays, Who Wins? The Case Of The Sale Of Bdv," European Research on Management and Business Economics (ERMBE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), vol. 22(1), pages 47-54.
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• Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh, 2014. "How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 213-227.
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• López-Herrera, Francisco & Valencia-Herrera, Humberto, 2016. "Hacia un Modelo de Valuación de Activos de Capital para México: Análisis de Activos Individuales con Coeficientes Variantes en el Tiempo," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(22), pages 75-103, primer se.
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• NAKABAYASHI, Masaki, 2016. "Self-fulfilling Distortion and Ownership Structure: Market Discipline and Owner fs Dominance at the Dawn of the Japanese Capitalism," ISS Discussion Paper Series (series F) f181, Institute of Social Science, The University of Tokyo, revised 05 Feb 2018.
• Stefan Eichler & I. Roevekamp, 2016. "A Market-based Indicator of Currency Risk: Evidence from American Depositary Receipts," IWH Discussion Papers 4, Halle Institute for Economic Research.
• Fesselmeyer, Eric & Liu, Haoming & Salvo, Alberto, 2016. "How Do Households Discount over Centuries? Evidence from Singapore's Private Housing Market," IZA Discussion Papers 9862, Institute for the Study of Labor (IZA).
• Maria Cristina Recchioni & Gabriele Tedeschi, 2016. "From bond yield to macroeconomic instability: The effect of negative interest rates," Working Papers 2016/06, Economics Department, Universitat Jaume I, Castellón (Spain).
• Annarita Colasante & Simone Alfarano & Eva Camacho & Mauro Gallegati, 2018. "Long-run expectations in a learning-to-forecast experiment," Applied Economics Letters, Taylor & Francis Journals, vol. 25(10), pages 681-687, June.
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• Mohammad Jizi & Rabih Nehme & Aly Salama, 2016. "Do social responsibility disclosures show improvements on stock price?," Journal of Developing Areas, Tennessee State University, College of Business, vol. 50(2), pages 77-95.
• Ikechukwu Kelikume, 2016. "New evidence from the efficient market hypothesis for the Nigerian stock index using the wavelet unit root test approach," Journal of Developing Areas, Tennessee State University, College of Business, vol. 50(5), pages 185-197.
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• Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout, 2016. "On the impact of macroeconomic news surprises on Treasury-bond returns," Annals of Finance, Springer, vol. 12(1), pages 29-53, February.
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• Dilip B. Madan, 2016. "Risk premia in option markets," Annals of Finance, Springer, vol. 12(1), pages 71-94, February.
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• Kenneth Bruhn & Ninna Reitzel Jensen & Mogens Steffensen, 2016. "Smooth investment," Annals of Finance, Springer, vol. 12(3), pages 335-361, December.
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• Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
• Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen, 2016. "The Local Fractional Bootstrap," CREATES Research Papers 2016-15, Department of Economics and Business Economics, Aarhus University.
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• Mikkel Bennedsen, 2016. "Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data," CREATES Research Papers 2016-21, Department of Economics and Business Economics, Aarhus University.
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• Birru, Justin, 2016. "Day of the Week and the Cross-Section of Returns," Working Paper Series 2016-1, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Massimiliano Croce, Mariano & Nguyen, Thien Tung & McGregor Raymond, Steve & Schmid, Lukas, 2016. "Government Debt and the Returns to Innovation," Working Paper Series 2016-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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• Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016. "Investment, Tobin's q, and Interest Rates," Working Paper Series 2016-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Zhang, Shaojun, 2016. "Limited Risk Sharing and International Equity Returns," Working Paper Series 2016-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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• Chen, Zhiyao & Strebulaev, Ilya A., 2016. "Bargaining Power, Business Cycle and Levered Equity Risk," Research Papers 3466, Stanford University, Graduate School of Business.
• Arfaoui Mongi & Haj Ali Dhouha, 2016. "Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 252-270.
• Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza, 2016. "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 365-379.
• Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016. "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 551-561.
• Ilham Boularhmane & Rajae Aboulaich, 2016. "Valuation of Quarterly Stock Prices: Applying Ethical Principles to Discounted Cash Flow Method," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1254-1261.
