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Research classified by Journal of Economic Literature (JEL) codes

Top JEL
/ G: Financial Economics
/ / G1: General Financial Markets
/ / / G12: Asset Pricing; Trading Volume; Bond Interest Rates
Most recent items first, undated at the end.
  • 2015 Interest Term Premiums and C-CAPM: A Test of a Parsimonious Model
    by de La Bruslerie, Hubert & Fouilloux, Jessica

  • 2015 Statistical evidence about LIBOR manipulation: A “Sherlock Holmes” investigation
    by Fouquau, Julien & Spieser, Philippe K.

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

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

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

  • 2015 On Flexible Linear Factor Stochastic Volatility Models
    by Malefaki, Valia

  • 2015 Pricing Derivatives in the New Framework: OIS Discounting, CVA, DVA & FVA
    by García Muñoz, Luis Manuel & de Lope Contreras, Fernando & Palomar Burdeus, Juan Esteban

  • 2015 Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues
    by Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia

  • 2015 Price Discovery in the Dual-Platform US Treasury Market
    by Sun, Zhuowei & Dunne, Peter G. & Li, Youwei

  • 2015 The Real Value of China's Stock Market
    by Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw

  • 2015 Disaster Risk and its Implications for Asset Pricing
    by Jerry Tsai & Jessica A. Wachter

  • 2015 Are Firms in "Boring" Industries Worth Less?
    by Jia Chen & Kewei Hou & René M. Stulz

  • 2015 Long-run Bulls and Bears
    by Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo

  • 2015 Global Sunspots and Asset Prices in a Monetary Economy
    by Roger E.A. Farmer

  • 2015 Segmented Housing Search
    by Monika Piazzesi & Martin Schneider & Johannes Stroebel

  • 2015 Bubble or Riddle? An Asset-Pricing Approach Evaluation on China’s Housing Market
    by Qu FENG & Guiying Laura WU

  • 2015 Nonparametric Estimates of Option Prices Using Superhedging
    by Gianluca Cassese

  • 2015 Equity Premium Prediction: Are Economic and Technical Indicators Instable?
    by Fabian Baetje & Lukas Menkhoff

  • 2015 Pricing Kernel Modeling
    by Denis Belomestny & Shujie Ma & Wolfgang Karl Härdle &

  • 2015 Risks in macroeconomic fundamentals and excess bond returns predictability
    by De Rezende, Rafael B.

  • 2015 Beyond the local mean-variance analysis in continuous time: The problem of non-normality
    by Aase, Knut K. & Lillestøl, Jostein

  • 2015 Recursive utility and jump-diffusions
    by Aase, Knut K.

  • 2015 A seniority arrangement for sovereign debt
    by Chatterjee, Satyajit & Eyigungor, Burcu

  • 2015 The equity risk premium: a review of models
    by Duarte, Fernando M. & Rosa, Carlo

  • 2015 Betting against beta (and gamma) using government bonds
    by Durham, J. Benson

  • 2015 Stock Market Volatility and Learning
    by Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo

  • 2015 Bayesian Estimation of Time-Changed Default Intensity Models
    by Gordy, Michael B. & Szerszen, Pawel J.

  • 2015 Explaining the boom-bust cycle in the U.S. housing market: a reverse-engineering approach
    by Gelain, Paolo & Lansing, Kevin J. & Natvik, Gisele J.

  • 2015 Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors
    by Georgy Chabakauri

  • 2015 Long-Term Price Overreactions: Are Markets Inefficient?
    by Guglielma Maria Caporale & Luis Gil-Alana & Alex Plastun

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

  • 2015 Price Discovery in Thinly Traded Futures Markets: New Evidence from a Time-Varying VECM Approach
    by Philipp Adämmer & Martin T. Bohl & Christian Gross

  • 2015 The Case of Herding ist Stronger than You Think
    by Martin T. Bohl & Nicole Branger & Mark Trede

  • 2015 Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
    by Buss, Adrian & Uppal, Raman & Vilkov, Grigory

  • 2015 The Dynamics of Financially Constrained Arbitrage
    by Gromb, Denis & Vayanos, Dimitri

  • 2015 Risk and Returns to Education Over Time
    by Brown, Jeffrey & Fang, Chichun & Gomes, Francisco J

  • 2015 Global Sunspots and Asset Prices in a Monetary Economy
    by Farmer, Roger E A

  • 2015 Long-run bulls and bears
    by Albuquerque, Rui & Eichenbaum, Martin & Papanikolaou, Dimitris & Rebelo, Sérgio

  • 2015 Origins of Stock Market Fluctuations
    by Greenwald, Daniel L. & Lettau, Martin & Ludvigson, Sydney

  • 2015 Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
    by Lettau, Martin & Ludvigson, Sydney & Ma, Sai

  • 2015 Rare Disasters and Exchange Rates
    by Farhi, Emmanuel & Gabaix, Xavier

  • 2015 Asset Return Predictability in a Heterogeneous Agent Equilibrium Model
    by Carlson, Murray & Chapman, David A. & Kaniel, Ron & Yan, Hong

  • 2015 House Price Shocks and Household Savings: evidence from Dutch administrative data
    by Nancy van Beers & Michiel Bijlsma & Remco Mocking

  • 2015 Securitization and Asset Prices
    by Yunus Aksoy & Henrique S. Basso

  • 2015 Price Formation of Pledgeable Securities
    by Andrea Pinna

  • 2015 Interactions among high-frequency traders
    by Benos, Evangelos & Brugler, James & Hjalmarsson , Erik & Zikes , Filip

  • 2015 A forecast evaluation of expected equity return measures
    by Chin, Michael & Polk, Christopher

  • 2015 Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns
    by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis

  • 2015 Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis
    by Alfonso Irarrazabal & Juan Carlos Parra-Alvarez

  • 2015 Explosive bubbles in house prices? Evidence from the OECD countries
    by Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen

  • 2015 Capital Flows, Asset Prices and Output in Emerging Market Economies
    by Ranjanendra Narayan Nag & Sayan Baksi & Sayantan Bandhu Majumder

  • 2015 The turn of the month effect still exists in the main Latin American stock markets, including the level of individual stocks
    by Kristjanpoller Rodríguez Werner & Arenas Yáñez Teresita

  • 2015 Crowdfunding de préstamos para PyMEs en España: Un análisis empírico/Loan-Based-Crowdfunding for SME in Spain: An Empirical Analysis
    by ROIG HERNANDO, JAUME & SORIANO LLOBERA, JUAN MANUEL

  • 2015 Turnover Premium, Foreign Institutional Ownership, and Time-Varying Risk Premium in Taiwan Equity Markets
    by Ying-Jen Chen & Jen-Sin Lee

  • 2015 Announcement Effect of Cash Dividend Changes around Ex-Dividend Days: Evidence from Taiwan
    by Jack J.W. Yang & Tsung-Hsin Wu

  • 2015 Returns for Dividend-Paying and Non Dividend Paying Firms
    by Yufen Fu & George W. Blazenko

  • 2015 Market Efficiency around the Announcement Day of Self-Tender Offers
    by Han-Ching Huang & Yong-Chern Su & Hsin-Ying Wang

  • 2015 Are Value, Size and Momentum Premiums in CEE Emerging Markets only Illusionary?
    by Adam Zaremba & Przemyslaw Konieczka

  • 2015 A comparison among various dimensions of illiquidity effect: A case study of Finland
    by Butt, Hilal Anwar

  • 2015 Are there periodically collapsing bubbles in the REIT markets? New evidence from the US
    by Xie, Zixiong & Chen, Shyh-Wei

  • 2015 Liquidity, delistings, and credit risk premium
    by Kuo, Su-Wen & Huang, Chin-Sheng & Jhang, Guan-Cih

  • 2015 Measuring sovereign risk contagion in the Eurozone
    by Suh, Sangwon

  • 2015 Heterogeneous agents in multi-markets: A coupled map lattices approach
    by Huang, Weihong & Chen, Zhenxi

  • 2015 How past market movements affect correlation and volatility
    by Becker, Christoph & Schmidt, Wolfgang M.

  • 2015 Why do term structures in different currencies co-move?
    by Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian

  • 2015 Macroeconomic linkages between monetary policy and the term structure of interest rates
    by Kung, Howard

  • 2015 End-of-the-year economic growth and time-varying expected returns
    by Møller, Stig V. & Rangvid, Jesper

  • 2015 X-CAPM: An extrapolative capital asset pricing model
    by Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei

  • 2015 Measuring the liquidity part of volume
    by Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten

  • 2015 Statistical evidence about LIBOR manipulation: A “Sherlock Holmes” investigation
    by Fouquau, Julien & Spieser, Philippe K.

  • 2015 Order-to-trade ratios and market liquidity
    by Friederich, Sylvain & Payne, Richard

  • 2015 Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market
    by Wang, Junbo & Wu, Chunchi

  • 2015 Momentum is really short-term momentum
    by Gong, Qiang & Liu, Ming & Liu, Qianqiu

  • 2015 Credit spreads with dynamic debt
    by Das, Sanjiv R. & Kim, Seoyoung

  • 2015 National culture and corporate cash holdings around the world
    by Chen, Yangyang & Dou, Paul Y. & Rhee, S. Ghon & Truong, Cameron & Veeraraghavan, Madhu

  • 2015 Assessing forestry-related assets with the intertemporal capital asset pricing model
    by Yao, Wenjing & Mei, Bin

  • 2015 A semiparametric single index model with heterogeneous impacts on an unobserved variable
    by Lee, Jiyon

  • 2015 How Do Oil Price Changes Affect German Stock Returns?
    by Laura Cueppers & Dieter Smeets

  • 2015 Understanding the Cash Flow-Fundamental Ratio
    by Chyi-Lun Chiou

  • 2015 Generación del valor a partir de la gerencia del riesgo sistemático
    by Jaime Andrés Vargas Vives & Juan Sergio Cruz Merchán

  • 2015 Ex-post Equity Risk Premiums and Economic Cycles in Colombia: An Empirical Research Using Kalman and Hodrick-Prescott Filters
    by Andrés Mauricio Gómez Sánchez & José Gabriel Astaiza Gómez

  • 2015 Risk sharing with the monarch: contingent debt and excusable defaults in the age of Philip II, 1556–1598
    by Mauricio Drelichman & Hans-Joachim Voth

  • 2015 Repeated Interaction and Rating Inflation: A Model of Double Reputation
    by Sivan Frenkel

  • 2015 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
    by Jordi Galí & Luca Gambetti

  • 2015 Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals
    by Alain Cohn & Jan Engelmann & Ernst Fehr & Michel André Maréchal

  • 2015 Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal
    by Marco Ottaviani & Peter Norman Sørensen

  • 2014 Price Limit And Stock Volatility In China During Financial Crises
    by Wing Chan, Derek Wang, Terence Chong

  • 2014 Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
    by Goodness C. Aye & Frederick W. Deale & Rangan Gupta

  • 2014 Testing for Multiple Bubbles in the BRICS Stock Markets
    by Tsangyao Chang & Omid Ranjbar & Goodness C. Aye & Rangan Gupta

  • 2014 Spurious Inference in Unidentified Asset-Pricing Models
    by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare

  • 2014 A note on market completeness with American put options
    by Campi, Luciano

  • 2014 Market fragmentation: assessments and prospects?
    by Gresse, Carole

  • 2014 La détention d'actifs immobiliers
    by Burckel, Denis & Chavanel, Olivier & Lemoyne, Martine & Ould Brahim, Abdallah & Simon, Arnaud & Tannenbaum, Philippe

  • 2014 Are property derivatives a leading indicator of the real estate market?
    by Drouhin, Pierre-Arnaud & Simon, Arnaud

  • 2014 Prepayment option of a perpetual corporate loan: the impact of the funding costs
    by Papin, Timothée & Turinici, Gabriel

  • 2014 Liquidity and Risk Sharing Benefits from Opening an ETF Market with Liquidity Providers: Evidence from the CAC 40 Index
    by De Winne, Rudy & Gresse, Carole & Platten, Isabelle

  • 2014 The cross-market index for volatility surprise
    by Aboura, Sofiane & Chevallier, Julien

  • 2014 Asymptotic Arbitrage with Small Transaction Costs
    by Ostafe, Lavinia & Lépinette-Denis, Emmanuel & Klein, Irene

  • 2014 Portfolio choice and asset pricing with endogenous beliefs and skewness preference
    by Karehnke, Paul

  • 2014 Options in Real Estate Valuation
    by Mark POMYKACZ & Chris OLMSTED

  • 2014 What News Drive Variation in Swiss and US Bond and Stock Excess Returns?
    by Thomas Nitschka

  • 2014 Risk management insights from Markowitz optimization for constructing portfolios with commodity futures
    by WILFORD, D Sykes

  • 2014 Modelling the Dynamics of Sovereign Risk Premium [Modelarea dinamicii primei de risc suveran]
    by Fudulache Adina Elena

  • 2014 Subjective Image of the Forthcoming — How FX Market Participants Construct Their Prospects on the Nearest Future
    by V. Evstigneev.

  • 2014 Financial Markets Efficiency (Nobel Memorial Prize in Economics 2013)
    by R. Sverchkov & K. Sonin.

  • 2014 Das Google-Suchvolumen als Liquiditätsindikator des Aktienhandels: Evidenz vom weltweiten Agrarsektor
    by Thomas Pöppe & Dirk Schiereck & Frank Zielinski

  • 2014 Spread Risk Premia in Corporate Credit Default Swap Markets
    by Oliver Entrop & Richard Schiemert & Marco Wilkens

  • 2014 An Empirical Analysis of Segmented Pricing of Bond Systematic Risk
    by Terry Benzschawel & Liang Fu & Austin Murphy

  • 2014 Performance-Sensitive Government Bonds
    by Matthias Bank & Alexander Kupfer & Rupert Sendlhofer

  • 2014 Trading Puzzle, Puzzling Trade
    by Orhan ERDEM & Evren ARIK & Serkan YÜKSEL

  • 2014 Asset allocation and stock selection: Evidence from static and dynamic strategies in Turkish markets
    by Tolgahan YILMAZ & Sema DUBE

  • 2014 Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending
    by Peter Koudijs & Hans-Joachim Voth

  • 2014 Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
    by Giovanni Giusti & Charles Noussair & Hans-Joachim Voth

  • 2014 A tale of fire-sales and liquidity hoarding
    by Aleksander Berentsen & Benjamin Müller

  • 2014 Consumption-Based Asset Pricing with Rare Disaster Risk
    by Sönksen, Jantje & Grammig, Joachim

  • 2014 Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models
    by Grammig, Joachim & Schaub, Eva-Maria

  • 2014 Decomposing Risk in Dynamic Stochastic General Equilibrium
    by Lan, Hong & Meyer-Gohde, Alexander

  • 2014 Asset Pricing without Garbage
    by Kroencke, Tim Alexander

  • 2014 Fluctuations of the Real Exchange Rate, Real Interest Rates, and the Dynamics of the Price of Gold in a Small Open Economy
    by Rohloff, Sebastian & Pierdzioch, Christian & Risse, Marian

  • 2014 Cyclical Asset Returns in the Consumption and Investment Goods Sector
    by Burkhard Heer, Burkhard & Maußner, Alfred & Süssmuth, Bernd

  • 2014 Individual investors and suboptimal early exercises in the fixed-income market
    by Eickholt, Mathias & Entrop, Oliver & Wilkens, Marco

  • 2014 Equilibrium asset pricing in networks with mutually exciting jumps
    by Branger, Nicole & Konermann, Patrick & Meinerding, Christoph & Schlag, Christian

  • 2014 Social security in an analytically tractable overlapping generations model with aggregate and idiosyncratic risk
    by Harenberg, Daniel & Ludwig, Alexander

  • 2014 Social security and the interactions between aggregate and idiosyncratic risk
    by Harenberg, Daniel & Ludwig, Alexander

  • 2014 Austerity, fiscal volatility, and economic growth
    by Curatola, Giuliano & Donadelli, Michael & Gioffré, Alessandro & Grüning, Patrick

  • 2014 Thar she blows again: Reducing anchoring rekindles bubbles
    by Baghestanian, Sascha & Walker, Todd B.

  • 2014 Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
    by Kraft, Holger & Seiferling, Thomas & Seifried, Frank Thomas

  • 2014 Mutual excitation in eurozone sovereign CDS
    by Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana

  • 2014 Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
    by Buss, Adrian & Uppal, Raman & Vilkov, Grigory

  • 2014 The cross-section of stock returns in an early stock market
    by Ye, Qing & Turner, John D.

  • 2014 Secular stagnation
    by Bossone, Biagio

  • 2014 Empirical linkage between oil price and stock market returns and volatility: Evidence from international developed markets
    by Dhaoui, Abderrazak & Khraief, Naceur

  • 2014 Estimating heterogeneous agents behavior with different investment horizons in stock markets
    by Chen, Zhenxi

  • 2014 Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics
    by Franke, Reiner & Ghonghadze, Jaba

  • 2014 The term structure of interest rates in a small open economy DSGE model with Markov switching
    by Horváth, Roman & Maršál, Aleš

  • 2014 SPACs with focus on China
    by Shachmurove, Yochanan & Vulanovic, Milos

  • 2014 Is there a bubble in the art market?
    by Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas

  • 2014 Consumption-based asset pricing with rare disaster risk
    by Grammig, Joachim & Sönksen, Jantje

  • 2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models
    by Grammig, Joachim & Schaub, Eva-Maria

  • 2014 To disclose or not to disclose: Transparency and liquidity in the structured product market
    by Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G.

  • 2014 Who are the value and growth investors?
    by Betermier, Sebastien & Calvet, Laurent E. & Sodini, Paolo

  • 2014 Estimation of trading costs: Trade indicator models revisited
    by Theissen, Erik & Zehnder, Lars Simon

  • 2014 Consumption-based asset pricing with rare disaster risk
    by Grammig, Joachim & Sönksen, Jantje

  • 2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing
    by Grammig, Joachim & Schaub, Eva-Maria

  • 2014 Investor sentiment, flight-to-quality, and corporate bond comovement
    by Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander

  • 2014 Updating the option implied probability of default methodology
    by Vilsmeier, Johannes

  • 2014 Decomposition of country-specific corporate bond spreads
    by Dötz, Niko

  • 2014 Financial conditions, macroeconomic factors and (un)expected bond excess returns
    by Fricke, Christoph & Menkhoff, Lukas

  • 2014 Banks, markets, and financial stability
    by Eder, Armin & Fecht, Falko & Pausch, Thilo

  • 2014 Market transparency and the marking precision of bond mutual fund managers
    by Cici, Gjergji & Gibson, Scott & Gündüz, Yalin & Merrick, John J.

  • 2014 Investor fears and risk premia for rare events
    by Schwarz, Claudia

  • 2014 Análisis del comportamiento imitador intradía en el mercado de valores español durante el periodo de crisis 2008-2009
    by Alicia Marín Solano & Sandra Ferreruela Garcés

  • 2014 European Equity Investing through the Financial Crisis: Can Risk Parity, Momentum or Trend Following Help to Reduce Tail Risk?
    by Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas

  • 2014 The Relationship Between Stock Returns and Investor Sentiment: Evidence from Social Media
    by Zachary McGurk & Adam Nowak

  • 2014 Bubbles, Post-Crash Dynamics, and the Housing Market
    by Crocker H. Liu & Adam Nowak & Stuart Rosenthal

  • 2014 An Incomplete Markets Explanation to the UIP Puzzle
    by Katrin Rabitsch

  • 2014 Simple heuristics for pricing VIX options
    by Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik

  • 2014 Cash Inflows and Bubbles in Asset Markets with Constant Fundamental Values
    by Charles Noussair & Steven Tucker

  • 2014 Disentangling the Accruals Mispricing in Europe: Is It an Industry Effect?
    by Elisabetta Basilico & Tommi Johnsen

  • 2014 Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
    by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo

  • 2014 Capturing the Impact of Latent Industry-Wide Shocks with Dynamic Panel Model
    by KiHoon Jimmy Hong & Bin Peng & Xiaohui Zhang

  • 2014 Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?
    by KiHoon Jimmy Hong & Eliza Wu

  • 2014 Heterogeneous Expectations in Asset Pricing:Empirical Evidence from the S&P500
    by Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels

  • 2014 Time Series Momentum and Market Stability
    by Xue-Zhong He & Kai Li

  • 2014 Explaining the time-varying relation between agricultural prices and stock market dynamics
    by Daniele Girardi

  • 2014 Ambiguity and Reality
    by Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan

  • 2014 Corporate Transparency and Bond Liquidity
    by Fecht, Falko & Füss, Roland & Rindler, Philipp B.

  • 2014 Standards are Poor: On Competence and Professional Integrity at the Leading Rating Agency
    by Gaertner, Manfred

  • 2014 Relationship Between Interest Rate and Corporate Bond Yield
    by Magomet Yandiev

  • 2014 Illiquidity and its Discontents: Trading Delays and Foreclosures in the Housing Market
    by Aaron Hedlund

  • 2014 The Cyclical Dynamics of Illiquid Housing, Debt, and Foreclosures
    by Aaron Hedlund

  • 2014 Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns
    by Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio

  • 2014 The Risk-Return binomial after rating changes
    by Pilar Abad & M. Dolores Robles

  • 2014 Asymmetric Realized Volatility Risk
    by David E. Allen & Michael McAleer & Marcel Scharth

  • 2014 The non-linear trade-off between return and risk: a regime-switching multi-factor framework
    by John Cotter & Enrique Salvador

  • 2014 Can housing risk be diversified? A cautionary tale from the housing boom and bust
    by John Cotter & Stuart Gabriel & Richard Roll

  • 2014 Performance of Utility Based Hedges
    by John Cotter & Jim Hanly

  • 2014 The Conditional Pricing of Systematic and Idiosyncratic Risk in the UK Equity Market
    by John Cotter & Niall O'Sullivan & Francesco Rossi

  • 2014 Sovereign and bank CDS spreads: two sides of the same coin?
    by John Cotter & Davide Avino

  • 2014 Gamma discounters are short-termist
    by Gollier, Christian

  • 2014 Subjective Term Premia, Consumer Sentiment, and the Zero Lower Bound
    by Josh Stillwagon

  • 2014 Bubbles and Trading Frenzies : Evidence from the Art Market
    by Penasse, J.N.G. & Renneboog, L.D.R.

  • 2014 Bubbles and Trading Frenzies : Evidence from the Art Market
    by Penasse, J.N.G. & Renneboog, L.D.R.

  • 2014 Fundamental Value Trajectories and Trader Characteristics in an Asset Market Experiment
    by Breaban, A. & Noussair, C.N.

  • 2014 Funding Liquidity and Market Liquidity
    by Yuan Yuan

  • 2014 What Factors Drive the Price-Rent Ratio for the Housing Market? A Modified Present-Value Approach
    by N. Kundan Kishor & James Morley

  • 2014 What Moves the Price-Rent Ratio for Housing? A Modified Present-Value Approach
    by N. Kundan Kishor & James Morley

  • 2014 The Risk Return Relationship: Evidence from Index Return and Realised Variance Series
    by Minxian Yang

  • 2014 The direct and indirect e ects of oil shocks on energy related stocks
    by David C Broadstock & Rui Wang & Dayong Zhang

  • 2014 Rock around the clock: an agent-based model of low- and high-frequency trading
    by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo

  • 2014 Investment Grade, Asset Prices and Changes in the Source of Systematic Risk
    by Bruno Giovannetti & Mauro Rodrigues, Eduardo Ros

  • 2014 Unveiling Sovereign Effects in European Banks CDS Spreads Variations
    by Marc Peters & Hugues Pirotte

  • 2014 Have investors been looking for exposure to specific countries since the global financial crisis? - Insights from the Swiss franc bond market
    by Thomas Nitschka

  • 2014 The Good? The Bad? The Ugly? Which news drive (co)variation in Swiss and US bond and stock excess returns?
    by Thomas Nitschka

  • 2014 A Combined Approach to the Inference of Conditional Factor Models
    by Yan Li & Liangjun Su & Yuewu Xu

  • 2014 Bayesian Analysis of Bubbles in Asset Prices
    by Andras Fulop & Jun Yu

  • 2014 Deviance Information Criterion for Comparing VAR Models
    by Tao Zeng & Yong Li & Jun Yu

  • 2014 Quantitative Easing and the Liquidity Channel of Monetary Policy
    by Lucas Herrenbrueck

  • 2014 The Beauty Contest and Short-Term Trading
    by Giovanni Cespa & Xavier Vives

  • 2014 Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading
    by Andrew Ellul & Chotibhak Jotikasthira & Christian T. Lundblad & Yihui Wang

  • 2014 Italian Government debt liquidity, is it of value?
    by Simona Delle Chiaie & Bernardo Maggi

  • 2014 Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market
    by Anmar Pretorius and Alain Kabundi

  • 2014 Exit Strategies and Their Impact on the Euro Area - A Model Based View
    by Ansgar Belke

  • 2014 Are exporting firms always a good hedge against currency risk? Evidence from Central and Eastern European Countries
    by M. FRÖMMEL & M. LUETJE

  • 2014 Exit State-of-play in Implementing Macroeconomic Adjustment Programmes in the Euro Area
    by Ansgar Belke & Daniel Gros & Alcidi Cinzia & Leonor Coutinho & Alessandro Giovannini

  • 2014 Exit Strategies and Their Impact on the Euro Area – A Model Based View
    by Ansgar Belke

  • 2014 Balancing Forecast Errors in Continuous-Trade Intraday Markets
    by Garnier, Ernesto & Madlener, Reinhard

  • 2014 Response of Stock Markets to Monetary Policy: An Asian Stock Market Perspective
    by Yoshino, Naoyuki & Taghizadeh-Hesary, Farhad & Hassanzadeh, Ali & Prasetyo, Ahmad Danu

  • 2014 Comportamiento de los mercados financieros peruanos ante el anuncio del tapering
    by Choy, Marylin & Cerna, Jorge

  • 2014 Home Price Beliefs in Australia
    by Callan Windsor & Gianni La Cava & James Hansen

  • 2014 Jumps in Option Prices and Their Determinants: Real-time Evidence from the E-mini S&P 500 Option Market
    by George Kapetanios & Michael Neumann & George Skiadopoulos

  • 2014 Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca
    by RIANE, Nizare

  • 2014 Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
    by Ezzat, Hassan & Kirkulak, Berna

  • 2014 Nominal Term Structure and Term Premia. Evidence from Chile
    by Ceballos, Luis & Naudon, Alberto & Romero, Damian

  • 2014 Comparing Consumption-based Asset Pricing Models: The Case of an Asian City
    by Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue

  • 2014 Size and value premiums in the Indian stock market
    by Aziz, Tariq & Ansari, Valeed Ahmad

  • 2014 A detailed analysis of fulfilling and delinquency of payments on loan
    by Voloshyn, Ihor

  • 2014 Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame
    by Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed

  • 2014 Risk or Sentiment: Value and Size Premium under Terrorism
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  • 2014 Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity
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  • 2014 Superstition and financial decision making
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  • 2014 Альтернативный Подход К Определению Условий Отсутствия Арбитража
    by Ivanov, Sergei

  • 2014 Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
    by Hiremath, Gourishankar S & Kumari, Jyoti

  • 2014 Recent Developments in Quantitative Finance: An Overview
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  • 2014 Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly
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  • 2014 Are You Experienced?
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  • 2014 Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model
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  • 2014 Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis
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  • 2014 Capital Asset Pricing Model and Stochastic Volatility: A Case study of India
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  • 2014 Rational Expectation Bubbles: Evidence from Hong Kong’s Sub-Indices
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  • 2014 The conditional pricing of currency and inflation risks in Africa's equity markets
    by Kodongo, Odongo & Ojah, Kalu

  • 2014 Financial Crisis and Economic Depression: 'Post Hoc Ego Propter Hoc'? Implications for Financial Asset Valuation and Financial Regulation
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  • 2014 The Time-Varying Risk and Return Trade Off in Indian Stock Markets
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  • 2014 Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa
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  • 2014 Sovereign defaults, external debt and real exchange rate dynamics
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  • 2014 Entendiendo los mercados de swaps: Un enfoque de equilibrio general
    by Venegas-Martínez, Francisco

  • 2014 Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General
    by Venegas-Martínez, Francisco

  • 2014 Exploiting of fundamental interest rates inefficiency
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  • 2014 Analytic Approximation of Finite-Maturity Timer Option Prices
    by Li, Minqiang

  • 2014 Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach
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  • 2014 Does Human Capital Risk Explain The Value Premium Puzzle?
    by Sylvain, Serginio

  • 2014 A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
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  • 2014 Firm Complexity and Post-Earnings-Announcement Drift
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  • 2014 Dynamic Spillover Effects in Futures Markets
    by Antonakakis, Nikolaos & Kizys, Renatas & Floros, Christos

  • 2014 Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

  • 2014 Pricing Default Risk: The Good, The Bad, and The Anomaly
    by Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra

  • 2014 Smooth economic analysis for general spaces of commodities
    by Accinelli, Elvio & Covarrubias, Enrique

  • 2014 Forgive, or Award, Your Debtor? - A Barrier Option Approach
    by Sun, David & Chow, Da-Ching

  • 2014 Bond Market Exposures to Macroeconomic and Monetary Policy Risks
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  • 2014 An anatomy of the Level 3 fair-value hierarchy discount
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  • 2014 US Long Term Interest Rates and Capital Flows to Emerging Economies
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  • 2014 Exchange rates, expected returns and risk
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  • 2014 What Factors Give Cryptocurrencies Their Value: An Empirical Analysis
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  • 2014 Common Factors in Return Seasonalities
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  • 2014 Four Centuries of Return Predictability
    by Benjamin Golez & Peter Koudijs

  • 2014 The Rise and Fall of Demand for Securitizations
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  • 2014 Option-Based Credit Spreads
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  • 2014 The Risky Capital of Emerging Markets
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  • 2014 Heterogeneity in Decentralized Asset Markets
    by Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill

  • 2014 Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
    by Martin Lettau & Sydney C. Ludvigson & Sai Ma

  • 2014 A Taxonomy of Anomalies and their Trading Costs
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  • 2014 Jumps in Bond Yields at Known Times
    by Don H. Kim & Jonathan H. Wright

  • 2014 A Welfare Criterion for Models with Distorted Beliefs
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  • 2014 A Comparison of New Factor Models
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  • 2014 Prices, Consumption, and Dividends Over the Business Cycle: A Tale of Two Regimes
    by Anisha Ghosh & George M. Constantinides

  • 2014 The Power of the Street: Evidence from Egypt's Arab Spring
    by Daron Acemoglu & Tarek A. Hassan & Ahmed Tahoun

  • 2014 Momentum Trading, Return Chasing, and Predictable Crashes
    by Benjamin Chabot & Eric Ghysels & Ravi Jagannathan

  • 2014 Growth Expectations, Dividend Yields, and Future Stock Returns
    by Zhi Da & Ravi Jagannathan & Jianfeng Shen

  • 2014 Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
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  • 2014 Markets with Multidimensional Private Information
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  • 2014 Benchmarks in Search Markets
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  • 2014 Competing for Order Flow in OTC Markets
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  • 2014 . . . and the Cross-Section of Expected Returns
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  • 2014 Understanding Defensive Equity
    by Robert Novy-Marx

  • 2014 Valuing Thinly-Traded Assets
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  • 2014 Robust Benchmark Design
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  • 2014 Strategic Trading in Informationally Complex Environments
    by Nicolas S. Lambert & Michael Ostrovsky & Mikhail Panov

  • 2014 Asset Management Contracts and Equilibrium Prices
    by Andrea M. Buffa & Dimitri Vayanos & Paul Woolley

  • 2014 Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse
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  • 2014 Momentum Crashes
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  • 2014 Tax News: Identifying Tax Expectations from Municipal Bonds with an Application to Household Consumption
    by Lorenz Kueng

  • 2014 Assessing Asset Pricing Models Using Revealed Preference
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  • 2014 The Carry Trade: Risks and Drawdowns
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  • 2014 Uncertainty Outside and Inside Economic Models
    by Lars Peter Hansen

  • 2014 Evidence for Relational Contracts in Sovereign Bank Lending
    by Peter Benczur & Cosmin L. Ilut

  • 2014 Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
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  • 2014 Risk and Ambiguity in Models of Business Cycles
    by David Backus & Axelle Ferriere & Stanley Zin

  • 2014 Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
    by Frank Schorfheide & Dongho Song & Amir Yaron

  • 2014 Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World
    by Alex Edmans & Lucius Li & Chendi Zhang

  • 2014 Forward and Spot Exchange Rates in a Multi-currency World
    by Tarek A. Hassan & Rui C. Mano

  • 2014 Housing, Finance and the Macroeconomy
    by Morris A. Davis & Stijn Van Nieuwerburgh

  • 2014 The Shorting Premium and Asset Pricing Anomalies
    by Itamar Drechsler & Qingyi Freda Drechsler

  • 2014 The Liquidity Premium of Near-Money Assets
    by Stefan Nagel

  • 2014 Investor Sophistication and Capital Income Inequality
    by Marcin Kacperczyk & Jaromir B. Nosal & Luminita Stevens

  • 2014 Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
    by Esben Hedegaard & Robert J. Hodrick

  • 2014 External Equity Financing Shocks, Financial Flows, and Asset Prices
    by Frederico Belo & Xiaoji Lin & Fan Yang

  • 2014 Misspecified Recovery
    by Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman

  • 2014 Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946
    by David le Bris & William N. Goetzmann & Sébastien Pouget

  • 2014 Model Disagreement and Economic Outlook
    by Daniel Andrei & Bruce Carlin & Michael Hasler

  • 2014 On the Fundamental Relation Between Equity Returns and Interest Rates
    by Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw

  • 2014 No-Bubble Condition: Model-free Tests in Housing Markets
    by Stefano Giglio & Matteo Maggiori & Johannes Stroebel

  • 2014 A Model of Monetary Policy and Risk Premia
    by Itamar Drechsler & Alexi Savov & Philipp Schnabl

  • 2014 Matching Capital and Labor
    by Jonathan B. Berk & Jules H. van Binsbergen & Binying Liu

  • 2014 Very Long-Run Discount Rates
    by Stefano Giglio & Matteo Maggiori & Johannes Stroebel

  • 2014 Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
    by Jing Cynthia Wu & Fan Dora Xia

  • 2014 Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
    by Drew D. Creal & Jing Cynthia Wu

  • 2014 Asset Pricing with Countercyclical Household Consumption Risk
    by George M. Constantinides & Anisha Ghosh

  • 2014 The Role of Proximity in Foreclosure Externalities: Evidence from Condominiums
    by Lynn M. Fisher & Lauren Lambie-Hanson & Paul S. Willen

  • 2014 The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
    by Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh

  • 2014 Investment Noise and Trends
    by Robert F. Stambaugh

  • 2014 Do ETFs Increase Volatility?
    by Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi

  • 2014 Monetary Policy Drivers of Bond and Equity Risks
    by John Y. Campbell & Carolin Pflueger & Luis M. Viceira

  • 2014 Rare Booms and Disasters in a Multi-sector Endowment Economy
    by Jerry Tsai & Jessica A. Wachter

  • 2014 Private Information and Sunspots in Sequential Asset Markets
    by Jess Benhabib & Pengfei Wang

  • 2014 Credit Risk in the Euro Area
    by Simon Gilchrist & Benoît Mojon

  • 2014 Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
    by Anne-Laure Delatte & Julien Fouquau & Richard Portes

  • 2014 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
    by Jordi Gali & Luca Gambetti

  • 2014 Risk, Ambiguity, and the Exercise of Employee Stock Options
    by Yehuda Izhakian & David Yermack

  • 2014 Estimating the Risk-Return Trade-off with Overlapping Data Inference
    by Esben Hedegaard & Robert J. Hodrick

  • 2014 Asset Prices in a Lifecycle Economy
    by Roger Farmer

  • 2014 Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending
    by Peter Koudijs & Hans-Joachim Voth

  • 2014 Liquidity Risk and the Dynamics of Arbitrage Capital
    by Péter Kondor & Dimitri Vayanos

  • 2014 Foreign Ownership of U.S. Safe Assets: Good or Bad?
    by Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh

  • 2014 Measuring the ''World'' Real Interest Rate
    by Mervyn King & David Low

  • 2014 High Discounts and High Unemployment
    by Robert E. Hall

  • 2014 How Risky Are Recessions for Top Earners?
    by Fatih Guvenen & Greg Kaplan & Jae Song

  • 2014 How Constraining Are Limits to Arbitrage? Evidence from a Recent Financial Innovation
    by Alexander Ljungqvist & Wenlan Qian

  • 2014 Origins of Stock Market Fluctuations
    by Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson

  • 2014 The Price of Political Uncertainty: Theory and Evidence from the Option Market
    by Bryan Kelly & Lubos Pastor & Pietro Veronesi

  • 2014 When Real Estate is the Only Game in Town
    by Hyun-Soo Choi & Harrison Hong & Jeffrey Kubik & Jeffrey P. Thompson

  • 2014 Dynamic Dispersed Information and the Credit Spread Puzzle
    by Elias Albagli & Christian Hellwig & Aleh Tsyvinski

  • 2014 Pricing sovereign credit risk of an emerging market
    by Gonzalo Camba-Méndez & Konrad Kostrzewa & Anna Mospan & Dobromił Serwa

  • 2014 Market perception of sovereign credit risk in the euro area during the financial crisis
    by Gonzalo Camba-Méndez & Dobromił Serwa

  • 2014 Estimating the risk of joint defaults: an application to central bank collateralized lending operations
    by Dariusz Gatarek & Juliusz Jabłecki

  • 2014 Credit rating agency downgrades and the Eurozone sovereign debt crises
    by Christopher F Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephen

  • 2014 Learning about Rare Disasters: Implications For Consumption and Asset Prices
    by Max Gillman & Michal Kejak & Michal Pakos

  • 2014 Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis
    by H. Youn Kim & Keith R. McLaren & K.K. Gary Wong

  • 2014 The Whys of the LOIS: Credit Skew and Funding Spread Volatility
    by Stéphane Crépey & Raphaël Douady

  • 2014 Yield Curve Smoothing and Residual Variance of Fixed Income Positions
    by Raphaël Douady

  • 2014 Detection and quantification of causal dependencies in multivariate time series: a novel information theoretic approach to understanding systemic risk
    by Peter Martey Addo & Philippe De Peretti

  • 2014 Ambiguïté, comportements et marchés financiers
    by Meglena Jeleva & Jean-Marc Tallon

  • 2014 Impact of information cost and switching of trading strategies in an artificial stock market
    by Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu

  • 2014 Communication impacting financial markets
    by Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam

  • 2014 Stock Price Booms and Expected Capital Gains
    by Adam, Klaus & Beutel, Johannes & Marcet, Albert

  • 2014 An Event Study Analysis of ECB Unconventional Monetary Policy
    by Giulia RIVOLTA

  • 2014 Option pricing in an imperfect world
    by Gianluca Cassese

  • 2014 The Equity Premium in a DSGE Model with Limited Asset Market Participation
    by Lorenzo Menna & Patrizio Tirelli

  • 2014 The Macroeconomic Determinants of the US Term-Structure during the Great Moderation
    by Alessia Paccagnini

  • 2014 Social Security and the Interactions Between Aggregate and Idiosyncratic Risk
    by Harenberg, Daniel & Ludwig, Alexander

  • 2014 Contagion across Eurozone's sovereign spreads and the Core-Periphery divide
    by Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini

  • 2014 Contagion in the Euro crisis: capital flows and trade linkages
    by Eleonora Cutrini and Giorgio Galeazzi

  • 2014 Up- and Downside Variance Risk Premia in Global Equity Markets
    by Matthias Held & Marcel Omachel

  • 2014 Effects of the Limit Order Book on Price Dynamics
    by Tolga Cenesizoglu & Georges Dionne & Xiaozhou Zhou

  • 2014 Nonlinear Kalman Filtering in Affine Term Structure Models
    by Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui

  • 2014 Convertible Debt and Shareholder Incentives
    by Christian Dorion & Pascal François & Gunnar Grass & Alexandre Jeanneret

  • 2014 Heterogeneous Beliefs and the Choice Between Private Restructuring and Formal Bankruptcy
    by Pascal François & Alon Raviv

  • 2014 Stock Market Overreaction to Management Earnings Forecasts
    by Jean-Sébastien Michel

  • 2014 Doom-loops: The Role of Rating Agencies in the Euro Financial Crisis
    by Heather D. Gibson & Stephen G. Hall & George S. Tavlas

  • 2014 Are All Sovereigns Equal? A Test of the Common Determination of Sovereign Spreads in the Euro Area
    by Heather D. Gibson & Stephen G. Hall & George S. Tavlas

  • 2014 A New Solution to the Equity Premium Puzzle and the Risk-Free Rate Puzzle: Theory and Evidence
    by Hideaki Tamura & Yoichi Matsubayashi

  • 2014 The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses
    by Ralf Brüggemann & Markus Glaser & Stefan Schaarschmidt & Sandra Stankiewicz

  • 2014 Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model
    by Falko Juessen & Ludger Linnemann & Andreas Schabert

  • 2014 Social Security and the Interactions Between Aggregate and Idiosyncratic Risk
    by Daniel Harenberg & Alexander Ludwig

  • 2014 Transitions in the Stock Markets of the US, UK, and Germany
    by Matthias Raddant & Friedrich Wagner

  • 2014 Uncertain Risk and Return in Bond Markets, I
    by Chan R. Mang

  • 2014 Recall Searching with and without Recall
    by Daniela Di Cagno & Tibor Neugebauer & Carlos Rodriguez-Palmero & Abdolkarim Sadrieh

  • 2014 A Multi-Factor Model of Heterogeneous Traders in a Dynamic Stock Market
    by Pyo, Dong-Jin

  • 2014 EU Finance Ministers, Capital Markets and Fiscal Outcomes
    by António Afonso & Maria João Guedes

  • 2014 Testing for Multiple Bubbles in the BRICS Stock Markets
    by Tsangyao Chang & Goodness C. Aye & Rangan Gupta

  • 2014 Financial Crises and Contagion Effects between the US and OECD Equity Markets
    by Ilyes Abid & Khaled Guesmi & Olfa Kaabia & Duc Khuong Nguyen

  • 2014 On the liquidity of CAC 40 index options Market
    by Alain François-Heude & Ouidad Yousfi

  • 2014 Greece’s Stock Market Integration with Southeast Europe
    by Khaled Guesmi & Zied Ftiti & Ilyes Abid

  • 2014 Oil price impact on financial markets:
    by Anna Creti & Zied Ftiti & Khaled Guesmi

  • 2014 Evolution of Crude Oil Prices and Economic Growth: The case of OPEC Countries
    by Zied Ftiti & Khaled Guesmi & Frédéric Teulon & Slim Chouachi

  • 2014 Les bulles spéculatives et le marché de l’immobilier
    by Frédéric Teulon

  • 2014 Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation
    by Farid Mkouar & Jean-Luc Prigent

  • 2014 Diversification benefits and strategic portfolio allocation across asset classes: The case of the US markets
    by Mohamed Arouri & Duc Khuong Nguyen & Kuntara Pukthuanthong

  • 2014 Investor Following and Volatility: A GARCH Approach
    by Amal Aouadi & Mohamed Arouri & Frédéric Teulon

  • 2014 L’intégration intra-régionale des marchés boursiers de l’Europe du sudest : une analyse multivariée
    by Khaled Guesmi & Duc Khuong Nguyen

  • 2014 Australia’s integration into the ASEAN- 5 Region
    by Khaled Guesmi & Frederic Teulon & Amine Lahiani

  • 2014 Predicting the sensitivity of trading intensity to investor sentiments and beliefs: Evidence from the French stock market
    by Stelios Bekiros & Abderrazak Dhaoui & Naceur Khraief

  • 2014 The Evolution of Risk Premiums in Emerging Stock Markets: The Case of Latin America and Asia Region
    by Salma Fattoum & Khaled Guesmi & Bruno-Laurent Moschetto

  • 2014 Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis
    by Anna Creti & Zied Ftiti & Khaled Guesmi

  • 2014 World gold prices and stock returns in China: insights for hedging and diversification strategies
    by Mohamed El Hedi Arouri & Amine Lahiani & Duc Khuong Nguyen

  • 2014 Stock returns and Inflation in Pakistan
    by Mohamed Arouri & Aviral Kumar Tiwari & Arif Billah Dar & Niyati Bhanja & FrédéricTeulon

  • 2014 Is there a difference between domestic and foreign risk premium? The case of China Stock Market
    by Frédéric Teulon & Khaled Guesmi & Salma Fattoum

  • 2014 Oil Shocks and Economic Growth in OPEC countries
    by Zied Ftiti & Khaled Guesmi & Frédéric Teulon

  • 2014 Are emerging markets exposed to contagion from U.S.: Evidence from stock and sovereign bond markets
    by Irfan Akbar Kazi & Hakimzadi Wagan

  • 2014 The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach
    by Julia Auckenthaler & Alexander Kupfer & Rupert Sendlhofer

  • 2014 The imprecision of volatility indexes
    by Rohini Grover & Ajay Shah

  • 2014 User right as a mezzanine capital investment: Innovations in infrastructure debt financing
    by Manish K. Singh & S. Ramann

  • 2014 Japanese Repo and Call Markets Before, During, and Emerging from the Financial Crisis
    by Ichiro Fukunaga & Naoya Kato

  • 2014 A Pricing Theory under a Finite Number of Securities Issued: A Synthesis of "Market Microstructure" and "Mathematical Finance"
    by Yoshihiko Uchida & Daisuke Yoshikawa

  • 2014 Return and Volatility Spillovers in Industrial Metals
    by Brian M. Lucey

  • 2014 Which Precious Metals Spill Over on Which, When and Why? – Some Evidence
    by Jonathan A. Batten & Cetin Ciner & Brian M. Lucey

  • 2014 Stock Market Predictability: Global Evidence and an Explanation
    by Cheolbeom Park & Dong-hun Shin

  • 2014 Gamma discounters are short-termist
    by Gollier, Christian

  • 2014 Adaptive Order Flow Forecasting with Multiplicative Error Models
    by Wolfgang Karl Härdle & Andrija Mihoci & Christopher Hian-Ann Ting &

  • 2014 Credit Risk Calibration based on CDS Spreads
    by Shih-Kang Chao & Wolfgang Karl Härdle & Hien Pham-Thu &

  • 2014 Network Effects in Currency Internationalisation: Insights from BIS Triennial Surveys and Implications for the Renminbi
    by Dong He & Xiangrong Yu

  • 2014 Interactions between CNY and CNH Money and Forward Exchange Markets
    by David Leung & John Fu

  • 2014 A Nonparametric Method For Term Structure Fitting With Automatic Smoothing
    by Victor A. Lapshin & Vadim Ya. Kaushanskiy

  • 2014 Swedish stock and bond returns, 1856–2012
    by Waldenström, Daniel

  • 2014 Exploration Risk in Oil & Gas Shareholder Returns
    by Misund, Bard & Mohn, Klaus

  • 2014 Discount rates, market frictions, and the mystery of the size premium
    by de Oliveira Souza, Thiago

  • 2014 Recursive utility and jump-diffusions
    by Aase, Knut K.