• Amado Peiró, 2016. "Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1338-1343.
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• Charles O. Manasseh & Ambrose N. Omeje, 2016. "Application of Generalized Autoregressive Conditional Heteroschedasticity Model on Inflation and Share Price Movement in Nigeria," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1491-1501.
• Hanan Naser, 2016. "The Role of the Gulf Cooperation Council’s Sovereign Wealth Funds in the New Era of Oil," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1657-1664.
• Prashant Sharma & Prashant Gupta & Anurag Singh, 2016. "Pricing Ability of Four Factor Model using Quantile Regression: Evidences from India," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1815-1826.
• Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016. "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1884-1894.
• Wajih Abbasi & Petr Hájek & Diana Ismailova & Saira Yessimzhanova & Zouhaier Ben Khelifa & Kholnazar Amonov, 2016. "Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1918-1929.
• Murat UÐURLU & Yusuf DEMÝR, 2016. "Firma Büyüklüðü Anomalisinin Varlýðýnýn BÝST’te Test Edilmesi," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 4(3), pages 106-116.
• Elshandidy, Tamer & Shrives, Philip J., 2016. "Environmental Incentives for and Usefulness of Textual Risk Reporting: Evidence from Germany," The International Journal of Accounting, Elsevier, vol. 51(4), pages 464-486.
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• Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2017. "Currency Value," Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 416-441.
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• Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York, revised 01 Nov 2017.
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• Jacobs, Heiko & Regele, Tobias & Weber, Martin, 2015. "Expected Skewness and Momentum," CEPR Discussion Papers 10601, C.E.P.R. Discussion Papers.
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• Adrian, Tobias & Moench, Emanuel & Shin, Hyun Song, 2013. "Dynamic leverage asset pricing," Staff Reports 625, Federal Reserve Bank of New York, revised 01 Dec 2014.
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• Malamud, Semyon & Malkhozov, Aytek, 2016. "Market Integration and Global Crashes," CEPR Discussion Papers 11468, C.E.P.R. Discussion Papers.
• Malamud, Semyon, 2016. "A Dynamic Equilibrium Model of ETFs," CEPR Discussion Papers 11469, C.E.P.R. Discussion Papers.
• Massa, Massimo & Schumacher, David & Wang, Yan, 2016. "Who is afraid of BlackRock?," CEPR Discussion Papers 11471, C.E.P.R. Discussion Papers.
• Huang, Shiyang & Lou, Dong & Polk, Christopher, 2016. "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers 11531, C.E.P.R. Discussion Papers.
• Miller, Marcus & Rastapana, Songklod & Zhang, Lei, 2016. "A comedy of errors: misguided policy, mis-sold mortgages, and more," CEPR Discussion Papers 11533, C.E.P.R. Discussion Papers.
• Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016. "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers 432, Society for Economic Dynamics.
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• Ungeheuer, Michael & Weber, Martin, 2016. "The Perception of Dependence, Investment Decisions, and Stock Prices," CEPR Discussion Papers 11585, C.E.P.R. Discussion Papers.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2017. "Macrofinancial History and the New Business Cycle Facts," NBER Macroeconomics Annual, University of Chicago Press, vol. 31(1), pages 213-263.
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• Cecilia Parlatore & Ana Babus, 2016. "Strategic Fragmented Markets," 2016 Meeting Papers 1582, Society for Economic Dynamics.
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• Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
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• Favero, Carlo A. & Ortu, Fulvio & Tamoni, Andrea & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
• Collet, Stéphanie & Oosterlinck, Kim, 2016. "Pricing the Odious in Odious Debts," CEPR Discussion Papers 11653, C.E.P.R. Discussion Papers.
• Falko Fecht & Kjell G. Nyborg & Jörg Rocholl & Jiri Woschitz, 2016. "Collateral, Central Bank Repos, and Systemic Arbitrage," Swiss Finance Institute Research Paper Series 16-66, Swiss Finance Institute.
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• Chavaz, Matthieu & Flandreau, Marc, 2017. "“High & Dry”: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880–1910)," The Journal of Economic History, Cambridge University Press, vol. 77(03), pages 653-691, September.
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• Cespa, Giovanni & Colla, Paolo, 2016. "Market Fragmentation, Dissimulation, and the Disclosure of Insider Trades," CEPR Discussion Papers 11690, C.E.P.R. Discussion Papers.
• Breach , Tomas & D'Amico, Stefania & Orphanides, Athanasios, 2016. "The Term Structure and Inflation Uncertainty," Working Paper Series WP-2016-22, Federal Reserve Bank of Chicago.
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• Giovanni Cespa & Xavier Vives, 2016. "High Frequency Trading and Fragility," CESifo Working Paper Series 6279, CESifo Group Munich.
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• Martin T. Bohl & Christian Gross & Waldemar Souza, 2016. "The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets," CQE Working Papers 5116, Center for Quantitative Economics (CQE), University of Muenster.
• Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2016. "Coherent Pricing," INDEM - Working Paper Business Economic Series 22932, Instituto para el Desarrollo Empresarial (INDEM).
• Shi Chen & Wolfgang Karl Härdle & Weining Wang, "undated". "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," SFB 649 Discussion Papers SFB649DP2015-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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• Butkiewicz, James L. & Solcan, Mihaela, 2016. "The original Operation Twist: the War Finance Corporation's war bond purchases, 1918–1920," Financial History Review, Cambridge University Press, vol. 23(01), pages 21-46, April.
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• Chordia, Tarun & Goyal, Amit & Jegadeesh, Narasimhan, 2016. "Buyers versus Sellers: Who Initiates Trades, and When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(05), pages 1467-1490, October.
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• Pierre Chollet & Blaise W. Sandwidi, 2016. "L’impact sur les marchés financiers européens de la diffusion d’alertes sociétales et de leurs évènements déclencheurs," Revue Finance Contrôle Stratégie, revues.org, vol. 19(2), pages 59-82, June.
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• Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo Group Munich.
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• Benjamin Beckers & Kerstin Bernoth, 2016. "Monetary Policy and Mispricing in Stock Markets," Discussion Papers of DIW Berlin 1605, DIW Berlin, German Institute for Economic Research.
• Berg, Kimberly A. & Mark, Nelson C., 2018. "Global macro risks in currency excess returns," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 300-315.
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• Jean-Sébastien Fontaine, 2016. "What Fed Funds Futures Tell Us About Monetary Policy Uncertainty," Staff Working Papers 16-61, Bank of Canada.
• Enrique Alberola-Ila & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2016. "Fiscal policy and the cycle in Latin America: the role of financing conditions and fiscal rules," BIS Working Papers 543, Bank for International Settlements.
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• Onofrio Panzarino & Francesco Potente & Alfonso Puorro, 2016. "BTP futures and cash relationships: a high frequency data analysis," Temi di discussione (Economic working papers) 1083, Bank of Italy, Economic Research and International Relations Area.
• Aguilar-Argaez Ana María & Elizondo Rocío & Roldán-Peña Jessica, 2016. "Break-Even-Inflation's Decomposition in Mexico," Working Papers 2016-22, Banco de México.
• Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2018. "When Bubble Meets Bubble: Contagion in OECD Countries," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 546-566, May.
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• Jimmy Melo, 2016. "Precios de los activos bajo ambigüedad estructural: portafolios cautelosos, prudenciales y conservadores," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 34(80), pages 91-102, June.
• Wendy C.Y. Li & Bronwyn H. Hall, 2016. "Depreciation of Business R&D Capital," NBER Working Papers 22473, National Bureau of Economic Research, Inc.
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• Marija Đorđević, 2016. "Consumption-Based Macroeconomic Models Of Asset Pricing Theory," Economic Annals, Faculty of Economics, University of Belgrade, vol. 61(211), pages 7-28, October -.
• Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
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• M. Ben Salem & B. Castelletti-Font, 2016. "Which combination of fiscal and external imbalances to determine the long-run dynamics of sovereign bond yields?," Working papers 606, Banque de France.
• V. Coudert & J. Idier, 2016. "An Early Warning System for Macro-prudential Policy in France," Working papers 609, Banque de France.
• Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
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• Buttin, E., 2016. "Les green bonds : solution au financement de la transition ou effet de mode ?," Bulletin de la Banque de France, Banque de France, issue 208, pages 21-28.
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• Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Information Spillovers in Asset Markets with Correlated Values," American Economic Review, American Economic Association, vol. 107(7), pages 2007-2040, July.
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• Jordi Caballé & Ariadna Dumitrescu, 2016. "Disclosure of Corporate Tax Reports, Tax Enforcement, and Insider Trading," Working Papers 911, Barcelona Graduate School of Economics.
• Francesco Cerigioni, 2016. "Dual Decision Processes and Noise Trading," Working Papers 925, Barcelona Graduate School of Economics.
• Amstad, Marlene & Remolona, Eli & Shek, Jimmy, 2016. "How do global investors differentiate between sovereign risks? The new normal versus the old," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 32-48.
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• Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2016. "Fiscal policy and the cycle in Latin America: the role of financing conditions and fiscal rules," Working Papers 1604, Banco de España;Working Papers Homepage.
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• Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner, 2015. "Has the Pricing of Stocks Become More Global?," Swiss Finance Institute Research Paper Series 15-48, Swiss Finance Institute, revised Apr 2016.
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• Lubos Komarek & Kristyna Ters & Jorg Urban, 2016. "Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion," Working Papers 2016/04, Czech National Bank, Research Department.
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• Agić-Šabeta Elma, 2016. "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets," Business Systems Research, Sciendo, vol. 7(1), pages 59-80, March.
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• Charles N. Noussair & Steven Tucker, 2016. "Cash Inflows And Bubbles In Asset Markets With Constant Fundamental Values," Economic Inquiry, Western Economic Association International, vol. 54(3), pages 1596-1606, July.
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• Benos, Evangelos & Payne, Richard & Vasios, Michalis, 2016. "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act," Bank of England working papers 580, Bank of England.
• Braun-Munzinger, Karen & Liu, Zijun & Turrell, Arthur, 2016. "An agent-based model of dynamics in corporate bond trading," Bank of England working papers 592, Bank of England.
• Benos, Evangelos & Zikes, Filip, 2016. "Liquidity determinants in the UK gilt market," Bank of England working papers 600, Bank of England.
• Gabor Pinter, 2016. "The Macroeconomic Shock with the Highest Price of Risk," Discussion Papers 1623, Centre for Macroeconomics (CFM), revised Apr 2017.
  • Pinter, Gabor, 2016. "The macroeconomic shock with the highest price of risk," Bank of England working papers 616, Bank of England.
• Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.
• Harris, Richard & Stoja, Evarist & Nguyen, Linh, 2016. "Systematic tail risk," Bank of England working papers 637, Bank of England.
• Benford, James & Joy, Mark & Kruger, Mark, 2016. "Sovereign GDP-linked bonds," Bank of England Financial Stability Papers 39, Bank of England.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
• Dimitris Malliaropulos & Petros M. Migiakis, 2016. "The re-pricing of sovereign risks following the global financial crisis," Working Papers 210, Bank of Greece.
• Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2017. "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 371-385.
  • Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016. "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Discussion Papers in Economics 16/18, Department of Economics, University of Leicester.
  • Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016. "Self-fulfilling dynamics: the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Working Papers 214, Bank of Greece.
• Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2016. "Identifying Oil Price Shocks and Their Consequences:Role of Expectations and Financial Factors in the Crude Oil Market," Bank of Japan Working Paper Series 16-E-17, Bank of Japan.
• Zia-ur-Rehman Rao & Amjad Iqbal & Muhammad Zubair Tauni, 2016. "Performance persistence in institutional investment management: The case of Chinese equity funds," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(3), pages 146-156, September.
• Oguz Ersan & Cumhur Ekinci, 2016. "Algorithmic and high-frequency trading in Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(4), pages 233-248, December.
• Baglioni Angelo & Cherubini Umberto, 2016. "Eurobonds: A Quantitative Approach," Review of Law & Economics, De Gruyter, vol. 12(3), pages 507-521, November.
• Härdle Wolfgang Karl & Silyakova Elena, 2016. "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 1-20, September.