  • 2014 Heterogeniety and limited stock market Participation
    by Aase, Knut K.

  • 2014 Recursive utility with dependence on past consumption; the continuous-time model
    by Aase, Knut K.

  • 2014 Political Connections and Stock Liquidity: Political Network, Hierarchy and Intervention
    by Ding, Mingfa

  • 2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
    by Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun

  • 2014 Trust Us to Repay: Social Trust, Long-Term Interest Rates and Sovereign Credit Ratings
    by Bergh, Andreas

  • 2014 Swedish Stock and Bond Returns, 1856–2012
    by Waldenström, Daniel

  • 2014 Bivariate Integer-Valued Long Memory Model for High Frequency Financial Count Data
    by Quoreshi, A.M.M. Shahiduzzaman

  • 2014 Rock around the Clock: An Agent-Based Model of Low- and High-Frequency Trading
    by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo

  • 2014 Heterogeneous Fundamentalists and Market Maker Inventories
    by Alessandro Carraro & Giorgio Ricchiuti

  • 2014 Option-implied term structures
    by Vogt, Erik

  • 2014 Asset pricing with horizon-dependent risk aversion
    by Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C.

  • 2014 Understanding mortgage spreads
    by Boyarchenko, Nina & Fuster, Andreas & Lucca, David O.

  • 2014 LIBOR: origins, economics, crisis, scandal, and reform
    by Hou, David & Skeie, David R.

  • 2014 Arbitrage-free affine models of the forward price of foreign currency
    by Durham, J. Benson

  • 2014 Can risk explain the profitability of technical trading in currency markets?
    by Ivanova, Yuliya & Neely, Christopher J. & Rapach, David E. & Weller, Paul A.

  • 2014 The cost of business cycles with heterogeneous trading technologies
    by Chien, YiLi

  • 2014 Momentum Trading, Return Chasing and Predictable Crashes
    by Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi

  • 2014 Inflation Uncertainty and Disagreement in Bond Risk Premia
    by D'Amico, Stefania & Orphanides, Athanasios

  • 2014 Returns to Active Management: The Case of Hedge Funds
    by Kazemi, Maziar & Islamaj, Ergys

  • 2014 Dealer Networks
    by Li, Dan & Schurhoff, Norman

  • 2014 Solving asset pricing models with stochastic volatility
    by de Groot, Oliver

  • 2014 The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors
    by D'Amico, Stefania & Fan, Roger & Kitsul, Yuriy

  • 2014 A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
    by Song, Zhaogang & Xiu, Dacheng

  • 2014 Unspanned macroeconomic factors in the yield curve
    by Coroneo, Laura & Giannone, Domenico & Modugno, Michele

  • 2014 QE Auctions of Treasury Bonds
    by Song, Zhaogang & Zhu, Haoxiang

  • 2014 Flights to Safety
    by Baele, Lieven & Bekaert, Geert & Inghelbrecht, Koen & Wei, Min

  • 2014 Modeling Money Market Spreads: What Do We Learn about Refinancing Risk?
    by Brousseau, Vincent & Nikolaou, Kleopatra & Pill, Huw

  • 2014 In Search of a Risk-free Asset
    by Yankov, Vladimir

  • 2014 Jumps in Bond Yields at Known Times
    by Kim, Don H. & Wright, Jonathan H.

  • 2014 Swiss unconventional monetary policy: lessons for the transmission of quantitative easing
    by Christensen, Jens H.E. & Krogstrup, Signe

  • 2014 Can spanned term structure factors drive stochastic yield volatility?
    by Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D.

  • 2014 Very long-run discount rates
    by Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes

  • 2014 The boy who cried bubble: public warnings against riding bubbles
    by Asako, Yasushi & Ueda, Kozo

  • 2014 Monitoring housing markets for episodes of exuberance: an application of the Phillips et al. (2012, 2013) GSADF test on the Dallas Fed International House Price Database
    by Pavlidis, Efthymios & Yusupova, Alisa & Paya, Ivan & Peel, David & Martinez-Garcia, Enrique & Mack, Adrienne & Grossman, Valerie

  • 2014 Testing for bubbles in housing markets: new results using a new method
    by Gómez-González, José E. & Ojeda-Joya, Jair N. & Rey-Guerra, Catalina & Sicard, Natalia

  • 2014 Financial frictions and the reaction of stock prices to monetary policy shocks
    by Ozdagli, Ali K.

  • 2014 Costs and benefits of building faster payment systems: the U.K. experience and implications for the United States
    by Greene, Claire & Rysman, Marc & Schuh, Scott & Shy, Oz

  • 2014 Bitcoin as money?
    by Lo, Stephanie & Wang, J. Christina

  • 2014 The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
    by Gospodinov, Nikolay & Jamali, Ibrahim

  • 2014 Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis
    by Jensen, Mark J. & Maheu, John M.

  • 2014 Nonlinearities in sovereign risk pricing the role of cds index contracts
    by Anne Laure Delatte

  • 2014 Rock around the clock :An agent-based model of low-and high frequency trading
    by Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgo Fagiolo

  • 2014 Interest Rate Swap Credit Valuation Adjustment
    by Jakub Èerný & Jiøí Witzany

  • 2014 Has the Relationship Between Market and Model CDS Price Changed during the EMU Debt Crisis?
    by Petra Buzková

  • 2014 Is Barrier version of Merton model more realistic? Evidence from Europe
    by Petra Andrlíková

  • 2014 Trading Participation Rights to the “Red Hat Puzzle”. An Experiment
    by Lawrence C. Y. Choo

  • 2014 Advice in the Marketplace: A Laboratory Study
    by Jonathan E. Alevy & Michael K. Price

  • 2014 Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk
    by Daniel Harenberg & Alexander Ludwig

  • 2014 Social Security and the Interactions Between Aggregate and Idiosyncratic Risk
    by Daniel Harenberg & Alexander Ludwig

  • 2014 Impact of International Oil Price Shocks on Consumption Expenditures in ASEAN and East Asia
    by Dayong ZHANG & David C. Broadstock

  • 2014 Forensic Finance
    by Verwijmeren, P.

  • 2014 An Alternative View of the US Price-Dividend Ratio Dynamics
    by Londoño Yarce, Juan Miguel & Regúlez Castillo, Marta & Vázquez Pérez, Jesús

  • 2014 Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
    by Sebastien Lleo & Bill Ziemba

  • 2014 Information asymmetries, volatility, liquidity, and the Tobin Tax
    by Albina Danilova & Christian Julliard

  • 2014 Asset pricing with index investing
    by Georgy Chabakauri & Oleg Rytchkov

  • 2014 Multi-asset noisy rational expectations equilibrium with contingent claims
    by Georgy Chabakauri & Kathy Yuan & Konstantinos Zachariadis

  • 2014 Exchange rates, expected returns and risk: UIP unbound
    by Anella Munro

  • 2014 The Impact of Oil Price Shocks on U.S. Bond Market Returns
    by Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon

  • 2014 Measuring the stance of monetary policy in conventional and unconventional environments
    by Leo Krippner

  • 2014 The Boy Who Cried Bubble: Public Warnings against Riding Bubbles
    by Yasushi Asako & Kozo Ueda

  • 2014 The Economics of BitCoin Price Formation
    by Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs

  • 2014 Benchmarks in Search Markets
    by Duffie, Darrell & Dworczak, Piotr & Zhu, Haoxiang

  • 2014 Evaluating Firm-Level Expected-Return Proxies
    by Lee, Charles M. C. & So, Eric C. & Wang, Charles C. Y.

  • 2014 Robust Benchmark Design
    by Duffie, Darrell & Dworczak, Piotr

  • 2014 Bank Earnings and Regulatory Capital Management Using Available for Sale Securities
    by Barth, Mary E. & Gomez-Biscarri, Javier & Kasznik, Ron & Lopez-Espinosa, German

  • 2014 Sovereign Debt Maturity and Debt-to GDP Dynamics in Six Euro Area Countries
    by Juan Equiza Goni

  • 2014 Who Are the Value and Growth Investors?
    by Calvet , Laurent & Betermier , Sebastien

  • 2014 Unique Durable Assets
    by Lovo , Stefano & Spaenjers , Christophe

  • 2014 False News, Informational Efficiency, and Price Reversals
    by FOUCAULT, Thierry & DUGAST, Jérôme

  • 2014 Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective
    by Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo

  • 2014 Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective
    by Naoyuki Yoshino & Farhad Taghizadeh-Hesary & Ali Hassanzadeh & Ahmad Danu Prasetyo

  • 2014 Financial integration, financial turmoil and risk premia in emerging markets
    by Salem Boubakri & Cécile Couharde & Hélène Raymond

  • 2014 On the impact of macroeconomic news surprises on Treasury-bond yields
    by Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout

  • 2014 It hurts (stock prices) when your team is about to lose a soccer match
    by Michael Ehrmann & David-Jan Jansen

  • 2014 Short-Term Price Overreaction: Identification, Testing, Exploitation
    by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun

  • 2014 The Weekend Effect: A Trading Robot and Fractional Integration Analysis
    by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko

  • 2014 Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
    by Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko

  • 2014 Are There Bubbles in Stock Prices? Testing for Fundamental Shocks
    by Anton Velinov & Wenjuan Chen

  • 2014 Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity : Evidence from the CAC 40 Index
    by Gresse, Carole & Deville, Laurent & De Séverac, Béatrice

  • 2014 Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contract
    by Portes, Richard & Fouquau, Julien & Delatte, Anne-Laure

  • 2014 Discounting the Distant Future
    by J. Doyne Farmer & John Geanakoplos & Jaume Masoliver & Miquel Montero & Josep Perello

  • 2014 On the compensation for illiquidity in sovereign credit markets
    by Jonatan Groba & Juan Ángel Lafuente & Pedro Serrano

  • 2014 The Evolving Beta-Liquidity Relationship of Hedge Funds
    by Denitsa Stefanova & Arjen Siegmann

  • 2014 Recall Searching with and without Recall
    by Tibor Neugebauer & Daniela Di Cagno & Carlos Rodriguez-Palmero, & Abdolkarim Sadrieh

  • 2014 Skewness Term Structure Tests
    by Thorsten Lehnert & Yuehao Lin

  • 2014 Is there a Bubble in the Art Market?
    by Roman Kräussl & Thorsten Lehnert & Nicolas Martelin

  • 2014 Evaluating Option Pricing Model Performance Using Model Uncertainty
    by Thorsten Lehnert & Gildas Blanchard & Dennis Bams

  • 2014 Skewness Risk Premium: Theory and Empirical Evidence
    by Christian Wolff & Thorsten Lehnert & Yuehao Lin

  • 2014 Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices
    by Roman Kräussl & Narasimhan Jegadeesh & Joshua M. Pollet

  • 2014 Mutual Funds’ Returns from Providing Liquidity and Costs of Immediacy
    by Kalle Rinne & Matti Suominen

  • 2014 Weakening the Gain-Loss-Ratio measure to make it stronger
    by Jan Voelzke

  • 2014 Stock Price Booms and Expected Capital Gains
    by Adam, Klaus & Beutel, Johannes & Marcet, Albert

  • 2014 Very Long-Run Discount Rates
    by Giglio, Stefano W & Maggiori, Matteo & Ströbel, Johannes

  • 2014 Man or machine? Rational trading without information about fundamentals
    by Rossi, Stefano & Tinn, Katrin

  • 2014 Getting Better or Feeling Better? How Equity Investors Respond to Investment Experience
    by Campbell, John Y & Ramadorai, Tarun & Ranish, Benjamin

  • 2014 Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
    by Delatte, Anne-Laure & Fouquau, Julien & Portes, Richard

  • 2014 Asset Prices in a Lifecycle Economy
    by Farmer, Roger E A

  • 2014 Lehman Brothers: What Did Markets Know?
    by Gehrig, Thomas & Haas, Marlene

  • 2014 Liquidity Risk and the Dynamics of Arbitrage Capital
    by Kondor, Péter & Vayanos, Dimitri

  • 2014 Out-of-Sample Evidence on the Returns to Currency Trading
    by Accominotti, Olivier & Chambers, David

  • 2014 Learning from Experience in the Stock Market
    by Nakov, Anton & Nuño, Galo

  • 2014 The Price of Political Uncertainty: Theory and Evidence from the Option Market
    by Kelly, Bryan & Pástor, Luboš & Veronesi, Pietro

  • 2014 The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market
    by Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel

  • 2014 Option-Based Credit Spreads
    by Culp, Christopher L. & Nozawa, Yoshio & Veronesi, Pietro

  • 2014 Are Retail Traders Compensated for Providing Liquidity?
    by Barrot, Jean-Noël & Kaniel, Ron & Sraer, David

  • 2014 The Power of the Street: Evidence from Egypt's Arab Spring
    by Acemoglu, Daron & Hassan, Tarek & Tahoun, Ahmed

  • 2014 Dealer Networks
    by Li, Dan & Schürhoff, Norman

  • 2014 Momentum Trading, Return Chasing, and Predictable Crashes
    by Chabot, Benjamin & Ghysels, Eric & Jagannathan, Ravi

  • 2014 Switching Risk Off: FX Correlations and Risk Premia
    by Beber, Alessandro & Brandt, Michael & Cen, Jason

  • 2014 Asset Management Contracts and Equilibrium Prices
    by Buffa, Andrea & Vayanos, Dimitri & Woolley, Paul

  • 2014 The Impact of Hedge Funds on Asset Markets
    by Kruttli, Mathias & Patton, Andrew J & Ramadorai, Tarun

  • 2014 Collateralisation bubbles when investors disagree about risk
    by Broer, Tobias & Kero, Afroditi

  • 2014 Bond Return Predictability: Economic Value and Links to the Macroeconomy
    by Gargano, Antonio & Pettenuzzo, Davide & Timmermann, Allan G

  • 2014 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
    by Galí, Jordi & Gambetti, Luca

  • 2014 Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World
    by Edmans, Alex & Li, Lucius & Zhang, Chendi

  • 2014 Shortfall Aversion
    by Guasoni, Paolo & Huberman, Gur & Ren, Dan

  • 2014 Forward and Spot Exchange Rates in a Multi-currency World
    by Hassan, Tarek & Mano, Rui C.

  • 2014 The social discount rate under a stochastic A2 scenario
    by Rob Aalbers & Marjon Ruijter & Kees Oosterlee (CWI)

  • 2014 Mathematical Analysis of Average Rates of Return and Investment Decisions: The Missing Link
    by Carlo Alberto Magni

  • 2014 Aggregate Return on Investment for Investments under Uncertainty
    by Carlo Alberto Magni

  • 2014 Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano
    by Juan Andrés Espinosa Torres & Luis Fernando Melo Velandia & José Fernando Moreno Gutiérrez

  • 2014 A Composite Indicator of Systemic Stress (CISS) for Colombia
    by Wilmar Cabrera & Jorge Hurtado & Miguel Morales & Juan Sebastián Rojas

  • 2014 Burbujas en precios de activos financieros: existencia, persistencia y migración
    by Juan Pablo Franco & José E. Gómez González & Jair N. Ojeda & Jhon Edward Torres

  • 2014 Bitcoin: something seems to be ‘fundamentally’ wrong
    by José E. Gómez-González & Julián A. Parra-Polania

  • 2014 Risk Aversion, Financial Stress and Their Non-Linear Impact on Exchange Rates
    by Tomas Adam & Sona Benecka & Jakub Mateju

  • 2014 The Economics of Bitcoins - Market Characteristics and Price Jumps
    by Marc Gronwald

  • 2014 Short-Term Price Overreactions: Identification, Testing, Exploitation
    by Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun

  • 2014 The Weekend Effect: A Trading Robot and Fractional Integration Analysis
    by Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko

  • 2014 Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
    by Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko

  • 2014 ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds
    by Christoph Trebesch & Jeromin Zettelmeyer

  • 2014 Dynamics of Consumption and Dividends over the Business Cycle
    by Myroslav Pidkuyko

  • 2014 Learning about Disaster Risk: Joint Implications for Consumption and Asset Prices
    by Max Gillman & Michal Kejak & Michal Pakos

  • 2014 The Time Value of Housing: Historical Evidence from London Residential Leases
    by Philippe Bracke & Ted Pinchbeck & James Wyatt

  • 2014 A short note on expected risk adjusted elasticity and consumer theory
    by José P. Dapena

  • 2014 The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility
    by Yang, Yan & Copeland, Laurence

  • 2014 Over-the-Counter Trade and the Value of Assets as Collateral
    by Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa

  • 2014 Reputational Concerns and Price Comovements
    by Maryam Sami & Sandro Brusco

  • 2014 Technology Shocks and Asset Pricing: The Role of Consumer Confidence
    by Vincenzo Merella & Stephen E. Satchell

  • 2014 A class of multivariate marked Poisson processes to model asset returns
    by Petar Jevtic & Patrizia Semeraro

  • 2014 Volatility Spillovers from Australia's major trading partners across the GFC
    by David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh

  • 2014 Asymmetric Realized Volatility Risk
    by David E. Allen & Michael McAleer & Marcel Scharth

  • 2014 A Transitions-Based Model of Default for Irish Mortgages
    by Kelly, Robert & O'Malley, Terence

  • 2014 ECB Monetary Operations and the Interbank Repo Market
    by Dunne, Peter G. & Fleming, Michael J. & Zholos, Andrey

  • 2014 Corporate Financing Choices after the 2007-2008 Financial Crisis
    by João Pinto & Mário Coutinho dos Santos

  • 2014 Can Irrational Investors Survive in the Long Run?: The Role of Generational Type Transmission
    by Scott S. Condie & Kerk L. Phillips

  • 2014 A Compound Multifractal Model for High-Frequency Asset Returns
    by Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin

  • 2014 Asset Prices and Asymmetric Reasoning
    by Elena Asparouhova & Peter Bossaerts & Jon Eguia & William Zame

  • 2014 Optimal Portfolio Choice under Decision-Based Model Combinations
    by Davide Pettenuzzo & Francesco Ravazzolo

  • 2014 Bond Return Predictability: Economic Value and Links to the Macroeconomy
    by Davide Pettenuzzo & Antonio Gargano & Allan Timmermann

  • 2014 Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks
    by Daniel L. Tortorice

  • 2014 Risk, Returns, and Multinational Production
    by Jose L. Fillat & Stefania Garetto

  • 2014 Diversification, Cost Structure, and the Risk Premium of Multinational Corporations
    by Jose L. Fillat & STEFANIA GARETTO & Lindsay Oldenski

  • 2014 Bond Markets, Stock Markets and Exchange Rates: A Dynamic Relationship
    by Suleyman Hilmi Kal & Ferhat Arslaner & Nuran Arslaner

  • 2014 Fiscal Policy Announcements of Italian Governments and Spread Reaction during the Sovereign Debt Crisis
    by M. Falagiarda & W. D. Gregori

  • 2014 Central Bank Communication and the Management of Market Confidence: Two Episodes in 2013 in the U.S. and Japan
    by Koichiro Kamada

  • 2014 Evaluating the robustness of UK term structure decompositions using linear regression methods
    by Malik, Sheheryar & Meldrum, Andrew

  • 2014 Expectations, risk premia and information spanning in dynamic term structure model estimation
    by Guimarães, Rodrigo

  • 2014 Monetary Policy, Bond Risk Premia, and the Economy
    by Peter N. Ireland

  • 2014 Stock Price Booms and Expected Capital Gains
    by Klaus Adam & Johannes Beutel & Albert Marcet

  • 2014 Stock Market Volatility and Learning
    by Klaus Adam & Albert Marcet & Juan Pablo Nicolini

  • 2014 The Term Structure of the Welfare Cost of Uncertainty
    by P. Lopez

  • 2014 Fixed-Income Pricing in a Non-Linear Interest-Rate Model
    by J-P. Renne

  • 2014 False News, Informational Efficiency, and Price Reversals
    by J. Dugast & T. Foucault

  • 2014 Specification Analysis of International Treasury Yield Curve Factors
    by Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L.

  • 2014 International Yield Curves and Principal Components Selection Techniques: An Empirical Assessment
    by Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L.

  • 2014 Le marché de la titrisation en Europe : caractéristiques et perspectives
    by Kern E.

  • 2014 Interventions and Expected Exchange Rates in Emerging Market Economies
    by Santiago García-Verdú & Manuel Ramos Francia

  • 2014 Peso-Dollar Forward Market Analysis: Explaining Arbitrage Opportunities during the Financial Crisis
    by Juan R. Hernández

  • 2014 How much of bank credit risk is sovereign risk? Evidence from the eurozone
    by Junye Li & Gabriele Zinna

  • 2014 The interest-rate sensitivity of the demand for sovereign debt. Evidence from OECD countries (1995-2011)
    by Giuseppe Grande & Sergio Masciantonio & Andrea Tiseno

  • 2014 Price pressures in the UK index-linked market: an empirical investigation
    by Gabriele Zinna

  • 2014 On bank credit risk: systemic or bank-specific? Evidence from the US and UK
    by Junye Li & Gabriele Zinna

  • 2014 Flight-to-liquidity flows in the euro area sovereign debt crisis
    by Juan Ángel García & Ricardo Gimeno

  • 2014 Short-sale constraints and financial stability: Evidence from the Spanish market
    by Óscar Arce & Sergio Mayordomo

  • 2014 High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
    by George J. Jiang & Ingrid Lo & Giorgio Valente

  • 2014 Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
    by Sermin Gungor & Richard Luger

  • 2014 Corporate Governance, Product Market Competition and Debt Financing
    by Teodora Paligorova & Jun Yang

  • 2014 What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
    by Ron Alquist & Gregory Bauer & Antonio Diez de los Rios

  • 2014 It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
    by Michael Ehrmann & David-Jan Jansen

  • 2014 Bond Risk Premia and Gaussian Term Structure Models
    by Bruno Feunou & Jean-Sébastien Fontaine

  • 2014 Monetary policy in the North, effects in the South
    by Gonzalo De Cadenas Santiago & Alicia Garcia-Herrero & Alvaro Ortiz Vidal-Abarca

  • 2014 Securitization and Asset Prices
    by Yunus Aksoy & Henrique S. Basso

  • 2014 Informational and Allocative Efficiency in Financial Markets with Costly Information
    by Arina Nikandrova

  • 2014 Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure
    by Soloschenko, Max & Weber, Enzo

  • 2014 Factor Models of Stock Returns: GARCH Errors versus Time - Varying Betas
    by Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis

  • 2014 Stock Price Booms and Expected Capital Gains
    by Klaus Adam & Johannes Beutel & Albert Marcet

  • 2014 Sovereign spreads and financial market behavior before and during the crisis
    by Pawel Gajewski & & &

  • 2014 Trading volume and market efficiency: an Agent Based Model with heterogenous knowledge about fundamentals
    by Vivien Lespagnol & Juliette Rouchier

  • 2014 The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds
    by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern

  • 2014 Option Valuation with Observable Volatility and Jump Dynamics
    by Peter Christoffersen & Bruno Feunou & Yoontae Jeon

  • 2014 Oil Volatility Risk and Expected Stock Returns
    by Peter Christoffersen & Xuhui (Nick) Pan

  • 2014 Equity Portfolio Management Using Option Price Information
    by Peter Christoffersen & Xuhui (Nick) Pan

  • 2014 The Risk Premia Embedded in Index Options
    by Torben G. Andersen & Nicola Fusari & Viktor Todorov

  • 2014 Cross listing: price discovery dynamics and exchange rate effects
    by Cristina M. Scherrer

  • 2014 Tail Risk Premia and Return Predictability
    by Tim Bollerslev & Viktor Todorov & Lai Xu

  • 2014 Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns
    by Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov

  • 2014 Dynamic term structure models: The best way to enforce the zero lower bound
    by Martin M. Andreasen & Andrew Meldrum

  • 2014 Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors
    by Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva

  • 2014 Fama on bubbles
    by Tom Engsted

  • 2014 Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
    by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou

  • 2014 Risk-Sensitive Investment Management
    by Mark H A Davis & S�bastien Lleo

  • 2014 Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques
    by Raymond Hon Fu Chan & Spike Tsz Ho Lee & Wing-Keung Wong

  • 2014 Speculative Bubbles And Financial Crises
    by FETINIUC, Valentina & IVAN, Luchian & GHERBOVEŢ, Sergiu

  • 2014 Thinly traded securities and risk management
    by Alejandro Bernales & Diether W. Beuermann & Gonzalo Cortazar

  • 2014 The Role of Capital Regulation and Risk-Taking by Banks in Monetary Policy
    by Ma³gorzata Olszak

  • 2014 International financial transmission of the Fed's monetary policy
    by Nikola Mirkov

  • 2014 The interpretative ability of coefficient R2 to calculate the firm value
    by Chara Theodoraki

  • 2014 The Effect of the Introduction of a »Pay Per Use« Option within motor TPL insurance
    by Stefan Trappl & Karl Zehetner & Robert Pichler

  • 2014 What remains of the theory of demand management in a globalising world?
    by Amit Bhaduri

  • 2014 Are ethical investments good?
    by Gariet WS Chow & Robert B Durand & SzeKee Koh

  • 2014 Explaining the bid-ask spread in the foreign exchange market: A test of alternate models
    by Sirimon Treepongkaruna & Tim Brailsford & Stephen Gray

  • 2014 Predictability of time-varying jump premiums: Evidence based on calibration
    by Kent Wang & Yuqiang Guo

  • 2014 On timing ability in Australian managed funds
    by Francis In & Sangbae Kim & Philip I Ji

  • 2014 Estimation Of Risk Neutral Measure For Polish Stock Market
    by Pawe³ Kliber

  • 2014 The Low Price Effect On The Polish Market
    by Adam Zaremba & Rados³aw ¯mudziñski

  • 2014 Institutional Investor Sentiment and Market Returns: Evidence from the Taiwan Futures Market
    by Ralph Yang-Cheng Lu & Hsiu-Chuan Lee & Peter Chiu

  • 2014 Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models
    by Melike Bildirici & Özgür Ömer Ersin

  • 2014 Time-Varying Behaviour of Sector Beta Risk – The Case of Poland
    by Kurach, Radosław & Stelmach, Jerzy

  • 2014 Fundamental Analysis And Discounted Free Cash Flow Valuation Of Stocks At Macedonian Stock Exchange
    by Ivanovski, Zoran & Ivanovska, Nadica & Narasanov, Zoran

  • 2014 Credit Spreads during the Global Financial Crisis: Evidence from the Japanese Bond Market
    by Yüksel, Aydın & Yüksel, Aslı

  • 2014 Gold Price, Stock Price and Exchange rate Nexus: The Case of India
    by Srinivasan P.

  • 2014 Is Solow’s Paradox Absent in World Leading Capital Markets? Econometric Evidence
    by Bilal Mehmood & Anam Shafique & Rabia Rafaqat

  • 2014 Brand Capital and Firm Value
    by Frederico Belo & Xiaoji Lin & Maria Ana Vitorino

  • 2014 Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios
    by Doriana Ruffino

  • 2014 Preferences for Risk in Dynamic Models with Adjustment Costs
    by Galina Vereshchagina

  • 2014 How Does a Pay-as-you-go System Affect Asset Returns and the Equity Premium?
    by Conny Olovsson

  • 2014 Advantages And Limitations Of The Financial Ratios Used In The Financial Diagnosis Of The Enterprise
    by Mihaela GADOIU

  • 2014 Analysis Of The Indicators Specific To Entities Listed On The Capital Market And Their Role In Quantifying Company Performance
    by Maria Daniela BONDOC & Mihaela Iuliana DUMITRU

  • 2014 Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands
    by Anna Staszewska-Bystrova & Peter Winker

  • 2014 An Examination of Adverse Selection Risk in Indian IPO After-Markets using High Frequency Data
    by Arnab Bhattacharya & Binay Bhushan Chakrabarti

  • 2014 Which Agency and Which Period is The Best? Analyzing National and International Fiscal Forecasts in Italy
    by Laura Carabotta

  • 2014 A new approach to private firm fair value valuation in line with IFRS 13 – the concept of the most advantageous market discount (MAMD)
    by Pawel Mielcarz

  • 2014 Cost of equity on the Polish and global coal market - comparative analysis
    by Aneta Michalak

  • 2014 The Momentum Effect In The Chilean Stock Market
    by ESPINOZA, NICOLÁS & ESPINOZA, TOMÁS

  • 2014 Improving the monitoring of the value of implicit guarantees for bank debt
    by Sebastian Schich & Michiel Bijlsma & Remco Mocking

  • 2014 Measurement and analysis of implicit guarantees for bank debt: OECD survey results
    by Sebastian Schich & Yesim Aydin

  • 2014 Real Options and Merchant Operations of Energy and Other Commodities
    by Secomandi, Nicola & Seppi, Duane J.

  • 2014 The Empirical Analysis of Liquidity
    by Craig W. Holden & Stacey Jacobsen & Avanidhar Subrahmanyam

  • 2014 Stock Market Consequences of the Suspension of the Central Bank of Nigeria’s Governor
    by Ibrahim Mohammed & Chioma Nwafor

  • 2014 Valor bursátil de los bancos europeos: Determinantes económico-financieros y de gobierno corporativo/Stock Market Value of European Banking: Economic, Financial and Corporate Governance Determinants
    by MUÑOZ JIMÉNEZ, IVÁN & RODRÍGUEZ FERNÁNDEZ, JOSÉ MIGUEL

  • 2014 ¿Puede un factor réplica del crecimiento económico futuro (PIB) explicar los rendimientos de los/News Related to Future Gross Domestic Product (GDP) Growth Factor on Asset Pricing on the Spanish Stock Market?
    by GRAU-GRAU, ALFREDO JUAN

  • 2014 Yield Curve Forecasts and the Predictive Power of Macro Variables in a VAR Framework
    by Luciano Vereda & Hélio Lopes & Jessica Kubrusly & Adrian Pizzinga & Taofik Mohammed Ibrahim

  • 2014 A Fed szigorodó monetáris politikájának hatása az eszközárakra a feltörekvő piacokon
    by Szabó, Zsolt

  • 2014 Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs
    by Nusret Cakici & Isil Erol & Dogan Tirtiroglu

  • 2014 Über die Natur und das Wesen des Geldes – J. H. von Thünens unveröffentlichtes Manuskript zur Geldtheorie
    by Ludwig Nellinger

  • 2014 Size and liquidity effects in Nigeria: an industrial sector study
    by Bruce Hearn

  • 2014 Does Human Psychology Drive Financial Markets? Evidence from International Markets
    by Abderrazak Dhaoui & Naceur Khraief

  • 2014 Real Term Structure and Inflation Compensation in the Euro Area
    by Marcello Pericoli

  • 2014 Identification and Evaluation of Factors of Dividend Policy
    by Sead Omerhodzic

  • 2014 Price and Volume Reactions to Cash Dividend Announcements: Evidence from Taiwan
    by Jack J.W. Yang & Tsung-Shin Wu

  • 2014 The Effect of Regulation Fair Disclosure on Market Integration
    by Surya Chelikani & Frank P. D'Souza

  • 2014 Evidence on Industry Cost of Equity Estimators
    by Omar Gharaibeh & Graham Bornholt & Michael Dempsey

  • 2014 Tests of Equity Market Anomalies for Select Emerging Markets
    by Sanjay Sehgal & Srividya Subramaniam & Florent Deisting

  • 2014 New Evidence from S&P 500 Index Deletions
    by Rashiqa Kamal

  • 2014 Australian Coal Company Risk Factors: Coal and Oil Prices
    by M. Zahid Hasan & Ronald A. Ratti

  • 2014 The Effects of Stock Dividend on Stock Return in Tehran Stock Exchange
    by Ebrahim Abbasi & Behrooz Ebrahimzadeh & Amir Mohammadzadeh

  • 2014 Does Investor Sentiment Matter in Post-Communist East European Stock Markets?
    by Dragos Stefan Oprea

  • 2014 Does Stock Liquidity Explain the Premium for Stock Price Momentum?
    by Jiri NOVAK

  • 2014 Arbitrage in the Term Structure of Interest Rates: a Bayesian Approach
    by Márcio Poletti Laurini & Armênio Westin Neto

  • 2014 Stock Market Efficiency and Size of the Firm: Empirical Evidence from Pakistan
    by Ikram ul Haq & Kashif Rashid

  • 2014 Turk Sermaye Piyasasinda Fiyat ve Islem Hacmi Iliskisi: Zamanla Degisen Asimetrik Nedensellik Analizi
    by Veli YILANCI & Seref BOZOKLU

  • 2014 The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach
    by Oueslati, Abdelmonem & Hammami, Yacine & Jilani, Faouzi

  • 2014 Determinants of US financial fragility conditions
    by Bagliano, Fabio C. & Morana, Claudio

  • 2014 Pricing of the currency risk in the Canadian equity market
    by Al-Shboul, Mohammad & Anwar, Sajid

  • 2014 Socially responsible investing and stock performance: New empirical evidence for the US and European stock markets
    by Mollet, Janick Christian & Ziegler, Andreas

  • 2014 IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors
    by Aissia, Dorsaf Ben

  • 2014 The predictability of aggregate returns on commodity futures
    by Lutzenberger, Fabian T.

  • 2014 Liquidity and capital under uncertainty and changing market sentiment: A simple analysis
    by Bossone, Biagio

  • 2014 Does sovereign risk matter? New evidence from eurozone corporate bond ratings and zero-volatility spreads
    by Klein, Christian & Stellner, Christoph

  • 2014 Foreign exchange rate exposure: Evidence from Canada
    by Al-Shboul, Mohammad & Anwar, Sajid

  • 2014 The spirit of capitalism among the income classes
    by Smoluk, H.J. & Voyer, John

  • 2014 Firm age, idiosyncratic risk, and long-run SEO underperformance
    by Huang, Chia-Wei & Ho, Po-Hsin & Lin, Chih-Yung & Yen, Ju-Fang

  • 2014 Multi-period sentiment asset pricing model with information
    by Li, Jinfang

  • 2014 Determining what drives stock returns: Proper inference is crucial: Evidence from the UK
    by Ma, Jun & Wohar, Mark E.

  • 2014 Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets?
    by Hueng, C. James

  • 2014 A dark side of international capital market integration: Domestic investors' view
    by Kim, In Joon & Kim, So Jung & Yoon, Sun-Joong

  • 2014 Non-parametric analysis of equity arbitrage
    by Vortelinos, Dimitrios I.

  • 2014 Herding of institutional investors and margin traders on extreme market movements
    by Lin, Anchor Y. & Lin, Yueh-Neng

  • 2014 Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market
    by Abad, Pilar & Robles, M. Dolores

  • 2014 The effect of corporate governance on stock liquidity: The case of Thailand
    by Prommin, Panu & Jumreornvong, Seksak & Jiraporn, Pornsit

  • 2014 Liquidity commonalities in the corporate CDS market around the 2007–2012 financial crisis
    by Mayordomo, Sergio & Rodriguez-Moreno, Maria & Peña, Juan Ignacio

  • 2014 Evidence of contagion in global REITs investment
    by Chang, Guang-Di & Chen, Chia-Shih

  • 2014 Oil shocks, stock market prices, and the U.S. dividend yield decomposition
    by Chortareas, Georgios & Noikokyris, Emmanouil

  • 2014 Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market
    by Faff, Robert & Gharghori, Philip & Nguyen, Annette

  • 2014 Stock returns with consumption and illiquidity risks
    by Márquez, Elena & Nieto, Belén & Rubio, Gonzalo

  • 2014 The valuation of European call options on zero-coupon bonds in the run-up to a fixed exchange-rate regime
    by Reher, Gerrit & Wilfling, Bernd

  • 2014 A time-varying perspective on the CAPM and downside betas
    by Tsai, Hsiu-Jung & Chen, Ming-Chi & Yang, Chih-Yuan

  • 2014 Benchmark models of expected returns in U.K. portfolio performance: An empirical investigation
    by Fletcher, Jonathan

  • 2014 The effects of monetary policy on stock returns: Financing constraints and “informative” and “uninformative” FOMC statements
    by Tsai, Chun-Li

  • 2014 How does retail sentiment affect IPO returns? Evidence from the internet bubble period
    by Chan, Yue-Cheong

  • 2014 Country credit risk determinants with model uncertainty
    by Maltritz, Dominik & Molchanov, Alexander

  • 2014 Do investments in intangible customer assets affect firm value?
    by Golec, Joseph & Gupta, Neeraj J.

  • 2014 Multifactor risk loadings and abnormal returns under uncertainty and learning
    by Salotti, Simone & Trecroci, Carmine

  • 2014 Asset pricing for inefficient markets: Evidence from China and India
    by Majumder, Debasish

  • 2014 Rules and risk in the Euro area
    by Iara, Anna & Wolff, Guntram B.

  • 2014 How profitable is the Indian stock market?
    by Narayan, Paresh Kumar & Ahmed, Huson Ali & Sharma, Susan Sunila & K.P., Prabheesh

  • 2014 Investor attention, information diffusion and industry returns
    by Wu, Qiongbing & Shamsuddin, Abul

  • 2014 Momentum returns and information uncertainty: Evidence from China
    by Cheema, Muhammad A. & Nartea, Gilbert V.

  • 2014 The demand-side explanation for commonality in liquidity: The role of institutional ownership in the Taiwan Stock Exchange
    by Lowe, Alpha

  • 2014 Commonality in liquidity, liquidity distribution, and financial crisis: Evidence from country ETFs
    by Lee, Hsiu-Chuan & Tseng, Yung-Ching & Yang, Chung-Jen

  • 2014 Liquidity discount in the opaque market: The evidence from Taiwan's Emerging Stock Market
    by Yeh, Chung-Ying & Yeh, Shih-Kuo & Chen, Ren-Raw

  • 2014 The central bank in market efficiency: The case of Taiwan
    by Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern

  • 2014 Stock returns, mutual fund flows and spillover shocks
    by Narayan, Paresh Kumar & Narayan, Seema & K.P, Prabheesh

  • 2014 The information content of analyst recommendation revisions — Evidence from the Chinese stock market
    by Jiang, George J. & Lu, Liangliang & Zhu, Dongming

  • 2014 Heads we win, tails you lose: Is there equity in Islamic equity funds?
    by Kamil, Nazrol K.M. & Alhabshi, Syed O. & Bacha, Obiyathulla I. & Masih, Mansur

  • 2014 Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach
    by Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis

  • 2014 Predicting future price volatility: Empirical evidence from an emerging limit order market
    by Jain, Pawan & Jiang, Christine

  • 2014 Momentum effect in Australian equities: Revisit, armed with short-selling ban and risk factors
    by Li, Bob & Stork, Thomas & Chai, Daniel & Ee, Mong Shan & Ang, Hong Nee

  • 2014 Google search intensity and its relationship with returns and trading volume of Japanese stocks
    by Takeda, Fumiko & Wakao, Takumi

  • 2014 Short-sales constraints and liquidity change: Cross-sectional evidence from the Hong Kong Market
    by Bai, Min & Qin, Yafeng

  • 2014 The profitability of candlestick charting in the Taiwan stock market
    by Lu, Tsung-Hsun

  • 2014 Information attributes, information asymmetry and industry sector returns
    by Gordon, Narelle & Watts, Edward & Wu, Qiongbing

  • 2014 Value investing and technical analysis in Taiwan stock market
    by Ko, Kuan-Cheng & Lin, Shinn-Juh & Su, Hsiang-Ju & Chang, Hsing-Hua

  • 2014 Country risk and the cost of equity in emerging markets
    by Warnes, Ignacio & Warnes, Pablo E.