  • Wolfgang Karl Härdle & Elena Silyakova, 2012. "Implied Basket Correlation Dynamics," SFB 649 Discussion Papers SFB649DP2012-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99R, Brandeis University, Department of Economics and International Businesss School, revised Aug 2016.
  • Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99, Brandeis University, Department of Economics and International Businesss School.
• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99, Brandeis University, Department of Economics and International Businesss School.
  • Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99R, Brandeis University, Department of Economics and International Businesss School, revised Aug 2016.
• Gyorgy Varga & Ricardo Dias de Oliveira Brito, 2016. "The Cross-Section of Expected Stock Returns in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(2), pages 151-187.
• Walter Gonçalves Junior & William Eid Junior, 2016. "Determinants of Foreign Investment in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(2), pages 189-224.
• Hudson Chaves Costa & João Henrique Gonçalves Mazzeu & Newton Carneiro Affonso da Costa Jr., 2016. "The Behaviour of Volatility Components of Brazilian Stocks," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(2), pages 225-268.
• Daniella Acker, 2016. "Prediction Markets: Reality and Theory," Bristol Accounting and Finance Discussion Papers 16/5, School of Economics, Finance, and Management, University of Bristol, UK.
• Sébastien Galanti & Françoise Le quéré, 2016. "Quelles incidences d’un élargissement du rôle des fonds d’investissement collectifs ?," Revue d'économie financière, Association d'économie financière, vol. 0(3), pages 235-254.
  • Sébastien Galanti & Françoise Le Quere, 2016. "Quelles incidences d'un élargissement du rôle des fonds d'investissement collectifs ?," Post-Print hal-01724268, HAL.
• Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
• M. Hashem Pesaran & Ida Johnsson, 2016. "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," CESifo Working Paper Series 6272, CESifo Group Munich.
  • Pesaran, Hashem. & Johnsson. Ida., 2016. "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," Cambridge Working Papers in Economics 1679, Faculty of Economics, University of Cambridge.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  • Faria, Gonçalo & Verona, Fabio, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Research Discussion Papers 29/2016, Bank of Finland.
  • Gonçalo Faria & Fabio Verona, 2017. "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers 1702, Universidade do Porto, Faculdade de Economia do Porto.
  • Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Research Discussion Papers 1/2017, Bank of Finland.
• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016. "The ECB, Between Conservatism and Pragmatism," Journal of Central Banking Theory and Practice, Central bank of Montenegro, pages 25-52.
• Muhammad Ali Nasir & Alaa M. Soliman & Milton Yago & Junjie Wu, 2016. "Macroeconomic Policies Interaction & the Symmetry of Financial Markets’ Responses," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 5(1), pages 53-69.
• Velimir Lukić, 2016. "Integration of Government Bond Market in the Euro Area and Monetary Policy," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 5(1), pages 71-97.
• Jedrzej Bialkowski & Laura T. Starks, 2016. "SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles," Working Papers in Economics 16/11, University of Canterbury, Department of Economics and Finance.
• Jedrzej Bialkowski & Ehud I. Ronn, 2016. "Financial Markets in the Face of the Apocalypse," Working Papers in Economics 16/14, University of Canterbury, Department of Economics and Finance.
• Elisa Luciano & Riccardo Giacomelli, 2016. "Equilibrium bid-ask spread and infrequent trade with outside options," Carlo Alberto Notebooks 445, Collegio Carlo Alberto.
• Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
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• Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
  • Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
  • Michael Hasler & Roberto Marfè, 2016. "Disaster recovery and the term structure of dividend strips?," Carlo Alberto Notebooks 458, Collegio Carlo Alberto.
• Roberto Marfè, 2015. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 407, Collegio Carlo Alberto.
  • Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
• Roberto Marfè, 2015. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 429, Collegio Carlo Alberto.
  • Roberto Marfè, 2017. "Labor Rigidity and the Dynamics of the Value Premium," 2017 Meeting Papers 466, Society for Economic Dynamics.
  • Roberto Marfè, 2016. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 460, Collegio Carlo Alberto.
• Roberto Marfè, 2016. "Labor Rigidity, Ination Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
• Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
• Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016. "The Strategic Determination of the Supply of Liquid Assets," MPRA Paper 71454, University Library of Munich, Germany.