  • 2014 What explains the initial return of initial public offerings after the 1997 Asian financial crisis? Evidence from Thailand
    by Vithessonthi, Chaiporn

  • 2014 Corporate diversification, real activities manipulation, and firm value
    by Farooqi, Javeria & Harris, Oneil & Ngo, Thanh

  • 2014 Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets
    by Gil-Alana, Luis A. & Tripathy, Trilochan

  • 2014 The relationship between spot and futures prices: An empirical analysis
    by Gulley, Andrew & Tilton, John E.

  • 2014 Housing market volatility in the OECD area: Evidence from VAR based return decompositions
    by Engsted, Tom & Pedersen, Thomas Q.

  • 2014 Fundamentally Wrong: Market Pricing of Sovereigns and the Greek Financial Crisis
    by Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S.

  • 2014 Are Japanese short sellers information detectives?
    by Lee, Bong-Soo & Ko, Kwangsoo

  • 2014 Cross-hedging strategies between CDS spreads and option volatility during crises
    by Da Fonseca, José & Gottschalk, Katrin

  • 2014 Market efficiency during the global financial crisis: Empirical evidence from European banks
    by Choudhry, Taufiq & Jayasekera, Ranadeva

  • 2014 Uncovered Equity Parity and rebalancing in international portfolios
    by Curcuru, Stephanie E. & Thomas, Charles P. & Warnock, Francis E. & Wongswan, Jon

  • 2014 The political determinants of sovereign bond yield spreads
    by Eichler, Stefan

  • 2014 Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis
    by Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros

  • 2014 Speculators, commodities and cross-market linkages
    by Büyükşahin, Bahattin & Robe, Michel A.

  • 2014 Bubbles in food commodity markets: Four decades of evidence
    by Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip

  • 2014 Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach
    by Yin, Weiwei & Li, Junye

  • 2014 Currency risk premia and uncovered interest parity in the International CAPM
    by Balvers, Ronald J. & Klein, Alina F.

  • 2014 Sovereign risk premia: The link between fiscal rules and stability culture
    by Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander

  • 2014 The long of it: Odds that investor sentiment spuriously predicts anomaly returns
    by Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu

  • 2014 Forecasting stock returns under economic constraints
    by Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen

  • 2014 Price pressures
    by Hendershott, Terrence & Menkveld, Albert J.

  • 2014 Dispersion in beliefs among active mutual funds and the cross-section of stock returns
    by Jiang, Hao & Sun, Zheng

  • 2014 Disagreement and asset prices
    by Carlin, Bruce I. & Longstaff, Francis A. & Matoba, Kyle

  • 2014 Conditional risk premia in currency markets and other asset classes
    by Lettau, Martin & Maggiori, Matteo & Weber, Michael

  • 2014 On the systematic volatility of unpriced earnings
    by Johnson, Timothy C. & Lee, Jaehoon

  • 2014 News-driven return reversals: Liquidity provision ahead of earnings announcements
    by So, Eric C. & Wang, Sean

  • 2014 Does PIN affect equity prices around the world?
    by Lai, Sandy & Ng, Lilian & Zhang, Bohui

  • 2014 The determinants of recovery rates in the US corporate bond market
    by Jankowitsch, Rainer & Nagler, Florian & Subrahmanyam, Marti G.

  • 2014 Death and jackpot: Why do individual investors hold overpriced stocks?
    by Conrad, Jennifer & Kapadia, Nishad & Xing, Yuhang

  • 2014 Monetary policy regimes: Implications for the yield curve and bond pricing
    by Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico

  • 2014 Crash-neutral currency carry trades
    by Jurek, Jakub W.

  • 2014 Mortgage convexity
    by Hanson, Samuel G.

  • 2014 Asset pricing: A tale of two days
    by Savor, Pavel & Wilson, Mungo

  • 2014 A dynamic limit order market with fast and slow traders
    by Hoffmann, Peter

  • 2014 The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market
    by Loon, Yee Cheng & Zhong, Zhaodong Ken

  • 2014 Lévy jump risk: Evidence from options and returns
    by Ornthanalai, Chayawat

  • 2014 Money and liquidity in financial markets
    by Nyborg, Kjell G. & Östberg, Per

  • 2014 Does option trading convey stock price information?
    by Hu, Jianfeng

  • 2014 Trading in derivatives when the underlying is scarce
    by Banerjee, Snehal & Graveline, Jeremy J.

  • 2014 Countercyclical currency risk premia
    by Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien

  • 2014 Did CDS trading improve the market for corporate bonds?
    by Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar

  • 2014 Composition of wealth, conditioning information, and the cross-section of stock returns
    by Roussanov, Nikolai

  • 2014 The value of diffusing information
    by Manela, Asaf

  • 2014 Betting against beta
    by Frazzini, Andrea & Pedersen, Lasse Heje

  • 2014 A dynamic equilibrium model of imperfectly integrated financial markets
    by Bhamra, Harjoat S. & Coeurdacier, Nicolas & Guibaud, Stéphane

  • 2014 Aggregation of preferences for skewed asset returns
    by Chabi-Yo, Fousseni & Leisen, Dietmar P.J. & Renault, Eric

  • 2014 When can expected utility handle first-order risk aversion?
    by Dionne, Georges & Li, Jingyuan

  • 2014 A leverage-based model of speculative bubbles
    by Barlevy, Gadi

  • 2014 A two-parameter model of dispersion aversion
    by Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John

  • 2014 Agency-based asset pricing
    by Gorton, Gary B. & He, Ping & Huang, Lixin

  • 2014 Advance information and asset prices
    by Albuquerque, Rui & Miao, Jianjun

  • 2014 Competitive rational expectations equilibria without apology
    by Kovalenkov, Alexander & Vives, Xavier

  • 2014 Introduction to financial economics
    by Allen, Franklin & Vayanos, Dimitri & Vives, Xavier

  • 2014 Securitized banking and the Euro financial crisis: Evidence from the Italian banks risk-taking
    by Battaglia, Francesca & Gallo, Angela & Mazzuca, Maria

  • 2014 Sovereign bond yield spreads and market sentiment and expectations: Empirical evidence from Euro area countries
    by Aristei, David & Martelli, Duccio

  • 2014 Dynamic effects of financial stress on the U.S. real estate market performance
    by Sum, Vichet

  • 2014 Dynamic correlation structure and security risk
    by Vozlyublennaia, Nadia & Meshcheryakov, Artem

  • 2014 Judgmental overconfidence and trading activity
    by Fellner-Röhling, Gerlinde & Krügel, Sebastian

  • 2014 Asset-holdings caps and bubbles in experimental asset markets
    by Lugovskyy, Volodymyr & Puzzello, Daniela & Tucker, Steven & Williams, Arlington

  • 2014 Exuberance out of left field: Do sports results cause investors to take their eyes off the ball?
    by Pantzalis, Christos & Park, Jung Chul

  • 2014 Glamour brands and glamour stocks
    by Billett, Matthew T. & Jiang, Zhan & Rego, Lopo L.

  • 2014 The dynamics of hedge fund share restrictions
    by Hong, Xin

  • 2014 Institutions and the turn-of-the-year effect: Evidence from actual institutional trades
    by Lynch, Andrew & Puckett, Andy & Yan, Xuemin (Sterling)

  • 2014 Integrating corporate ownership and pension fund structures: A general equilibrium approach
    by Ebrahim, M. Shahid & Mathur, Ike & ap Gwilym, Rhys

  • 2014 A novel equity valuation and capital allocation model for use by long-term value-investors
    by Rajaratnam, Myuran & Rajaratnam, Bala & Rajaratnam, Kanshukan

  • 2014 Credit spread changes within switching regimes
    by Maalaoui Chun, Olfa & Dionne, Georges & François, Pascal

  • 2014 Time-varying expected momentum profits
    by Kim, Dongcheol & Roh, Tai-Yong & Min, Byoung-Kyu & Byun, Suk-Joon

  • 2014 Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market
    by Chang, Eric C. & Luo, Yan & Ren, Jinjuan

  • 2014 Interest rate forecasts, state price densities and risk premium from Euribor options
    by Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria

  • 2014 Option implied volatilities and the cost of issuing equity
    by Fodor, Andy & Gokkaya, Sinan

  • 2014 The fast track IPO – Success factors for taking firms public with SPACs
    by Cumming, Douglas & Haß, Lars Helge & Schweizer, Denis

  • 2014 Private information flow and price discovery in the U.S. treasury market
    by Jiang, George J. & Lo, Ingrid

  • 2014 Diversification and systemic risk
    by Raffestin, Louis

  • 2014 Yes, the CAPM is testable
    by Guermat, Cherif

  • 2014 Loss severities on residential real estate debt during the Great Recession
    by Andersson, Fredrik & Mayock, Tom

  • 2014 Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe
    by Claeys, Peter & Vašíček, Bořek

  • 2014 Liquidity provision and stock return predictability
    by Hendershott, Terrence & Seasholes, Mark S.

  • 2014 Liquidity, leverage, and Lehman: A structural analysis of financial institutions in crisis
    by Chen, Ren-Raw & Chidambaran, N.K. & Imerman, Michael B. & Sopranzetti, Ben J.

  • 2014 Liquidity effects in corporate bond spreads
    by Helwege, Jean & Huang, Jing-Zhi & Wang, Yuan

  • 2014 Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
    by Chung, Shing Fung & Wong, Hoi Ying

  • 2014 Performance of international and global equity mutual funds: Do country momentum and sector momentum matter?
    by Breloer, Bernhard & Scholz, Hendrik & Wilkens, Marco

  • 2014 Quality of PIN estimates and the PIN-return relationship
    by Yan, Yuxing & Zhang, Shaojun

  • 2014 The economic consequences of regulatory changes in employee stock options on corporate bond holders: SFAS No.123R and structural credit model perspectives
    by Chen, Tsung-Kang & Liao, Hsien-Hsing & Chi, Cheng-Ming

  • 2014 Close form pricing formulas for Coupon Cancellable CoCos
    by Corcuera, José Manuel & De Spiegeleer, Jan & Fajardo, José & Jönsson, Henrik & Schoutens, Wim & Valdivia, Arturo

  • 2014 Long-term U.S. infrastructure returns and portfolio selection
    by Bianchi, Robert J. & Bornholt, Graham & Drew, Michael E. & Howard, Michael F.

  • 2014 Integration of European bond markets
    by Christiansen, Charlotte

  • 2014 Investor sentiment and return predictability of disagreement
    by Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won

  • 2014 Unveiling the embedded coherence in divergent performance rankings
    by Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia

  • 2014 The impact of derivatives hedging on the stock market: Evidence from Taiwan’s covered warrants market
    by Chung, San-Lin & Liu, Wen-Rang & Tsai, Wei-Che

  • 2014 Contrarian flows, consumption and expected stock returns
    by Zhang, Yuzhao

  • 2014 The MAX effect: European evidence
    by Walkshäusl, Christian

  • 2014 The determinants of CDS spreads
    by Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri

  • 2014 Competition, premature trading and excess volatility
    by Deb, Pragyan & Koo, Bonsoo & Liu, Zijun

  • 2014 An analysis of price discovery from panel data models of CDS and equity returns
    by Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan

  • 2014 Testing for a break in the persistence in yield spreads of EMU government bonds
    by Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias

  • 2014 The impact of CDS trading on the bond market: Evidence from Asia
    by Shim, Ilhyock & Zhu, Haibin

  • 2014 Corporate bond returns and the financial crisis
    by Aboody, David & Hughes, John S. & Bugra Ozel, N.

  • 2014 Are there common factors in individual commodity futures returns?
    by Daskalaki, Charoula & Kostakis, Alexandros & Skiadopoulos, George

  • 2014 Default prediction with dynamic sectoral and macroeconomic frailties
    by Chen, Peimin & Wu, Chunchi

  • 2014 Modeling and predicting the CBOE market volatility index
    by Fernandes, Marcelo & Medeiros, Marcelo C. & Scharth, Marcel

  • 2014 Style chasing by hedge fund investors
    by Horst, Jenke ter & Salganik, Galla

  • 2014 An intertemporal capital asset pricing model with bank credit growth as a state variable
    by Hammami, Yacine & Lindahl, Anna

  • 2014 Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities
    by Zhou, Yinggang

  • 2014 SOX, corporate transparency, and the cost of debt
    by Andrade, Sandro C. & Bernile, Gennaro & Hood, Frederick M.

  • 2014 Market liquidity, private information, and the cost of capital: Market microstructure studies on family firms in Japan
    by Ebihara, Takashi & Kubota, Keiichi & Takehara, Hitoshi & Yokota, Eri

  • 2014 The dynamic contagion of the global financial crisis into Japanese markets
    by Miyakoshi, Tatsuyoshi & Takahashi, Toyoharu & Shimada, Junji & Tsukuda, Yoshihiko

  • 2014 Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets
    by Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong

  • 2014 Macro to micro: Country exposures, firm fundamentals and stock returns
    by Li, Ningzhong & Richardson, Scott & Tuna, İrem

  • 2014 Sovereign and bank CDS spreads: Two sides of the same coin?
    by Avino, Davide & Cotter, John

  • 2014 African stock market returns and liquidity premia
    by Assefa, Tibebe A. & Mollick, André Varella

  • 2014 Capital gains and trading
    by Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng

  • 2014 A cross-country analysis of herd behavior in Europe
    by Mobarek, Asma & Mollah, Sabur & Keasey, Kevin

  • 2014 Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms
    by Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve

  • 2014 Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods
    by Hung, Chi-Hsiou D. & Azad, A.S.M. Sohel & Fang, Victor

  • 2014 Information content in CDS spreads for equity returns
    by Wang, Peipei & Bhar, Ramaprasad

  • 2014 What explains deviations in the unbiased expectations hypothesis? Market irrationality vs. the peso problem
    by Chen, Cathy Yi-Hsuan & Kuo, I-Doun & Chiang, Thomas C.

  • 2014 Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies
    by Theodossiou, Alexandra K. & Theodossiou, Panayiotis

  • 2014 New evidence on turn-of-the-month effects
    by Sharma, Susan Sunila & Narayan, Paresh Kumar

  • 2014 Rationalizing the value premium in emerging markets
    by Ebrahim, M. Shahid & Girma, Sourafel & Shah, M. Eskandar & Williams, Jonathan

  • 2014 Macro risk factors of credit default swap indices in a regime-switching framework
    by Chan, Kam Fong & Marsden, Alastair

  • 2014 Dependence structure between CEEC-3 and German government securities markets
    by Yang, Lu & Hamori, Shigeyuki

  • 2014 Bond futures, inflation-indexed bonds, and inflation risk premium
    by Kanas, Angelos

  • 2014 How strong are the causal relationships between Islamic stock markets and conventional financial systems? Evidence from linear and nonlinear tests
    by Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sarafrazi, Soodabeh

  • 2014 Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI
    by Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark

  • 2014 Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries
    by Chau, Frankie & Deesomsak, Rataporn & Wang, Jun

  • 2014 The microstructure of fear, the Fama–French factors and the global financial crisis of 2007 and 2008
    by Lim, Dominic & Durand, Robert B. & Yang, Joey Wenling

  • 2014 Global contagion of market sentiment during the US subprime crisis
    by Lee, Yen-Hsien & Tucker, Alan L. & Wang, David K. & Pao, Hsin-Ting

  • 2014 Understanding the cross-section of the U.S. housing bubble: The roles of lending, transaction costs, and rent growth
    by Goswami, Gautam & Tan, Sinan & Waisman, Maya

  • 2014 The impact of the French Tobin tax
    by Becchetti, L. & Ferrari, M. & Trenta, U.

  • 2014 Has the global banking system become more fragile over time?
    by Anginer, Deniz & Demirguc-Kunt, Asli

  • 2014 High short interest effect and aggregate volatility risk
    by Barinov, Alexander & Wu, Juan (Julie)

  • 2014 Who trades with whom? Individuals, institutions, and returns
    by Stoffman, Noah

  • 2014 Macroeconomic uncertainty and the cross-section of option returns
    by Aramonte, Sirio

  • 2014 Predictions of corporate bond excess returns
    by Lin, Hai & Wang, Junbo & Wu, Chunchi

  • 2014 Trading anonymity and order anticipation
    by Friederich, Sylvain & Payne, Richard

  • 2014 Exploiting stochastic dominance to generate abnormal stock returns
    by Clark, Ephraim & Kassimatis, Konstantinos

  • 2014 Are trading imbalances indicative of private information?
    by Kim, Sukwon Thomas & Stoll, Hans R.

  • 2014 Risk-return trade-off and serial correlation: Do volume and volatility matter?
    by Kinnunen, Jyri

  • 2014 Industry-based style investing
    by Jame, Russell & Tong, Qing

  • 2014 Price impact and asset pricing
    by Huh, Sahn-Wook

  • 2014 Ambiguity aversion, funding liquidity, and liquidation dynamics
    by Oh, Ji Yeol Jimmy

  • 2014 Hedging costs, liquidity, and inventory management: The evidence from option market makers
    by Wu, Wei-Shao & Liu, Yu-Jane & Lee, Yi-Tsung & Fok, Robert C.W.

  • 2014 When do stop-loss rules stop losses?
    by Kaminski, Kathryn M. & Lo, Andrew W.

  • 2014 Investor sentiment and bond risk premia
    by Laborda, Ricardo & Olmo, Jose

  • 2014 The intertemporal risk-return relation: A bivariate model approach
    by Jiang, Xiaoquan & Lee, Bong-Soo

  • 2014 A simple approximation of intraday spreads using daily data
    by Chung, Kee H. & Zhang, Hao

  • 2014 Leveling the trading field
    by Easley, David & Hendershott, Terrence & Ramadorai, Tarun

  • 2014 Informational linkages between dark and lit trading venues
    by Nimalendran, Mahendrarajah & Ray, Sugata

  • 2014 Market transparency, market quality, and sunshine trading
    by de Frutos, M. Ángeles & Manzano, Carolina

  • 2014 Price delay premium and liquidity risk
    by Lin, Ji-Chai & Singh, Ajai K. & Sun, Ping-Wen (Steven) & Yu, Wen

  • 2014 Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
    by Onan, Mustafa & Salih, Aslihan & Yasar, Burze

  • 2014 European business cycles and stock return predictability
    by Zhu, Yanjian & Zhu, Xiaoneng

  • 2014 Optimal portfolio choice for investors with industry-specific labor income risks
    by Tsai, Hui-Ju & Wu, Yangru

  • 2014 Investing in gold: Individual asset risk in the long run
    by Michis, Antonis A.

  • 2014 Sell in May and Go Away: Evidence from China
    by Guo, Biao & Luo, Xingguo & Zhang, Ziding

  • 2014 Can analysts predict rallies better than crashes?
    by Medovikov, Ivan

  • 2014 The value premium, aggregate risk innovations, and average stock returns
    by Lindaas, Knut F. & Simlai, Prodosh

  • 2014 A new strategy using term-structure dynamics of commodity futures
    by Kim, Soo-Hyun & Kang, Hyoung-Goo

  • 2014 Long-term government bond yields and macroeconomic fundamentals: Evidence for Greece during the crisis-era
    by Chionis, Dionysios & Pragidis, Ioannis & Schizas, Panagiotis

  • 2014 The bond–stock mix under time-varying interest rates and predictable stock returns
    by Leirvik, Thomas

  • 2014 Unconventional monetary policies and the corporate bond market
    by Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela

  • 2014 Improved method for static replication under the CEV model
    by Tsai, Wei-Che

  • 2014 Computing present values: Capital budgeting done correctly
    by Jarrow, Robert

  • 2014 Are stock markets really so inefficient? The case of the “Halloween Indicator”
    by Dichtl, Hubert & Drobetz, Wolfgang

  • 2014 The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default
    by Spencer, Peter

  • 2014 Optimal multi-period consumption and investment with short-sale constraints
    by Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Pınar, Mustafa Ç

  • 2014 GDP growth and the yield curvature
    by Møller, Stig V.

  • 2014 Stock return, dividend growth and consumption growth predictability across markets and time: Implications for stock price movement
    by McMillan, David G.

  • 2014 Forecasting option smile dynamics
    by Le, Van & Zurbruegg, Ralf

  • 2014 Anomalies, risk adjustment and seasonality: Australian evidence
    by Zhong, Angel & Limkriangkrai, Manapon & Gray, Philip

  • 2014 Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data
    by Urquhart, Andrew & McGroarty, Frank

  • 2014 Corporate yield spreads and real interest rates
    by Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C.

  • 2014 What drives stochastic risk aversion?
    by Cho, Sungjun

  • 2014 Liquidity and risk sharing benefits from opening an ETF market with liquidity providers: Evidence from the CAC 40 index
    by De Winne, Rudy & Gresse, Carole & Platten, Isabelle

  • 2014 Speculate against speculative demand
    by ap Gwilym, O. & Kita, A. & Wang, Q.

  • 2014 Is the accrual anomaly robust to firm-level analysis?
    by Strydom, Maria & Skully, Michael & Veeraraghavan, Madhu

  • 2014 The cross-section of stock returns in an early stock market
    by Ye, Qing & Turner, John D.

  • 2014 Classifying returns as extreme: European stock and bond markets
    by Christiansen, Charlotte

  • 2014 Persistence of ex-ante volatility and the cross-section of stock returns
    by Simlai, Prodosh

  • 2014 Consumer attitudes, stock market liquidity, and the macro economy: A Canadian perspective
    by Smimou, K.

  • 2014 Textual sentiment in finance: A survey of methods and models
    by Kearney, Colm & Liu, Sha

  • 2014 Revisiting fast profit investor sentiment and stock returns during Ramadan
    by Al-Khazali, Osamah

  • 2014 Option pricing under stochastic volatility and tempered stable Lévy jumps
    by Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J.

  • 2014 Trend following, risk parity and momentum in commodity futures
    by Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen

  • 2014 Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)
    by Annaert, Jan & Mensah, Lord

  • 2014 Energy futures prices and commodity index investment: New evidence from firm-level position data
    by Sanders, Dwight R. & Irwin, Scott H.

  • 2014 Crude oil: Commodity or financial asset?
    by Kolodziej, Marek & Kaufmann, Robert K. & Kulatilaka, Nalin & Bicchetti, David & Maystre, Nicolas

  • 2014 Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector
    by Bianconi, Marcelo & Yoshino, Joe A.

  • 2014 The impact of oil price shocks on U.S. bond market returns
    by Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan

  • 2014 Tail events: A new approach to understanding extreme energy commodity prices
    by Koch, Nicolas

  • 2014 What makes carbon traders cluster their orders?
    by Palao, Fernando & Pardo, Ángel

  • 2014 Oil price shocks and stock market returns: Evidence for some European countries
    by Cunado, Juncal & Perez de Gracia, Fernando

  • 2014 Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness
    by Lin, Boqiang & Wesseh, Presley K. & Appiah, Michael Owusu

  • 2014 Oil price risk exposure: The case of the U.S. Travel and Leisure Industry
    by Mohanty, Sunil & Nandha, Mohan & Habis, Essam & Juhabi, Eid

  • 2014 Counter-cyclical risk aversion
    by Kim, Kun Ho

  • 2014 The dispersion effect in international stock returns
    by Leippold, Markus & Lohre, Harald

  • 2014 House prices, expectations, and time-varying fundamentals
    by Gelain, Paolo & Lansing, Kevin J.

  • 2014 Production efficiency uncertainty and corporate credit risk: Structural form credit model perspectives
    by Chen, Tsung-Kang & Liao, Hsien-Hsing & Chen, Wei-Lun

  • 2014 An empirical investigation of methods to reduce transaction costs
    by Moorman, Theodore

  • 2014 Hedging the time-varying risk exposures of momentum returns
    by Martens, Martin & van Oord, Arco

  • 2014 Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach
    by Jiang, Danling & Peterson, David R. & Doran, James S.

  • 2014 Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
    by Tse, Yiu-Kuen & Dong, Yingjie

  • 2014 Price and earnings momentum: An explanation using return decomposition
    by Mao, Mike Qinghao & Wei, K.C. John

  • 2014 Quantiles of the realized stock–bond correlation and links to the macroeconomy
    by Aslanidis, Nektarios & Christiansen, Charlotte

  • 2014 Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types
    by Haghani, Shermineh

  • 2014 A frequency-domain alternative to long-horizon regressions with application to return predictability
    by Sizova, Natalia

  • 2014 Consumer confidence or the business cycle: What matters more for European expected returns?
    by Møller, Stig V. & Nørholm, Henrik & Rangvid, Jesper

  • 2014 Converting true returns into reported returns: A general theory of linear smoothing and anti-smoothing
    by McKenzie, Michael & Satchell, Stephen & Wongwachara, Warapong

  • 2014 The informational effect and market quality impact of upstairs trading and fleeting orders on the Australian Securities Exchange
    by Rose, Annica

  • 2014 Are regime-shift sources of risk priced in the market?
    by Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias

  • 2014 Trading activity in the equity market and its contingent claims: An empirical investigation
    by Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar

  • 2014 Regime switches in the risk–return trade-off
    by Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano

  • 2014 Intraday asymmetric liquidity and asymmetric volatility in FTSE-100 futures market
    by Xiang, Ju & Zhu, Xiaoneng

  • 2014 Pricing of liquidity risks: Evidence from multiple liquidity measures
    by Kim, Soon-Ho & Lee, Kuan-Hui

  • 2014 Exchange risk and asset returns: A theoretical and empirical study of an open economy asset pricing model
    by Huang, Lin & Wu, Jia & Zhang, Rui

  • 2014 How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?
    by Hung, Chi-Hsiou D. & Banerjee, Anurag N.

  • 2014 Conditional pricing of currency risk in Africa's equity markets
    by Kodongo, Odongo & Ojah, Kalu

  • 2014 Emerging market sovereign bond spreads and shifts in global market sentiment
    by Csontó, Balázs

  • 2014 Identifying risks in emerging market sovereign and corporate bond spreads
    by Zinna, Gabriele

  • 2014 Risk–return trade-off in the pacific basin equity markets
    by Cheng, Ai-Ru & Jahan-Parvar, Mohammad R.

  • 2014 Risk aversion, investor information and stock market volatility
    by Lansing, Kevin J. & LeRoy, Stephen F.

  • 2014 Growth forecasts, belief manipulation and capital markets
    by Lundtofte, Frederik & Leoni, Patrick

  • 2014 To see is to believe: Common expectations in experimental asset markets
    by Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan

  • 2014 Influence of institutional investors' participation on flipping activity of Malaysian IPOs
    by Che-Yahya, Norliza & Abdul-Rahim, Ruzita & Yong, Othman

  • 2014 Direct and indirect oil shocks and their impacts upon energy related stocks
    by Broadstock, David C. & Wang, Rui & Zhang, Dayong

  • 2014 Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange
    by Gómez-González, José Eduardo & Sanabria-Buenaventura, Elioth Mirsha

  • 2014 An analysis of firm and market volatility
    by Sharma, Susan Sunila & Narayan, Paresh Kumar & Zheng, Xinwei

  • 2014 Equity market contagion during the global financial crisis: Evidence from the world's eight largest economies
    by Dungey, Mardi & Gajurel, Dinesh

  • 2014 Long-run and short-run determinants of sovereign bond yields in advanced economies
    by Poghosyan, Tigran

  • 2014 Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US
    by Bhargava, Alok

  • 2014 The nonlinear price dynamics of U.S. equity ETFs
    by Caginalp, Gunduz & DeSantis, Mark & Sayrak, Akin

  • 2014 The VIX, the variance premium and stock market volatility
    by Bekaert, Geert & Hoerova, Marie

  • 2014 Time-varying jump tails
    by Bollerslev, Tim & Todorov, Viktor

  • 2014 Mutual excitation in Eurozone sovereign CDS
    by Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana

  • 2014 Examining macroeconomic models through the lens of asset pricing
    by Borovička, Jaroslav & Hansen, Lars Peter

  • 2014 Pricing default events: Surprise, exogeneity and contagion
    by Gouriéroux, C. & Monfort, A. & Renne, J.P.

  • 2014 On the properties of the coefficient of determination in regression models with infinite variance variables
    by Kurz-Kim, Jeong-Ryeol & Loretan, Mico

  • 2014 Nonparametric estimation and inference for conditional density based Granger causality measures
    by Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar

  • 2014 The dynamic mixed hitting-time model for multiple transaction prices and times
    by Renault, Eric & van der Heijden, Thijs & Werker, Bas J.M.

  • 2014 Variance trading and market price of variance risk
    by Bondarenko, Oleg

  • 2014 Maximum likelihood estimation of partially observed diffusion models
    by Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J.

  • 2014 Hermite polynomial based expansion of European option prices
    by Xiu, Dacheng

  • 2014 A new approach to Bayesian hypothesis testing
    by Li, Yong & Zeng, Tao & Yu, Jun

  • 2014 An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
    by Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y.

  • 2014 Volatility activity: Specification and estimation
    by Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna

  • 2014 Profitability and investment factors for UK asset pricing models
    by Nichol, Eoghan & Dowling, Michael

  • 2014 A characterization of the coskewness–cokurtosis pricing model
    by Back, Kerry

  • 2014 GARCH with omitted persistent covariate
    by Han, Heejoon & Park, Joon Y.

  • 2014 Optimal tranching with diverse beliefs
    by Guo, Guixia & Wang, Frank Yong & Wei, Xu

  • 2014 An exploration of the effect of doubt during disasters on equity premiums
    by Suzuki, Shiba

  • 2014 Monetary environments and stock returns revisited: A quantile regression approach
    by Chevapatrakul, Thanaset

  • 2014 Momentum in global equity markets in times of troubles: Does the economic state matter?
    by Grobys, Klaus

  • 2014 Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework
    by Boubaker, Sabri & Jouini, Jamel

  • 2014 The Cox, Ross and Rubinstein tree model which includes counterparty credit risk and funding costs
    by Hunzinger, Chadd B. & Labuschagne, Coenraad C.A.

  • 2014 The asymmetric predictability of high-yield bonds
    by Zhang, Tai-Wei & Wu, Wei-Hwa

  • 2014 Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options
    by Liu, Qiang & Guo, Shuxin

  • 2014 Institutional changes of Specified Purpose Acquisition Companies (SPACs)
    by Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos

  • 2014 Excess volatility and the cross-section of stock returns
    by Wang, Yuming & Ma, Jinpeng

  • 2014 The equity premium in a small open economy and an application to Israel
    by Borenstein, Eliezer & Elkayam, David

  • 2014 Relationship between the trading behavior of three institutional investors and Taiwan Stock Index futures returns
    by Lai, Hung-Cheng & Wang, Kuan-Min

  • 2014 Bilateral counterparty risk valuation for credit default swap in a contagion model using Markov chain
    by Dong, Yinghui & Wang, Guojing

  • 2014 Higher order expectations in sentiment asset pricing model
    by Yang, Chunpeng & Cai, Chuangqun

  • 2014 Monetary policy responses to the exchange rate: Empirical evidence from the ECB
    by Demir, İshak

  • 2014 Are Dow Jones Islamic equity indices exposed to interest rate risk?
    by Shamsuddin, Abul

  • 2014 Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation
    by Jouini, Jamel & Harrathi, Nizar

  • 2014 The conditional equity premium, cross-sectional returns and stochastic volatility
    by Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho

  • 2014 Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market
    by Long, Ling & Tsui, Albert K. & Zhang, Zhaoyong

  • 2014 The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?
    by Tse, Chin-Bun & Rodgers, Timothy & Niklewski, Jacek

  • 2014 Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market
    by Al-Shboul, Mohammad & Anwar, Sajid

  • 2014 Stock market integration and risk premium: Empirical evidence for emerging economies of South Asia
    by Abid, Ilyes & Kaabia, Olfa & Guesmi, Khaled

  • 2014 Dynamic sentiment asset pricing model
    by Yang, Chunpeng & Zhang, Rengui

  • 2014 Oil price risk in the Spanish stock market: An industry perspective
    by Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco

  • 2014 Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies
    by Hunter, John & Wu, Feng

  • 2014 Two-period trading sentiment asset pricing model with information
    by Yang, Chunpeng & Li, Jinfang

  • 2014 Herding, trend chasing and market volatility
    by Di Guilmi, Corrado & He, Xue-Zhong & Li, Kai

  • 2014 Location-scale portfolio selection with factor-recentered skew normal asset returns
    by Gan, Quan

  • 2014 Evolution and market behavior with endogenous investment rules
    by Bottazzi, Giulio & Dindo, Pietro

  • 2014 No-Arbitrage ROM simulation
    by Geyer, Alois & Hanke, Michael & Weissensteiner, Alex

  • 2014 Speculative behavior and the dynamics of interacting stock markets
    by Schmitt, Noemi & Westerhoff, Frank

  • 2014 Asset prices in affine real business cycle models
    by Malkhozov, Aytek

  • 2014 Endogenous risk in a DSGE model with capital-constrained financial intermediaries
    by Dewachter, Hans & Wouters, Raf

  • 2014 Cross-hedging minimum return guarantees: Basis and liquidity risks
    by Ankirchner, Stefan & Schneider, Judith C. & Schweizer, Nikolaus

  • 2014 Model-free CPPI
    by Schied, Alexander

  • 2014 Stock prices and monetary policy shocks: A general equilibrium approach
    by Challe, Edouard & Giannitsarou, Chryssi

  • 2014 Heterogeneous expectations in the gold market: Specification and estimation
    by Baur, Dirk G. & Glover, Kristoffer J.

  • 2014 Credit risk and asymmetric information: A simplified approach
    by Lindset, Snorre & Lund, Arne-Christian & Persson, Svein-Arne

  • 2014 Biased Bayesian learning with an application to the risk-free rate puzzle
    by Ludwig, Alexander & Zimper, Alexander

  • 2014 Recovering default risk from CDS spreads with a nonlinear filter
    by Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon

  • 2014 Robust determinants of IPO underpricing and their implications for IPO research
    by Butler, Alexander W. & Keefe, Michael O'Connor & Kieschnick, Robert

  • 2014 Share repurchases and institutional supply
    by Jared DeLisle, R. & Morscheck, J.D. & Nofsinger, John R.

  • 2014 The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables
    by Kim, Dong H. & Stock, Duane

  • 2014 Excess perks and stock price crash risk: Evidence from China
    by Xu, Nianhang & Li, Xiaorong & Yuan, Qingbo & Chan, Kam C.

  • 2014 Exploitation of the internal capital market and the avoidance of outside monitoring
    by Cline, Brandon N. & Garner, Jacqueline L. & Yore, Adam S.

  • 2014 Convertible debt and shareholder incentives
    by Dorion, Christian & François, Pascal & Grass, Gunnar & Jeanneret, Alexandre

  • 2014 Stock Prices and Implied Abnormal Earnings Growth
    by Hafiz Imtiaz AHMAD & Pascal ALPHONSE

  • 2014 Quand la psychologie et la linguistique rencontrent la finance:le cas de la France
    by Fabrice Hervé & Mohamed Zouaoui

  • 2014 La estructura temporal de los tipos de interés: estrategias de negociación en renta fija
    by Julián Andrada-Félix & Adrián Fernández-Pérez & Fernando Fernández-Rodríguez

  • 2014 Efectos de «ángeles caídos» en el mercado accionario colombiano: estudio de eventos del caso Interbolsa
    by José E. Gómez-González & Luis Fernando Melo Velandia

  • 2014 Warum ABS schlechte Produkte sein können, aber nicht müssen
    by Bernd Rudolph

  • 2014 State dependence of aggregated risk aversion: Evidence for the German stock market
    by Marc Hansen & Helmut Herwartz & Malte Rengel

  • 2014 The effect of investors' confidence on monetary policy- economic growth relationship: a Multivariate GARCH approach
    by Ege Yazgan

  • 2014 How to Measure Illiquidity on European Emerging Stock Markets?
    by Jelena Vidović & Tea Poklepović & Zdravka Aljinović

  • 2014 The labour market: institutions and reforms Summary of the 2nd labour market conference organised by the Aix-Marseille School of Economics and the Banque de France on 16 and 17 December 2013
    by .

  • 2014 Trading algorithmique et trading haute fréquence - Compte rendu de l’atelier de recherche organisé par la Banque de France le 8 novembre 2013
    by Bernales, A. & Dugast, J.

  • 2014 An Analysis Of The Effect Of Currency Mismatch On A Country’S Default Risk
    by Irena Jankovic & Bosko Zivkovic

  • 2014 Volatility Linkage of Nominal and Index-linked Bond Returns: A Multivariate BEKK-GARCH Approach
    by Noureddine Benlagha

  • 2014 An analysis on the difference between bank index-linked bonds’ prices and their fair-value
    by Michele Leonardo Bianchi

  • 2014 Romania'S Macroeconomic Position In The Union Europe
    by Oana Camelia IACOB & Ana-Maria VOLINTIRU

  • 2014 Endogenous Collateral Constraints and the Leverage Cycle
    by Ana Fostel & John Geanakoplos

  • 2014 Forward Rate Curve Smoothing
    by Robert A. Jarrow

  • 2014 Stock Prices and Earnings: A History of Research
    by Patricia M. Dechow & Richard G. Sloan & Jenny Zha

  • 2014 Alpha
    by Robert Faff

  • 2014 Subjective Nature Of Asset Valuation Yield Method
    by Marian Siminica & Mirela Ganea & Silviu Cârstina

  • 2014 Risk Measurement Using The ? (Beta) Coefficient For Financial Investment Companies
    by Dorel Berceanu & Nicolae Sichigea & Daniel Militaru

  • 2014 When Is a Risky Asset "Urgently Needed"?
    by Felix Kubler & Larry Selden & Xiao Wei

  • 2014 The Distributive Impacts of Financial Development: Evidence from Mortgage Markets during US Bank Branch Deregulation
    by Ishani Tewari

  • 2014 How Much Would You Pay to Resolve Long-Run Risk?
    by Larry G. Epstein & Emmanuel Farhi & Tomasz Strzalecki

  • 2014 Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality
    by Veronica Guerrieri & Robert Shimer

  • 2014 Speculative Asset Prices
    by Robert J. Shiller

  • 2014 Two Pillars of Asset Pricing
    by Eugene F. Fama

  • 2014 Discounting and Growth
    by Christian Gollier

  • 2014 Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye
    by Eric Budish & Peter Cramton & John Shim

  • 2014 Stock Prices, News, and Economic Fluctuations: Comment
    by Andr? Kurmann & Elmar Mertens

  • 2014 Monetary Policy and Rational Asset Price Bubbles
    by Jordi Gal?

  • 2014 A Macroeconomic Model with a Financial Sector
    by Markus K. Brunnermeier & Yuliy Sannikov

  • 2014 Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply
    by Jonathan H. Wright

  • 2014 Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment
    by Michael D. Bauer & Glenn D. Rudebusch & Jing Cynthia Wu

  • 2014 Estimating a Structural Model of Herd Behavior in Financial Markets
    by Marco Cipriani & Antonio Guarino

  • 2014 Private Equity Premium Puzzle Revisited
    by Katya Kartashova

  • 2013 A heterogeneous agents equilibrium model for the term structure of bond market liquidity
    by Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese

  • 2013 ĸ­Å›½Å®Žé™…ň©Çž‡Ä¸Žé€Šèƒ€É¢„Æœÿçš„Æœÿé™Ç»“Æž„ϼŠåÿºäºžæ— Å¥—ň©Å®È§‚ɇ‘Ȟ模Ş‹Çš„Ç ”Ç©¶
    by Gengming Zeng & Linlin Niu

  • 2013 Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia
    by Gregory C Chow & Shicheng Huang & Linlin Niu

  • 2013 Non-parametric Tests for the Martingale Restriction: A New Approach
    by Biao Guo & Qian Han & Doojin Ryu

  • 2013 Informational Price Cascades and Non-aggregation of Asymmetric Information in Experimental Asset Markets
    by Jason Shachat & Anand Srinivasan

  • 2013 An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
    by Linlin Niu

  • 2013 A Type of HJM Based Affine Model: Theory and Empirical Evidence
    by Haitao Li & Xiaoxia Ye

  • 2013 Aggregation in Incomplete Market with General Utility Functions
    by Chenghu Ma & Jiankang Zhang

  • 2013 Art Market Inefficiency
    by Geraldine David & Kim Oosterlinck & Ariane Szafarz

  • 2013 Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test
    by Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Duc Khuong Nguyen

  • 2013 Causality between US Economic Policy and Equity Market Uncertainties: Evidence from Linear and Nonlinear Tests
    by Ahdi N. Ajmi & Goodness C. Aye & Mehmet Balcilar & Ghassen El Montasser & Rangan Gupta

  • 2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
    by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen

  • 2013 The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling-Window Approach
    by Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang

  • 2013 The Long-Run Relationship between Consumption, House Prices and Stock Prices in South Africa: Evidence from Provincial-Level Data
    by Nicholas Apergis & Beatrice D. Simo-Kengne & Rangan Gupta

  • 2013 House Price, Stock Price and Consumption in South Africa: A Structural VAR Approach
    by Goodness C. Aye & Rangan Gupta & Alain Kaninda & Wendy Nyakabawo & Aarifah Razak

  • 2013 Search for a Common Factor in Public and Private Real Estate Returns
    by Andrew Ang & Neil Nabar & Sam Wald

  • 2013 Recursive utility and disappearing puzzles for discrete-time models
    by Aase, Knut K.

  • 2013 Recursive utility and disappearing puzzles for continuous-time models
    by Aase, Knut K.

  • 2013 ECB monetary operations and the interbank repo market
    by Dunne, Peter G. & Fleming, Michael J. & Zholos, Andrey

  • 2013 Mean-Variance Hedging on uncertain time horizon in a market with a jump
    by Ngoupeyou, Armand & Lim, Thomas & Kharroubi, Idris

  • 2013 Hedging Inflation Risk in a Developing Economy
    by Signori, Ombretta & Brière, Marie

  • 2013 Price relationships in crude oil futures: new evidence from CFTC disaggregated data
    by Chevallier, Julien

  • 2013 Ombres et lumières des ETF
    by Hamon, Jacques

  • 2013 Risque d'estimation, coût du capital et communication des tests de dépréciation
    by Paugam, Luc & Ramond, Olivier & Husson, Bruno & Philippe, Henri & Casta, Jean-François

  • 2013 The Interval Market Model in Mathematical Finance
    by Bernhard, Pierre & Engwerda, Jacob C. & Roorda, Berend & Schumacher, J.M. & Kolokoltsov, Vassili & Saint-Pierre, Patrick & Aubin, Jean-Pierre

  • 2013 Regime switching in bond yield and spread dynamics
    by Renne, Jean-Paul

  • 2013 The Trouble with Rates in the Subdivision Development Method to Land Valuation
    by Brian J. CURRY

  • 2013 Are Short-Selling Bans Effective? Evidence from the Summer 2011 European Bans on Net Short Sales
    by Ramona Dagostino

  • 2013 Estimating the Probability of a Lost Decade for U.S. and Global Equity
    by LeBaron, Blake

  • 2013 Implied Cost of Equity Capital in the U.S. Insurance Industry
    by Nissim, Doron

  • 2013 Valuing Financial Service Firms
    by Damodaran, Aswath

  • 2013 The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
    by Bicchetti, David & Maystre, Nicolas Maystre

  • 2013 Understanding the Sum of Perpetuities Method for Valuing Stock Prices
    by Dennis W. Jansen

  • 2013 German Open Ended Real Estate Fund Performance – The Impact of Liquidity
    by Michael Stein

  • 2013 What Determines REIT Returns in Turkey? An Application of Time-Varying Arbitrage Pricing Model in an Emerging REIT Market
    by Işıl EROL & Adem İLERİ

  • 2013 Bireysel Yatırımcı Davranışı Analizi: Anket Çalışması
    by Belma ÖZTÜRKKAL

  • 2013 Reward-to-Risk Ratios in Turkish Financial Markets
    by K. Ozgur DEMİRTAS & Yigit ATILGAN

  • 2013 Limelight on dark markets: an experimental study of liquidity and information
    by Aleksander Berentsen & Michael McBride & Guillaume Rocheteau

  • 2013 Systematic consumption risk in currency returns
    by Mathias Hoffmann & Rahel Suter

  • 2013 Liquidity, Market Efficiency and the Influence of Noise Traders: Quasi-Experimental Evidence from the Betting Industry
    by Raphael Flepp & Stephan Nüesch & Egon Franck

  • 2013 Return and risk of human capital contracts
    by Kroencke, Tim A. & Muehler, Grit & Sprietsma, Maresa

  • 2013 Asset pricing without garbage
    by Kroencke, Tim A.