  • Athanasios Geromichalos & Lucas Herrenbrueck, 2016. "The Strategic Determination of the Supply of Liquid Assets," Working Papers 161, University of California, Davis, Department of Economics.
• Toda, Alexis Akira, 2017. "A Note On The Size Distribution Of Consumption: More Double Pareto Than Lognormal," Macroeconomic Dynamics, Cambridge University Press, vol. 21(06), pages 1508-1518, September.
  • Toda, Alexis Akira, 2015. "A Note on the Size Distribution of Consumption: More Double Pareto than Lognormal," MPRA Paper 78979, University Library of Munich, Germany.
  • Toda, Alexis Akira, 2016. "A Note On The Size Distribution Of Consumption: More Double Pareto Than Lognormal," University of California at San Diego, Economics Working Paper Series qt4gm143d8, Department of Economics, UC San Diego.
• Christian A. L. Hilber, Olivier Schoeni, 2016. "The Housing Market Impacts of Constraining Second Home Investments," Diskussionsschriften credresearchpaper11, Universitaet Bern, Departement Volkswirtschaft - CRED.
  • Christian A. L. Hilber & Olivier Schöni, 2016. "The Housing Market Impacts of Constraining Second Home Investments," SERC Discussion Papers 0204, Spatial Economics Research Centre, LSE.
• Suren Vardanyan, 2016. "Contagion in Experimental Financial Markets," CERGE-EI Working Papers wp580, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Walter Kraemer, 2016. "A Neglected Semi-Stylized Fact of Daily Stock Returns," CESifo Working Paper Series 5806, CESifo Group Munich.
• Kocher, Martin G. & Lucks, Konstantin E. & Schindler, David, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Papers in Economics 27572, University of Munich, Department of Economics.
  • Kocher, Martin & Lucks, Konstantin & Schindler, David, 2018. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Rationality and Competition Discussion Paper Series 81, CRC TRR 190 Rationality and Competition.
  • Martin G. Kocher & Konstantin E. Lucks & David Schindler, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," CESifo Working Paper Series 5812, CESifo Group Munich.
• Burkhard Heer & Alfred Maußner & Halvor Ruf, 2017. "Q-Targeting in New Keynesian Models," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(2), pages 189-224, November.
  • Burkhard Heer & Alfred Maussner & Halvor Ruf, 2016. "Q-Targeting in New Keynesian Models," CESifo Working Paper Series 5854, CESifo Group Munich.
• Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," Discussion Papers of DIW Berlin 1573, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo Group Munich.
• Elmhjellen, Magne & Osmundsen, Petter, 2016. "Oil project selection by metrics," UiS Working Papers in Economics and Finance 2016/5, University of Stavanger.
  • Magne Emhjellen & Petter Osmundsen, 2016. "Oil Project Selection by Metrics," CESifo Working Paper Series 5898, CESifo Group Munich.
• Bailey, Michael & Cao, Ruiqing & Kuchler, Theresa & Ströbel, Johannes, 2016. "Social Networks and Housing Markets," CEPR Discussion Papers 11272, C.E.P.R. Discussion Papers.
  • Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Ströbel, 2016. "Social Networks and Housing Markets," CESifo Working Paper Series 5905, CESifo Group Munich.
  • Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Stroebel, 2016. "Social Networks and Housing Markets," NBER Working Papers 22258, National Bureau of Economic Research, Inc.
• Weber, Michael, 2018. "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, vol. 128(3), pages 486-503.
  • Michael Weber, 2016. "Cash Flow Duration and the Term Structure of Equity Returns," NBER Working Papers 22520, National Bureau of Economic Research, Inc.
  • Michael Weber, 2016. "Cash Flow Duration and the Term Structure of Equity Returns," CESifo Working Paper Series 6043, CESifo Group Munich.
• Michael Weber & Andreas Neuhierl, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," Working Papers 2016-26, Becker Friedman Institute for Research In Economics.
  • Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo Group Munich.
  • Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
  • Michael Weber & Andreas Neuhierl, 2017. "Monetary Policy and the Stock Market: Time Series Evidence," 2017 Meeting Papers 304, Society for Economic Dynamics.