  • 2013 Sovereign bond market reactions to fiscal rules and no-bailout clauses: The Swiss experience
    by Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen

  • 2013 GDP mimicking portfolios and the cross-section of stock returns
    by Kroencke, Tim A. & Schindler, Felix & Sebastian, Steffen & Theissen, Erik

  • 2013 Sovereign risk premia: The link between fiscal rules and stability culture
    by Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander

  • 2013 Sovereign risk premia: The link between fiscal rules and stability culture
    by Osterloh, Steffen & Heinemann, Friedrich & Kalb, Alexander

  • 2013 Are There Bubbles in the Sterling-dollar Exchange Rate? New Evidence from Sequential ADF Tests
    by Chen, Wenjuan & Bettendorf, Timo

  • 2013 Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
    by Posch, Olaf & Schrimpf, Andreas

  • 2013 Competition in Austrian Treasury Auctions
    by Zulehner, Christine & Elsinger, Helmut & Schmidt-Dengler, Philipp

  • 2013 Persistence in the price-to-dividend ratio and its macroeconomic fundamentals
    by Rengel, Malte & Herwartz, Helmut & Xu, Fang

  • 2013 On Creditor Seniority and Sovereign Bond Prices in Europe
    by Westermann, Frank & Steinkamp, Sven

  • 2013 Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses The Swiss Experience
    by Moessinger, Marc-Daniel & Feld, Lars P. & Kalb, Alexander & Osterloh, Steffen

  • 2013 Creative destruction and asset prices
    by Grammig, Joachim & Jank, Stephan

  • 2013 Growth options and firm valuation
    by Kraft, Holger & Schwartz, Eduardo & Weiss, Farina

  • 2013 Option-implied information and predictability of extreme returns
    by Vilkovz, Grigory & Xiaox, Yan

  • 2013 Does mood affect trading behavior?
    by Kaustia, Markku & Rantapuska, Elias

  • 2013 Asset pricing under uncertainty about shock propagation
    by Branger, Nicole & Grüning, Patrick & Kraft, Holger & Meinerding, Christoph

  • 2013 Financing asset growth
    by Brennan, Michael J. & Kraft, Holger

  • 2013 How does contagion affect general equilibrium asset prices?
    by Branger, Nicole & Kraft, Holger & Meinerding, Christoph

  • 2013 Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress
    by Odermann, Alexander & Cremers, Heinz

  • 2013 Functions and characteristics of corporate and sovereign CDS
    by Vogel, Heinz-Dieter & Bannier, Christina E. & Heidorn, Thomas

  • 2013 US Corporate Bond Yield Spread. A default risk debate
    by Shah, Syed Noaman & Kebewar, Mazen

  • 2013 Macroeconomic Forces and Stock Prices: Evidence from the Bangladesh Stock Market
    by Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek

  • 2013 High frequency trading and end-of-day price dislocation
    by Aitken, Michael & Cumming, Douglas & Zhan, Feng

  • 2013 Exchange trading rules, surveillance and insider trading
    by Aitken, Michael & Cumming, Douglas & Zhan, Feng

  • 2013 Which beta is best? On the information content of option-implied betas
    by Baule, Rainer & Korn, Olaf & Saßning, Sven

  • 2013 A heterogeneous agents equilibrium model for the term structure of bond market liquidity
    by Schuster, Philipp & Trapp, Monika & Uhrig-Homburg, Marliese

  • 2013 The price impact of CDS trading
    by Gündüz, Yalin & Nasev, Julia & Trapp, Monika

  • 2013 Monetary policy and stock market volatility
    by Bleich, Dirk & Fendel, Ralf & Rülke, Jan-Christoph

  • 2013 Collateral requirements and asset prices
    by Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl

  • 2013 Bayesian estimation of a DSGE model with asset prices
    by Kliem, Martin & Uhlig, Harald

  • 2013 The price impact of CDS trading
    by Gündüz, Yalin & Nasev, Julia & Trapp, Monika

  • 2013 CDS spreads and systemic risk: A spatial econometric approach
    by Keiler, Sebastian & Eder, Armin

  • 2013 Speculative behavior and the dynamics of interacting stock markets
    by Schmitt, Noemi & Westerhoff, Frank

  • 2013 Firm valuation and the uncertainty of future tax avoidance
    by Jacob, Martin & Schütt, Harm

  • 2013 The behavior of the hazard rate in the Gaussian structural default model under asymmetric information
    by Peter Spencer

  • 2013 The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models
    by Peter Spencer

  • 2013 Modeling US bank CDS spreads during the Global Financial Crisis with a deferred filtration pricing model
    by Peter Spencer

  • 2013 What Remains of the Theory of Demand Management in a Globalising World?
    by Amit Bhaduri

  • 2013 A Monthly Stock Exchange Index for Ireland, 1864‐1930
    by Richard S.Grossman & Ronan C. Lyons & Kevin Hjortshøj O’Rourke & Madalina A. Ursu

  • 2013 Inflation Risk Premia, Yield Volatility and Macro Factors
    by Andrea Berardi

  • 2013 Herding, Trend Chasing and Market Volatility
    by Corrado Di Guilmi & Xue-Zhong He & Kai Li

  • 2013 Liability Driven Investments under a Benchmark Based Approach
    by Jan Baldeaux & Eckhard Platen

  • 2013 The Impact of Short-Selling Constraints on Financial Market Stability in a Heterogeneous Agents Model
    by Mikhail Anufriev & Jan Tuinstra

  • 2013 Extreme Downside Liquidity Risk
    by Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian

  • 2013 In Search of Cushion? Crash Aversion and the Cross-Section of Expected Stock Returns Worldwide
    by Weigert, Florian

  • 2013 Crash Sensitivity and the Cross-Section of Expected Stock Returns
    by Ruenzi, Stefan & Weigert, Florian

  • 2013 Electricity Spot and Derivatives Pricing when Markets are Interconnected
    by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

  • 2013 Financing Asset Sales and Business Cycles
    by Arnold, Marc & Hackbarth, Dirk & Puhan, Tatjana-Xenia

  • 2013 Electricity Derivatives Pricing with Forward-Looking Information
    by Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel

  • 2013 Understanding FX Liquidity
    by Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul

  • 2013 Common Risk Factors of Infrastructure Firms
    by Ben Ammar, Semir & Eling, Martin

  • 2013 Variance Risk Premiums in Foreign Exchange Markets
    by Ammann, Manuel & Buesser, Ralf

  • 2013 The effects of monetary policy on stock market bubbles: Some evidence
    by Jordi Galí & Luca Gambetti

  • 2013 Recreating the South Sea bubble: Lessons from an experiment in financial history
    by Giovanni Giusti & Charles Noussair & Joachim Voth

  • 2013 On the closed-form approximation of short-time random strike options
    by Elisa Alòs & Jorge A. León

  • 2013 Aging and Real Estate Prices:Evidence from Japanese and US Regional Data
    by Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe

  • 2013 Credit in the Structure of the Market Quotation of Financial Assets in Relation to the Islamic Financial Laws
    by Magomet Yandiev & Renat Bekkin

  • 2013 The relationship between stock market parameters and interbank lending market: an empirical evidence
    by Magomet Yandiev & Alexander Pakhalov

  • 2013 Robust block bootstrap panel predictability tests
    by Westerlund J. & Smeekes S.

  • 2013 Negotiation and the clustering of corporate loan spreads
    by Chaudhry S.M. & Kleimeier S.

  • 2013 Calculating Fair Market Value in Legal Valuations: Do Adjustments in Value for Non-Systematic Risk Violate the Fair Market Value Standard?
    by Peter Dawson

  • 2013 Calculating Reliable Discounts for Lack of Marketability for Minority Family Limited Partnership Interest Using a Managed Asset Portfolio Market Analysis
    by Peter Dawson

  • 2013 The Capital Asset Pricing Model in Economic Perspective
    by Peter Dawson

  • 2013 Mean-variance portfolio methods for energy policy risk management
    by Gustavo A. Marrero & Luis A. Puch & Francisco J. Ramos-Real

  • 2013 Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study
    by Alberto Fernández Muñoz de Morales

  • 2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong

  • 2013 Volatility Smirk as an Externality of Agency Conict and Growing Debt
    by Marcin Jaskowski & Michael McAleer

  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj

  • 2013 Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market
    by Pilar Abad & M. Dolores Robles & Gare Cuervo

  • 2013 Recent Developments in Financial Economics and Econometrics: An Overview
    by Chia-Lin Chang & David Allen & Michael McAleer

  • 2013 Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector
    by Marcelo Bianconi & Joe A. Yoshino

  • 2013 Real and financial crises: A multi-agent approach
    by Mark Setterfield & Bill Gibson

  • 2013 Recreating the South Sea Bubble : Lessons from an Experiment in Financial History
    by Giusti, G. & Noussair, C.N. & Voth, H-J.

  • 2013 The Returns on Investment Grade Diamonds
    by Renneboog, L.D.R.

  • 2013 Price signals in illiquid markets:The case of residential property in Ireland, 2006-2012
    by Ronan C. Lyons

  • 2013 Endogenous Life-Cycle Housing Investment and Portfolio Allocation
    by Cengiz Tunc & Denis Pelletier

  • 2013 Yield Curve Estimation for Corporate Bonds in Turkey
    by Ibrahim Burak Kanli & Doruk Kucuksarac & Ozgur Ozel

  • 2013 Gecelik Kur Takasi Faizleri ve BIST Gecelik Repo Faizleri
    by Doruk Kucuksarac & Ozgur Ozel

  • 2013 Market-Based Measurement of Expectations on Short-Term Rates in Turkey
    by Ibrahim Burak Kanli

  • 2013 Measuring the performance of hedge funds using two-stage peer group benchmarks
    by Wilkens, Marco & Yao, Juan & Jeyasreedharan, Nagaratnam & Oehler, Patrick

  • 2013 The equity price channel in a New-Keynesian DSGE model with financial frictions and banking
    by Hylton Hollander & Guangling Liu

  • 2013 Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions
    by Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov

  • 2013 Short Selling and Inside Information
    by Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti

  • 2013 Short-Sellers: Informed but Restricted
    by Fernando D. Chague & Rodrigo De-Losso, Alan De Genaro, Bruno C. Giovannetti

  • 2013 Conditional Betas and Investor Uncertainty
    by Fernando D. Chague

  • 2013 Art Market Inefficiency
    by Geraldine David & Kim Oosterlinck & Ariane Szafarz

  • 2013 Time variation in asset price responses to macro announcements
    by Linda S. Goldberg & Christian Grisse

  • 2013 Providing Financial Education: A General Equilibrium Approach
    by Mario Padula & Yuri Pettinicchi

  • 2013 Bubbles, Crashes and Risk
    by William A. Branch & George W. Evans

  • 2013 The Equity Price Channel in a New-Keynesian DSGE Model with Financial Frictions and Banking
    by Hylton Hollander and Guangling Liu

  • 2013 Tail Parameters of Stable Distributions Using One Million Observations of Real Estate Returns from Five Continents
    by Michael Stein & Daniel Piazolo & Stoyan V. Stoyanov

  • 2013 German Real Estate Funds – Changes in Return Distributions and Portfolio Favourability
    by Michael Stein

  • 2013 Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
    by Joscha Beckmann & Ansgar Belke & Michael Kühl

  • 2013 High Frequency Trading in the Equity Markets During U.S. Treasury POMO
    by Cheng Gao & Bruce Mizrach

  • 2013 Market Quality Breakdowns in Equities
    by Cheng Gao & Bruce Mizrach

  • 2013 The impact of the French Tobin tax
    by Leonardo Becchetti & Massimo Ferrari & Ugo Trenta

  • 2013 Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long Run
    by Joscha Beckmann & Ansgar Belke & Michael Kuehl

  • 2013 The Industry-Specific Relationships between Corporate Financial Performance and 11 Corporate Social Performance Dimensions: Taking a More Nuanced Perspective
    by Rathner, Sebastian

  • 2013 The Relative Performance of Socially Responsible Investment Funds. New Evidence from Austria
    by Rathner, Sebastian

  • 2013 Two Pillars of Asset Pricing
    by Fama, Eugene F.

  • 2013 Uncertainty Outside and Inside Economic Models
    by Hansen, Lars Peter

  • 2013 Speculative Asset Prices
    by Shiller, Robert J.

  • 2013 Interview with 2013 Laureate in Economic Sciences Eugene F. Fama
    by Fama, Eugene F.

  • 2013 Interview with 2013 Laureate in Economic Sciences Lars Peter Hansen
    by Hansen, Lars Peter

  • 2013 Interview with 2013 Laureate in Economic Sciences Robert J. Shiller
    by Shiller, Robert J.

  • 2013 Trendspotting in Asset Markets
    by Committee, Nobel Prize

  • 2013 Understanding Asset Prices
    by Committee, Nobel Prize

  • 2013 The Determinants of Greek Bond Yields: An Empirical Study Before and During the Crisis
    by Chionis, Dionisios & Pragidis, Ioannis & Schizas, Panagiotis

  • 2013 The impact of the French Tobin tax
    by Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo

  • 2013 The Threat of Financial Contagion to Emerging Asia’s Local Bond Markets: Spillovers from Global Crises
    by Azis, Iwan J. & Mitra, Sabyasachi & Baluga, Anthony & Dime, Roselle

  • 2013 Risk Preferences and Estimation Risk in Portfolio Choice
    by Hao Liu & Winfried Pohlmeier

  • 2013 Liquidity Shocks and Stock Bubbles
    by Ogonna Nneji

  • 2013 Trading Death: The Implications of Annuity Replication for the Annuity Puzzle, Arbitrage, Speculation and Portfolios
    by Charles Sutcliffe

  • 2013 Learning Through the Yield Curve
    by Ortiz, Marco

  • 2013 Liquidity Shocks and the US Housing Credit Crisis of 2007–2008
    by Gianni La Cava

  • 2013 New Technology Adoption for Russian Regional Energy Generation: Moscow Case Study
    by Alexandra Bratanova & Jacqueline Robinson & Liam Wagner

  • 2013 The Money Value of a Man
    by Mark Huggett & Greg Kaplan

  • 2013 Risk-adjusted pricing of bank’s assets based on cash flow matching matrix
    by Voloshyn, Ihor & Voloshyn, Mykyta

  • 2013 Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach
    by Voloshyn, Ihor & Voloshyn, Mykyta

  • 2013 Essays on Expectations and the Econometrics of Asset Pricing
    by Lof, Matthijs

  • 2013 Long memory in the ukrainian stock market and financial crises
    by Maria Caporale, Guglielmo & Gil-Alana, Luis & Plastun, Alex & Makarenko, Inna

  • 2013 The Impact of Debt on Economic Growth: A Case Study of Indonesia
    by Swastika, Purti & Dewandaru, Ginanjar & Masih, Mansur

  • 2013 The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility
    by Karkowska, Renata

  • 2013 Rtadf: Testing for Bubbles with EViews
    by Caspi, Itamar

  • 2013 Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC
    by Rizvi, Syed Aun & Masih, Mansur

  • 2013 Pricing the Cost of Deposit Insurance and Assessing Moral Hazard Effect: Evidence from Banking Sector in Sudan
    by Onour, Ibrahim

  • 2013 Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?
    by Avino, Davide & Cotter, John

  • 2013 Transitional Dynamics of Oil Prices
    by Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran

  • 2013 Gold, Stock Price, Interest Rate and Exchange Rate Dynamics: An MS VAR Approach
    by Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran

  • 2013 Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach
    by Liu, Xiaochun

  • 2013 The application of the capital asset pricing model on the Croatian capital market
    by Tomić, Bojan

  • 2013 Discounting Cashflows from Illiquid Assets on Bank Balance Sheets
    by Nauta, Bert-Jan

  • 2013 Investment Decisions by Analysts: A Case Study of KSE
    by Shaikh, Salman

  • 2013 Asset allocation and portfolio optimization problems with metaheuristics: a literature survey
    by Jarraya, Bilel

  • 2013 Multiobjective optimization for the asset allocation of European nonlife insurance companies
    by Jarraya, Bilel & Bouri, Abdelfettah

  • 2013 Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors
    by Bai, Jushan & Ando, Tomohiro

  • 2013 Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India
    by Hiremath, Gourishankar S & Kumari, Jyoti

  • 2013 Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis
    by So, Leh-chyan

  • 2013 Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches
    by Lee, Y. & So, Leh-chyan

  • 2013 Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
    by Jensen, Mark J & Maheu, John M

  • 2013 Model uncertainty and expected return proxies
    by Jäckel, Christoph

  • 2013 Oil Price and Exchange Rate Volatility in Nigeria
    by Ogundipe, Adeyemi & Ogundipe, Oluwatomisin

  • 2013 Liquidity Issues in Indian Sovereign Bond Market
    by Nath, Golaka

  • 2013 Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate
    by Khan, Muhammad Irfan Khan & Meher, Muhammad Ayub Khan Mehar & Syed, Syed Muhammad Kashif

  • 2013 The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis
    by Nath, Golaka

  • 2013 Repo Market – A Tool to Manage Liquidity in Financial Institutions
    by Nath, Golaka

  • 2013 The Fama French Model or the capital asset pricing model: international evidence
    by Alves, Paulo

  • 2013 Mental Accounting: A Closed-Form Alternative to the Black Scholes Model
    by Siddiqi, Hammad

  • 2013 Interest rate modeling under multiple discounting curves
    by García Muñoz, Luis Manuel

  • 2013 A new financial metric for the art market
    by Charlin, Ventura & Cifuentes, Arturo

  • 2013 Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets
    by Ledenyov, Dimitri O. & Ledenyov, Viktor O.

  • 2013 Survey of Literature on Portfolio Theory
    by Cantillo, Andres

  • 2013 Analogy Making, Option Prices, and Implied Volatility
    by Siddiqi, Hammad

  • 2013 The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa
    by Ndako, Umar Bida

  • 2013 Size and liquidity effects in Nigeria: an industrial sector study
    by Hearn, Bruce

  • 2013 On the liquidity of CAC 40 index options Market
    by François-Heude, Alain & Yousfi, Ouidad

  • 2013 A Generalization of Gray and Whaley's Option
    by François-Heude, Alain & Yousfi, Ouidad

  • 2013 Price, Return and Volatility Linkages of Base Metal Futures traded in India
    by Sinha, Pankaj & Mathur, Kritika

  • 2013 Interest rate paradox
    by Ivanov, Sergei

  • 2013 Does Uncovered Interest rate Parity Hold After All?
    by Omer, Muhammad & de Haan, Jakob & Scholtens, Bert

  • 2013 Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models
    by Li, Minqiang & Mercurio, Fabio

  • 2013 Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
    by Xiao, Tim

  • 2013 Long-Run Risk and Hidden Growth Persistence
    by Pakos, Michal

  • 2013 The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
    by Xiao, Tim

  • 2013 Funding Cost and a New Capital Model
    by Hannah, Lincoln

  • 2013 An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk
    by Xiao, Tim

  • 2013 Testing rational speculative bubbles in Central European stock markets
    by Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel

  • 2013 Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market
    by Khan, Mashrur Mustaque & Yousuf, Ahmed Sadek

  • 2013 Was there a "Greenspan conundrum" in the Euro area ?
    by Lamé, Gildas

  • 2013 The cross-section of tail risks in stock returns
    by Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen

  • 2013 The drivers of downside equity tail risk
    by Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen

  • 2013 On option pricing in illiquid markets with random jumps
    by El-khatib, Youssef & Hatemi-J, Abdulnasser

  • 2013 US Corporate Bond Yield Spread: A default risk debate
    by SHAH, Syed Muhammad Noaman Ahmed & KEBEWAR, mazen

  • 2013 Diversifying Risks in Bond Portfolios: A Cross-border Approach
    by Sun, David & Tsai, Shih-Chuan

  • 2013 Do ambiguity effects survive in experimental asset markets?
    by Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz

  • 2013 A Note on Discounting and Funding Value Adjustments for Derivatives
    by Han, Meng & He, Yeqi & Zhang, Hu

  • 2013 CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions
    by García Muñoz, Luis Manuel

  • 2013 The equity premium in a small open economy, and an application to Israel
    by Borenstein, Eliezer & Elkayam, David

  • 2013 Sectoral equity returns and portfolio diversification opportunities across the GCC region
    by Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy

  • 2013 On Mergers, Acquisitions and Liquidation Using Specified Purpose Acquisition Companies (SPACs)
    by Milan Lakicevic & Yochanan Shachmurove & Milos Vulanovic

  • 2013 Conditional Eurobonds and the Eurozone Sovereign Debt Crisis
    by John Muellbauer

  • 2013 Rare Disasters and the Term Structure of Interest Rates
    by Jerry Tsai

  • 2013 Short-Term Shareholders, Bubbles, And CEO Myopia
    by John Thanassoulis

  • 2013 A monthly stock exchange index for Ireland, 1864-1930
    by Kevin Hjortshøj O'Rourke & Richard S. Grossman & Madalina A. Ursu

  • 2013 Endogenous Leverage and Asset Pricing in Double Auctions
    by Thomas Breuer & Martin Summer & Hans-Joachim Vollbrecht

  • 2013 The Benefits and Costs of Highly Expansionary Monetary Policy
    by Łukasz Rawdanowicz & Romain Bouis & Shingo Watanabe

  • 2013 A tractable framework for zero lower bound Gaussian term structure models
    by Leo Krippner

  • 2013 A Monthly Stock Exchange Index for Ireland, 1864-1930
    by Richard S. Grossman & Ronan C. Lyons & Kevin Hjortshoj O'Rourke & Madalina A. Ursu

  • 2013 Private Information in Markets: A Market Design Perspective
    by Marzena Rostek & Ji Hee Yoon

  • 2013 Parameter Learning in General Equilibrium: The Asset Pricing Implications
    by Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer

  • 2013 Maximum likelihood estimation of the equity premium
    by Efstathios Avdis & Jessica A. Wachter

  • 2013 Buffett's Alpha
    by Andrea Frazzini & David Kabiller & Lasse H. Pedersen

  • 2013 The Cost of Capital for Alternative Investments
    by Jakub W. Jurek & Erik Stafford

  • 2013 The Term Structure of Currency Carry Trade Risk Premia
    by Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan

  • 2013 Moral Hazard, Informed Trading, and Stock Prices
    by Pierre Collin-Dufresne & Vyacheslav Fos

  • 2013 Option Prices in a Model with Stochastic Disaster Risk
    by Sang Byung Seo & Jessica A. Wachter

  • 2013 The Joint Cross Section of Stocks and Options
    by Byeong-Je An & Andrew Ang & Turan G. Bali & Nusret Cakici

  • 2013 High Frequency Traders: Taking Advantage of Speed
    by Yacine Aït-Sahalia & Mehmet Saglam

  • 2013 Time Variation in Asset Price Responses to Macro Announcements
    by Linda S. Goldberg & Christian Grisse

  • 2013 Advance Refundings of Municipal Bonds
    by Andrew Ang & Richard C. Green & Yuhang Xing

  • 2013 Portfolio Choice with Illiquid Assets
    by Andrew Ang & Dimitris Papanikolaou & Mark Westerfield

  • 2013 Playing Favorites: How Firms Prevent the Revelation of Bad News
    by Lauren Cohen & Dong Lou & Christopher Malloy

  • 2013 Asset Pricing in the Frequency Domain: Theory and Empirics
    by Ian Dew-Becker & Stefano Giglio

  • 2013 Speculative Investors and Tobin's Tax in the Housing Market
    by Yuming Fu & Wenlan Qian & Bernard Yeung

  • 2013 Financial Market Shocks and the Macroeconomy
    by Avanidhar Subrahmanyam & Sheridan Titman

  • 2013 Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
    by Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu

  • 2013 Tail Risk and Asset Prices
    by Bryan Kelly & Hao Jiang

  • 2013 Commodity Trade and the Carry Trade: a Tale of Two Countries
    by Robert Ready & Nikolai Roussanov & Colin Ward

  • 2013 Identifying Taylor Rules in Macro-Finance Models
    by David Backus & Mikhail Chernov & Stanley E. Zin

  • 2013 The Twilight Zone: OTC Regulatory Regimes and Market Quality
    by Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner

  • 2013 Risk-Adjusting the Returns to Venture Capital
    by Arthur Korteweg & Stefan Nagel

  • 2013 Asset Pricing in the Dark: The Cross Section of OTC Stocks
    by Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock

  • 2013 Regression Discontinuity and the Price Effects of Stock Market Indexing
    by Yen-cheng Chang & Harrison Hong & Inessa Liskovich

  • 2013 Time Varying Risk Aversion
    by Luigi Guiso & Paola Sapienza & Luigi Zingales

  • 2013 Environmental Protection, Rare Disasters, and Discount Rates
    by Robert J. Barro

  • 2013 Waves in Ship Prices and Investment
    by Robin Greenwood & Samuel Hanson

  • 2013 Unemployment Crises
    by Nicolas Petrosky-Nadeau & Lu Zhang

  • 2013 X-CAPM: An Extrapolative Capital Asset Pricing Model
    by Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer

  • 2013 Commodity and Asset Pricing Models: An Integration
    by Gonzalo Cortazar & Ivo Kovacevic & Eduardo S. Schwartz

  • 2013 Financial-market Equilibrium with Friction
    by Adrian Buss & Bernard Dumas

  • 2013 Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy
    by Rajnish Mehra

  • 2013 Flights to Safety
    by Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei

  • 2013 'Lucas' In The Laboratory
    by Elena Asparouhova & Peter Bossaerts & Nilanjan Roy & William Zame

  • 2013 Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files
    by Nicole M. Aulerich & Scott H. Irwin & Philip Garcia

  • 2013 Pledgability and Liquidity: A New Monetarist Model of Financial and Macroeconomic Activity
    by Venky Venkateswaran & Randall Wright

  • 2013 The VIX, the Variance Premium and Stock Market Volatility
    by Geert Bekaert & Marie Hoerova

  • 2013 Shaping Liquidity: On the Causal Effects of Voluntary Disclosure
    by Karthik Balakrishnan & Mary B. Billings & Bryan T. Kelly & Alexander Ljungqvist

  • 2013 Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
    by Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos

  • 2013 Bubbles, Crises, and Heterogeneous Beliefs
    by Wei Xiong

  • 2013 Conditional Risk Premia in Currency Markets and Other Asset Classes
    by Martin Lettau & Matteo Maggiori & Michael Weber

  • 2013 Growth Options and Firm Valuation
    by Holger Kraft & Eduardo S. Schwartz & Farina Weiss

  • 2013 A Production-Based Model for the Term Structure
    by Urban Jermann

  • 2013 A Mean-Variance Benchmark for Intertemporal Portfolio Theory
    by John H. Cochrane

  • 2013 Gold Returns
    by Robert J. Barro & Sanjay P. Misra

  • 2013 Measuring Sovereign Contagion in Europe
    by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon

  • 2013 The Supply and Demand for Safe Assets
    by Gary B. Gorton & Guillermo Ordoñez

  • 2013 Salience and Asset Prices
    by Pedro Bordalo & Nicola Gennaioli & Andrei Shleifer

  • 2013 Expectations of Returns and Expected Returns
    by Robin Greenwood & Andrei Shleifer

  • 2013 Informed Trading and Expected Returns
    by James J. Choi & Li Jin & Hongjun Yan

  • 2013 Technological Innovation: Winners and Losers
    by Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman

  • 2013 A model for dependent defaults and pricing contingent claims with counterparty risk
    by Dariusz Gatarek & Juliusz Jabłecki

  • 2013 Does it pay to invest in IPOs? Evidence from the Warsaw Stock Exchange
    by Rafał Sieradzki

  • 2013 Price Discontinuities in Energy Spot and Futures Prices
    by Svetlana Maslyuka & Kristian Rotarub & Alexander Dokumentovc

  • 2013 La regolamentazione dello short selling: effetti sul mercato azionario italiano (Short selling ban: effects on the Italian stock market)
    by Lisa Mattioli & Riccardo Ferretti

  • 2013 A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises
    by Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli

  • 2013 Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns
    by Claudio Morana

  • 2013 Dynamic behavior of real and stock markets with a varying degree of interaction
    by Ahmad Naimzada & Marina Pireddu

  • 2013 Oil price dynamics, macro-finance interactions and the role of financial speculation
    by Claudio Morana

  • 2013 Determinants of US Financial fragility conditions
    by Fabio C. Bagliano & Claudio Morana

  • 2013 Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
    by David Ardia & Kris Boudt

  • 2013 Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
    by Georges Dionne & Olfa Maalaoui Chun

  • 2013 Why Do Analysts Disagree ?
    by Jean-Sébastien Michel & J. Ari Pandes

  • 2013 Fundamentally Wrong: Market Pricing Of Sovereigns And The Greek Financial Crisis
    by Heather D. Gibson & Stephen G. Hall & George S. Tavlas

  • 2013 Market Ecologies: The Interaction and Profitability of Technical Trading Strategies
    by Antony Jackson & Daniel Ladley

  • 2013 Born in the USA? Contagious investor sentiment and UK equity returns
    by Yawen Hudson & Christopher J. Green

  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj

  • 2013 Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs
    by Chiaki Hara

  • 2013 Pricing of Discount Bonds with a Markov Switching Regime
    by Robert J. Elliott & Katsumasa Nishide

  • 2013 Recent Developments in Financial Economics and Econometrics:An Overview
    by Chia-Lin Chang & David E Allen & Michael McAleer

  • 2013 Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator
    by Banu Simmons-Süer

  • 2013 Liquidity Shocks and Stock Market Reactions
    by Turan G. Bali & Lin Peng & Yannan Shen & Yi Tang

  • 2013 Reits' Growth Options and Asset Pricing Dynamics across Time
    by Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu

  • 2013 Announcements of ECB Unconventional Programs: Implications for the Sovereign Risk of Italy
    by Matteo Falagiarda & Stefan Reitz

  • 2013 Phase Transition in the S&P Stock Market
    by Matthias Raddant & Friedrich Wagner

  • 2013 Management Forecasts, Idiosyncratic Risk, and Information Environment
    by Norio Kitagawa & Shin' ya Okuda

  • 2013 Discount rates, market frictions and the mystery of the size premium
    by Thiago de Oliveira Souza

  • 2013 External Habit in a Production Economy
    by Andrew Y. Chen

  • 2013 Flight Patterns and Yields of European Government Bonds
    by Gregor von Schweinitz

  • 2013 Impact of idiosyncratic volatility on stock returns: A cross-sectional study
    by Serguey Khovansky & Zhylyevskyy, Oleksandr

  • 2013 On the time-varying relationship between EMU sovereign spreads and their determinants
    by António Afonso, & Michael G. Arghyrou, & George Bagdatoglou, & Alexandros Kontonikas

  • 2013 Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test
    by Tsangyao Chang & Wen-Yi Chen & Rangan Gupta & Duc Khuong Nguyen

  • 2013 Can Information Demand Help to Predict Stock Market Liquidity ? Google it !
    by Mohamed Arouri & Amal Aouadi & Philippe Foulquier & Frédéric Teulon

  • 2013 Regional integration of stock markets in Southeast Europe
    by Khaled Guesmi & Duc Khuong Nguyen

  • 2013 Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
    by Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen

  • 2013 Regional Equity Risk Premium Convergence: The case of Japan
    by Khaled Guesmi & Frédéric Teulon

  • 2013 The Economic Impact of Oil on Industry Portfolios
    by Jaime Casassus & Freddy Higuera

  • 2013 Semi Parametric Estimation Of Risk-Return Relationships
    by Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom

  • 2013 Price efficiency and trading behavior in limit order markets with competing insiders
    by Thomas Stoeckl

  • 2013 A Systematic approach to identify systemically important firms
    by Natasha Agarwal et al

  • 2013 The Importance of Trade and Capital Imbalances in the European Debt Crisis
    by Andrew Hughes Hallett & Juan Carlos Martinez Oliva

  • 2013 The impact of supply constraints on house prices in England
    by Christian A. L. Hilber & Wouter Vermeulen

  • 2013 Sovereign bond market reactions to fiscal rules and no-bailout clauses – The Swiss experience
    by Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh

  • 2013 State Price Densities implied from weather derivatives
    by Wolfgang Karl Härdle & Brenda López-Cabrera & Huei-Wen Teng &

  • 2013 Decomposing Risk in Dynamic Stochastic General Equilibrium
    by Hong Lan & Alexander Meyer-Gohde & &

  • 2013 Fair re-valuation of wine as an investment
    by Fabian Y.R.P. Bocart & Christian M. Hafner & &

  • 2013 Aging and Real Estate Prices: Evidence from Japanese and US Regional Data
    by Saita, Yumi & Shimizu, Chihiro & Watanabe, Tsutomu

  • 2013 Colog asset pricing, evidence from emerging markets
    by Dranev Yury & Fomkina Sofya

  • 2013 A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data
    by Victor Lapshin & Marat Kurbangaleev

  • 2013 An asymmetric approach to the cost of equity estimation: empirical evidence from Russia
    by Yury Dranev & Sofya Fomkina

  • 2013 Predicting the Spread of Financial Innovations: An Epidemiological Approach
    by Hull, Isaiah

  • 2013 Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises
    by Baum, Christopher & Karpava, Margarita & Schäfer, Dorothea & Stephan, Andreas

  • 2013 Growth Forecasts, Belief Manipulation and Capital Markets
    by Lundtofte, Frederik & Leoni, Patrick

  • 2013 Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry
    by Ding, Mingfa & Nilsson, Birger & Suardi, Sandy

  • 2013 Is Default Risk Priced in Equity Returns?
    by Yinxia G. Nielsen , Caren

  • 2013 Does Commonality in Illiquidity Matter to Investors?
    by Anderson, Richard G. & Binner, Jane M. & Hagströmer, Björn & Nilsson, Birger

  • 2013 Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry
    by Ding, Mingfa & Nilsson, Birger & Suardi, Sandy

  • 2013 Welfare and bond pricing implications of fiscal stabilization policies
    by Christoffel, Kai & Jaccard, Ivan & Kilponen, Juha

  • 2013 In search of concepts: The effects of speculative demand on returns and volume
    by ap Gwilym, Owain & Wang, Qingwei & Hasan, Iftekhar & Xie, Ru

  • 2013 Macro determinants of U.S. stock market risk premia in bull and bear markets
    by Baetje, Fabian & Menkhoff, Lukas

  • 2013 Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds
    by Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias

  • 2013 Information Environment and The Cost of Capital
    by Orie Barron & Xuguang Sheng & Maya Thevenot

  • 2013 The GST and mortgage costs: Australian evidence
    by Allen Huang & Benjamin Liu

  • 2013 The impact of the Goods and Services Tax on mortgage costs of Australian credit unions
    by Benjamin Liu & Allen Huang

  • 2013 Insolvency Traps and Multiple Equilibria Complex Dynamics in a Simple Bond Market
    by Alfredo Medio

  • 2013 On the time-varying relationship between EMU sovereign spreads and their determinants
    by António Afonso & Michael G. Arghyrou & George Bagdatoglou & Alexandros Kontonikas

  • 2013 No Good Deals - No Bad Models
    by Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges

  • 2013 Complexity with Heterogeneous Fundamentalists and a Multiplicative Price Mechanism
    by Ahmad K Naimzada & Giorgio Ricchiuti

  • 2013 Momentum and the term structure of interest rates
    by Durham, J. Benson

  • 2013 Arbitrage-free models of stocks and bonds
    by Durham, J. Benson

  • 2013 The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors
    by D'Amico, Stefania & Fan, Roger & Kitzul, Yuriy

  • 2013 Bubbles and Leverage: A Simple and Unified Approach
    by Bogusz, Theodore & Bogusz, Theodore

  • 2013 A Portfolio-Balance Approach to the Nominal Term Structure
    by King, Thomas B.

  • 2013 Human Capital and Long-Run Labor Income Risk
    by Benzoni, Luca & Chyruk, Olena

  • 2013 Learning, Rare Disasters, and Asset Prices
    by Lu, Yang & Siemer, Michael

  • 2013 Modeling yields at the zero lower bound: are shadow rates the solution?
    by Christensen, Jens H.E. & Rudebusch, Glenn D.

  • 2013 A probability-based stress test of Federal Reserve assets and income
    by Christensen, Jens H.E. & Lopez, Jose A. & Rudebusch, Glenn D.

  • 2013 Not so fast: high-frequency financial data for macroeconomic event studies
    by Ozdagli, Ali K.

  • 2013 Misspecification-robust inference in linear asset pricing models with irrelevant risk factors
    by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare

  • 2013 A staggered pricing approach to modeling speculative storage: implications for commodity price dynamics
    by Assa, Hirbod & Dabbous, Amal & Gospodinov, Nikolay

  • 2013 Do Sound Public Finances Require Fiscal Rules Or Is Market Pressure Enough?
    by Michael Bergman & Michael M. Hutchison & Svend E. Hougaard Jensen

  • 2013 Index-Based Risk Financing and Development of Natural Disaster Insurance Programs in Developing Asian Countries
    by Sommarat CHANTARAT & Kirk PANNANGPETCH & Nattapong PUTTANAPONG & Thanasin TANOMPONGHANDH

  • 2013 The impact of the French Tobin tax
    by Leonardo Becchetti & Massimo Ferrari

  • 2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    by Lean, H.H. & McAleer, M.J. & Wong, W-K.

  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by McAleer, M.J. & Radalj, K.

  • 2013 Consumption and portfolio rules whit stochastic hyperbolic discounting
    by Pérez Kakabadse, Alonso & Palacios Huerta, Ignacio

  • 2013 Mark-to-market accounting and systemic risk: evidence from the insurance industry
    by Andrew Ellul & Chotibhak Jotikasthira & Christian T. Lundblad & Yihui Wang

  • 2013 Debt maturity and the liquidity of secondary debt markets
    by Max Bruche & Anatoli Segura

  • 2013 Attracting investor attention through advertising
    by Dong Lou

  • 2013 An estimation of economic models with recursive preferences
    by Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson

  • 2013 Efficient Jacobian evaluations for estimating zero lower bound term structure models
    by Leo Krippner

  • 2013 Faster solutions for Black zero lower bound term structure models
    by Leo Krippner

  • 2013 A tractable framework for zero-lower-bound Gaussian term structure models
    by Leo Krippner

  • 2013 A Heterogenous Agent Foundation for Tests of Asset Price Bubbles
    by Vipin Arora & Shuping Shi

  • 2013 The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation
    by Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas

  • 2013 Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks
    by Alfonso Mendoza Velázquez & Peter N. Smith

  • 2013 Asymmetry in Government Bond Returns
    by Ippei Fujiwara & Lena Mareen Korber & Daisuke Nagakura

  • 2013 The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
    by Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats

  • 2013 Sub-Penny and Queue-Jumping
    by Buti, Sabrina & Consonni, Francesco & Rindi, Barbara & Werner, Ingrid M.

  • 2013 The Term Structures of Co-entropy in International Financial Markets
    by Chabi-Yo, Fousseni & Colacito, Riccardo

  • 2013 External Habit in a Production Economy
    by Chen, Andrew Y.

  • 2013 Tick Size Regulation and Sub-Penny Trading
    by Buti, Sabrina & Rindi, Barbara & Wen, Yuanji & Werner, Ingrid M.

  • 2013 Comovement of Corporate Bonds and Equities
    by Bao, Jack & Hou, Kewei

  • 2013 Brand Capital and Firm Value
    by Belo, Frederico & Lin, Xiaoji & Vitorino, Maria Ana

  • 2013 Discount Rates, Market Frictions and the Mystery of the Size Premium
    by Thiago De Oliveira Souza

  • 2013 Unspanned Macroeconomic Factors in the Yields Curve
    by Laura Coroneo & Domenico Giannone & Michèle Modugno

  • 2013 The Price of Wine
    by Dimson, Elroy & Rousseau, Peter L. & Spaenjers, Christophe

  • 2013 Financing Investment: The Choice between Bonds and Bank Loans
    by Morellec , Erwan & Valta , Philip & Zhdanov , Alexei

  • 2013 What's Beneath the Surface? Option Pricing with Multifrequency Latent States
    by Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold

  • 2013 The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
    by Busse, Marc & Dacorogna, Michel & Kratz, Marie

  • 2013 There is a VaR Beyond Usual Approximations
    by Kratz , Marie

  • 2013 Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
    by Banerjee, Anurag N. & Chevillon, Guillaume & Kratz, Marie

  • 2013 Asymmetry in Government Bond Returns
    by Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura

  • 2013 Asymmetry in Government Bond Returns
    by Ippei Fuijwara & Lena Mareen Korber & Daisuke Nagakura

  • 2013 The Impact of Hedge Funds on Asset Markets
    by Matthias Kruttli & Andrew J. Patton & Tarun Ramadorai

  • 2013 A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
    by Henri Audigé

  • 2013 Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries
    by Anna Creti & Zied Ftiti & Khaled Guesmi

  • 2013 Systematic tail risk
    by Maarten van Oordt & Chen Zhou

  • 2013 Heterogeneity in house price dynamics
    by Gabriele Galati & Federica Teppa & Rob Alessie

  • 2013 What drives pension indexation in turbulent times? An empirical examination of Dutch pension funds
    by Dirk Broeders & Paul Hilbers & David Rijsbergen

  • 2013 Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
    by Christopher F. Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephan

  • 2013 Long Memory in the Ukrainian Stock Market
    by Guglielmo Maria Caporale & Luis A. Gil-Alana

  • 2013 Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky
    by Szafarz, Ariane & Oosterlinck, Kim & Mignon, Valérie & Drut, Bastien & Brière, Marie

  • 2013 Evolutionary beliefs and financial markets
    by Napp, Clotilde & Viossat, Yannick & Jouini, Elyès

  • 2013 The links between some European financial factors and the BRICS credit default swap spreads
    by Avouyi-Dovi, Sanvi & Ano Sujithan, Kuhanathan

  • 2013 Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
    by Russo, Francesco & Oudjane, Nadia & Goutte, Stéphane

  • 2013 Real Asset Valuation under Imperfect Competition: Can We Forget About Market Fundamentals?
    by Chaton, Corinne & Durand-Viel, Laure

  • 2013 Do corporate bond and credit default swap markets value environmental, social or corporate governance events?
    by Berg, Florian & Le Pen, Yannick

  • 2013 Reviewing the Leverage Cycle
    by Ana Fostel & John Geanakoplos

  • 2013 Financial Innovation, Collateral and Investment
    by Ana Fostel & John Geanakoplos

  • 2013 Asymmetry in government bond returns
    by Daisuke Nagakura & Lena Mareen Korber & Ippei Fujiwara

  • 2013 Was there a « Greenspan Conundrum » in the Euro area?
    by G. LAMÉ

  • 2013 Regime Switching and Bond Pricing
    by Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne

  • 2013 Was there a "Greenspan conundrum" in the Euro Area ?
    by Gildas Lamé

  • 2013 Stein s Overreaction Puzzle: Option Anomaly or Perfectly Rational Behavior?
    by Thorsten Lehnert & Yuehao Lin & Nicolas Martelin

  • 2013 Do Fund Investors Know that Risk is Sometimes not Priced?
    by Fabian Irek & Thorsten Lehnert

  • 2013 Home Away From Home? Safe Haven Effects and London House Prices
    by Badarinza, Cristian & Ramadorai, Tarun

  • 2013 Carry
    by Koijen, Ralph & Moskowitz, Tobias J & Pedersen, Lasse Heje & Vrugt, Evert B.

  • 2013 Buffett’s Alpha
    by Frazzini, Andrea & Kabiller, David & Pedersen, Lasse Heje

  • 2013 Speculation, Risk Premia and Expectations in the Yield Curve
    by Barillas, Francisco & Nimark, Kristoffer P

  • 2013 Methods for Measuring Expectations and Uncertainty in Markov-Switching Models
    by Bianchi, Francesco

  • 2013 Regime Switches in the Risk-Return Trade-off
    by Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano

  • 2013 Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis
    by Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel

  • 2013 Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
    by Giusti, Giovanni & Noussair, Charles & Voth, Hans-Joachim

  • 2013 Identifying Taylor rules in macro-finance models
    by Backus, David & Chernov, Mikhail & Zin, Stanley E.

  • 2013 Risk-Adjusting the Returns to Venture Capital
    by Korteweg, Arthur & Nagel, Stefan

  • 2013 Time Varying Risk Aversion
    by Guiso, Luigi & Sapienza, Paola & Zingales, Luigi

  • 2013 Providing financial education: a general equilibrium approach
    by Padula, Mario & Pettinicchi, Yuri

  • 2013 Volatility Risk Premia and Exchange Rate Predictability
    by Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio

  • 2013 Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals
    by Beber, Alessandro & Brandt, Michael & Luisi, Maurizio

  • 2013 Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence
    by Albuquerque, Rui & Durnev, Artyom & Koskinen, Yrjö

  • 2013 Economic Cycles and Expected Stock Returns
    by Beber, Alessandro & Brandt, Michael & Luisi, Maurizio

  • 2013 Financial-market Equilibrium with Friction
    by Buss, Adrian & Dumas, Bernard J

  • 2013 Asset Prices with Heterogeneity in Preferences and Beliefs
    by Bhamra, Harjoat Singh & Uppal, Raman

  • 2013 Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
    by Guibaud, Stéphane & Nosbusch, Yves & Vayanos, Dimitri

  • 2013 Identification and Inference Using Event Studies
    by Gürkaynak, Refet S. & Wright, Jonathan

  • 2013 Forecasting Stock Returns under Economic Constraints
    by Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen

  • 2013 Distilling the Macroeconomic News Flow
    by Beber, Alessandro & Brandt, Michael & Luisi, Maurizio

  • 2013 Skewness Risk Premium: Theory and Empirical Evidence
    by Lehnert, Thorsten & Lin, Yuehao & Wolff, Christian C

  • 2013 A Theory of Asset Prices based on Heterogeneous Information
    by Albagli, Elias & Hellwig, Christian & Tsyvinski, Aleh

  • 2013 The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
    by Farmer, Roger E A & Nourry, Carine & Venditti, Alain

  • 2013 Optimal Discount Rates for Investments in Mitigation and Adaptation
    by Rob Aalbers

  • 2013 Can geography lock a society in stagnation?
    by DAO, Nguyen-Thang & DAVILA, Julio

  • 2013 Can federal reserve policy deviation explain response patterns of financial markets over time?
    by WANG, Kent & WANG, Shin-Huei & PAN, Zheyao

  • 2013 Fair re-valuation of wine as an investment
    by BOCART, Fabian & HAFNER, Christian

  • 2013 Generalized Makeham's Formula and Economic Profitability
    by Carlo Alberto Magni

  • 2013 Efectos de “ángeles caídos” en el mercado accionario colombiano: estudio de eventos del caso Interbolsa
    by José E. Gómez-González & Luis Fernando Melo Velandia

  • 2013 Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory
    by Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek

  • 2013 Debt Maturity And The Liquidity Of Secondary Debt Markets
    by Max Bruche & Anatoli Segura

  • 2013 Disaster Risk in a New Keynesian Model
    by Marlène Isoré & Urszula Szczerbowicz

  • 2013 Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
    by Kyle Moore & Pengfei Sun & Casper de Vries & Chen Zhou

  • 2013 Cyclical Asset Returns in the Consumption and Investment Goods Sector
    by Burkhard Heer & Alfred Maussner & Bernd Süssmuth

  • 2013 Systematic Consumption Risk in Currency Returns
    by Mathias Hoffmann & Rahel Suter

  • 2013 What do the Fama-French Factors Add to C-CAPM?
    by Pongrapeeporn Abhakorn & Peter N. Smith & Michael Wickens

  • 2013 Sovereign Bond Market Reactions to Fiscal Rules and No-Bailout Clauses - The Swiss Experience
    by Lars P. Feld & Alexander Kalb & Marc-Daniel Moessinger & Steffen Osterloh

  • 2013 Asset Pricing with Uncertain Betas: A Long-Term Perspective
    by Christian Gollier

  • 2013 A Search-Theoretic Model of the Term Premium
    by Athanasios Geromichalos & Lucas Herrenbrueck & Kevin Salyer

  • 2013 Dependence Calibration and Portfolio Fit with FactorBased Time Changes
    by Elisa Luciano & Marina Marena & Patrizia Semeraro

  • 2013 Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
    by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong

  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj

  • 2013 Recent Developments in Financial Economics and Econometrics: An Overview
    by Chia-Lin Chang & David Allen & Michael McAleer

  • 2013 Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?
    by Doran, David & Dunne, Peter & Monks, Allen & O'Reilly, Gerard

  • 2013 A Comparative Analysis Of Ex Ante Credit Spreads: Structured Finance Versus Straight Debt Finance
    by João Pinto & Manuel Marques & William Megginson

  • 2013 To Predict the Equity Market, Consult Economic Theory
    by Davide Pettenuzzo

  • 2013 Forecasting Stock Returns under Economic Constraints
    by Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov

  • 2013 Casual Link Between Islamic and Conventional Banking: Evidence From Turkish Banking Sector
    by Serkan Yuksel & Mutahhar Erturk

  • 2013 Trading Puzzle, Puzzling Trade
    by Orhan Erdem & Evren Arik & Serkan Yüksel

  • 2013 Determining Systemic Risk Factors in Borsa Istanbul
    by Serkan Yuksel

  • 2013 Sovereign Contagion in Europe: Evidence from the CDS Market
    by P. Manasse & L. Zavalloni

  • 2013 Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields
    by Hibiki Ichiue & Yoichi Ueno

  • 2013 Fundamentally wrong: market pricing of sovereigns and the Greek financial crisis
    by Heather D. Gibson & Stephen G. Hall & George S. Tavlas

  • 2013 Likelihood inference in non-linear term structure models: the importance of the lower bound
    by Andreasen, Martin & Meldrum, Andrew

  • 2013 Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
    by Christopher F. Baum & Margarita Karpava & Dorothea Schäfer & Andreas Stephan

  • 2013 Rationalizing the Value Premium in Emerging Markets
    by M. Shahid Embrahim & Sourafel Girma & M. Eskander Shah & Jonathan Williams

  • 2013 Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
    by Frank Riedel & Frederik Herzberg

  • 2013 The Determinants Of Cds Spreads
    by Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion

  • 2013 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
    by Jordi Galí & Luca Gambetti

  • 2013 Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
    by Giovanni Giusti & Charles Noussair & Hans-Joachim Voth

  • 2013 Speculation, Risk Premia and Expectations in the Yield Curve
    by Francisco Barillas & Kristoffer Nimark

  • 2013 Regime Switching and Bond Pricing
    by Gouriéroux, C. & Monfort, A. & Pegoraro, F. & Renne, J-P.

  • 2013 Pricing Default Events: Surprise, Exogeneity and Contagion
    by Gouriéroux, C. & Monfort, A. & Renne, J-P.

  • 2013 Credit and Liquidity in Interbank Rates: a Quadratic Approach
    by Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G.

  • 2013 Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model
    by Rocío Elizondo

  • 2013 Macroeconomic and monetary policy surprises and the term structure of interest rates
    by Marcello Pericoli

  • 2013 Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk
    by Emma Berenguer & Ricardo Gimeno & Juan M. Nave

  • 2013 Regime Switches in the Risk-Return Trade-Off
    by Eric Ghysels & Pierre Guérin & Massimiliano Marcellino

  • 2013 The Financialization of Food?
    by Valentina G. Bruno & Bahattin Buyuksahin & Michel A. Robe

  • 2013 Which Parametric Model for Conditional Skewness?
    by Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tedongap

  • 2013 Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
    by Sermin Gungor & Richard Luger

  • 2013 Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
    by Jianjian Jin

  • 2013 A New Linear Estimator for Gaussian Dynamic Term Structure Models
    by Antonio Diez de los Rios

  • 2013 The Impact of Monetary Policy Surprises on Australian Financial Futures Markets
    by Xinsheng Lu & Ying Zhou & Mingting Kou

  • 2013 The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010
    by Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats

  • 2013 State-Price Deflators and Risk-Neutral valuation of Life Insurance Liabilities
    by Bell Fanon Ouelega

  • 2013 The Fine Structure of Equity-Index Option Dynamics
    by Torben G. Andersen & Oleg Bondarenko & Viktor Todorov & George Tauchen

  • 2013 Correlation Dynamics and International Diversification Benefits
    by Peter Christoffersen & Vihang R. Errunza & Kris Jacobs & Xisong Jin

  • 2013 Illiquidity Premia in the Equity Options Market
    by Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui

  • 2013 The Factor Structure in Equity Options
    by Peter Christoffersen & Mathieu Fournier & Kris Jacobs

  • 2013 Dynamic Diversification in Corporate Credit
    by Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois

  • 2013 Rare Disasters and Credit Market Puzzles
    by Peter Christoffersen & Du Du & Redouane Elkamhi

  • 2013 Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
    by Torben G. Andersen & Oleg Bondarenko

  • 2013 Does Realized Skewness Predict the Cross-Section of Equity Returns?
    by Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez

  • 2013 Sticky continuous processes have consistent price systems
    by Christian Bender & Mikko S. Pakkanen & Hasanjan Sayit

  • 2013 Classifying Returns as Extreme: European Stock and Bond Markets
    by Charlotte Christiansen

  • 2013 Risk-Return Trade-Off for European Stock Markets
    by Nektarios Aslanidis & Charlotte Christiansen & Christos S. Savva

  • 2013 Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
    by Daniela Osterrieder

  • 2013 Bond return predictability in expansions and recessions
    by Tom Engsted & Stig V. Møller & Magnus Sander

  • 2013 Housing market volatility in the OECD area: Evidence from VAR based return decompositions
    by Tom Engsted & Thomas Q. Pedersen

  • 2013 Impact of the economic crisis on house prices in the Czech Republic measured on hedonic price index on bank data
    by Martin Lux & Petr Sunega

  • 2013 Activating the covered bonds market in Poland – the need for regulatory improvements
    by Agnieszka Tułodziecka & Agnieszka Nierodka

  • 2013 Handbook of the Fundamentals of Financial Decision Making:In 2 Parts
    by

  • 2013 States, Banks, and the Financing of the Economy: Fiscal Policy and Sovereign Risk Perspectives
    by Morten Balling & Peter Egger & Ernest Gnan & Axel A. Weber & Harald W. Stieber & Stavros Vourloumis & António Afonso & João Tovar Jalles & Franco Bruni & André van Poeck & Maartje Wijffelaars & Séverine Menguy & Wim Boonstra & Allard Bruinshoofd & Aneta Hryckiewicz

  • 2013 Asymmetric Correlation of Sovereign Bond Yield Dynamics in the Eurozone
    by Silvo Dajcman

  • 2013 Commodity Prices, Convenience Yields, and Inflation
    by Nikolay Gospodinov & Serena Ng

  • 2013 What Does the Yield Curve Tell Us about Exchange Rate Predictability?
    by Yu-chin Chen & Kwok Ping Tsang

  • 2013 Endogenous indeterminacy and volatility of asset prices under ambiguity
    by Mandler, Michael

  • 2013 Liquidity hoarding
    by Gale, Douglas & Yorulmazer, Tanju

  • 2013 Models Of Capital Costs Quantification
    by Tomáš KLIEŠTIK & Katarína VALÁŠKOVÁ

  • 2013 Exponential Smoothing Technique In Correlation Structure Forecasting Of Visegrad Country Indices
    by Jozef GLOVA

  • 2013 The Effect Of 2008 Stock Market Crash On Underpricing Of Book-Built Ipos: A Study Of Indian Capital Market
    by DIVYA JINDAL & RAVI SINGLA

  • 2013 Impact Of Hartal On Stock Return And Turnover: Evidence From Bangladesh
    by BOKHTIAR HASAN & A. F. M. MAINUL AHSAN & AFZALUR RAHAMAN

  • 2013 The Impact Of Investor Psychology On Stock Markets: Evidence From France
    by ABDERRAZAK DHAOUI & SAAD BOUROUIS & MELEK ACAR BOYACIOGLU

  • 2013 Real-Time Warning Signs of Emerging and Collapsing Chinese House Price Bubbles
    by Xi Chen & Michael Funke

  • 2013 Convergence of Returns on Chinese and Russian Stock Markets with World Markets: National and Sectoral Perspectives
    by Jan Babecký & Luboš Komárek & Zlatuše Komárková

  • 2013 Liquidity in asset pricing: New Australian evidence using low-frequency data
    by Daniel Chai & Robert Faff & Philip Gharghori

  • 2013 Movements and co-movements across the European asset classes: portfolio allocations and policy implications
    by Michael Donadelli & Lorenzo Prosperi & Federica Romei & Federico Silvestri

  • 2013 Technical Analysis versus Fundamental Analysis of Securities
    by Madalina - Gabriela ANGHEL

  • 2013 Rational Bubbles Exist in the G-7 Stock Markets? Threshold Cointegration Approach
    by Li-Hung Wu

  • 2013 Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS
    by Jian Zhang & Dongxiang Zhang & Juan Wang & Yue Zhang

  • 2013 The Chinese News Sentiment around Earnings Announcements
    by Yang-Cheng Lu & Yu-Chen Wei

  • 2013 A View on the Risk-Neutral Density Forecasting of the Dax30 Returns
    by Duca, Ioana Andreea & Ruxanda, Gheorghe

  • 2013 Parametric Yield Curve Modeling In An Illiquid And Undeveloped Financial Market
    by Zoricic, Davor & Orsag, Silvije

  • 2013 Nelson-Siegel Yield Curve Model Estimation And The Yield Curve Trading In The Croatian Financial Market
    by Zoricic, Davor & Badurina, Marko

  • 2013 Test Of The Fama-French Three-Factor Model In Croatia
    by Dolinar, Denis

  • 2013 Valuation And Investment Profession
    by Dedi, Lidija & Giraudon, Philippe

  • 2013 Greece’s Stock Market Integration with Southeast Europe
    by Guesmi, Khaled & Ftiti, Zied & Abid, Ilyes

  • 2013 Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange
    by Eraslan, Veysel

  • 2013 Asset-Pricing Implications of Biologically Based Non-Expected Utility
    by Emil Iantchev

  • 2013 Volatility Asset Pricing Model as an Alternative Approach?
    by Robert G. Kuklik & Vladislav VACEK

  • 2013 Money, the Stock Market and the Macroeconomy: A Theoretical Analysis
    by Rilina Basu & Ranjanendra Narayan Nag

  • 2013 Company size, book-to-market and momentum effects, and other deviations from the CAPM - evidence from the Warsaw stock exchange
    by Leszek Czapiewski

  • 2013 Keynesian Realism and the Present State of Economic Science
    by Asãvoaei Alexandru

  • 2013 The Liquidity of the Financial System and the Sovereign Debt Crisis in Europe – Is There a Solution?
    by Nedelcu Monica Letitia

  • 2013 Economic Value Added And Stakeholders Interests
    by Burja Vasile

  • 2013 The Comparative Risk And Performance Analysis Of Hungarian And Romanian Exchange Indices
    by Tarnaczi Tibor & Kulcsar Edina

  • 2013 Paradoxes Of Modern Stock Exchange Markets
    by CIOBANU Gheorghe & SECHEL Ioana Cristina & &

  • 2013 Investment Funds In Romania
    by COPIL CRINA ANGELA & & &

  • 2013 Technical And Fundamental Anomalies. Paradoxes Of Modern Stock Exchange Markets
    by BAKO Elena Dana & SECHEL Ioana Cristina & &

  • 2013 Are Recent Increases of Residential Property Prices in Vienna and Austria Justified by Fundamentals?
    by Martin Schneider

  • 2013 Nonperforming Loans in CESEE – An Even Deeper Definitional Comparison
    by Stephan Barisitz

  • 2013 Nonperforming Loans in Western Europe – A Selective Comparison of Countries and National Definitions
    by Stephan Barisitz

  • 2013 Financial Stability Review Of The Microfinance Sector In Moldova
    by Petru CATAN & Viorica ŞEPTELICI

  • 2013 ¿Han sido el IBEX35 y el IPC definiciones financieramente eficientes del portafolio de mercado?
    by De la Torre Torres Oscar Valdemar & Martínez Torre Enciso, María Isabel

  • 2013 Three discount methods for valuing projects and the required return on equity
    by Schauten Marc B. J.

  • 2013 Anomalías en la autocorrelación de rendimientos y la importancia de los periodos de no transacción en mercados latinoamericanos
    by Kristjanpoller Rodríguez Werner

  • 2013 The Securities-Correlation Risks and the Volatility Effects in the Japanese Stock Market
    by Satoshi Sakamaki

  • 2013 Risk and Return in Japanese Equity Market
    by Toshiki Honda

  • 2013 The Risk Parity Portfolio and the Low-Risk Asset Anomaly
    by Kozo Omori

  • 2013 Financial Crises and Risk Premiums in International Interbank Markets
    by Shin-ichi Fukuda & Mariko Tanaka

  • 2013 Reasons for the LIBOR review and its effects on international interbank reference rate quotations
    by Szilárd Erhart & Imre Ligeti & Zoltán Molnár

  • 2013 The Underperformance of Young Closed-End Funds in Greece
    by Dimitrios V Kousenidis & Christos Negakis

  • 2013 Sovereign Risk and Asset and Liability Management—Conceptual Issues
    by Udaibir S. Das & Yinqiu Lu & Michael G. Papaioannou & Iva Petrova

  • 2013 Herding, Information Cascades and Volatility Spillovers in Futures Markets
    by Michael McAleer & Kim Radalj

  • 2013 Financial Bubbles, Common Knowledge and Alternative Accounting Regimes: An Experimental Analysis of Artificial Spot Security Markets
    by Larry Bensimhon & Yuri Biondi

  • 2013 Fiscal determinants of government borrowing costs: do we have only ourselves to blame?
    by Alen Bobetko & Mirna Dumicic & Josip Funda

  • 2013 The Real Options Approach to Valuation: Challenges and Opportunities
    by Eduardo Schwartz

  • 2013 House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
    by Paolo Gelain & Kevin J. Lansing & Caterina Mendicino

  • 2013 The Impact of Policy Initiatives on Credit Spreads during the 2007-09 Financial Crisis
    by Alan M. Rai

  • 2013 Analysis of the Serbian Capital Market
    by Jelena Minovic & Vlastimir Vukovic

  • 2013 Analysis of the Effects of Pre Announcement of S&P 500 Index Changes
    by Stoyu I. Ivanov

  • 2013 Accrual Anomaly and Idiosyncratic Risk: International Evidence
    by Steve Fan & Linda Yu

  • 2013 Time-Varying Risk Premia for Size Effects on Equity REITS
    by Guangdi Chang & Yi-Tsuo Chang

  • 2013 The Fama French Model or the Capital Asset Pricing Model: International Evidence
    by Paulo Alves

  • 2013 Long-term Prior Return Patterns in Stock Returns: Evidence from Emerging Markets
    by Sanjay Sehgal & Sakshi Jain & Pr Laurence the Porteu de la Morandiere

  • 2013 Explanatory Factors for Market Multiples and Expected Returns
    by Sandip Mukherji & Youngho Lee

  • 2013 Financial Integration at Times of Financial Instability
    by Jan Babecky & Lubos Komarek & Zlatuse Komarkova

  • 2013 Orthogonal garch matrixes in the active portfolio management of defined benefit pension plans: A test for Michoacán
    by Oscar De la Torre Torres.

  • 2013 Regional Business Competitiveness: Medium and Low-Technology Production Systems in Northern Greece
    by Theodosios Palaskas & Maria Tsampra & Chrysostomos Stoforos

  • 2013 Forecast Bias and Analyst Independence
    by Phillip J. McKnight & Steven K. Todd

  • 2013 110 Common Errors in Company Valuations
    by Pablo Fernández & Andrada Bilan

  • 2013 EMBI+México y su relación dinámica con otros factores de riesgo sistemático: 1997-2011
    by Francisco López Herrera & Francisco Venegas Martínez & César Gurrola Ríos

  • 2013 Effects of differences of opinions and short-sale constraints on the dual listed Chinese shares
    by Zhenmin Fang & Xin Jiang

  • 2013 Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
    by Alejandro Iván Aguirre Salado & Humberto Vaquera Huerta & Martha Elva Ramírez Guzmán & José René Valdez Lazalde & Carlos Arturo Aguirre Salado

  • 2013 Seasonal affective disorder: onset and recovery
    by Khaled, Mohammed S. & Keef, Stephen P.

  • 2013 Mutual fund performance in Tunisia: A multivariate GARCH approach
    by Hammami, Yacine & Jilani, Faouzi & Oueslati, Abdelmonem

  • 2013 The persistence of European mutual fund performance
    by Vidal-García, Javier

  • 2013 Asset prices and exchange risk: Empirical evidence from Canada
    by Samson, Lucie

  • 2013 Hedging inflation risk in a developing economy: The case of Brazil
    by Brière, Marie & Signori, Ombretta

  • 2013 Does stock market development always improve firm-level financing? Evidence from Tunisia
    by Lagoarde-Segot, Thomas

  • 2013 The high returns to low volatility stocks are actually a premium on high quality firms
    by Walkshäusl, Christian

  • 2013 Asset pricing under quantile utility maximization
    by Giovannetti, Bruno C.

  • 2013 The conditional relation between dispersion and return
    by Demirer, Rıza & Jategaonkar, Shrikant P.

  • 2013 Causality between trading volume and returns: Evidence from quantile regressions
    by Gebka, Bartosz & Wohar, Mark E.

  • 2013 Country-specific idiosyncratic risk and global equity index returns
    by Hueng, C. James & Yau, Ruey

  • 2013 Nonlinear earnings persistence
    by Cheng, Che-Hui & Wu, Po-Chin

  • 2013 Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies
    by Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian

  • 2013 Risk and return in the Tehran stock exchange
    by Jahan-Parvar, Mohammad R. & Mohammadi, Hassan

  • 2013 Orthogonalized factors and systematic risk decomposition
    by Klein, Rudolf F. & Chow, Victor K.

  • 2013 New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation
    by Zeng, Zheng

  • 2013 Religion and returns in Europe
    by Salaber, Julie

  • 2013 Sovereign default risk and decentralization: Evidence for emerging markets
    by Eichler, Stefan & Hofmann, Michael

  • 2013 Capital gains, illiquidity, and stock returns
    by Lei, Xiaoyan & Zhou, Yuegang & Zhu, Xiaoneng

  • 2013 Tax reform and the identity of marginal traders around ex-dividend days
    by Tseng, Yun-lan & Hu, Shing-yang

  • 2013 Interbank market, stock market, and bank performance in East Asia
    by Inoguchi, Masahiro

  • 2013 Is there a volatility effect in the Hong Kong stock market?
    by Nartea, Gilbert V. & Wu, Ji

  • 2013 Does the organisational form of the target influence market reaction to acquisition announcements? Australian evidence
    by Shams, Syed M.M. & Gunasekarage, Abeyratna & Colombage, Sisira R.N.

  • 2013 Insider trading, accrual abuse, and corporate governance in emerging markets — Evidence from Taiwan
    by Tang, Hui-wen & Chen, Anlin & Chang, Chong-Chuo

  • 2013 Can US economic variables predict the Chinese stock market?
    by Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen

  • 2013 Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia
    by Docherty, Paul & Chan, Howard & Easton, Steve

  • 2013 An empirical study of credit spreads in an emerging market: The case of Korea
    by Park, Keehwan & Ahn, Chang Mo & Kim, Dohyeon & Kim, Saekwon

  • 2013 Investors' information advantage and order choices in an order-driven market
    by Tsai, Shih-Chuan

  • 2013 The price of sin in the Pacific-Basin
    by Durand, Robert B. & Koh, SzeKee & Tan, Paul LiJian

  • 2013 Liquidity commonality among Asian equity markets
    by Wang, Jianxin

  • 2013 Weekly momentum by return interval ranking
    by Pan, Li & Tang, Ya & Xu, Jianguo

  • 2013 Asset returns and liquidity effects: Evidence from a developed but small market
    by Nguyen, Nhut H. & Lo, Ka Hei

  • 2013 Information asymmetry, price discovery, and the Chinese B-share discount puzzle
    by Doukas, John A. & Wang, Liu

  • 2013 Is transaction price more value relevant compared to accounting information? An investigation of a time-series approach
    by Tswei, Keshin

  • 2013 Commonality in individuals' trading: A systematic path between behavioral bias and expected returns
    by Chae, Joon & Yang, Cheol-Won

  • 2013 Information, hedging demand, and institutional investors: Evidence from the Taiwan Futures Exchange
    by Chien, Cheng-Yi & Lee, Hsiu-Chuan & Tai, Shih-Wen & Liao, Tzu-Hsiang

  • 2013 Return and volatility interaction between oil prices and stock markets in Saudi Arabia
    by Jouini, Jamel

  • 2013 Towards an efficient stock market: Empirical evidence from the Indian market
    by Majumder, Debasish

  • 2013 Consumption benefits and gambling: Evidence from the NCAA basketball betting market
    by Humphreys, Brad R. & Paul, Rodney J. & Weinbach, Andrew P.

  • 2013 Testing for rational bubbles in the US housing market
    by Kivedal, Bjørnar Karlsen

  • 2013 Soft information and economic activity: Evidence from the Beige Book
    by Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul

  • 2013 Consumption and stock prices: Evidence from a small international panel
    by McMillan, David G.

  • 2013 Stock returns and monetary policy: Are there any ties?
    by Bouakez, Hafedh & Essid, Badye & Normandin, Michel

  • 2013 How do leverage ratios affect bank share performance during financial crises: The Japanese experience of the late 1990s
    by Chen, Sichong

  • 2013 The investment technology of foreign and domestic institutional investors in an emerging market
    by Patnaik, Ila & Shah, Ajay

  • 2013 The market microstructure approach to foreign exchange: Looking back and looking forward
    by King, Michael R. & Osler, Carol L. & Rime, Dagfinn

  • 2013 Dynamic expectation formation in the foreign exchange market
    by ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J.

  • 2013 What drives corporate default risk premia? Evidence from the CDS market
    by Díaz, Antonio & Groba, Jonatan & Serrano, Pedro

  • 2013 Spread the news: The impact of news on the European sovereign bond markets during the crisis
    by Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel

  • 2013 Inflation illusion and the US dividend yield: Some further evidence
    by Acker, Daniella & Duck, Nigel W.

  • 2013 Rare event risk and emerging market debt with heterogeneous beliefs
    by Dieckmann, Stephan & Gallmeyer, Michael

  • 2013 The smallest firm effect: An international study
    by De Moor, Lieven & Sercu, Piet

  • 2013 Can cross-country portfolio rebalancing give rise to forward bias in FX markets?
    by Chang, Sanders S.

  • 2013 The economics of options-implied inflation probability density functions
    by Kitsul, Yuriy & Wright, Jonathan H.

  • 2013 Quiet bubbles
    by Hong, Harrison & Sraer, David

  • 2013 Political uncertainty and risk premia
    by Pástor, Ľuboš & Veronesi, Pietro

  • 2013 Do jumps contribute to the dynamics of the equity premium?
    by Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei

  • 2013 Predicting market returns using aggregate implied cost of capital
    by Li, Yan & Ng, David T. & Swaminathan, Bhaskaran

  • 2013 Liquidity risk of corporate bond returns: conditional approach
    by Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T.

  • 2013 Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis
    by Aharoni, Gil & Grundy, Bruce & Zeng, Qi

  • 2013 The economics of hedge funds
    by Lan, Yingcong & Wang, Neng & Yang, Jinqiang

  • 2013 Investment shocks and the commodity basis spread
    by Yang, Fan

  • 2013 Predictability of currency carry trades and asset pricing implications
    by Bakshi, Gurdip & Panayotov, George

  • 2013 Pricing the term structure with linear regressions
    by Adrian, Tobias & Crump, Richard K. & Moench, Emanuel

  • 2013 Company name fluency, investor recognition, and firm value
    by Green, T. Clifton & Jame, Russell

  • 2013 Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms
    by Edelman, Daniel & Fung, William & Hsieh, David A.

  • 2013 The term structure of interbank risk
    by Filipović, Damir & Trolle, Anders B.

  • 2013 The dividend month premium
    by Hartzmark, Samuel M. & Solomon, David H.

  • 2013 Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs
    by Joslin, Scott & Le, Anh & Singleton, Kenneth J.

  • 2013 A production-based model for the term structure
    by Jermann, Urban J.

  • 2013 The leverage effect puzzle: Disentangling sources of bias at high frequency
    by Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying

  • 2013 The mystery of zero-leverage firms
    by Strebulaev, Ilya A. & Yang, Baozhong

  • 2013 The asset growth effect: Insights from international equity markets
    by Watanabe, Akiko & Xu, Yan & Yao, Tong & Yu, Tong

  • 2013 Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply
    by D’Amico, Stefania & King, Thomas B.

  • 2013 Risk and return: Long-run relations, fractional cointegration, and return predictability
    by Bollerslev, Tim & Osterrieder, Daniela & Sizova, Natalia & Tauchen, George

  • 2013 Learning and the disappearing association between governance and returns
    by Bebchuk, Lucian A. & Cohen, Alma & Wang, Charles C.Y.

  • 2013 Connecting two markets: An equilibrium framework for shorts, longs, and stock loans
    by Blocher, Jesse & Reed, Adam V. & Van Wesep, Edward D.

  • 2013 The role of shorting, firm size, and time on market anomalies
    by Israel, Ronen & Moskowitz, Tobias J.

  • 2013 Cross section of option returns and idiosyncratic stock volatility
    by Cao, Jie & Han, Bing

  • 2013 Anomalies and financial distress
    by Avramov, Doron & Chordia, Tarun & Jostova, Gergana & Philipov, Alexander

  • 2013 The other side of value: The gross profitability premium
    by Novy-Marx, Robert

  • 2013 Political activism, information costs, and stock market participation
    by Bonaparte, Yosef & Kumar, Alok

  • 2013 Inequality, stock market participation, and the equity premium
    by Favilukis, Jack

  • 2013 Prospect theory, the disposition effect, and asset prices
    by Li, Yan & Yang, Liyan

  • 2013 Innovative efficiency and stock returns
    by Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei

  • 2013 Probability weighting functions implied in options prices
    by Polkovnichenko, Valery & Zhao, Feng

  • 2013 The “out-of-sample” performance of long run risk models
    by Ferson, Wayne & Nallareddy, Suresh & Xie, Biqin

  • 2013 Capacity constraints, investor information, and hedge fund returns
    by Ramadorai, Tarun

  • 2013 Growth options, macroeconomic conditions, and the cross section of credit risk
    by Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona

  • 2013 Growth to value: Option exercise and the cross section of equity returns
    by Ai, Hengjie & Kiku, Dana

  • 2013 Government spending, political cycles, and the cross section of stock returns
    by Belo, Frederico & Gala, Vito D. & Li, Jun

  • 2013 Realizing smiles: Options pricing with realized volatility
    by Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide

  • 2013 Market skewness risk and the cross section of stock returns
    by Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris

  • 2013 Are mutual funds sitting ducks?
    by Shive, Sophie & Yun, Hayong

  • 2013 The market for borrowing corporate bonds
    by Asquith, Paul & Au, Andrea S. & Covert, Thomas & Pathak, Parag A.

  • 2013 Style investing, comovement and return predictability
    by Wahal, Sunil & Yavuz, M. Deniz

  • 2013 Incomplete markets, liquidation risk, and the term structure of interest rates
    by Challe, Edouard & Le Grand, François & Ragot, Xavier

  • 2013 Consumption and bubbles
    by Loewenstein, Mark & Willard, Gregory A.

  • 2013 Estimating and testing beta pricing models on industries
    by Hammami, Yacine & Lindahl, Anna

  • 2013 Liquidity provision in a limit order book without adverse selection
    by Bayar, Onur

  • 2013 Super-exponential bubbles in lab experiments: Evidence for anchoring over-optimistic expectations on price
    by Hüsler, A. & Sornette, D. & Hommes, C.H.

  • 2013 The house doesn’t always win: Evidence of anchoring among Australian bookies
    by McAlvanah, Patrick & Moul, Charles C.

  • 2013 On the efficiency of the UPREIT organizational form: Implications for the subprime crisis and CDO's
    by Ebrahim, M. Shahid & Mathur, Ike

  • 2013 Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis
    by Calice, Giovanni & Chen, Jing & Williams, Julian

  • 2013 Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries
    by Wang, Yudong & Wu, Chongfeng & Yang, Li

  • 2013 Saving-based asset-pricing
    by Dreyer, Johannes K. & Schneider, Johannes & Smith, William T.

  • 2013 Insiders’ incentives for asymmetric disclosure and firm-specific information flows
    by Jiang, Li & Kim, Jeong-Bon & Pang, Lei

  • 2013 Overconfident individual day traders: Evidence from the Taiwan futures market
    by Kuo, Wei-Yu & Lin, Tse-Chun

  • 2013 Are extreme returns priced in the stock market? European evidence
    by Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt

  • 2013 The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
    by Ederington, Louis H. & Guan, Wei

  • 2013 Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
    by Weiß, Gregor N.F. & Supper, Hendrik

  • 2013 Asymmetry in government bond returns
    by Fujiwara, Ippei & Körber, Lena Mareen & Nagakura, Daisuke

  • 2013 A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
    by Chang, Charles & Fuh, Cheng-Der & Lin, Shih-Kuei

  • 2013 Suppliers’ and customers’ information asymmetry and corporate bond yield spreads
    by Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju & Hsieh, Yu-Ling

  • 2013 Impact of idiosyncratic volatility on stock returns: A cross-sectional study
    by Khovansky, Serguey & Zhylyevskyy, Oleksandr

  • 2013 Sarbanes-Oxley Act and corporate credit spreads
    by Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P.

  • 2013 Prospect theory and trading patterns
    by Yao, Jing & Li, Duan

  • 2013 Greasing the wheels of bank lending: Evidence from private firms in China
    by Chen, Yunling & Liu, Ming & Su, Jun

  • 2013 Rewards for downside risk in Asian markets
    by Alles, Lakshman & Murray, Louis

  • 2013 Internal liquidity risk, financial bullwhip effects, and corporate bond yield spreads: Supply chain perspectives
    by Chen, Tsung-Kang & Liao, Hsien-Hsing & Kuo, Hui-Ju

  • 2013 Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach
    by Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina

  • 2013 A behavioral explanation of the value anomaly based on time-varying return reversals
    by Hwang, Soosung & Rubesam, Alexandre

  • 2013 Return sign forecasts based on conditional risk: Evidence from the UK stock market index
    by Chevapatrakul, Thanaset

  • 2013 The impact of credit rating announcements on credit default swap spreads
    by Finnerty, John D. & Miller, Cameron D. & Chen, Ren-Raw

  • 2013 Is bank default risk systematic?
    by Fiordelisi, Franco & Marqués-Ibañez, David

  • 2013 Does it help to have friends in high places? Bank stock performance and congressional committee chairmanships
    by Gropper, Daniel M. & Jahera, John S. & Park, Jung Chul

  • 2013 Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
    by Wang, Kent & Liu, Junwei & Liu, Zhi

  • 2013 Revisiting mutual fund performance evaluation
    by Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos

  • 2013 Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading
    by Levy, Ariel & Lieberman, Offer

  • 2013 Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly
    by Dutt, Tanuj & Humphery-Jenner, Mark

  • 2013 Can position limits restrain ‘rogue’ trading?
    by ap Gwilym, Rhys & Ebrahim, M. Shahid

  • 2013 Hedge fund liquidity and performance: Evidence from the financial crisis
    by Schaub, Nic & Schmid, Markus

  • 2013 The expectations hypothesis: New hope or illusory support?
    by Jitmaneeroj, Boonlert & Wood, Andrew

  • 2013 Forecasting the size premium over different time horizons
    by Zakamulin, Valeriy

  • 2013 Inference in asset pricing models with a low-variance factor
    by Shang, Hua

  • 2013 Pricing securities with multiple risks: A case of exchangeable debt
    by Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan

  • 2013 Does foreign institutional ownership increase return volatility? Evidence from China
    by Chen, Zhian & Du, Jinmin & Li, Donghui & Ouyang, Rui

  • 2013 The world price of jump and volatility risk
    by Driessen, Joost & Maenhout, Pascal

  • 2013 Incomplete information, idiosyncratic volatility and stock returns
    by Berrada, Tony & Hugonnier, Julien

  • 2013 No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
    by Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio

  • 2013 Market incompleteness and the equity premium puzzle: Evidence from state-level data
    by Jacobs, Kris & Pallage, Stéphane & Robe, Michel A.

  • 2013 Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009
    by Liu, Zhuoshi & Spencer, Peter

  • 2013 Asset financing with credit risk
    by Golbeck, Steven & Linetsky, Vadim

  • 2013 Oil price dynamics, macro-finance interactions and the role of financial speculation
    by Morana, Claudio

  • 2013 Dynamic hedge fund portfolio construction: A semi-parametric approach
    by Harris, Richard D.F. & Mazibas, Murat

  • 2013 Revisiting asset pricing under habit formation in an overlapping-generations economy
    by Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok

  • 2013 Liquidity commonality in commodities
    by Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat

  • 2013 Non-marketability and the value of employee stock options
    by Abudy, Menachem & Benninga, Simon

  • 2013 Pricing deviation, misvaluation comovement, and macroeconomic conditions
    by Chang, Eric C. & Luo, Yan & Ren, Jinjuan

  • 2013 Analyzing determinants of bond yield spreads with Bayesian Model Averaging
    by Maltritz, Dominik & Molchanov, Alexander

  • 2013 Liquidation equilibrium with seniority and hidden CDO
    by Gourieroux, C. & Heam, J.C. & Monfort, A.

  • 2013 Economic valuation of liquidity timing
    by Karstanje, Dennis & Sojli, Elvira & Tham, Wing Wah & van der Wel, Michel

  • 2013 Did capital infusions enhance bank recovery from the great recession?
    by Liu, Wei & Kolari, James W. & Kyle Tippens, T. & Fraser, Donald R.

  • 2013 Liquidity and initial public offering underpricing
    by Hahn, TeWhan & Ligon, James A. & Rhodes, Heather

  • 2013 Return decomposition and the Intertemporal CAPM
    by Maio, Paulo

  • 2013 Front-running of mutual fund fire-sales
    by Dyakov, Teodor & Verbeek, Marno

  • 2013 A comprehensive long-term analysis of S&P 500 index additions and deletions
    by Chan, Kalok & Kot, Hung Wan & Tang, Gordon Y.N.

  • 2013 The intraday impact of company responses to exchange queries
    by Drienko, Jozef & Sault, Stephen J.

  • 2013 Speculations in option markets enhance allocation efficiency with heterogeneous beliefs and learning
    by Qin, Zhenjiang

  • 2013 Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
    by Georgoutsos, Dimitris A. & Migiakis, Petros M.

  • 2013 The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010
    by Hagströmer, Björn & Hansson, Björn & Nilsson, Birger

  • 2013 Pricing innovations in consumption growth: A re-evaluation of the recursive utility model
    by Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu

  • 2013 Cross-listing and pricing efficiency: The informational and anchoring role played by the reference price
    by Chang, Eric C. & Luo, Yan & Ren, Jinjuan

  • 2013 VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation
    by Lin, Yueh-Neng

  • 2013 Short-term hedge fund performance
    by Slavutskaya, Anna

  • 2013 Financial contagion in the laboratory: The cross-market rebalancing channel
    by Cipriani, Marco & Gardenal, Gloria & Guarino, Antonio

  • 2013 Risk premia: Exact solutions vs. log-linear approximations
    by Lundtofte, Frederik & Wilhelmsson, Anders

  • 2013 Returns and option activity over the option-expiration week for S&P 100 stocks
    by Stivers, Chris & Sun, Licheng

  • 2013 Sovereign credit spreads
    by Uhrig-Homburg, Marliese

  • 2013 Predicting stock returns: A regime-switching combination approach and economic links
    by Zhu, Xiaoneng & Zhu, Jie

  • 2013 Asset pricing with heterogeneous beliefs and relative performance
    by Huang, Shiyang & Qiu, Zhigang & Shang, Qi & Tang, Ke

  • 2013 The second moment matters! Cross-sectional dispersion of firm valuations and expected returns
    by Jiang, Danling

  • 2013 A case study of short-sale constraints and limits to arbitrage
    by Easton, Steve & Pinder, Sean & Uylangco, Katherine

  • 2013 Credit default swap spreads and variance risk premia
    by Wang, Hao & Zhou, Hao & Zhou, Yi

  • 2013 The consumption–wealth ratio, real estate wealth, and the Japanese stock market
    by Aono, Kohei & Iwaisako, Tokuo

  • 2013 Market reaction to earnings news: A unified test of information risk and transaction costs
    by Zhang, Qi & Cai, Charlie X. & Keasey, Kevin

  • 2013 Accounting restatements, governance and municipal debt financing
    by Baber, William R. & Gore, Angela K. & Rich, Kevin T. & Zhang, Jean X.

  • 2013 Cost of capital and earnings transparency
    by Barth, Mary E. & Konchitchki, Yaniv & Landsman, Wayne R.

  • 2013 Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN
    by Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho

  • 2013 Beta risk and price synchronicity of bank acquirers’ common stock following merger announcements
    by Bozos, Konstantinos & Koutmos, Dimitrios & Song, Wei

  • 2013 Putting the “C” into crisis: Contagion, correlations and copulas on EMU bond markets
    by Philippas, Dionisis & Siriopoulos, Costas

  • 2013 Does idiosyncratic volatility matter in emerging markets? Evidence from China
    by Nartea, Gilbert V. & Wu, Ji & Liu, Zhentao

  • 2013 The contribution of US bond demand to the US bond yield conundrum of 2004–2007: An empirical investigation
    by Goda, Thomas & Lysandrou, Photis & Stewart, Chris

  • 2013 Liquidity measurement in frontier markets
    by Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat

  • 2013 Changing the methodology of equity indices—The case of the Tel-Aviv Stock Exchange
    by Levy, Tamir & Yagil, Joseph

  • 2013 Time-variations in herding behavior: Evidence from a Markov switching SUR model
    by Klein, Arne C.