• Sven Steinkamp & Frank Westermann, 2017. "Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(2), pages 169-178, April.
  • Sven Steinkamp & Frank Westermann, 2016. "Multilateral loans and interest rates: further evidence on the seniority conundrum," Working Papers 105, Institute of Empirical Economic Research, Osnabrueck University, revised 30 Nov 2016.
  • Sven Steinkamp & Frank Westermann, 2016. "Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum," CESifo Working Paper Series 6225, CESifo Group Munich.
• Pesaran, Hashem. & Johnsson. Ida., 2016. "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," Cambridge Working Papers in Economics 1679, Faculty of Economics, University of Cambridge.
  • M. Hashem Pesaran & Ida Johnsson, 2016. "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," CESifo Working Paper Series 6272, CESifo Group Munich.
• Cespa, Giovanni & Vives, Xavier, 2016. "High Frequency Trading and Fragility," CEPR Discussion Papers 11732, C.E.P.R. Discussion Papers.
  • Giovanni Cespa & Xavier Vives, 2016. "High Frequency Trading and Fragility," CESifo Working Paper Series 6279, CESifo Group Munich.
  • Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
  • Cespa, Giovanni & Vives, Xavier, 2017. "High frequency trading and fragility," Working Paper Series 2020, European Central Bank.
• Nadjeschda Katharina Arnold, 2016. "The Sovereign Default Problem in the Eurozone - Why Limited Liability Resulted in Excessive Debt Accumulation and How Insurance Can Counteract," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 66, January.
• Pinter, Gabor, 2016. "The macroeconomic shock with the highest price of risk," Bank of England working papers 616, Bank of England.
  • Gabor Pinter, 2016. "The Macroeconomic Shock with the Highest Price of Risk," Discussion Papers 1623, Centre for Macroeconomics (CFM), revised Apr 2017.
• Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, Center for Economic and Financial Research (CEFIR).
• Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016. "Invariance of buy-sell switching points," Working Papers w0232, Center for Economic and Financial Research (CEFIR).
• Paul Schneider, 2015. "An Anatomy of the Equity Premium," Swiss Finance Institute Research Paper Series 15-61, Swiss Finance Institute.
• Steven C. BOURASSA & Martin HOESLI & Elias OIKARINEN, 2016. "Measuring House Price Bubbles," Swiss Finance Institute Research Paper Series 16-01, Swiss Finance Institute.
• Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
• Markus Leippold & Steven Schaerer, 2016. "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series 16-15, Swiss Finance Institute.
• Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016. "Equity Is Cheap for Large Financial Institutions: The International Evidence," Research Papers 3454, Stanford University, Graduate School of Business.
  • Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series 16-22, Swiss Finance Institute, revised Jun 2016.
  • Priyank Gandhi & Hanno Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," NBER Working Papers 22355, National Bureau of Economic Research, Inc.
• Damir Filipović & Martin Larsson & Anders B. Trolle, 2016. "On the Relation between Linearity-Generating Processes and Linear-Rational Models," Swiss Finance Institute Research Paper Series 16-23, Swiss Finance Institute.
• Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2016. "Why Does Fast Loan Growth Predict Poor Performance for Banks?," NBER Working Papers 22089, National Bureau of Economic Research, Inc.
  • Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2016. "Why Does Fast Loan Growth Predict Poor Performance for Banks?," Swiss Finance Institute Research Paper Series 16-24, Swiss Finance Institute.
  • Fahlenbrach, Rudiger & Prilmeier, Robert & Stulz, Rene M., 2016. "Why Does Fast Loan Growth Predict Poor Performance for Banks?," Working Paper Series 2016-07, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Damien Ackerer & Damir Filipović, 2016. "Linear Credit Risk Models," Swiss Finance Institute Research Paper Series 16-34, Swiss Finance Institute, revised Jun 2016.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Swiss Finance Institute Research Paper Series 16-35, Swiss Finance Institute, revised Jun 2016.
• Jean-Christophe Delfim & Martin Hoesli, 2016. "Risk Factors of European Non-Listed Real Estate Fund Returns," Swiss Finance Institute Research Paper Series