  • 2013 Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis
    by Antonakakis, Nikolaos & Vergos, Konstantinos

  • 2013 Bond futures and order imbalance
    by Smales, Lee A.

  • 2013 Integration versus segmentation in China's stock market: An analysis of time-varying beta risks
    by Li, Hong

  • 2013 Sectoral equity returns and portfolio diversification opportunities across the GCC region
    by Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy

  • 2013 When do characteristics-sorted factors mechanically explain returns?
    by Murtazashvili, Irina & Vozlyublennaia, Nadia

  • 2013 A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework
    by Papavassiliou, Vassilios G.

  • 2013 Saints versus Sinners. Does morality matter?
    by Durand, Robert B. & Koh, SzeKee & Limkriangkrai, Manapon

  • 2013 A substitution effect between price clustering and size clustering in credit default swaps
    by Meng, Lei & Verousis, Thanos & ap Gwilym, Owain

  • 2013 Business strategy and financial consequences: The case of antidumping filings
    by Gurun, Ayfer

  • 2013 International herding: Does it differ across sectors?
    by Gębka, Bartosz & Wohar, Mark E.

  • 2013 Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?
    by Chen, Yangyang & Koutsantony, Constantine & Truong, Cameron & Veeraraghavan, Madhu

  • 2013 Price impact of block trades in the Saudi stock market
    by Alzahrani, Ahmed A. & Gregoriou, Andros & Hudson, Robert

  • 2013 Modelling the sovereign linkages of key Latin American economies
    by Thuraisamy, Kannan & Gannon, Gerard

  • 2013 Consistent dynamic affine mortality models for longevity risk applications
    by Blackburn, Craig & Sherris, Michael

  • 2013 Pricing European options on deferred annuities
    by Ziveyi, Jonathan & Blackburn, Craig & Sherris, Michael

  • 2013 Pricing inflation products with stochastic volatility and stochastic interest rates
    by Singor, Stefan N. & Grzelak, Lech A. & van Bragt, David D.B. & Oosterlee, Cornelis W.

  • 2013 Best portfolio insurance for long-term investment strategies in realistic conditions
    by Pézier, Jacques & Scheller, Johanna

  • 2013 International Bond Risk Premia
    by Dahlquist, Magnus & Hasseltoft, Henrik

  • 2013 International risk cycles
    by Gourio, François & Siemer, Michael & Verdelhan, Adrien

  • 2013 On the market risk of securitized timberlands
    by Sun, Changyou

  • 2013 Financial crisis and a transmission mechanism of external shocks: The signaling role of the Korean Monetary Stabilization Bond
    by Kim, Jinyong & Kim, Yong-Cheol

  • 2013 Do investors care about credit ratings? An analysis through the cycle
    by Iannotta, Giuliano & Nocera, Giacomo & Resti, Andrea

  • 2013 Are short sellers positive feedback traders? Evidence from the global financial crisis
    by Bohl, Martin T. & Klein, Arne C. & Siklos, Pierre L.

  • 2013 Executive compensation, risk taking and the state of the economy
    by Raviv, Alon & Sisli-Ciamarra, Elif

  • 2013 Short-term residual reversal
    by Blitz, David & Huij, Joop & Lansdorp, Simon & Verbeek, Marno

  • 2013 Rational expectations equilibrium with uncertain proportion of informed traders
    by Gao, Feng & Song, Fengming & Wang, Jun

  • 2013 Investing in Chapter 11 stocks: Trading, value, and performance
    by Li, Yuanzhi & Zhong, Zhaodong (Ken)

  • 2013 Price discovery in government bond markets
    by Valseth, Siri

  • 2013 Optimal trading strategy and supply/demand dynamics
    by Obizhaeva, Anna A. & Wang, Jiang

  • 2013 Dividend sensitivity to economic factors, stock valuation, and long-run risk
    by Bergeron, Claude

  • 2013 The zero-lower bound on interest rates: Myth or reality?
    by Jarrow, Robert A.

  • 2013 Mean–variance dominant trading strategies
    by Galvani, Valentina & Gubellini, Stefano

  • 2013 Simulated testing of nonparametric measure changes for hedging European options
    by Smith, Godfrey

  • 2013 Transfer of information by an informed trader
    by Dev, Pritha

  • 2013 Asset pricing with skewed-normal return
    by Carmichael, Benoıˆt & Coën, Alain

  • 2013 A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility
    by Chen, Rui & Du, Ke

  • 2013 Time varying stock return predictability: Evidence from US sectors
    by Guidolin, Massimo & McMillan, David G. & Wohar, Mark E.

  • 2013 Superconvergence of the finite element solutions of the Black–Scholes equation
    by Golbabai, A. & Ballestra, L.V. & Ahmadian, D.

  • 2013 A value premium without operating leverage
    by Guthrie, Graeme

  • 2013 Idiosyncratic volatility and the pricing of poorly-diversified portfolios
    by Miffre, Joëlle & Brooks, Chris & Li, Xiafei

  • 2013 The January effect for individual corporate bonds
    by Dbouk, Wassim & Jamali, Ibrahim & Kryzanowski, Lawrence

  • 2013 European Sovereign Debt Crisis and the performance of Dutch IPOs
    by Dorsman, André & Gounopoulos, Dimitrios

  • 2013 Securitization and systemic risk: An empirical investigation on Italian banks over the financial crisis
    by Battaglia, Francesca & Gallo, Angela

  • 2013 Price discovery of credit spreads in tranquil and crisis periods
    by Avino, Davide & Lazar, Emese & Varotto, Simone

  • 2013 Accruals quality, stock returns and asset pricing: Evidence from the UK
    by Mouselli, Sulaiman & Jaafar, Aziz & Goddard, John

  • 2013 Predicting the limit-hit frequency in futures contracts
    by Levy, Tamir & Qadan, Mahmod & Yagil, Joseph

  • 2013 Investigating the role of illiquidity in explaining the UK closed-end country fund discount
    by Davies, Richard & Fletcher, Mary & Marshall, Andrew

  • 2013 New return anomalies and new-Keynesian ICAPM
    by Cho, Sungjun

  • 2013 The determinants of quantile autocorrelations: Evidence from the UK
    by Gębka, Bartosz & Wohar, Mark E.

  • 2013 Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates
    by Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M.

  • 2013 Liquidity and expected returns—Evidence from 1926–2008
    by Baradarannia, M. Reza & Peat, Maurice

  • 2013 A re-examination of firm's attributes and share returns: Evidence from the Chinese A-shares market
    by Li, Bob & Boo, Yee Ling & Ee, Mong Shan & Chen, Cindy

  • 2013 Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market
    by Floros, Christos & Kizys, Renatas & Pierdzioch, Christian

  • 2013 Trade size clustering and the cost of trading at the London Stock Exchange
    by Verousis, Thanos & ap Gwilym, Owain

  • 2013 Credit risk, valuation and fundamental analysis
    by Realdon, Marco

  • 2013 The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?
    by Vivian, Andrew & Wohar, Mark E.

  • 2013 A model for hedging load and price risk in the Texas electricity market
    by Coulon, Michael & Powell, Warren B. & Sircar, Ronnie

  • 2013 Does crude oil price play an important role in explaining stock return behavior?
    by Chang, Kuang-Liang & Yu, Shih-Ti

  • 2013 Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries
    by Asteriou, Dimitrios & Bashmakova, Yuliya

  • 2013 The liquidity of energy stocks
    by Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert

  • 2013 Smooth transition regime shifts and oil price dynamics
    by Cifarelli, Giulio

  • 2013 Hurricane forecast revisions and petroleum refiner equity returns
    by Fink, Jason D. & Fink, Kristin E.

  • 2013 From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks
    by Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M.

  • 2013 What drives the commodity price beta of oil industry stocks?
    by Talbot, Edward & Artiach, Tracy & Faff, Robert

  • 2013 Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance
    by Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen

  • 2013 Risk spillovers in oil-related CDS, stock and credit markets
    by Hammoudeh, Shawkat & Liu, Tengdong & Chang, Chia-Lin & McAleer, Michael

  • 2013 Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    by Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd

  • 2013 Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments
    by Koch, Nicolas & Bassen, Alexander

  • 2013 Downside risk and the energy hedger's horizon
    by Conlon, Thomas & Cotter, John

  • 2013 Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
    by Awartani, Basel & Maghyereh, Aktham Issa

  • 2013 Autocorrelation and partial price adjustment
    by Anderson, Robert M. & Eom, Kyong Shik & Hahn, Sang Buhm & Park, Jong-Ho

  • 2013 Valuation of collateralized debt obligations with hierarchical Archimedean copulae
    by Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap

  • 2013 Linear-price term structure models
    by Gourieroux, C. & Monfort, A.

  • 2013 Modeling the relationship between European carbon permits and certified emission reductions
    by Koop, Gary & Tole, Lise

  • 2013 Long memory and tail dependence in trading volume and volatility
    by Rossi, Eduardo & Santucci de Magistris, Paolo

  • 2013 Term structure dynamics with macro-factors using high frequency data
    by Kim, Hwagyun & Park, Hail

  • 2013 Does mortality improvement increase equity risk premiums? A risk perception perspective
    by Huang, Rachel J. & Miao, Jerry C.Y. & Tzeng, Larry Y.

  • 2013 Understanding industry betas
    by Baele, Lieven & Londono, Juan M.

  • 2013 An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
    by Li, Minqiang

  • 2013 What do the Fama–French factors add to C-CAPM?
    by Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R.

  • 2013 A new family of equity style indices and mutual fund performance: Do liquidity and idiosyncratic risk matter?
    by Wagner, Niklas & Winter, Elisabeth

  • 2013 Does monetary policy determine stock market liquidity? New evidence from the euro zone
    by Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg

  • 2013 An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions
    by Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien

  • 2013 Stressing correlations and volatilities — A consistent modeling approach
    by Becker, Christoph & Schmidt, Wolfgang M.

  • 2013 Sovereign default risk premia: Evidence from the default swap market
    by Zinna, Gabriele

  • 2013 Are short sellers incrementally informed prior to earnings announcements?
    by Blau, Benjamin M. & Pinegar, J. Michael

  • 2013 Credit risk in covered bonds
    by Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker

  • 2013 A global approach to mutual funds market timing ability
    by Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle

  • 2013 Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
    by Perron, Pierre & Chun, Sungju & Vodounou, Cosme

  • 2013 Liquidity and firm investment: Evidence for Latin America
    by Muñoz, Francisco

  • 2013 Another look at the cross-section and time-series of stock returns: 1951 to 2011
    by Du, Ding

  • 2013 Aggregational Gaussianity and barely infinite variance in financial returns
    by Antypas, Antonios & Koundouri, Phoebe & Kourogenis, Nikolaos

  • 2013 Credit cycle dependent spread determinants in emerging sovereign debt markets
    by Riedel, Christoph & Thuraisamy, Kannan S. & Wagner, Niklas

  • 2013 The volatility effect in emerging markets
    by Blitz, David & Pang, Juan & van Vliet, Pim

  • 2013 Do the production-based factors capture the time-varying patterns in stock returns?
    by Kang, Hankil & Kang, Jangkoo & Lee, Changjun

  • 2013 Dynamic return predictability in the Russian stock market
    by Kinnunen, Jyri

  • 2013 Financial market segmentation, stock market volatility and the role of monetary policy
    by Zervou, Anastasia S.

  • 2013 Macro-expectations, aggregate uncertainty, and expected term premia
    by Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas

  • 2013 Density approximations for multivariate affine jump-diffusion processes
    by Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul

  • 2013 Monetary policy regimes and the term structure of interest rates
    by Bikbov, Ruslan & Chernov, Mikhail

  • 2013 Chi-squared tests for evaluation and comparison of asset pricing models
    by Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare

  • 2013 Jump tails, extreme dependencies, and the distribution of stock returns
    by Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi

  • 2013 Stock exchange mergers and return co-movement: A flexible dynamic component correlations model
    by Hellström, Jörgen & Liu, Yuna & Sjögren, Tomas

  • 2013 Flow effects of large-scale asset purchases
    by Kandrac, John & Schlusche, Bernd

  • 2013 Have Federal Reserve MBS purchases affected market functioning?
    by Kandrac, John

  • 2013 VaR constrained asset pricing with relative performance
    by Liu, Xiangbo & Qiu, Zhigang & Xiong, Yan

  • 2013 Art market inefficiency
    by David, Géraldine & Oosterlinck, Kim & Szafarz, Ariane

  • 2013 Bubbles, crashes and risk
    by Branch, William A. & Evans, George W.

  • 2013 A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns
    by Massacci, Daniele

  • 2013 Risk aversion in the large and in the small
    by Haug, Jørgen & Hens, Thorsten & Woehrmann, Peter

  • 2013 Measuring the stance of monetary policy in zero lower bound environments
    by Krippner, Leo

  • 2013 The cross market effects of short sale restrictions
    by Dungey, Mardi & McKenzie, Michael D. & Yalama, Abdullah

  • 2013 What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research
    by Larsson, Carl F.

  • 2013 Was the 2007 crisis really a global banking crisis?
    by Shehzad, Choudhry Tanveer & De Haan, Jakob

  • 2013 Shouldn't all eggs be putted in one basket? A portfolio model based on investor sentiment and inertial thinking
    by Xie, Jun & Yang, Chunpeng

  • 2013 Investor attention and stock market activity: Evidence from France
    by Aouadi, Amal & Arouri, Mohamed & Teulon, Frédéric

  • 2013 Investor sentiment, information and asset pricing model
    by Yang, Chunpeng & Li, Jinfang

  • 2013 Sentiment approach to negative expected return in the stock market
    by Yang, Chunpeng & Yan, Wei & Zhang, Rengui

  • 2013 Equity risk premium and time horizon: What do the U.S. secular data say?
    by Prat, Georges

  • 2013 Can signal extraction help predict risk premia in foreign exchange rates
    by Kiani, Khurshid M.

  • 2013 Open source information, investor attention, and asset pricing
    by Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong

  • 2013 Dynamic asset pricing model with heterogeneous sentiments
    by Yang, Chunpeng & Zhang, Rengui

  • 2013 Estimating inflation compensation for Turkey using yield curves
    by Duran, Murat & Gülşen, Eda

  • 2013 Modeling the effect of off-farm income on farmland values: A quantile regression approach
    by Mishra, Ashok K. & Moss, Charles B.

  • 2013 House price dynamics and their reaction to macroeconomic changes
    by Nneji, Ogonna & Brooks, Chris & Ward, Charles W.R.

  • 2013 Stock markets in GCC countries and global factors: A further investigation
    by Jouini, Jamel

  • 2013 Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP
    by Ahamada, Ibrahim & Jolivaldt, Philippe

  • 2013 Macroeconomic Variables and South African Stock Return Predictability
    by Gupta, Rangan & Modise, Mampho P.

  • 2013 Sentiment asset pricing model with consumption
    by Yang, Chunpeng & Zhang, Rengui

  • 2013 Conditional market beta for REITs: A comparison of modeling techniques
    by Zhou, Jian

  • 2013 The expected real return to equity
    by Warusawitharana, Missaka

  • 2013 Long-run risk and hidden growth persistence
    by Pakoš, Michal

  • 2013 Returns-to-scale and the equity premium puzzle
    by Dunbar, Geoffrey

  • 2013 The impact of short-selling constraints on financial market stability in a heterogeneous agents model
    by Anufriev, Mikhail & Tuinstra, Jan

  • 2013 Modeling diverse expectations in an aggregated New Keynesian Model
    by Kurz, Mordecai & Piccillo, Giulia & Wu, Howei

  • 2013 Zipf's law and maximum sustainable growth
    by Malevergne, Y. & Saichev, A. & Sornette, D.

  • 2013 Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
    by Chauveau, Th. & Subbotin, A.

  • 2013 Asian and Australian options: A common perspective
    by Ewald, Christian-Oliver & Menkens, Olaf & Hung Marten Ting, Sai

  • 2013 Asset price dynamics with heterogeneous beliefs and local network interactions
    by Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V.

  • 2013 Option pricing with discrete time jump processes
    by Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo

  • 2013 The bull and bear market model of Huang and Day: Some extensions and new results
    by Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura

  • 2013 Correlated risks vs contagion in stochastic transition models
    by Gagliardini, Patrick & Gouriéroux, Christian

  • 2013 Strategy switching in the Japanese stock market
    by Yamamoto, Ryuichi & Hirata, Hideaki

  • 2013 Business group affiliation, ownership structure, and the cost of debt
    by Byun, Hae-Young & Choi, Sunhwa & Hwang, Lee-Seok & Kim, Robert G.

  • 2013 An international look at the lawsuit avoidance hypothesis of IPO underpricing
    by Lin, Hui Ling & Pukthuanthong, Kuntara & Walker, Thomas John

  • 2013 Detecting bubbles in Hong Kong residential property market
    by Yiu, Matthew S. & Yu, Jun & Jin, Lu

  • 2013 Speed of Convergence to Market Efficiency: Example of Top loser Stocks
    by Han-Ching Huang & Yong-Chern Su & Chun-Chi Shih

  • 2013 Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012
    by Lucas Lucio Godeiro

  • 2013 Rating-Agenturen: fehlbar und überfordert
    by Hans-Helmut Kotz & Dorothea Schäfer

  • 2013 The Influence of Housing Price Development on the Household Consumption: Empirical Analysis for the Czech Republic
    by Sylvie Dvořáková & Jakub Seidler

  • 2013 Asset Pricing, Capital Structure and the Spirit of Capitalism in a Production Economy
    by Jizheng Huang & Heng-fu Zou

  • 2013 Stock Market Manipulation in the Presence of Fund Flows
    by Xiangbo Liu & Zijun Liu & Zhigang Qiu

  • 2013 La estructura temporal de los tipos de interés: conceptos y procedimientos de estimación
    by Julián Andrada-Félix & Adrián Fernández-Pérez & Fernando Fernández-Rodríguez

  • 2013 Ciclo económico y prima por riesgo en el mercado accionario colombiano
    by Andrés Mauricio Gómez Sánchez & José Gabriel Astaiza Gómez

  • 2013 Modelos de valoración de opciones sobre títulos de renta fija: aplicación al mercado colombiano
    by Luis Guillermo Herrera Cardona & Darwin Cárdenas Giraldo

  • 2013 Provocări Implicate De Evaluarea Companiilor
    by Ludmila D. SOBOL

  • 2013 Default and liquidity regimes in the bond market during the 2002-2012 period
    by Georges Dionne & Olfa Maalaoui Chun

  • 2013 Financial versus demand shocks in stock price returns of U.S. non-financial firms in the crisis of 2007
    by Varvara Isyuk

  • 2013 Was bewegt den DAX?
    by Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe

  • 2013 Revisiting The Financial Volatility–Derivative Products Relationship On Euronext.Liffe Using A Frequency Domain Analysis
    by CLAUDIU TIBERIU ALBULESCU & Daniel Goyeau & AVIRAL KUMAR TIWARI

  • 2013 Macroeconomic risks, idiosyncratic risks and momentum profits Patterns in Neighboring Areas
    by Sirajum Munira Sarwar & Gulnur Muradoglu

  • 2013 Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models
    by Brian M. Lucey & Fergal A. O’Connor

  • 2013 The anatomy of the global FX market through the lens of the 2013 Triennial Survey
    by Dagfinn Rime & Andreas Schrimpf

  • 2013 CoCos: a primer
    by Stefan Avdjiev & Anastasia Kartasheva & Bilyana Bogdanova

  • 2013 The Overnight Currency Swap Rates and ISE Overnight Repo Rates
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  • 2013 The impact of social networks and mass medias on financial news and investors’ perceptions
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  • 2013 Real estate funds’ performance in the Italian market
    by Gianluca Mattarocci

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  • 2013 Short Selling
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  • 2013 Liquidity, Sentiment and Segmentation: A Survey of Closed-End Fund Literature
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  • 2013 Influencing Factors Of Valuation Multiples Of Companies
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  • 2013 Crisis on the Hungarian government bond markets in the winter of 2011–2012: Was there a liquidity problem?
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  • 2013,4th quarter update LIBOR: origins, economics, crisis, scandal and reform
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  • 2012 Financial Markets Equilibrium with Heterogeneous Agents
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  • 2012 Les marchés d'actifs sûrs
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  • 2012 Legitimizing an Ambiguous Financial Innovation : the case of Exchange Traded Funds in France
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  • 2012 The Impact of Longevity Risk on the Term Structure of the Risk-Return Tradeoff
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  • 2012 Gender Diversity in the Corporate Boardroom: Do Women Affect Risk?
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  • 2012 Are investor sentiments priced by the CAPM?
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  • 2012 Do investors care about noise trader risk?
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  • 2012 A Risk Measure for S-Shaped Assets and Prediction of Investment Performance
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  • 2012 Zur Rendite-Risiko-Beziehung am deutschen Aktienmarkt Eine empirische Analyse der Beziehung zwischen dem Deutschen Aktienindex DAX und dem Volatilitätsindex VDAX
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  • 2012 Dört faktörlü varlık fiyatlama modelinin İMKB’de test edilmesi
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  • 2012 A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction
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  • 2012 A new measure of equity duration: The duration-based explanation of the value premium revisited
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  • 2012 The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds
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  • 2012 New instruments for banking regulation and monetary policy after the crisis
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  • 2012 On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles
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  • 2012 Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten
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  • 2012 Fixed income strategies for trading and for asset management
    by Tinschert, Jonas & Cremers, Heinz

  • 2012 An evidence of speculation in Indian commodity markets
    by Vijay Kumar Varadi

  • 2012 Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability
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  • 2012 The role of uncertainty in the euro crisis: A reconsideration of liquidity preference theory
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  • 2012 Estimating endogenous liquidity using transaction and order book information
    by Durand, Philippe & Gündüz, Yalin & Thomazeau, Isabelle

  • 2012 An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises
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  • 2012 Agent-based models for economic policy design: Two illustrative examples
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  • 2012 Der Einfluss des Budgetbegleitgesetzes 2011 auf das Handelsvolumen am österreichischen Kapitalmarkt
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  • 2012 Durable Consumption, Long-Run Risk and The Equity Premium
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  • 2012 Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks
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  • 2012 Trend Following, Risk Parity and Momentum in Commodity Futures
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  • 2012 The Meiselman forward interest rate revision regression as an Affine Term Structure Model
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  • 2012 Testing CAPM with a Large Number of Assets
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  • 2012 Modeling of short term interest rate based on tempered fractional Langevin equation
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  • 2012 The Bulgarian Foreign and Domestic Debt – A No-Arbitrage Macrofinancial View
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  • 2012 Can Concentration Control Policies Eliminate Bubbles?
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  • 2012 The Cake-eating problem: Non-linear sharing rules
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  • 2012 CDS Industrial Sector Indices, credit and liquidity risk
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  • 2012 Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets
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  • 2012 An Evolutionary CAPM Under Heterogeneous Beliefs
    by Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li

  • 2012 A Stochastic Approach to the Valuation of Barrier Options in Heston's Stochastic Volatility Model
    by Susanne Griebsch & Kay Pilz

  • 2012 Heterogeneous Beliefs and the Cross-Section of Asset Returns
    by Xue-Zhong He & Lei Shi

  • 2012 Heterogeneous Beliefs and the Performances of Optimal Portfolios
    by Xue-Zhong He & Lei Shi

  • 2012 Central Bank Reserves and the Yield Curve at the ZLB
    by Mirkov, Nikola & Sutter, Barbara

  • 2012 An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union
    by Ammann, Manuel & Odoni, Sandro & Oesch, David

  • 2012 International Financial Transmission of the US Monetary Policy: An Empirical Assessment
    by Mirkov, Nikola

  • 2012 Realized Copula
    by Fengler, Matthias & Okhrin, Ostap

  • 2012 Speculation, risk premia and expectations in the yield curve
    by Francisco Barillas & Kristoffer Nimark

  • 2012 Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
    by Óscar Arce & Sergio Mayordomo

  • 2012 Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis
    by Sergio Mayordomo & Juan Ignacio Peña & María Rodríguez-Moreno

  • 2012 Fair Value Accounting, Earnings Management and the use of Available-for-Sale Instruments by Bank Managers
    by Mary E. Barth & Javier Gomez-Biscarri & Ron Kasznik & Germán López-Espinosa

  • 2012 Decoupling between the Federal Funds Rate and Long-term Interest Rates: Decreasing Effectiveness of Monetary Policy in the U.S
    by Hasan Cömert

  • 2012 The Risk Premium and Long-Run Global Imbalances
    by YiLi Chien & Kanda Naknoi

  • 2012 Credit rating agencies and unsystematic risk: Is there a linkage?
    by Pilar Abad Romero & María Dolores Robles Fernández

  • 2012 Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
    by Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong

  • 2012 Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust
    by John Cotter & Stuart Gabriel & Richard Roll

  • 2012 Determinants of US financial fragility conditions
    by Fabio C. Bagliano & Claudio Morana

  • 2012 Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies
    by Marcelo Bianconi & Joe A. Yoshino

  • 2012 Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
    by Gollier, Christian

  • 2012 Asset pricing with uncertain betas: A long-term perspective
    by Gollier, Christian

  • 2012 Liquid Bundles
    by Farhi, Emmanuel & Tirole, Jean

  • 2012 The freeze-out bond exchange offer. An experimental approach
    by Flavio Bazzana & Luigi Mittone & Luciano Andreozzi

  • 2012 Why is Price Discovery in Credit Default Swap Markets News-Specific?
    by Marsch, I. & Wagner, W.B.

  • 2012 Rezerv Opsiyonu Mekanizmasi ve Optimal Rezerv Opsiyonu Katsayilarinin Hesaplanmasi
    by Doruk Kucuksarac & Ozgur Ozel

  • 2012 Are Swap and Bond Markets Alternatives to Each Other in Turkey?
    by Murat Duran & Doruk Kucuksarac

  • 2012 Real Interest Rate Persistence in South Africa: Evidence and Implications
    by Sonali Das & Rangan Gupta & Patrick T. Kanda & Monique Reid & Christian K. Tipoy & Mulatu F. Zerihun

  • 2012 Historical Housing-related Statistics for Australia 1881-2011 – A Short Note
    by Nigel Stapledon

  • 2012 Oil Shocks and their Impact on Energy Related Stocks in China
    by David C Broadstock & Hong Cao & Dayong Zhang

  • 2012 Comonotonic measures of multivariate risks
    by Ivar Ekeland & Alfred Galichon & Marc Henry

  • 2012 Testing the Effects of Short-Selling Restrictions on Asset Prices
    by Rodrigo De-Losso & Alan De Genaro, Bruno C. Giovannetti

  • 2012 Do Margin Requirements Affect Asset Prices?
    by Bruno Cara Giovannetti & Guilherme B. Martins

  • 2012 Asset Pricing under Quantile Utility Maximization
    by Bruno Cara Giovannetti

  • 2012 Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky
    by Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz

  • 2012 Housing Bubbles and Interest Rates
    by Christian Hott & Terhi Jokipii

  • 2012 Detecting Bubbles in Hong Kong Residential Property Market
    by Matthew S. Yiu & Jun Yu & Lu Jin

  • 2012 Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods
    by Shouwei Liu & Yiu-Kuen Tse

  • 2012 Detecting Bubbles in Hong Kong Residential Property Market
    by Matthew S. Yiu & Jun Yu & Lu Jin

  • 2012 Robust Deviance Information Criterion for Latent Variable Models
    by Yong Li & Tao Zeng & Jun Yu

  • 2012 Simulated Maximum Likelihood Estimation for Latent Diffusion Models
    by Tore Selland Kleppe & Jun Yu & Hans J. Skaug

  • 2012 Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
    by Qiankun Zhou & Jun Yu

  • 2012 Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
    by Andras Fulop & Junye Li & Jun Yu

  • 2012 Sovereign Default Risk in the Euro-Periphery and the Euro-Candidate Countries
    by Gabrisch, Hurbert & Orlowski, Lucjan & Pusch, Toralf

  • 2012 Heterogenous Beliefs and Tests of Present Value Models
    by Ken Kasa & Todd Walker & Charles Whiteman

  • 2012 A Simple Characterization of Dynamic Completeness in Continuous Time
    by Theodoros M. Diasakos

  • 2012 A decision-theoretic model of asset-price underreaction and overreaction to dividend news
    by Alexander Ludwig & Alexander Zimper

  • 2012 The Performance of Socially Responsible Investment Funds: A Meta-Analysis
    by Rathner, Sebastian

  • 2012 Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
    by Ceylan, Ozcan

  • 2012 Strengthening the Financial System and Mobilizing Savings to Support More Balanced Growth in ASEAN+3
    by Siackhachanh, A. Noy

  • 2012 The Impact of Stock Market Illiquidity on Real UK GDP Growth
    by Chris Florakis & Gianluigi Giorgioni & Alexandros Kostakis & Costas Milas

  • 2012 Bayesian Semiparametric Dynamic Nelson-Siegel Model
    by Cem Çakmakli

  • 2012 Effective Trade Execution
    by Riccardo Cesari & Massimiliano Marzo & Paolo Zagaglia

  • 2012 Currency Momentum Strategies
    by Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf

  • 2012 Measuring Market Liquidity: An Introductory Survey
    by Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia

  • 2012 Average Portfolio Insurance Strategies
    by Jacques Pézier & Johanna Scheller

  • 2012 Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés
    by Choy, Marylin & Cerna, Jorge

  • 2012 Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement
    by Jean Cordier & Alexandre Gohin

  • 2012 A Variance Decomposition of Index-Linked Bond Returns
    by Francis Breedon

  • 2012 Energy cost modelling of new technology adoption for Russian regional power and heat generation
    by Alexandra Bratanova & Jacqueline Robinson & Liam Wagner

  • 2012 Systemic Risk Analysis using Forward-Looking Distance-to-Default Series
    by Martín Saldías

  • 2012 Market perception of fiscal sustainability: An application to the largest euro area economies
    by Maximiano Pinheiro

  • 2012 Asset pricing with a bank risk factor
    by João Pedro Pereira & António Rua

  • 2012 Optimal portfolio selection in ex ante stock price bubble and furthermore bubble burst scenario from Dhaka stock exchange with relevance to sharpe’s single index model
    by Kamal, Javed Bin

  • 2012 Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych
    by Buła, Rafał

  • 2012 Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options
    by Avino, Davide & Lazar, Emese & Varotto, Simone

  • 2012 Deciphering Liquidity Risk on the Istanbul Stock Exchange
    by Erten, Irem & Okay, Nesrin

  • 2012 Serial default and debt renegotiation
    by Asonuma, Tamon

  • 2012 Magyar szuverén fix kamatozású forintkötvények hozamdekompozíciója
    by Monostori, Zoltan

  • 2012 Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs
    by Huang, Huichou & MacDonald, Ronald & Zhao, Yang

  • 2012 Recent Evidence on the Impact of Federal Government Budget Deficits on the Nominal Long Term Mortgage Interest Rate in the U.S
    by Cebula, Richard & Foley, Maggie

  • 2012 Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis
    by Guler, Halil & Talasli, Anil

  • 2012 Mutual influence of the exchange assets: practical aspects
    by Kozmenko, Serhiy & Plastun, Oleksiy

  • 2012 Deciphering financial contagion in the euro area during the crisis
    by Tola, Albi & Wälti, Sébastien

  • 2012 Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L)
    by Saturnino, Odilon & Saturnino, Valéria & Lucena, Pierre & Caetano, Marcelino & Florencio dos Santos, Josete

  • 2012 Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
    by Huang, Huichou & MacDonald, Ronald

  • 2012 Expectations-Based Reference-Dependent Preferences and Asset Pricing
    by Pagel, Michaela

  • 2012 An Economic Examination of Collateralization in Different Financial Markets
    by Xiao, Tim

  • 2012 Why are U.S. Stocks More Volatile?
    by Bartram, Söhnke M. & Brown, Gregory W. & Stulz, René M.

  • 2012 An Economic Examination of Collateralization in Different Financial Markets
    by Xiao, Tim

  • 2012 Incentive-Compatible Sukuk Musharakah for Private Sector Funding
    by Diaw, Abdou & Bacha, Obiyathulla Ismath & Lahsasna, Ahcene

  • 2012 Why African Stock Markets Should Formally Harmonise and Integrate their Operations
    by Ntim, Collins G

  • 2012 Relationship between Corporate Governance Score and Stock Prices: Evidence from KSE- 30 Index Companies
    by Malik, Saif Ullah

  • 2012 The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models
    by Yun, Tack & Kim, Jinsook & Ko, Eunmi

  • 2012 Markets Evolution After the Credit Crunch
    by Bianchetti, Marco & Carlicchi, Mattia

  • 2012 Sustainable trends and periodicity in consumer price indices indicate that the era of low energy prices is approaching
    by Kitov, Ivan & Kitov, Oleg

  • 2012 U.K. cross-sectional equity data: The case for robust investability filters
    by Rossi, Francesco

  • 2012 Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis
    by Antonakakis, Nikolaos & Vergos, Konstantinos

  • 2012 Why Do Financial Intermediaries Buy Put Options from Companies?
    by Gyoshev, Stanley & Kaplan, Todd R. & Szewczyk, Samuel & Tsetsekos, George

  • 2012 Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades
    by Antonakakis, Nikolaos

  • 2012 The dynamic relation between short sellers, option traders, and aggregate returns
    by Delisle, R. Jared & Lee, Bong Soo & Mauck, Nathan

  • 2012 Fiancial Innovation, Structuring and Risk Transfer
    by Vanini, Paolo

  • 2012 Collateral choice and the fundamental theorem of asset pricing
    by Luis Manuel, García Muñoz

  • 2012 Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
    by Marco, Bianchetti & Mattia, Carlicchi

  • 2012 The Capital Asset Pricing Model: Empirical Evidence from Pakistan
    by Yasmeen, & Masood, Sarwar & Saghir, Ghauri & Muhammad, Waqas

  • 2012 Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and service sectors in India
    by Malhotra, Madhuri Malhotra & M., Thenmozhi & Gopalaswamy, Arun Kumar

  • 2012 Individual versus Collective Enforcement Rights in Sovereign Bonds
    by Häseler, Sönke

  • 2012 Liquidity and asset prices: a VECM approach
    by Ács, Attila

  • 2012 Evolution of security transaction tax in India
    by Sinha, Pankaj & Mathur, Kritika

  • 2012 The savings paradox or managing financial, economic or financial risks
    by De Koning, Kees

  • 2012 Algorithm for construction of portfolio of stocks using Treynor’s ratio
    by Sinha, Pankaj & Goyal, Lavleen

  • 2012 Effective Trade Execution
    by Cesari, Riccardo & Marzo, Massimiliano & Zagaglia, Paolo

  • 2012 Estimating term structure changes using principal component analysis in Indian sovereign bond market
    by Nath, Golaka

  • 2012 Macroeconomic variables and stock market: US review
    by Sirucek, Martin

  • 2012 Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011
    by Panait, Iulian & Slavescu, Ecaterina Oana

  • 2012 An evidence of speculation in Indian commodity markets
    by Varadi, Vijay Kumar

  • 2012 A note on the empirical test of herding: a threshold regression approach
    by Saumitra, Bhaduri

  • 2012 A note on the pricing of the perpetual American capped power put option
    by Sakagami, Yoshitaka

  • 2012 Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques
    by Sinha, Pankaj & Jayaraman, Prabha

  • 2012 The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data
    by Bicchetti, David & Maystre, Nicolas

  • 2012 EMU sovereign spreads and macroeconomic news
    by Arru, Daniela & Iacovoni, Davide & Monteforte, Libero & Pericoli, Filippo Maria

  • 2012 Testing for predictability in a noninvertible ARMA model
    by Lanne, Markku & Meitz, Mika & Saikkonen, Pentti

  • 2012 ECB Policy Response to the Euro/US Dollar Exchange Rate
    by Demir, Ishak

  • 2012 Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology
    by Cayton, Peter Julian A. & Mapa, Dennis S.

  • 2012 Timing asset market peaks: the role of the liquidity risk cycle of the banking system
    by Weber, Patrick

  • 2012 Monetary Policy and Share Pricing Business in Nigeria
    by Adesoye, A. Bolaji & Atanda, Akinwande AbdulMaliq

  • 2012 Non-standardized form of CAPM and stock returns
    by Muhammad, Irfan

  • 2012 Triffin’s Dilemma Again and the Efficient Level of U.S. Government Debt
    by Abel L. Costa Fernandes & Paulo R. Mota

  • 2012 Real Estate Market Risk in Bank Stock Returns: Evidence for 15 European Countries
    by António Miguel Martins & Ana Paula Serra

  • 2012 The Money Value of a Man
    by Mark Huggett & Greg Kaplan

  • 2012 I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti
    by M. Caporin & A. Lanzavecchia & V. Lippoli

  • 2012 Tobin Lives: Integrating evolving credit market architecture into flow of funds based macro-models
    by John Muellbauer & John Duca

  • 2012 Measuring the stance of monetary policy in zero lower bound environments
    by Leo Krippner

  • 2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound
    by Leo Krippner

  • 2012 Public Disclosure by ‘Small’ Traders
    by Luca Gelsomini

  • 2012 Decentralized Exchange
    by Semyon Malamud & Marzena Rostek

  • 2012 Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble
    by Otavio Ribeiro de Medeiros and Vitor Leone

  • 2012 The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
    by Roger E.A. Farmer & Carine Nourry & Alain Venditti

  • 2012 Disagreement and Asset Prices
    by Bruce I. Carlin & Francis A. Longstaff & Kyle Matoba

  • 2012 Valuation Risk and Asset Pricing
    by Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo

  • 2012 Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
    by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan

  • 2012 Embedded Leverage
    by Andrea Frazzini & Lasse H. Pedersen

  • 2012 Building Castles in the Air: Evidence from Industry IPO Waves
    by Zhi Da & Ravi Jagannathan & Jianfeng Shen

  • 2012 Empirical Cross-Sectional Asset Pricing
    by Stefan Nagel

  • 2012 Speculative Betas
    by Harrison Hong & David Sraer

  • 2012 Quiet Bubbles
    by Harrison Hong & David Sraer

  • 2012 Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
    by Takatoshi Ito & Kenta Yamada & Misako Takayasu & Hideki Takayasu

  • 2012 Rare Disasters, Tail-Hedged Investments, and Risk-Adjusted Discount Rates
    by Martin L. Weitzman

  • 2012 Do prices reveal the presence of informed trading?
    by Pierre Collin-Dufresne & Vyacheslav Fos

  • 2012 Insider Trading, Stochastic Liquidity and Equilibrium Prices
    by Pierre Collin-Dufresne & Vyacheslav Fos

  • 2012 Endogenous Dividend Dynamics and the Term Structure of Dividend Strips
    by Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein

  • 2012 Digesting Anomalies: An Investment Approach
    by Kewei Hou & Chen Xue & Lu Zhang

  • 2012 An Intertemporal CAPM with Stochastic Volatility
    by John Y. Campbell & Stefano Giglio & Christopher Polk & Robert Turley

  • 2012 Endogenous Liquidity and Defaultable Bonds
    by Zhiguo He & Konstantin Milbradt

  • 2012 Foreclosure externalities: Some new evidence
    by Kristopher Gerardi & Eric Rosenblatt & Paul S. Willen & Vincent Yao

  • 2012 Risks For the Long Run: Estimation with Time Aggregation
    by Ravi Bansal & Dana Kiku & Amir Yaron

  • 2012 Risk and Returns to Education
    by Jeffrey Brown & Chichun Fang & Francisco Gomes

  • 2012 Legislating Stock Prices
    by Lauren Cohen & Karl B. Diether & Christopher Malloy

  • 2012 Market Liquidity -- Theory and Empirical Evidence
    by Dimitri Vayanos & Jiang Wang

  • 2012 Econometric Analysis of Present Value Models When the Discount Factor Is near One
    by Kenneth D. West

  • 2012 The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
    by Robert F. Stambaugh & Jianfeng Yu & Yu Yuan

  • 2012 The Economics of Options-Implied Inflation Probability Density Functions
    by Yuriy Kitsul & Jonathan H. Wright

  • 2012 Tail Risk in Momentum Strategy Returns
    by Kent Daniel & Ravi Jagannathan & Soohun Kim

  • 2012 Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence
    by Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson

  • 2012 Volatility, the Macroeconomy and Asset Prices
    by Ravi Bansal & Dana Kiku & Ivan Shaliastovich & Amir Yaron

  • 2012 The Money Value of a Man
    by Mark Huggett & Greg Kaplan

  • 2012 Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars
    by Robert Novy-Marx

  • 2012 House Price Moments in Boom-Bust Cycles
    by Todd M. Sinai

  • 2012 Country Size, Currency Unions, and International Asset Returns
    by Tarek Alexander Hassan

  • 2012 Parametric Inference and Dynamic State Recovery from Option Panels
    by Torben G. Andersen & Nicola Fusari & Viktor Todorov

  • 2012 Status Competition and Housing Prices
    by Shang-Jin Wei & Xiaobo Zhang & Yin Liu

  • 2012 A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
    by Leonid Kogan & Dimitris Papanikolaou

  • 2012 Convective Risk Flows in Commodity Futures Markets
    by Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong

  • 2012 The "Out of Sample" Performance of Long-run Risk Models
    by Wayne E. Ferson & Suresh K. Nallareddy & Biqin Xie

  • 2012 Inflation and Individual Equities
    by Andrew Ang & Marie Brière & Ombretta Signori

  • 2012 Growth Opportunities, Technology Shocks, and Asset Prices
    by Leonid Kogan & Dimitris Papanikolaou

  • 2012 Identification and Estimation of Gaussian Affine Term Structure Models
    by James D. Hamilton & Jing Cynthia Wu

  • 2012 How Firms Use Domestic and International Corporate Bond Markets
    by Juan Carlos Gozzi & Ross Levine & Maria Soledad Martinez Peria & Sergio L. Schmukler

  • 2012 International Capital Flows and House Prices: Theory and Evidence
    by Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh

  • 2012 An Equilibrium Asset Pricing Model with Labor Market Search
    by Lars-Alexander Kuehn & Nicolas Petrosky-Nadeau & Lu Zhang

  • 2012 Liquidity needs, private information, feedback trading: verifying motives to trade
    by Bartosz Gębka & Dobromił Serwa

  • 2012 A macroeconomic framework for quantifying systemic risk
    by Zhiguo He & Arvind Krishnamurthy

  • 2012 Flights to Safety
    by Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei

  • 2012 Risk, uncertainty and monetary policy
    by Geert Bekaert & Marie Hoerova & Marco Lo Duca

  • 2012 Heterogeneous Agents in Multi-markets: A Coupled Map Lattices Approach
    by Weihong HUANG & Zhenxi CHEN

  • 2012 Price-Volume Relations in Financial Market
    by Weihong HUANG & Wanying Wang

  • 2012 Skewness Risk and Bond Prices
    by Francisco Ruge-Murcia

  • 2012 Skewness Risk and Bond Prices
    by RUGE-MURCIA, Francisco J.

  • 2012 Financial versus Demand shocks in stock price returns of US non-financial firms in the crisis of 2007
    by Varvara Isyuk

  • 2012 Learning by Trading in Infinite Horizon Strategic Market Games with Default
    by Sonja Brangewitz & Gaël Giraud

  • 2012 Learning by Trading in Infinite Horizon Strategic Market Games with Default
    by Sonja Brangewitz & Gaël Giraud

  • 2012 Trading and rational security pricing bubbles
    by Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa

  • 2012 The dollar squeeze of the financial crisis
    by Jean-Marc Bottazzi & Jaime Luque & Mário R. Páscoa & Suresh Sundaresan

  • 2012 Stock Market Volatility and Learning
    by Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo

  • 2012 Is Socially Responsible Investing Really Beneficial? New Empirical Evidence for the US and European Stock Markets
    by Janick Christian Mollet & Andreas Ziegler

  • 2012 Central Bank Communication and Correlation between Financial Markets: Canada and the United States
    by Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch

  • 2012 An Extension of the Consumption-based CAPM Model
    by Georges Dionne & Jingyuan Li & Cedric Okou

  • 2012 The Equity Risk Premium: Empirical Evidence from Emerging Markets
    by Michael Donadelli & Lorenzo Prosperi

  • 2012 Are private banks the better banks? An insight into the principal-agent structure and risk-taking behavior of German banks
    by Frank Schmielewski & Thomas Wein

  • 2012 Leveraging and risk taking within the German banking system: Evidence of the financial crisis in 2007 and 2008
    by Frank Schmielewski

  • 2012 Stability Price Index, Core Inflation and Output Volatility
    by Wojciech Charemza & Imran Hussain Shah

  • 2012 In search of positive skewness: the case of individual investors
    by Patrick Roger & Marie-Hélène Broihanne & Maxime Merli

  • 2012 Central bank interventions and limit order behavior in the foreign exchange market
    by Masayuki Susai & Yushi Yoshida

  • 2012 Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
    by Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong

  • 2012 Testing for Predictability in a Noninvertible ARMA Model
    by Markku Lanne & Mika Meitz & Pentti Saikkonen

  • 2012 A Concave Security Market Line
    by Enrico G. De Giorgi & Thierry Post & Atakan Yalcin

  • 2012 Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach
    by Thomas Lux

  • 2012 Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der „sichere Hafen“?
    by Jens Boysen-Hogrefe

  • 2012 Margin Trading Bans in Experimental Asset Markets
    by Sascha Füllbrunn & Tibor Neugebauer

  • 2012 Judgmental Overconfidence and Trading Activity
    by Gelinde Fellner & Sebastian Krügel

  • 2012 To See Is To Believe: Common Expectations in Experimental Asset Markets
    by Cheung, Stephen L. & Hedegaard, Morten & Palan, Stefan

  • 2012 Testing CAPM with a Large Number of Assets
    by Pesaran, M. Hashem & Yamagata, Takashi

  • 2012 Testing CAPM with a Large Number of Assets
    by Pesaran, M. Hashem & Yamagata, Takashi

  • 2012 Efficiency in the UK Commercial Property Market: A Long-run Perspective
    by S. Devaney & Oliver Holtemöller & R. Schulz

  • 2012 Financial contagion and attention allocation
    by Jordi Mondria & Climent Quintana Domeque

  • 2012 Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns
    by Serguey Khovansky & Zhylyevskyy, Oleksandr

  • 2012 Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions
    by Kentaro Kikuchi

  • 2012 Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data
    by Kentaro Kikuchi & Kohei Shintani

  • 2012 London or New York: where and when does the gold price originate?
    by Brian Lucey & Charles Larkin

  • 2012 An estimation of economic models with recursive preferences
    by Xiaohong Chen & Jack Favilukis & Sydney Ludvigson

  • 2012 Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability
    by Chang-Jin Kim & Cheolbeom Park

  • 2012 On Creditor Seniority and Sovereign Bond Prices in Europe
    by Sven Steinkamp & Frank Westermann

  • 2012 Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
    by Gollier, Christian

  • 2012 Asset pricing with uncertain betas: A long-term perspective
    by Gollier, Christian

  • 2012 Liquid Bundles
    by Farhi, Emmanuel & Tirole, Jean

  • 2012 Dynamic Functional Data Analysis with Nonparametric State Space Models
    by Márcio Laurini

  • 2012 Implied Basket Correlation Dynamics
    by Wolfgang Karl Härdle & Elena Silyakova & &

  • 2012 Rethinking stock market integration: Globalization, valuation and convergence
    by Pui Sun Tam & Pui I Tam & &

  • 2012 Do Japanese Stock Prices Reflect Macro Fundamentals?
    by Wenjuan Chen & Anton Velinov &

  • 2012 Realized Copula
    by Matthias R. Fengler & Ostap Okhrin &

  • 2012 Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
    by Wolfgang Karl Härdle & Nikolaus Hautsch & Andrija Mihoci

  • 2012 Hidden Liquidity: Determinants and Impact
    by Gökhan Cebiroglu & Ulrich Horst

  • 2012 Parametric Inference and Dynamic State Recovery from Option Panels
    by Torben G. Andersen & Nicola Fusari & Viktor Todorov

  • 2012 Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
    by Andras Fulop & Junye Li & Jun Yu

  • 2012 What Makes the VIX Tick?
    by Warren Bailey & Lin Zheng & Yinggang Zhou

  • 2012 Detecting Bubbles in the Hong Kong Residential Property Market: An Explosive-Pattern Approach
    by Matthew S. Yiu & Lu Jin

  • 2012 The Money Value of a Man
    by Mark Huggett & Greg Kaplan

  • 2012 Heterogeneous impatience and dynamic inconsistency
    by Hara, Chiaki

  • 2012 Asset prices, trading volumes, and investor welfare in markets with transaction costs
    by Hara, Chiaki

  • 2012 What Puzzles? New insights in asset pricing
    by Aase, Knut K.

  • 2012 Property Rights and the Cost of Capital
    by Bjuggren, Per-Olof & Eklund, Johan

  • 2012 What determines bank stock price synchronicity? Global evidence
    by Francis , Bill & Hasan, Iftekhar & Song, Liang & Yeung , Bernard

  • 2012 Signaling asset price bubbles with time-series methods
    by Taipalus , Katja

  • 2012 Why is price discovery in credit default swap markets news-specific?
    by Marsh, Ian W. & Wagner , Wolf

  • 2012 Real-time warning signs of emerging and collapsing Chinese house price bubbles
    by Funke, Michael & Chen, Xi

  • 2012 Integration of Chinese and Russian stock markets with world markets: National and sectoral perspectives
    by Babeckii, Ian & Komárek, Luboš & Komárková, Zlatuše

  • 2012 Detecting asset price bubbles with time-series methods
    by Taipalus, Katja

  • 2012 Stochastic modeling of financing longevity risk in pension insurance
    by Ronkainen , Vesa

  • 2012 Leverage and Asset Prices: An Experiment
    by Ana Fostel

  • 2012 Leverage and Asset Prices: An Experiment
    by Marco Cipriani & Ana Fostel & Daniel Houser

  • 2012 The Money Value of a Man
    by Mark Huggett and Greg Kaplan

  • 2012 Bezahlte Freiwilligenarbeit - ein Widerspruch ?
    by Gmür, Markus & Gmür, Markus

  • 2012 A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model
    by Wallmeier, Martin & Tauscher, Kathrin

  • 2012 Regime Identification in Limit Order Books
    by Rossen Trendafilov & Erick W Rengifo

  • 2012 Optimal Capital Structure with Endogenous Default and Volatility Risk
    by Flavia Barsotti

  • 2012 A note on the existence of CAPM equilibria with homogeneous Cumulative Prospect Theory preferences
    by Matteo Del Vigna

  • 2012 Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates
    by Ajello, Andrea & Benzoni, Luca & Chyruk, Olena

  • 2012 The Oil price-Macroeconomy Relationship since the Mid- 1980s: A global perspective
    by Claudio Morana

  • 2012 Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation
    by Claudio Morana

  • 2012 Time-varying Betas of the Banking Sector
    by Tomáš Adam & Sona Benecká & Ivo Jánský

  • 2012 The Influence of Housing Price Developments on Household Consumption: Empirical Analysis for the Czech Republic
    by Sylvie Dvoráková & Jakub Seidler

  • 2012 Debt Contracts and Stochastic Default Barrier
    by Martin Dózsa & Jakub Seidler

  • 2012 Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market
    by Lucas Bretschger & Filippo Lechthaler

  • 2012 The Late 1970's Bubble in Dutch Collectible Postage Stamps
    by Franses, Ph.H.B.F. & Knecht, W.

  • 2012 Policy design in a model with swings in risk appetite
    by Bianca De Paoli & Pawel Zabczyk

  • 2012 Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia
    by Andrea Vedolin

  • 2012 Measuring the stance of monetary policy in zero lower bound environments
    by Leo Krippner

  • 2012 Testing external habits in an asset pricing model
    by M Boschi & S d'Addona & A Goenka

  • 2012 A theoretical foundation for the Nelson and Siegel class of yield curve models
    by Leo Krippner

  • 2012 Modifying Gaussian term structure models when interest rates are near the zero lower bound (this is a revised version of CAMA working paper 36/2011)
    by Leo Krippner

  • 2012 Portfolio Selection – A Technical Note
    by Ana Paula Martins

  • 2012 Have We Solved the Idiosyncratic Volatility Puzzle?
    by Hou, Kewei & Loh, Roger

  • 2012 Labor Heterogeneity and Asset Prices: The Importance of Skilled Labor
    by Belo, Frederico & Lin, Xiaoji

  • 2012 Probability Weighting of Rare Events and Currency Returns
    by Chabi-Yo, Fousseni & Song, Zhaogang

  • 2012 The Inventory Growth Spread
    by Belo, Frederico & Lin, Xiaoji

  • 2012 Endogenous Technological Progress and the Cross Section of Stock Returns
    by Lin, Xiaoji

  • 2012 Digesting Anomalies: An Investment Approach
    by Hou, Kewei & Xue, Chen & Zhang, Lu

  • 2012 Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability
    by Favilukis, Jack & Lin, Xiaoji

  • 2012 Labor Hiring, Investment, and Stock Return Predictability in the Cross Section
    by Belo, Frederico & Lin, Xiaoji & Bazdresch, Santiago

  • 2012 Wage Rigidity: A Solution to Several Asset Pricing Puzzles
    by Favilukis, Jack & Lin, Xiaoji

  • 2012 Does Aggregate Riskiness Predict Future Economic Downturns?
    by Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni

  • 2012 Ten badly explained topics in most corporate finance books
    by Fernandez, Pablo

  • 2012 Bonos estructurados vendidos en España en los últimos años
    by Fernandez, Pablo & Aguirreamalloa, Javier

  • 2012 La insolvencia de Lehman Brothers en septiembre de 2008: Sobre su previsibilidad y sobre algunos "profetas a posteriori"
    by Fernandez, Pablo & Aguirreamalloa, Javier

  • 2012 Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session
    by Lescourret, Laurence

  • 2012 Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State
    by A. Ronald Gallant & Han Hong & Ahmed Khwaja

  • 2012 The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity
    by Theoharry Grammatikos & Robert Vermeulen

  • 2012 The pitch rather than the pit: investor inattention during FIFA World Cup matches
    by Michael Ehrmann & David-Jan Jansen

  • 2012 The Original Operation Twist: The War Finance Corporation's War Bond Purchase, 1918-1920
    by James L. Butkiewicz & Mihaela Solcan

  • 2012 Modelling the Sovereign Linkages of Key Latin American Economies
    by Kannan Thuraisamy & Gerard Gannon

  • 2012 Does the choice of estimator matter when forecasting returns?
    by Joakim Westerlund & Paresh K Narayan

  • 2012 Complex Stock Price Dynamics and Recurrent Bubbles under the Spirit of Capitalism
    by Marco Airaudo

  • 2012 Inflation-Hedging Portfolios : Economic Regimes Matter
    by Signori, Ombretta & Brière, Marie

  • 2012 Labor Intensity and Expected Stock Returns
    by Pontuch, Peter & Chemla, Gilles

  • 2012 Liquidity Benefits from IPO Underpricing : Ownership Dispersion or Information Effect
    by Bouzouita, Nesrine & Gajewski, Jean-François & Gresse, Carole

  • 2012 Trends in the literature on socially responsible investment: looking for the keys under the lamppost
    by Capelle-Blancard, Gunther & Monjon, Stéphanie

  • 2012 Comonotonic Measures of Multivariate Risks
    by Henry, Marc & Galichon, Alfred & Ekeland, Ivar

  • 2012 Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options
    by Féron, Olivier & Monfort, Alain

  • 2012 An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management
    by Vialas, Christine & Touzi, Nizar & Aïd, René

  • 2012 An Estimation of Economic Models with Recursive Preferences
    by Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson

  • 2012 Leverage and Default in Binomial Economies: A Complete Characterization
    by Ana Fostel & John Geanakoplos

  • 2012 Leverage and Default in Binomial Economies: A Complete Characterization
    by Ana Fostel & John Geanakoplos

  • 2012 Endogenous Leverage in a Binomial Economy: The Irrelevance of Actual Default
    by Ana Fostel & John Geanakoplos

  • 2012 The reaction of stock market returns to anticipated unemployment
    by Jesús Gonzalo & AbderrahimTaamouti

  • 2012 Nonparametric estimation and inference for Granger causality measures
    by Abderrahim Taamouti & Taoufik Bouezmarni & Anouar El Ghouch

  • 2012 Survival of Hedge Funds : Frailty vs Contagion
    by Serge Darolles & Patrick Gagliardini & Christian Gouriéroux

  • 2012 Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
    by Serge Darolles & Christian Gouriéroux & Emmanuelle Jay

  • 2012 Correlated Risks vs Contagion in Stochastic Transition Models
    by Patrick Gagliardini & Christian Gouriéroux

  • 2012 Determinants of US financial fragility conditions
    by Fabio Bagliano & Claudio Morana

  • 2012 Sentiment Trades and Option Prices
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels

  • 2012 The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity
    by Theoharry Grammatikos & Robert Vermeulen

  • 2012 Measuring the Bid-Ask Spreads: Application to the European Union Allowances Futures Market
    by Yoichi Otsubo

  • 2012 Noise Trading and the Cross-Section of Index Option Prices
    by Fabian Irek & Thorsten Lehnert & Nicolas Martelin

  • 2012 Bubbles and Experience: An Experiment with a Steady Inflow of New Traders
    by Huan Xie & Jipeng Zhang

  • 2012 From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks
    by Martin Bohl & Philipp Kaufmann & Patrick Stephan

  • 2012 Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach
    by Marc Lammerding & Patrick Stephan & Mark Trede & Bernd Wilfling

  • 2012 Valuation Risk and Asset Pricing
    by Albuquerque, Rui & Eichenbaum, Martin & Rebelo, Sérgio

  • 2012 Empirical Cross-Sectional Asset Pricing
    by Nagel, Stefan

  • 2012 The Federal Reserve’s Large-Scale Asset Purchase Programs: Rationale and Effects
    by D'Amico, Stefania & English, William & López-Salido, J David & Nelson, Edward

  • 2012 Asset Prices and Institutional Investors
    by Basak, Suleyman & Pavlova, Anna

  • 2012 Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition
    by Chen, Zhihua & Lookman, Aziz & Schürhoff, Norman & Seppi, Duane J

  • 2012 Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets
    by Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel

  • 2012 The Cross-Section and Time-Series of Stock and Bond Returns
    by Koijen, Ralph & Lustig, Hanno & van Nieuwerburgh, Stijn

  • 2012 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
    by Kelly, Bryan & Lustig, Hanno & van Nieuwerburgh, Stijn

  • 2012 The Wealth-Consumption Ratio
    by Lustig, Hanno & van Nieuwerburgh, Stijn & Verdelhan, Adrien

  • 2012 Can Rare Events Explain the Equity Premium Puzzle?
    by Ghosh, Anisha & Julliard, Christian

  • 2012 Robust Capital Regulation
    by Acharya, Viral V & Mehran, Hamid & Schuermann, Til & Thakor, Anjan

  • 2012 Competing on Speed
    by Pagnotta, Emiliano & Philippon, Thomas

  • 2012 Evaporating Liquidity
    by Nagel, Stefan

  • 2012 Currency Momentum Strategies
    by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas

  • 2012 Sources of Risk in Currency Returns
    by Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina

  • 2012 House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
    by Gelain, Paolo & Lansing, Kevin J. & Mendicino, Caterina

  • 2012 Two-dimensional Fourier cosine series expansion method for pricing financial options
    by Marjon Ruijter & Kees Oosterlee (CWI)

  • 2012 The Impact of Supply Constraints on House Prices in England
    by Wouter Vermeulen & Christian A.L. Hilber

  • 2012 Optimal Portfolio Selection: A Note with a VBA Solution
    by Ignacio Velez-Pareja, Pedro Fabián Castilla Ávila & Pedro F. Castilla

  • 2012 Blind Man's Buff: On the Search of the Optimal Capital Structure
    by Ignacio Velez-Pareja, Felipe Mejia-Pelaez, James W. Kolari & Felipe Mejia-Pelaez & James W. Kolari

  • 2012 The Internal-Rate-of-Return approach and the AIRR paradigm: A refutation and a corroboration
    by Carlo Alberto Magni

  • 2012 The AIRR Approach for Investment Performance Measurement
    by Carlo Alberto Magni

  • 2012 Interval and fuzzy Average Internal Rate of Return for investment appraisal
    by Maria Letizia Guerra & Carlo Alberto Magni & Luciano Stefanini

  • 2012 Una Introducción Al Costo De Capital
    by Ignacio Velez Pareja & Joseph Tham

  • 2012 Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence
    by Carlos León & Karen Leiton & Alejandro Reveiz

  • 2012 Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange
    by José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura

  • 2012 Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News
    by Peter Claeys & Borek Vasicek

  • 2012 Macroprudential Policy and Its Instruments in a Small EU Economy
    by Jan Frait & Zlatuse Komarkova

  • 2012 Performance-Based Compensation and Firm Value: Experimental evidence
    by Glenn Pfeiffer & Timothy Shields

  • 2012 To buy or not to buy? The value of contradictory analyst signals
    by Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne

  • 2012 Risk Premia: Short and Long-term
    by Stanislav Khrapov

  • 2012 The investor in warrants
    by Victor Mendes Santos

  • 2012 Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes
    by Christian Gollier

  • 2012 Asset Pricing Implications of a New Keynesian Model: A Note
    by Burkhard Heer & Torben Klarl & Alfred Maussner

  • 2012 On Creditor Seniority and Sovereign Bond Prices in Europe
    by Sven Steinkamp & Frank Westermann

  • 2012 Testing Uncovered Interest Rate Parity Using LIBOR
    by Muhammad Omer & Jakob de Haan & Bert Scholtens

  • 2012 The Impact of Supply Constraints on House Prices in England
    by Christian A. L. Hilber & Wouter Vermeulen

  • 2012 Policy Design in a Model with Swings in Risk Appetite
    by Bianca De Paoli & Pawel Zabczyk

  • 2012 Cyclical Risk Aversion, Precautionary Saving and Monetary Policy
    by Bianca De Paoli & Pawel Zabczyk

  • 2012 The Real Effects of Hedge Fund Activism: Productivity, Risk, and Product Market Competition
    by Alon Brav & Wei Jiang & Hyunseob Kim

  • 2012 Monetary Policy, Asset Prices, and Liquidity in Over-the-Counter Markets
    by Athanasios Geromichalos & Lucas Herrenbrueck

  • 2012 Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios
    by Doriana Ruffino

  • 2012 Risk Management and Financial Derivatives: An Overview
    by Shawkat Hammoudeh & Michael McAleer

  • 2012 Sovereign default and macroeconomic tipping points
    by Joy, Mark

  • 2012 Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
    by Pesaran, M. H. & Yamagata, T.

  • 2012 The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
    by Michael King & Carol Osler & Dagfinn Rime

  • 2012 Inflation Derivatives Under Inflation Target Regimes
    by Mordecai Avriel & Jens Hilscher & Alon Raviv

  • 2012 Ambiguity Aversion and Variance Premium
    by Jianjun Miao & Bin Wei & Hao Zhou

  • 2012 Interaction between Single Stock Futures and the Underlying Securities: A Cross-Country Analysis
    by Evren Arik & Elif Mutlu

  • 2012 Effective Trade Execution
    by R. Cesari & M. Marzo & P. Zagaglia

  • 2012 Application of a Search Model to Appropriate Designing of Reference Rates: Actual Transactions and Expert Judgment
    by Shun Kobayashi

  • 2012 Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?
    by Dimitris A. Georgoutsos & Petros Migiakis

  • 2012 QE and the gilt market: a disaggregated analysis
    by Daines, Martin & Joyce, Michael & Tong, Matthew

  • 2012 Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions
    by de Vincent-Humphreys, Rupert & Noss, Joseph

  • 2012 Measuring Sovereign Contagion in Europe
    by Massimiliano Caporin & Loriana Pelizzon & Francesco Ravazzolo & Roberto Rigobon

  • 2012 Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market
    by M. Eskandar Shah & Sourafel Girm & R. Hudson

  • 2012 Equity Capital, Bankruptcy Risk and the Liquidity Trap
    by Oren Levintal

  • 2012 Asset Pricing with Second-Order Esscher Transforms
    by Monfort, A. & Pegoraro, F.

  • 2012 A model of the euro-area yield curve with discrete policy rates
    by Renne, J-P.

  • 2012 Commonality in hedge fund returns: driving factors and implications
    by Bussiere, M. & Hoerova, M. & Klaus, B.

  • 2012 A term structure model with level factor cannot be realistic and arbitrage free
    by Dubecq , S. & Gourieroux , C.

  • 2012 The role of financial investments in agricultural commodity derivatives markets
    by Alessandro Borin & Virginia Di Nino

  • 2012 Expected inflation and inflation risk premium in the euro area and in the United States
    by Marcello Pericoli

  • 2012 Real term structure and inflation compensation in the euro area
    by Marcello Pericoli

  • 2012 Recent estimates of sovereign risk premia for euro-area countries
    by Antonio Di Cesare & Giuseppe Grande & Michele Manna & Marco Taboga

  • 2012 An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
    by Gregory H. Bauer & Antonio Diez de los Rios

  • 2012 Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
    by Jean-Sébastien Fontaine

  • 2012 Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
    by Bruno Feunou & Jean-Sébastien Fontaine

  • 2012 Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
    by Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap

  • 2012 The U.S.-Dollar Supranational Zero-Coupon Curve
    by Francisco Rivadeneyra

  • 2012 Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable
    by Nandini Srivastava & Stephen Satchell

  • 2012 Is Rational Speculation in the Presence of Positive Feedback Traders Destabilizing?
    by Lutz G. Arnold & Stephan Brunner

  • 2012 The mean-variance model from the inverse of the variance-covariance matrix
    by Jordi Esteve Comas & Manuel Fernandez Lopez

  • 2012 Estimating C-CAPM and the Equity Premium over the Frequency Domain
    by Ekaterini Panopoulou & Sarantis Kalyvitis

  • 2012 Pricing European Options on Deferred Insurance
    by Jonathan Ziveyi & Craig Blackburn & Michael Sherris

  • 2012 Are extreme returns priced in the stock market? European evidence
    by ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt

  • 2012 External imbalances and financial fragility in the euro area
    by Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Filippo Presbitero

  • 2012 Information Environment and the Cost of Capital: A New Approach
    by Xuguang Sheng & Orie Barron & Maya Thevenot

  • 2012 Advice and Fictive Learning: The Pricing of Assets in the Laboratory
    by Jonathan E. Alevy & Michael K. Price

  • 2012 Fear and Closed-End Fund Discounts
    by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern

  • 2012 The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds
    by Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana Stern

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  • 2012 Using Long-Run Consumption-Return Correlations to Test Asset Pricing Models
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  • 2012 Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India
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  • 2012 Speculative Bubbles - A Behavioral Approach
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  • 2012 A Study On Financial Derivative Worldwide Transactions -Futures Contracts
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  • 2012 Impact of Financial Reforms on Stock Price Index of Karachi Stock Exchange: An ARDL Cointegration Approach
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  • 2012 Hayek, Keynes, and modern macroeconomics
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  • 2012 Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?
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  • 2012 Do Asymmetric Causal Relationships Exist between Macroeconomic Variables and Housing Returns in Taiwan?
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  • 2012 Extracting Deflation Probability Forecasts from Treasury Yields
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  • 2012 The News Content of Macroeconomic Announcements: What if Central Bank Communication Becomes Stale?
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  • 2012 Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds
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  • 2012 The Price of Stocks in Latin American Financial Markets: En Empirical Application of the Ohlson Model
    by Pedro Martinez & Diego Prior & Josep Rialp

  • 2012 Improving the Forecasting Power of Volatility Models
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  • 2012 How Do the Asian and the Asia-Pacific Equity Markets Covariate? The Linkage with Japan
    by Chikashi Tsuji

  • 2012 Bank Capital Structure, Liquidity and Profitability Evidence from the Nigerian Banking System
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  • 2012 Does It Matter Who Trades Energy Derivatives?
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  • 2012 Real Oil Prices since the 1990s
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  • 2012 The Role of Fees in Pension Fund Performance. Evidence from Spain
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  • 2012 Time-Varying Betas of Banking Sectors
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  • 2012 Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?
    by Vit Posta

  • 2012 Internet valuations: The case of Terra-Lycos
    by Pablo Fernandez

  • 2012 House Price Comovements in the Eurozone Economies
    by Andreas Merikas & Anna Merika & Nikiforos Laopodis & Anna Triantafyllou

  • 2012 Stamp characteristics and long-term return after issuance: evidence from new China stamps
    by Xin Chen & Xian Chen

  • 2012 Does attention affect individual investors' investment return?
    by Rongsheng Shi & Zhi Xu & Zhengrong Chen & Jing Huang

  • 2012 New instruments for banking regulation and monetary policy after the crisis
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  • 2012 Rating Government Bonds: Can We Raise Our Grade?
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  • 2012 Markowitz Modeline Dayali Optimal Portfoy Seciminde Islem Hacmi Kisiti
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  • 2012 Beta Katsayilarinin Tahmini: Istanbul Menkul Kiymetler Borsasi Uzerine Bir Uygulama
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  • 2012 Portfolio Selection – A Technical Note
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  • 2012 Volume, volatility and information linkages in the stock and option markets
    by Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong

  • 2012 A logit model of retail investors' individual trading decisions and their relations to insider trades
    by Stotz, Olaf & Georgi, Dominik

  • 2012 Islamic investing
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  • 2012 Why U.S. firms delist from the Tokyo stock exchange: An empirical analysis
    by Liu, Shinhua & Stowe, John D. & Hung, Ken

  • 2012 Volatility risk premium decomposition of LIFFE equity options
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  • 2012 Do investors value REITs and Non-REITs differently?
    by Wei, Peihwang & Yang, Xiaolou

  • 2012 Inside trading, public disclosure and imperfect competition
    by Gong, Fuzhou & Liu, Hong

  • 2012 The predictability of aggregate Japanese stock returns: Implications of dividend yield
    by Chen, Sichong

  • 2012 R&D, risks and overreaction in a market with the absence of the book-to-market effect
    by Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang

  • 2012 Asset pricing with idiosyncratic risk: The Spanish case
    by Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis

  • 2012 Intraday trading activities and volatility in round-the-clock futures markets
    by Kao, Erin H. & Fung, Hung-Gay

  • 2012 Parametric Value-at-Risk analysis: Evidence from stock indices
    by Mabrouk, Samir & Saadi, Samir

  • 2012 Do short selling restrictions destabilize stock markets? Lessons from Taiwan
    by Bohl, Martin T. & Essid, Badye & Siklos, Pierre L.

  • 2012 The investment value of the value premium
    by Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A.

  • 2012 Evaluating asset pricing models in the Korean stock market
    by Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo

  • 2012 The overseas listing puzzle: Post-IPO performance of Chinese stocks and ADRs in the U.S. market
    by Luo, Yongli & Fang, Fang & Esqueda, Omar A.

  • 2012 The foreclosure discount: Myth or reality?
    by Harding, John P. & Rosenblatt, Eric & Yao, Vincent W.

  • 2012 Investor demand and spot commodity prices: Reply 2
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  • 2012 The relevance of thinking-by-analogy for investors’ willingness-to-pay: An experimental study
    by Siddiqi, Hammad

  • 2012 Common trends and common cycles among interest rates of the G7-countries
    by Lindenberg, Nannette & Westermann, Frank

  • 2012 Information contagion within small worlds and changes in kurtosis and volatility in financial prices
    by Bowden, Mark P.

  • 2012 Central bank announcements of asset purchases and the impact on global financial and commodity markets
    by Glick, Reuven & Leduc, Sylvain

  • 2012 International diversification with securitized real estate and the veiling glare from currency risk
    by Kroencke, Tim A. & Schindler, Felix

  • 2012 Sovereign risk premiums in the European government bond market
    by Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger

  • 2012 When does uncovered interest parity hold?
    by Moore, Michael J. & Roche, Maurice J.

  • 2012 Stock returns’ sensitivities to crisis shocks: Evidence from developed and emerging markets
    by Calomiris, Charles W. & Love, Inessa & Martínez Pería, María Soledad

  • 2012 The Greek financial crisis: Growing imbalances and sovereign spreads
    by Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S.

  • 2012 Investor yield and gross underwriting spread comparisons among U.S. dollar domestic, Yankee, Eurodollar, and global bonds
    by Resnick, Bruce G.

  • 2012 Global liquidity risk in the foreign exchange market
    by Banti, Chiara & Phylaktis, Kate & Sarno, Lucio

  • 2012 Using survey data to resolve the exchange risk exposure puzzle: Evidence from U.S. multinational firms
    by Jongen, R. & Muller, A. & Verschoor, W.F.C.

  • 2012 Securitization, risk-transferring and financial instability: The case of Spain
    by Carbó-Valverde, Santiago & Marques-Ibanez, David & Rodríguez-Fernández, Francisco

  • 2012 Aging and house prices
    by Takáts, Előd

  • 2012 Currency momentum strategies
    by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas

  • 2012 Stock returns after major price shocks: The impact of information
    by Savor, Pavel G.

  • 2012 Multifactor models and their consistency with the ICAPM
    by Maio, Paulo & Santa-Clara, Pedro

  • 2012 Pinning in the S&P 500 futures
    by Golez, Benjamin & Jackwerth, Jens Carsten

  • 2012 Geographic dispersion and stock returns
    by García, Diego & Norli, Øyvind

  • 2012 ‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables
    by Paye, Bradley S.

  • 2012 Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing
    by Dezső, Cristian L. & Ross, David Gaddis

  • 2012 The term structure of inflation expectations
    by Chernov, Mikhail & Mueller, Philippe

  • 2012 Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban
    by Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick

  • 2012 The option to stock volume ratio and future returns
    by Johnson, Travis L. & So, Eric C.

  • 2012 Predictive regressions with time-varying coefficients
    by Dangl, Thomas & Halling, Michael

  • 2012 Testing conditional factor models
    by Ang, Andrew & Kristensen, Dennis

  • 2012 Limited arbitrage between equity and credit markets
    by Kapadia, Nikunj & Pu, Xiaoling

  • 2012 Sell-order liquidity and the cross-section of expected stock returns
    by Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing

  • 2012 Displacement risk and asset returns
    by Gârleanu, Nicolae & Kogan, Leonid & Panageas, Stavros

  • 2012 What does futures market interest tell us about the macroeconomy and asset prices?
    by Hong, Harrison & Yogo, Motohiro

  • 2012 Size, value, and momentum in international stock returns
    by Fama, Eugene F. & French, Kenneth R.

  • 2012 A unique view of hedge fund derivatives usage: Safeguard or speculation?
    by Aragon, George O. & Spencer Martin, J.

  • 2012 How are shorts informed?
    by Engelberg, Joseph E. & Reed, Adam V. & Ringgenberg, Matthew C.

  • 2012 Understanding commonality in liquidity around the world
    by Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A.

  • 2012 Pricing of commercial real estate securities during the 2007–2009 financial crisis
    by Driessen, Joost & Van Hemert, Otto

  • 2012 Variance bounds on the permanent and transitory components of stochastic discount factors
    by Bakshi, Gurdip & Chabi-Yo, Fousseni

  • 2012 Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises
    by Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G.

  • 2012 Payout yield, risk, and mispricing: A Bayesian analysis
    by Shanken, Jay & Tamayo, Ane

  • 2012 Econometric measures of connectedness and systemic risk in the finance and insurance sectors
    by Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana

  • 2012 The role of institutional investors in propagating the crisis of 2007–2008
    by Manconi, Alberto & Massa, Massimo & Yasuda, Ayako

  • 2012 Arbitrage crashes and the speed of capital
    by Mitchell, Mark & Pulvino, Todd

  • 2012 Investor attention, psychological anchors, and stock return predictability
    by Li, Jun & Yu, Jianfeng

  • 2012 Measuring investor sentiment with mutual fund flows
    by Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi

  • 2012 Chasing noise
    by Mendel, Brock & Shleifer, Andrei

  • 2012 The short of it: Investor sentiment and anomalies
    by Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu

  • 2012 Global, local, and contagious investor sentiment
    by Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu

  • 2012 Realization utility
    by Barberis, Nicholas & Xiong, Wei

  • 2012 Time series momentum
    by Moskowitz, Tobias J. & Ooi, Yao Hua & Pedersen, Lasse Heje

  • 2012 Cash holdings, risk, and expected returns
    by Palazzo, Berardino

  • 2012 Endogenous liquidity in credit derivatives
    by Qiu, Jiaping & Yu, Fan

  • 2012 Corporate bond liquidity before and after the onset of the subprime crisis
    by Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David

  • 2012 Do arbitrageurs amplify economic shocks?
    by Hong, Harrison & Kubik, Jeffrey D. & Fishman, Tal

  • 2012 Is momentum really momentum?
    by Novy-Marx, Robert

  • 2012 Endogenous technological progress and the cross-section of stock returns
    by Lin, Xiaoji

  • 2012 Counterparty credit risk and the credit default swap market
    by Arora, Navneet & Gandhi, Priyank & Longstaff, Francis A.

  • 2012 CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
    by Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi

  • 2012 Rational asset pricing bubbles and portfolio constraints
    by Hugonnier, Julien

  • 2012 Forecasting the forecasts of others: Implications for asset pricing
    by Makarov, Igor & Rytchkov, Oleg

  • 2012 Equilibrium in securities markets with heterogeneous investors and unspanned income risk
    by Christensen, Peter Ove & Larsen, Kasper & Munk, Claus

  • 2012 Why does bad news increase volatility and decrease leverage?
    by Fostel, Ana & Geanakoplos, John

  • 2012 Securities market theory: Possession, repo and rehypothecation
    by Bottazzi, Jean-Marc & Luque, Jaime & Páscoa, Mário R.

  • 2012 Joint dynamics of Brazilian interest rate yields and macro variables under a no-arbitrage restriction
    by Barbedo, Claudio H.S. & de Melo, Eduardo F.L.

  • 2012 Real aggregate activity and stock returns
    by Du, Ding & Denning, Karen & Zhao, Xiaobing

  • 2012 Volatility persistence in metal returns: A FIGARCH approach
    by Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde

  • 2012 Private investment and public equity returns
    by Couch, Robert & Wu, Wei

  • 2012 The dynamic adjustments of stock prices to inflation disturbances
    by Valcarcel, Victor J.

  • 2012 Delegated portfolio management with career concerns
    by Scotti, Massimo

  • 2012 Speculative growth, overreaction, and the welfare cost of technology-driven bubbles
    by Lansing, Kevin J.

  • 2012 Estimating behavioural heterogeneity under regime switching
    by Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan

  • 2012 Heterogeneous gain learning and the dynamics of asset prices
    by LeBaron, Blake

  • 2012 Financial crises and regime-dependent dynamics
    by Huang, Weihong & Zheng, Huanhuan

  • 2012 A behavioral model of house prices
    by Madsen, Jakob B.

  • 2012 Herding effects in order driven markets: The rise and fall of gurus
    by Tedeschi, Gabriele & Iori, Giulia & Gallegati, Mauro

  • 2012 Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
    by Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wang, George H.K.

  • 2012 Does the choice of estimator matter when forecasting returns?
    by Westerlund, Joakim & Narayan, Paresh Kumar

  • 2012 State uncertainty in stock markets: How big is the impact on the cost of equity?
    by Han, Yufeng

  • 2012 What explains the investment growth anomaly?
    by Prombutr, Wikrom & Phengpis, Chanwit & Zhang, Ying

  • 2012 Downside risk of international stock returns
    by Galsband, Victoria

  • 2012 Option trading: Information or differences of opinion?
    by Choy, Siu Kai & Wei, Jason

  • 2012 Are corporate bond market returns predictable?
    by Hong, Yongmiao & Lin, Hai & Wu, Chunchi

  • 2012 Institutional ownership, analyst following, and share prices
    by Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A.

  • 2012 Asset pricing with partial-moments
    by Anthonisz, Sean A.

  • 2012 Multimarket trading and corporate bond liquidity
    by Petrasek, Lubomir

  • 2012 Informed trading, information uncertainty, and price momentum
    by Chen, Yifan & Zhao, Huainan

  • 2012 The week-of-the-year effect: Evidence from around the globe
    by Levy, Tamir & Yagil, Joseph

  • 2012 Bounds on the autocorrelation of admissible stochastic discount factors
    by Chrétien, Stéphane

  • 2012 An alternative three-factor model for international markets: Evidence from the European Monetary Union
    by Ammann, Manuel & Odoni, Sandro & Oesch, David

  • 2012 Information demand and stock market volatility
    by Vlastakis, Nikolaos & Markellos, Raphael N.

  • 2012 Asset pricing with Second-Order Esscher Transforms
    by Monfort, Alain & Pegoraro, Fulvio

  • 2012 Assessing the risk-return trade-off in loan portfolios
    by Mencía, Javier

  • 2012 Endogenizing exogenous default barrier models: The MM algorithm
    by Forte, Santiago & Lovreta, Lidija

  • 2012 Are good-news firms riskier than bad-news firms?
    by Min, Byoung-Kyu & Kim, Tong Suk

  • 2012 Extreme downside risk and expected stock returns
    by Huang, Wei & Liu, Qianqiu & Ghon Rhee, S. & Wu, Feng

  • 2012 Using industry momentum to improve portfolio performance
    by Behr, Patrick & Guettler, Andre & Truebenbach, Fabian

  • 2012 The term structure of illiquidity premia
    by Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese

  • 2012 On the relationship between concentration of prospect theory/mental accounting investors, cointegration, and momentum
    by Bhootra, Ajay & Hur, Jungshik

  • 2012 Pitfalls in VAR based return decompositions: A clarification
    by Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten

  • 2012 Earnings conference calls and stock returns: The incremental informativeness of textual tone
    by Price, S. McKay & Doran, James S. & Peterson, David R. & Bliss, Barbara A.

  • 2012 A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns
    by Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D.

  • 2012 Modeling and measuring intraday overreaction of stock prices
    by Klößner, Stefan & Becker, Martin & Friedmann, Ralph

  • 2012 An empirical analysis of marginal conditional stochastic dominance
    by Clark, Ephraim & Kassimatis, Konstantinos

  • 2012 Cross-sectional performance and investor sentiment in a multiple risk factor model
    by Berger, Dave & Turtle, H.J.

  • 2012 The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors
    by Murtazashvili, Irina & Vozlyublennaia, Nadia

  • 2012 Higher co-moments and asset pricing on London Stock Exchange
    by Kostakis, Alexandros & Muhammad, Kashif & Siganos, Antonios

  • 2012 Short selling of ADRs and foreign market short-sale constraints
    by Blau, Benjamin M. & Van Ness, Robert A. & Warr, Richard S.

  • 2012 Fast profits: Investor sentiment and stock returns during Ramadan
    by Białkowski, Jędrzej & Etebari, Ahmad & Wisniewski, Tomasz Piotr

  • 2012 The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns
    by Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R.

  • 2012 Order flow, bid–ask spread and trading density in foreign exchange markets
    by Chen, Shikuan & Chien, Chih-Chung & Chang, Ming-Jen

  • 2012 A unique “T+1 trading rule” in China: Theory and evidence
    by Guo, Ming & Li, Zhan & Tu, Zhiyong

  • 2012 An improved estimation method and empirical properties of the probability of informed trading
    by Yan, Yuxing & Zhang, Shaojun

  • 2012 Another look at trading costs and short-term reversal profits
    by de Groot, Wilma & Huij, Joop & Zhou, Weili

  • 2012 Credit rating dynamics in the presence of unknown structural breaks
    by Xing, Haipeng & Sun, Ning & Chen, Ying

  • 2012 Option-implied volatility factors and the cross-section of market risk premia
    by Li, Junye

  • 2012 Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system
    by Fan, Longzhen & Tian, Shu & Zhang, Chu

  • 2012 Distress risk premia in expected stock and bond returns
    by Zhang, Andrew Jianzhong

  • 2012 Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models
    by Beliaeva, Natalia & Nawalkha, Sanjay

  • 2012 Informed or speculative: Short selling analyst recommendations
    by Blau, Benjamin M. & Wade, Chip

  • 2012 Models of the yield curve and the curvature of the implied forward rate function
    by Yallup, Peter J.

  • 2012 Financial crises in efficient markets: How fundamentalists fuel volatility
    by Szafarz, Ariane

  • 2012 Why do firms issue private equity repeatedly? On the motives and information content of multiple PIPE offerings
    by Floros, Ioannis V. & Sapp, Travis R.A.

  • 2012 Downside risk aversion, fixed-income exposure, and the value premium puzzle
    by Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim

  • 2012 Liquidity risk and stock returns around the world
    by Liang, Samuel Xin & Wei, John K.C.

  • 2012 Market-specific and currency-specific risk during the global financial crisis: Evidence from the interbank markets in Tokyo and London
    by Fukuda, Shin-ichi

  • 2012 Estimating the cost of capital with basis assets
    by Brown, Stephen J. & Lajbcygier, Paul & Wong, Woon Weng

  • 2012 Mutual fund flows, expected returns, and the real economy
    by Jank, Stephan

  • 2012 Intraday technical analysis of individual stocks on the Tokyo Stock Exchange
    by Yamamoto, Ryuichi

  • 2012 Corporate taxes, strategic default, and the cost of debt
    by Nejadmalayeri, Ali & Singh, Manohar

  • 2012 Day and night returns of Chinese ADRs
    by He, Hui & Yang, Jiawen

  • 2012 Momentum, contrarian, and the January seasonality
    by Yao, Yaqiong

  • 2012 Pricing the US residential asset through the rent flow: A cross-sectional study
    by Goswami, Gautam & Tan, Sinan

  • 2012 The implied cost of capital: A new approach
    by Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei

  • 2012 Earnings dispersion and aggregate stock returns
    by Jorgensen, Bjorn & Li, Jing & Sadka, Gil

  • 2012 An intertemporal capital asset pricing model with heterogeneous expectations
    by Koutmos, Dimitrios

  • 2012 The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
    by Arghyrou, Michael G. & Kontonikas, Alexandros

  • 2012 The role of data limitations, seasonality and frequency in asset pricing models
    by Murtazashvili, Irina & Vozlyublennaia, Nadia

  • 2012 Idiosyncratic risk and expected returns in frontier markets: Evidence from GCC
    by Bley, Jorg & Saad, Mohsen

  • 2012 The efficiency of the buy-write strategy: Evidence from Australia
    by Mugwagwa, Tafadzwa & Ramiah, Vikash & Naughton, Tony & Moosa, Imad

  • 2012 Exchange rate risk in the US stock market
    by Du, Ding & Hu, Ou

  • 2012 Pricing currency risk in the stock market: Evidence from Finland and Sweden 1970–2009
    by Antell, Jan & Vaihekoski, Mika

  • 2012 Statistical analysis of model risk concerning temperature residuals and its impact on pricing weather derivatives
    by Ahčan, Aleš

  • 2012 The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility
    by Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli

  • 2012 Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?
    by Borio, Claudio & Zhu, Haibin

  • 2012 Primary market characteristics and secondary market frictions of stocks
    by Boehme, Rodney & Çolak, Gönül

  • 2012 An improved test for statistical arbitrage
    by Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch

  • 2012 What does PIN identify? Evidence from the T-bill market
    by Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B.

  • 2012 Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds
    by Flynn, Sean Masaki

  • 2012 Hard assets: The returns on rare diamonds and gems
    by Renneboog, Luc & Spaenjers, Christophe

  • 2012 Measuring economic uncertainty and its impact on the stock market
    by Dzielinski, Michal

  • 2012 Can dual-currency sovereign CDS predict exchange rate returns?
    by Pu, Xiaoling & Zhang, Jianing

  • 2012 Some curious power properties of long-horizon tests
    by Hjalmarsson, Erik

  • 2012 Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory
    by Jarrow, Robert & Protter, Philip

  • 2012 Investor sentiment and stock returns: Wenchuan Earthquake
    by Shan, Liwei & Gong, Stephen X.

  • 2012 Wealth dynamics and a bias toward momentum trading
    by LeBaron, Blake

  • 2012 Comparison of efficiency characteristics between the banking sectors of US and UK during the global financial crisis of 2007–2011
    by Choudhry, Taufiq & Jayasekera, Ranadeva

  • 2012 When the market becomes inefficient: Comparing BRIC markets with markets in the USA
    by Majumder, Debasish

  • 2012 Common factors, principal components analysis, and the term structure of interest rates
    by Juneja, Januj

  • 2012 Empirical analysis of credit spread changes of US corporate bonds
    by Loncarski, Igor & Szilagyi, Peter G.

  • 2012 Linking the interest rate swap markets to the macroeconomic risk: The UK and us evidence
    by Azad, A.S.M. Sohel & Fang, Victor & Hung, Chi-Hsiou

  • 2012 An analysis of intraday market behaviour before takeover announcements
    by Rodrigues, Bruno Dore & Souza, Reinaldo Castro & Stevenson, Maxwell J.

  • 2012 The role of the media in a bubble
    by Campbell, Gareth & Turner, John D. & Walker, Clive B.

  • 2012 Oil shocks and their impact on energy related stocks in China
    by Broadstock, David C. & Cao, Hong & Zhang, Dayong

  • 2012 Pricing emission permits in the absence of abatement
    by Hintermann, Beat

  • 2012 Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries
    by Lee, Bi-Juan & Yang, Chin Wei & Huang, Bwo-Nung

  • 2012 Oil price shocks and European industries
    by Scholtens, Bert & Yurtsever, Cenk

  • 2012 A utility based approach to energy hedging
    by Cotter, John & Hanly, Jim

  • 2012 On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness
    by Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong

  • 2012 Testing the Masters Hypothesis in commodity futures markets
    by Irwin, Scott H. & Sanders, Dwight R.

  • 2012 A meta-analysis of the equity premium
    by van Ewijk, Casper & de Groot, Henri L.F. & Santing, A.J. (Coos)

  • 2012 Fractal market time
    by McCulloch, James

  • 2012 Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors
    by Liu, Xinyi & Margaritis, Dimitris & Wang, Peiming

  • 2012 Smooth transition patterns in the realized stock–bond correlation
    by Aslanidis, Nektarios & Christiansen, Charlotte

  • 2012 Time-varying performance of international mutual funds
    by Turtle, H.J. & Zhang, Chengping

  • 2012 Global style momentum
    by Chao, Hsiao-Ying & Collver, Charles & Limthanakom, Natcha

  • 2012 Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis
    by Chang, Shao-Chi & Chen, Sheng-Syan & Chou, Robin K. & Lin, Yueh-Hsiang

  • 2012 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
    by Engsted, Tom & Pedersen, Thomas Q.

  • 2012 When does investor sentiment predict stock returns?
    by Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying

  • 2012 The investment value of the frequency of analyst recommendation changes for the ordinary investor
    by Hobbs, Jeffrey & Kovacs, Tunde & Sharma, Vivek

  • 2012 Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims
    by Wang, Zhenyu & Zhang, Xiaoyan

  • 2012 Emerging market sovereign bond spreads: Estimation and back-testing
    by Comelli, Fabio

  • 2012 The time-varying integration of euro area government bond markets
    by Pozzi, Lorenzo & Wolswijk, Guido

  • 2012 Multifactor explanations of returns on the Warsaw Stock Exchange in light of the ICAPM
    by Urbański, Stanisław

  • 2012 Econometric analysis of present value models when the discount factor is near one
    by West, Kenneth D.

  • 2012 Local GMM estimation of time series models with conditional moment restrictions
    by Gospodinov, Nikolay & Otsu, Taisuke

  • 2012 Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach
    by Peñaranda, Francisco & Sentana, Enrique

  • 2012 Term structure models and the zero bound: An empirical investigation of Japanese yields
    by Kim, Don H. & Singleton, Kenneth J.

  • 2012 Identification and estimation of Gaussian affine term structure models
    by Hamilton, James D. & Wu, Jing Cynthia

  • 2012 A semiparametric stochastic volatility model
    by Yu, Jun

  • 2012 Semiparametric inference in a GARCH-in-mean model
    by Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M.

  • 2012 ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
    by Han, Heejoon & Park, Joon Y.

  • 2012 Bayesian hypothesis testing in latent variable models
    by Li, Yong & Yu, Jun

  • 2012 MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets
    by Emre Alper, C. & Fendoglu, Salih & Saltoglu, Burak

  • 2012 Forecasting the yield curve for the Euro region
    by Tabak, B.M. & Sollaci, A.B. & Gomes, G.M. & Cajueiro, D.O.

  • 2012 Asymmetric extreme tails and prospective utility of momentum returns
    by Gregory-Allen, Russell & Lu, Helen & Stork, Philip

  • 2012 Disagreement, correlation and asset prices
    by He, Xue-Zhong & Shi, Lei

  • 2012 Stock index return forecasting: The information of the constituents
    by Cai, Charlie X. & Kyaw, Khine & Zhang, Qi

  • 2012 A variance decomposition of index-linked bond returns
    by Breedon, Francis

  • 2012 Can industry regulators learn collusion structures from information-efficient asset markets?
    by Zimper, Alexander & Hassan, Shakill

  • 2012 A refined consumption–wealth ratio and its role on time-varying consumption risk
    by Quijano, Margot

  • 2012 Transition probabilities in a problem of stochastic process switching
    by Veestraeten, Dirk

  • 2012 Structural breaks and GARCH models of stock return volatility: The case of South Africa
    by Babikir, Ali & Gupta, Rangan & Mwabutwa, Chance & Owusu-Sekyere, Emmanuel

  • 2012 Information disclosure with leakages
    by Grégoire, Philippe & Huang, Hui

  • 2012 Pricing of collectibles: Baedeker guidebooks
    by Erdős, Péter & Ormos, Mihály

  • 2012 Modeling hedge fund exposure to risk factors
    by Jawadi, Fredj & Khanniche, Sabrina

  • 2012 South African stock return predictability in the context data mining: The role of financial variables and international stock returns
    by Gupta, Rangan & Modise, Mampho P.

  • 2012 Modelling the risk–return relation for the S&P 100: The role of VIX
    by Kanas, Angelos

  • 2012 Unilateral CVA for CDS in a contagion model with stochastic pre-intensity and interest
    by Bao, Qunfang & Chen, Si & Li, Shenghong

  • 2012 Dynamic modelling of real estate investment trusts and stock markets
    by Lee, Chien-Chiang & Chien, Mei-Se & Lin, Tsoyu Calvin

  • 2012 Liquidity-adjusted conditional capital asset pricing model
    by Wang, Jinan & Chen, Langnan

  • 2012 Estimation of an agent-based model of investor sentiment formation in financial markets
    by Lux, Thomas

  • 2012 Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
    by Franke, Reiner & Westerhoff, Frank

  • 2012 Excess covariance and dynamic instability in a multi-asset model
    by Anufriev, Mikhail & Bottazzi, Giulio & Marsili, Matteo & Pin, Paolo

  • 2012 Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
    by He, Xue-Zhong & Li, Kai

  • 2012 Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
    by De Giorgi, Enrico G. & Legg, Shane

  • 2012 Inflation, human capital and Tobin's q
    by Basu, Parantap & Gillman, Max & Pearlman, Joseph

  • 2012 Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach
    by Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J.

  • 2012 Rejoinder to a remark on Lin and Chang's paper ‘Consistent modeling of S&P 500 and VIX derivatives’
    by Lin, Yueh-Neng & Chang, Chien-Hung

  • 2012 Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
    by Zimper, Alexander

  • 2012 Small noise methods for risk-sensitive/robust economies
    by Anderson, Evan W. & Hansen, Lars Peter & Sargent, Thomas J.

  • 2012 Good timing: The economics of optimal stopping
    by Davis, Graham A. & Cairns, Robert D.

  • 2012 Evolving macroeconomic perceptions and the term structure of interest rates
    by Orphanides, Athanasios & Wei, Min

  • 2012 Relative risk aversion and the transmission of financial crises
    by Boschi, Melisso & Goenka, Aditya

  • 2012 Heterogeneity in stock prices: A STAR model with multivariate transition function
    by Lof, Matthijs

  • 2012 Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle
    by Barinov, Alexander

  • 2012 Diversification in the hedge fund industry
    by Shawky, Hany A. & Dai, Na & Cumming, Douglas

  • 2012 Access to private equity and real firm activity: Evidence from PIPEs
    by Brown, James R. & Floros, Ioannis V.

  • 2012 Chinese block transactions and the market reaction
    by Bian, Jiangze & Wang, Jun & Zhang, Ge

  • 2012 Is the Chinese stock market really inefficient?
    by Chong, Terence Tai-Leung & Lam, Tau-Hing & Yan, Isabel Kit-Ming

  • 2012 The Effect of Macroeconomic Variables On Stock Returns on Dhaka Stock Exchange
    by Muhammed Monjurul Quadir

  • 2012 Tests of Parameters Instability: Theoretical Study and Empirical Analysis on Two Types of Models (ARMA Model and Market Model)
    by Sahbi FARHANI

  • 2012 Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies
    by Bettina Lis & Christian Neßler & Jan Retzmann

  • 2012 Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical
    by Seyyed Ali Paytakhti Oskooe

  • 2012 Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis
    by Saban Celik

  • 2012 A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions
    by Josep Maria Puigvert-Gutiérrez & Rupert de Vincent-Humphreys

  • 2012 Macro Shocks and Real US Stock Prices with Special Focus on the “Great Recession”
    by Rangan GUPTA & Roula INGLESI-LOTZ

  • 2012 Identification, Analysis, Modeling and Prediction of Time Series Characterizing the Indicators of Asset Structure in the Credit Institutions Operating in Romania
    by Ramona Mariana CALINICA & Daniel CALINICA

  • 2012 The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective
    by Tianyi Wang & Zhuo Huang

  • 2012 Tests of Mean-Variance Spanning
    by Raymond Kan & Guofu Zhou

  • 2012 Gerenciamiento de activos tangibles en empresas del sector real: un paralelo entre industria de refinación de crudos e industria de refinación de minerales no metálicos en Colombia
    by John Jairo Forero Romero & Carlos Alberto Orozco Hurtado

  • 2012 Enfoque de opciones reales para la valoración financiera de marcas
    by Yessica González Londoño & Mauricio Zuluaga Carmona & Cecilia Maya Ochoa

  • 2012 Validación empírica del modelo CAPM para Colombia 2003-2010
    by Andrés Ramírez Hassan & Maribel Serna Rodriguez

  • 2012 Volumen y asimetría en los principales mercados accionarios latinoamericanos
    by Kristjanpoller Rodriguez, Werner & Caballero Ugarte, Víctor

  • 2012 More RRBs, Please! Why Ottawa Should Issue More Inflation-Indexed Bonds
    by Philippe Bergevin & William B.P. Robson

  • 2012 More RRBs, Please! Why Ottawa Should Issue More Inflation-Indexed Bonds
    by Philippe Bergevin & William B.P. Robson

  • 2012 La volatilité des actions françaises sur le long terme
    by David Le Bris

  • 2012 The Impact of the Financial Crisis on the Currency Risk Premium Dynamics within the G20 :Evidence from the ICAPM
    by Salem Boubakri

  • 2012 Efficiency and Limited Arbitrage in the Stock Markets:Evidences from ISE
    by Bekir Elmas

  • 2012 Reviewing the proposals for common bond issuances by the euro-area sovereign under a long-term perspective
    by Petros M. Migiakis

  • 2012 Market Correlation, Market Returns And Portfolio Implication
    by ALEXANDRU Ciprian Antoniade & CONSTANTINESCU Dan

  • 2012 Impact Of Liquidity And Size Premium On Equity Price Formation In Serbia
    by Jelena Minović & Boško Živković

  • 2012 Determinants of Cyclical Aggregate Dividend Behavior
    by Samih Antoine Azar

  • 2012 Bubbles and Crashes Revisited
    by Dean Johnson & Patrick Joyce

  • 2012 Equity prices, corporate information or random walk?
    by Roberto Ruozi

  • 2012 Rare Macroeconomic Disasters
    by Robert J. Barro & José F. Ursúa

  • 2012 Closed-End Funds: A Survey
    by Martin Cherkes

  • 2012 Valuation of Government Policies and Projects
    by Deborah Lucas

  • 2012 Consumption-Based Asset Pricing Models
    by Rajnish Mehra

  • 2012 Economic Activity of Firms and Asset Prices
    by Leonid Kogan & Dimitris Papanikolaou

  • 2012 Regime Changes and Financial Markets
    by Andrew Ang & Allan Timmermann

  • 2012 A Survey of Systemic Risk Analytics
    by Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis

  • 2012 Efficient Markets and the Law: A Predictable Past and an Uncertain Future
    by Henry T.C. Hu

  • 2012 Trading Carbon Dioxide On The European Cabon Market Using The Eu Ets Platform
    by Florin Sebastian Duma & Ioan Alin Nistor

  • 2012 Does intrinsic value still have a role in capital market pricing?
    by Iván Bélyácz

  • 2012 The Implications Of Liquidity Crises In The Context Of Emerging Capital Market
    by Felicia Ramona Birău

  • 2012 Identifying arbitrage opportunities on SIBEX market
    by Maria-Miruna POCHEA & Angela-Maria FILIP

  • 2012 Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach
    by Kusdhianto SETIAWAN

  • 2012 Model-based Measures of Output Gap: Application to the Thai Economy
    by Pithak Srisuksai

  • 2012 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
    by Yacine A�t-Sahalia & Jean Jacod

  • 2012 Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments
    by Mikhail Anufriev & Cars Hommes

  • 2012 Speculative Bubbles and Financial Crises
    by Pengfei Wang & Yi Wen

  • 2012 Tranching, CDS, and Asset Prices: How Financial Innovation Can Cause Bubbles and Crashes
    by Ana Fostel & John Geanakoplos

  • 2012 Contagious Adverse Selection
    by Stephen Morris & Hyun Song Shin

  • 2012 Self-Fulfilling Risk Panics
    by Philippe Bacchetta & Cédric Tille & Eric van Wincoop

  • 2011 Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors
    by Rangan Gupta & Mampho P. Modise & Josine Uwilingiye

  • 2011 Macroeconomic Variables and South African Stock Return Predictability
    by Rangan Gupta & Mampho P. Modise

  • 2011 Managing commodity price volatility
    by Brière, Marie

  • 2011 Dynamic Feedback Hedging by a Large Player: from Theory to Practical Implementation
    by Tan, Xiaolu & Wang, Lihang & Kalife, Aymeric

  • 2011 The internally generated goodwill as an aggregation of interacting asset
    by Casta, Jean-François & Paugam, Luc & Stolowy, Hervé

  • 2011 The Performance of Islamic Investment: The case of Dow Jones Islamic Indexes
    by Jouaber, Kaouther & Ben Salah, Meriem & Rigobert, Marie-Josèphe

  • 2011 Liquidity contagion: A look at emerging markets
    by Dudek, Jérémy

  • 2011 Financial Intermediation in the Theory of the Risk-Free Rate
    by Marini, François

  • 2011 Les déterminants de la dépréciation du goodwill : proposition d'un cadre d'analyse
    by Bouden, Inès & Ramond, Olivier & Paugam, Luc

  • 2011 A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration
    by Huault, Isabelle & Rainelli, Hélène

  • 2011 Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
    by Chevallier, Julien

  • 2011 Nonparametric modeling of carbon prices
    by Chevallier, Julien

  • 2011 Non-additivity in accounting valuation: Internally generated goodwill as an aggregation of interacting assets
    by Casta, Jean-François & Stolowy, Hervé & Paugam, Luc

  • 2011 Unbiased Disagreement in financial markets, waves of pessimism and the risk return tradeoff
    by Napp, Clotilde & Jouini, Elyès

  • 2011 A Finite-Dimensional Approximation for Pricing Moving Average Options
    by Bernhart, Marie & Tankov, Peter & Warin, Xavier

  • 2011 An Explanation of the Nature of Internally Generated Goodwill Based on Aggregation of Interacting Assets
    by Stolowy, Hervé & Luc, Paugam & Casta, Jean-François

  • 2011 An Explanation of the Nature of Internally Generated Goodwill Based on Aggregation of Interacting Assets
    by Stolowy, Hervé & Paugam, Luc & Casta, Jean-François

  • 2011 How to Ensure Consistency between Discount Rates and Cash Flows?
    by Sergei Vasilievich CHEREMUSHKIN

  • 2011 Investment Recommendations Made by Financial Analysts and Their Impact upon the Price Evolution of the Shares Listed on the Bucharest Stock Exchange
    by Carmen LIPARA

  • 2011 Frequently Asked Questions (FAQ) on Valuation of Business Intangible Assets
    by Sorin V. STAN

  • 2011 Symposium: Experience and Confidence in an Internet-Based Asset Market Experiment
    by Marina Fiedler

  • 2011 Asset Pricing Puzzle: The Long-Run Risks Model's Approach
    by Francesca Brusa

  • 2011 The Failure of Neoclassical Financial Economics: The Capital Asset Pricing Model and its Pillars as an Illustration
    by Moosa, Imad

  • 2011 Interest Rates After the Credit Crunch: Markets and Models Evolution
    by Bianchetti, Marco & Carlicchi, Mattia

  • 2011 House Price Dynamics in Italy - La dinamica delle quotazioni immobiliari in Italia
    by Caliman, Tiziana & Di Bella, Enrico

  • 2011 Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors
    by Wamg, Jianxin

  • 2011 Extreme Börsenbewegung und Intraday-Preisstellung von Open-End-Turbo-Zertifikaten auf den DAX: Der Fall Kerviel
    by Sebastian Lobe & Klaus Röder

  • 2011 Der Erfolg von Insidertransaktionen – Timing oder Fundamentalbewertung?
    by Cetin-Behzet Cengiz & Marc Emanuel Schüssler & Rüdiger von Nitzsch

  • 2011 Noise Trading in Stamm- und Vorzugsaktien
    by Martin Jaron

  • 2011 Return risk map in a fuzzy environment
    by Brotons, José M. & Terceño, Antonio

  • 2011 Testing for monotonicity in expected asset returns
    by Joseph P. Romano & Michael Wolf

  • 2011 International diversification benefits with foreign exchange investment styles
    by Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas

  • 2011 International diversification with securitized real estate and the veiling glare from currency risk
    by Kroencke, Tim Alexander & Schindler, Felix

  • 2011 International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk
    by Schindler, Felix & Kröncke, Tim-Alexander

  • 2011 Modellierung von Zinsstrukturkurven
    by Hewicker, Harald & Cremers, Heinz

  • 2011 Market response to investor sentiment
    by Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian

  • 2011 Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test
    by Hess, Dieter & Orbe, Sebastian

  • 2011 Optimal leverage, its benefits, and the business cycle
    by Hess, Dieter & Immenkötter, Philipp

  • 2011 Extended dividend, cash flow and residual income valuation models: Accounting for deviations from ideal conditions
    by Heinrichs, Nicolas & Hess, Dieter & Homburg, Carsten & Lorenz, Michael & Sievers, Soenke

  • 2011 Mutual fund flows, expected returns, and the real economy
    by Jank, Stephan

  • 2011 Market response to investor sentiment
    by Hengelbrock, Jördis & Theissen, Erik & Westheide, Christian

  • 2011 The impact of investor sentiment on the German stock market
    by Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan

  • 2011 Determinants of expected stock returns: Large sample evidence from the German market
    by Artmann, Sabine & Finter, Philipp & Kempf, Alexander

  • 2011 Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
    by Hanauer, Matthias & Kaserer, Christoph & Rapp, Marc Steffen

  • 2011 A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
    by Puzanova, Natalia

  • 2011 Interactions between the real economy and the stock market
    by Westerhoff, Frank

  • 2011 Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation
    by Franke, Reiner & Westerhoff, Frank

  • 2011 On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets
    by Dieci, Roberto & Westerhoff, Frank

  • 2011 Structural stochastic volatility in asset pricing dynamics: Estimation and model contest
    by Franke, Reiner & Westerhoff, Frank

  • 2011 Balance sheet effect in the Polish economy
    by Szymon Grabowski

  • 2011 Monetary Policy and Asset Price Volatility: Should We Refill the Bernanke-Gertler Prescription?
    by Kenneth Kuttner

  • 2011 Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
    by Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon

  • 2011 The effect of monetary policy on investors’ risk perception: Evidence from the UK and Germany
    by Dan Luo & Iris Biefang-Frisancho Mariscal & Peter Howells

  • 2011 The effect of monetary policy on investors’ risk perception: Evidence from the UK and Germany
    by Dan Luo & Iris Biefang-Frisancho Mariscal & Peter Howells

  • 2011 Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model
    by Xue-Zhong He & Kai Li

  • 2011 Estimating Behavioural Heterogeneity Under Regime Switching
    by Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng

  • 2011 Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift
    by Ron Bird & Daniel Choi & Danny Yeung

  • 2011 The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?
    by Ron Bird & Krishna Reddy & Danny Yeung

  • 2011 Private Equity: Strategies for Improving Performance
    by Ron Bird & Harry Liem & Susan Thorp

  • 2011 Infrastructure: Real Assets and Real Returns
    by Ron Bird & Harry Liem & Susan Thorp

  • 2011 Emotions and Chat in a Financial Markets Experiment
    by Shaun P. Hargreaves Heap & Daniel John Zizzo

  • 2011 Affine Term Structure Constraints on Euribor data
    by Giulio Tarditi

  • 2011 Serial defaults, serial profits: Returns to sovereign lending in Habsburg Spain, 1566-1600
    by Mauricio Drelichman & Joachim Voth

  • 2011 The Damped Fluctuations as a Base of Market Quotations
    by Magomet Yandiev

  • 2011 Banks’ Net Interest Margin in the 2000s: A Macro-Accounting International Perspective
    by Germán López-Espinosa & Antonio Moreno & Fernando Pérez de Gracia

  • 2011 Speculation on Commodities Futures Markets and Destabilization Of Global Food Prices: Exploring the Connections
    by Jayati Ghosh & James Heintz & Robert Pollin

  • 2011 The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy
    by James Crotty

  • 2011 Emotions and chat in a financial markets experiment
    by Shaun Hargreaves Heap & Daniel John Zizzo

  • 2011 El traspaso de las tasas de interés en el sistema bancario uruguayo
    by Diego Gianelli

  • 2011 Determinants of trading activity after rating actions in the Corporate Debt Market
    by Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez

  • 2011 Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
    by Pilar Abad & Antonio Diaz & M. Dolores Robles-Fernandez

  • 2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
    by Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer

  • 2011 Variance Swaps and Intertemporal Asset Pricing
    by Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio

  • 2011 Why do variance swaps exist?
    by Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio

  • 2011 Integration and Contagion in US Housing Markets
    by John Cotter & Stuart Gabriel & Richard Roll

  • 2011 A Utility Based Approach to Energy Hedging
    by John Cotter & Jim Hanly

  • 2011 Hedging Effectiveness under Conditions of Asymmetry
    by John Cotter & Jim Hanly

  • 2011 Implied Correlation from VaR
    by John Cotter & Francois Longin

  • 2011 Re-evaluating Hedging Performance
    by John Cotter & Jim Hanly

  • 2011 Volatility and Irish Exports
    by Don Bredin & John Cotter

  • 2011 Measuring Co-Movements of CDS Premia during the Greek Debt Crisis
    by Sergio Andenmatten & Felix Brill

  • 2011 Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009
    by Jan Antell & Mika Vaihekoski

  • 2011 Ambiguity and Volatility : Asset Pricing Implications
    by Pataracchia, B.

  • 2011 Hard Assets : The Returns on Rare Diamonds and Gems
    by Renneboog, L.D.R. & Spaenjers, C.

  • 2011 High Frequency Trading, Information, and Takeovers
    by Humphery-Jenner, M.

  • 2011 Turkiye Icin Getiri Egrileri Kullanilarak Enflasyon Telafisi Tahmin Edilmesi
    by Murat Duran & Eda Gulsen & Refet Gurkaynak

  • 2011 Nonlinearities in CDS-Bond Basis (CDS-Bono Farkinin Dogrusal Olmayan Duzeltme Hareketi)
    by Kurmas Akdogan & Meltem Gulenay Chadwick

  • 2011 Selection in asset markets: the good, the bad, and the unknown
    by Giulio Bottazzi & Pietro Dindo

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  • 2011 Effectiveness of securities with fuzzy probabilistic return
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  • 2011 Hedging dynamics with gold futures
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  • 2011 Variance Risk Premium Differentials and Foreign Exchange Returns
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  • 2011 Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
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  • 2011 An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh
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  • 2011 Behavioral investment strategy matters: a statistical arbitrage approach
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  • 2011 Theory and empirics of an affine term structure model applied to European data
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  • 2011 Measuring market liquidity: an introductory survey
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  • 2011 Product differentiation and systematic risk: theory and empirical evidence
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  • 2011 Optimal trading execution with nonlinear market impact: an alternative solution method
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  • 2011 Is the Chinese Stock Market Really Efficient
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  • 2011 Financial Management of Weather Risk with Energy Derivatives
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  • 2011 Are the Major South Asian Equity Markets Co-Integrated?
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  • 2011 Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions)
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  • 2011 Integration and contagion in US housing markets
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  • 2011 When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models
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  • 2011 Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración
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  • 2011 Clustering on the same news sources in an asset market
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  • 2011 A time-scale analysis of systematic risk: wavelet-based approach
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  • 2011 White-collar crime and stock return: Empirical study from announcement effect
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  • 2011 The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis
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  • 2011 Thinking by analogy, systematic risk, and option prices
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  • 2011 Analytical approximation of the transition density in a local volatility model
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  • 2011 Identi�cation of jumps in �financial price series
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  • 2011 Informational price cascades and non-aggregation of asymmetric information in experimental asset markets
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  • 2011 The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks
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  • 2011 Risk Procyclicality and Dynamic Hedge Fund Strategies
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  • 2011 Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio
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  • 2011 First-Round Entrepreneurial Investments: Where, When and Why?
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  • 2011 Impacto de Expectativas Políticas en los Retornos del Indice General de la Bolsa de Valores de Lima
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  • 2011 Ambiguity and the historical equity premium
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  • 2011 Regulatory Medicine Against Financial Market Instability: What Helps And What Hurts?
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  • 2011 The Role of Guarantees in Defined Contribution Pensions
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  • 2011 The Relative Performance of Debt-restricted Real Estate Investment Trusts (REITs): Does Faith Matter?
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  • 2011 Institutional Ownership Stability and Risk Taking: Evidence from the Life-Health Insurance Industry
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  • 2011 The Real Effects of Financial Markets
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  • 2011 International Contagion Through Leveraged Financial Institutions
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  • 2011 Evaporating Liquidity
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  • 2011 Competing on Speed
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  • 2011 The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
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  • 2011 Sovereign CDS and Bond Pricing Dynamics in the Euro-area
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  • 2011 Temperature, Aggregate Risk, and Expected Returns
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  • 2011 The Effect of Liquidity on Governance
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  • 2011 The Forward Premium Puzzle in a Two-Country World
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  • 2011 The Lucas Orchard
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  • 2011 Testing Conditional Factor Models
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  • 2011 Price Dividend Ratio Factors : Proxies for Long Run Risk
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  • 2011 Rare Macroeconomic Disasters
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  • 2011 Covariances versus Characteristics in General Equilibrium
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  • 2011 The Continental Dollar: Initial Design, Ideal Performance, and the Credibility of Congressional Commitment
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  • 2011 Sources of Entropy in Representative Agent Models
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  • 2011 The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous
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  • 2011 Issuer Quality and the Credit Cycle
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  • 2011 Regime Changes and Financial Markets
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  • 2011 Does Financial Constraint Affect Shareholder Taxes and the Cost of Equity Capital?
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  • 2011 A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
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  • 2011 Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
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  • 2011 An Estimation of Economic Models with Recursive Preferences
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  • 2011 Credit Spreads and Business Cycle Fluctuations
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  • 2011 The Value of Secure Property Rights: Evidence from Global Fisheries
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  • 2011 Shocks and Crashes
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  • 2011 Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
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  • 2011 Stock Volatility During the Recent Financial Crisis
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  • 2011 The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
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  • 2011 Why Surplus Consumption in the Habit Model May be Less Persistent than You Think
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  • 2011 Testable Implications of Affine Term Structure Models
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  • 2011 Generalized Transform Analysis of Affine Processes and Applications in Finance
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  • 2011 Inflation-Indexed Bonds and the Expectations Hypothesis
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  • 2011 The Short of It: Investor Sentiment and Anomalies
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  • 2011 Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
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  • 2011 Simple Variance Swaps
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  • 2011 Limits to Arbitrage and Hedging: Evidence from Commodity Markets
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  • 2011 Advances in Consumption-Based Asset Pricing: Empirical Tests
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  • 2011 Market Timing, Investment, and Risk Management
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  • 2011 Hedge Fund Leverage
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  • 2011 Speculators and Middlemen: The Strategy and Performance of Investors in the Housing Market
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  • 2011 Margin-Based Asset Pricing and Deviations from the Law of One Price
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  • 2011 The Cross-Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data
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  • 2011 Investors' and Central Bank's Uncertainty Embedded in Index Options
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  • 2011 A Model of Momentum
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  • 2011 Capital-Market Effects of Securities Regulation: Hysteresis, Implementation, and Enforcement
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  • 2011 Differences of Opinion and International Equity Markets
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  • 2011 What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
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  • 2011 Central bank communication on financial stability
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  • 2011 Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices
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  • 2011 Ambiguity and the historical equity premium
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  • 2011 Ambiguity and the historical equity premium
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  • 2011 Ambiguity and the historical equity premium
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  • 2011 Une analyse temps-fréquences des cycles financiers
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  • 2011 A New Correlation Coefficient for Bivariate Time-Series Data
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  • 2011 A Repayment Model of House Prices
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  • 2011 A q Model of House Prices
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  • 2011 Aggregate Implications of Micro Asset Market Segmentation
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  • 2011 Systematic and Liquidity Risk in Subprime-Mortgage Backed SecuritiesM
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  • 2011 Does the Stock Market Value the Inclusion in a Sustainability Stock Index? An Event Study Analysis for German Firms
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  • 2011 Arbitrage opportunities between NYSE and XETRA?: A comparison of simulation and high frequency data
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  • 2011 Trade and Payments Theory in a Financialized Economy
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  • 2011 The Greek financial crisis: growing imbalances and sovereign spreads
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  • 2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
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  • 2011 Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance
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  • 2011 Tranching and Pricing in CDO-Transactions
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  • 2011 Mechanically Extracted Company Signals and their Impact on Stock and Credit Markets
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  • 2011 Parameter Estimation and Forecasting for Multiplicative Lognormal Cascades
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  • 2011 A Markov-switching Multifractal Approach to Forecasting Realized Volatility
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  • 2011 Overconfidence and Bubbles in Experimental Asset Markets
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  • 2011 Testing the Modigliani-Miller theorem directly in the lab
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  • 2011 Extreme Value Theory as a Theoretical Background for Power Law Behavior
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  • 2011 Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
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  • 2011 Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
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  • 2011 Give Me Your Wired and Your Highly Skilled: Measuring the Impact of Immigration Policy on Employers and Shareholders
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  • 2011 Give Me Your Wired and Your Highly Skilled: Measuring the Impact of Immigration Policy on Employers and Shareholders
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  • 2011 League-Table Incentives and Price Bubbles in Experimental Asset Markets
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  • 2011 League-Table Incentives and Price Bubbles in Experimental Asset Markets
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  • 2011 Is Momentum Really Momentum? International Evidence
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  • 2011 Adverse Selection and Emissions Offsets
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  • 2011 Stock Return Predictability and Oil Prices
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  • 2011 Relative Scarcity of Commodities with a Long-Term Economic Relationship and the Correlation of Futures Returns
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  • 2011 Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management
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  • 2011 Monetary policy and its impact on stock market liquidity: Evidence from the euro zone
    by Octavio Fernandez-Amador & Martin Gächter & Martin Larch & Georg Peter

  • 2011 When do stock futures dominate price discovery
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  • 2011 Liquidity considerations in estimating implied volatility
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  • 2011 On the economics of hedge fund drawdown status: Performance, insurance selling and darwinian selection
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  • 2011 Endogenous Rational Bubbles
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  • 2011 On the Evolutionary Stability of Rational Expectations
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  • 2011 The Real Exchange Rate, Real Interest Rates, and the Risk Premium
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  • 2011 Bayesian Factor Selection in Dynamic Term Structure Models
    by Márcio Laurini

  • 2011 Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
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  • 2011 The smallest stocks are not just smaller: US and international evidence
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  • 2011 Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan
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  • 2011 The Fragility of Discretionary Liquidity Provision: Lessons from the Collapse of the Auction Rate Securities Market
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  • 2011 Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data
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  • 2011 A Macro-Finance Approach to Exchange Rate Determination
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  • 2011 Identification of jumps in financial price series
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  • 2011 The Cost of Insecure Property Rights: R2 Revisited
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  • 2011 Risk Aversion in the Large and in the Small
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  • 2011 On the Pricing of Performance Sensitive Debt
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  • 2011 The Defeasance of Control Rights
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  • 2011 Is Default Risk Priced in Equity Returns?
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  • 2011 Idiosyncratic Risk and Higher-Order Cumulants
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  • 2011 The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010
    by Hagströmer, Björn & Nilsson, Birger & Hansson, Björn

  • 2011 Transfer of financial risk in emerging eastern European stock markets: A sectoral perspective
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  • 2011 Pooling, Pricing and Trading of Risks
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  • 2011 About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis
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  • 2011 Modellrisiko = Spezifikation + Validierung
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  • 2011 Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests
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  • 2011 Policies Convertible Bonds and Stock Liquidity
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  • 2011 Adaptive continuous time Markov chain approximation model to general jump-diffusions
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  • 2011 Computing maximally smooth forward rate curves for coupon bonds: An iterative piecewise quartic polynomial interpolation method
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  • 2011 Nonlinear Regime Shifts in Oil Price Hedging Dynamics
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  • 2011 Financial market equilibria with heterogeneous agents: CAPM and market segmentation
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  • 2011 VAR Estimates of the Housing and Stock Wealth Effects: Cross-country Evidence
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  • 2011 Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets
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  • 2011 Informational Price Cascades and Non-aggregation of Asymmetric Information in Experimental Asset Markets
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  • 2011 Pricing of Gas Swing Options using Monte Carlo Methods
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  • 2011 The Term Structure of Interest Rates in Small Open Economy DSGE Model
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  • 2011 The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
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  • 2011 On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
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  • 2011 Risk Spillovers in Oil-Related CDS, Stock and Credit Markets
    by Hammoudeh, S.M. & Liu, T. & Chang, C-L. & McAleer, M.J.

  • 2011 Anticipated and repeated shocks in liquid markets
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  • 2011 Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year
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  • 2011 Strategic investment, industry concentration and the cross section of returns
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  • 2011 Modifying Gaussian term structure models when interest rates are near the zero lower bound
    by Leo Krippner

  • 2011 Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
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  • 2011 Do Mean Reverting based trading strategies outperform Buy and Hold?
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  • 2011 An Equilibrium Asset Pricing Model with Labor Market Search
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  • 2011 Why Are U.S. Stocks More Volatile?
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  • 2011 Beyond the Disposition Effect: Do Investors Really Like Gains More Than Losses?
    by Ben-David, Itzhak & Hirshleifer, David

  • 2011 Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors
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  • 2011 Prima de riesgo del mercado utilizada para España: Encuesta 2011
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  • 2011 Market risk premium used in 56 countries in 2011: A survey with 6,014 answers
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  • 2011 Modelling Stock Exchange Index Returns in Different GDP Growth Regimes
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  • 2011 Firm Decisions: Determinants of Investments
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  • 2011 Interest Margins and Banks’ Asset-Liability Composition
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  • 2011 Asset Pricing Models: A Comparative Exercise Using Neural Networks to the Colombian Stock Market
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  • 2011 Can Governments signal commitment in privatization sales?
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  • 2011 Leverage and Returns in Three Countries of Southern European Region
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  • 2011 Carbon Financial Instruments, thin trading, and volatility: Evidence from the Chicago Climate Exchange
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  • 2011 Religious beliefs, gambling attitudes, and financial market outcomes
    by Kumar, Alok & Page, Jeremy K. & Spalt, Oliver G.

  • 2011 Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
    by Kristensen, Dennis & Mele, Antonio

  • 2011 Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas
    by Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail

  • 2011 The price of liquidity: The effects of market conditions and bank characteristics
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  • 2011 Corporate bond default risk: A 150-year perspective
    by Giesecke, Kay & Longstaff, Francis A. & Schaefer, Stephen & Strebulaev, Ilya

  • 2011 Asset pricing in large information networks
    by Ozsoylev, Han N. & Walden, Johan

  • 2011 Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing
    by Michelfelder, Richard A. & Pilotte, Eugene A.

  • 2011 Sectoral equity returns in the Euro region: Is there any room for reducing portfolio risk?
    by Balli, Faruk & Balli, Hatice O.

  • 2011 The price effects of index additions: A new explanation
    by Liu, Shinhua

  • 2011 Conditional beta pricing models: A nonparametric approach
    by Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan

  • 2011 Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio
    by Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros

  • 2011 Volatility and covariation of financial assets: A high-frequency analysis
    by Cartea, Álvaro & Karyampas, Dimitrios

  • 2011 Is size dead? A review of the size effect in equity returns
    by van Dijk, Mathijs A.

  • 2011 New evidence on oil price and firm returns
    by Narayan, Paresh Kumar & Sharma, Susan Sunila

  • 2011 Term structure modelling with observable state variables
    by Huse, Cristian

  • 2011 Macroeconomic risk and the cross-section of stock returns
    by Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu

  • 2011 Liquidity risk and accounting information
    by Sadka, Ronnie

  • 2011 The effect of information quality on liquidity risk
    by Ng, Jeffrey

  • 2011 Distributional asymmetry of loadings on market co-moments
    by Högholm, Kenneth & Knif, Johan & Koutmos, Gregory & Pynnönen, Seppo

  • 2011 The effect of financial liberalization on stock-return volatility in GCC markets
    by Bley, Jorg & Saad, Mohsen

  • 2011 Asymmetric volatility and trading volume: The G5 evidence
    by Sabbaghi, Omid

  • 2011 Conditional beta: Evidence from Asian emerging markets
    by Durand, Robert B. & Lan, Yihui & Ng, Andrew

  • 2011 Fast approximations of bond option prices under CKLS models
    by Tangman, D.Y. & Thakoor, N. & Dookhitram, K. & Bhuruth, M.

  • 2011 Nonparametric estimation and testing of stochastic discount factor
    by Fang, Ying & Ren, Yu & Yuan, Yufei

  • 2011 Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?
    by Fletcher, Jonathan

  • 2011 Dividend signaling under economic adversity: Evidence from the London Stock Exchange
    by Bozos, Konstantinos & Nikolopoulos, Konstantinos & Ramgandhi, Ghanamaruthy

  • 2011 Covered interest rate parity in emerging markets
    by Skinner, Frank S. & Mason, Andrew

  • 2011 Disclosed corporate responses to climate change and stock performance: An international empirical analysis
    by Ziegler, Andreas & Busch, Timo & Hoffmann, Volker H.

  • 2011 Nonparametric modeling of carbon prices
    by Chevallier, Julien

  • 2011 Oil prices and the impact of the financial crisis of 2007–2009
    by Bhar, Ramaprasad & Malliaris, A.G.

  • 2011 Testing conditional factor models: A nonparametric approach
    by Li, Yan & Yang, Liyan

  • 2011 Functional data analysis for volatility
    by Müller, Hans-Georg & Sen, Rituparna & Stadtmüller, Ulrich

  • 2011 Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models
    by Chevallier, Julien

  • 2011 The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom
    by Reschreiter, Andreas

  • 2011 The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis
    by Lee, Yuan-Ming & Wang, Kuan-Min

  • 2011 The crisis, Fed, Quants and stochastic optimal control
    by Stein, Jerome L.

  • 2011 Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
    by Yamamoto, Ryuichi

  • 2011 Large traders and illiquid options: Hedging vs. manipulation
    by Kraft, Holger & Kühn, Christoph

  • 2011 On the ingredients for bubble formation: Informed traders and communication
    by Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin

  • 2011 Stock repurchases and treasury share sales: Do they stabilize price and enhance liquidity?
    by De Cesari, Amedeo & Espenlaub, Susanne & Khurshed, Arif

  • 2011 Testing the Weak Form Efficiency of Pakistani Stock Market (2000–2010)
    by Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa

  • 2011 A Higher Moment Downside Framework for Conditional and Unconditional CAPM in the Russian Stock Market
    by Tamara Teplova & Evgeniya Shutova

  • 2011 Comparing High Frequency Data of Stocks that are Traded Simultaneously in the US and Germany: Simulated versus Empirical Data
    by Jörg Rieger & Kirsten Rüchardt & Bodo Vogt

  • 2011 Les annonces de notations extrafinancières véhiculent-elles une information au marché?
    by Alexis Cellier & Pierre Chollet & Jean-François Gajewski

  • 2011 Bank money, aggregate liquidity, and asset prices
    by Junfeng Qiu

  • 2011 Possibilities of Improving the Efficiency of Mining Companies by Controlling Cost of Coal
    by Izabela Jonek-Kowalska, Marian Turek

  • 2011 Comportamiento sectorial del mercado de renta variable en Colombia: Una aplicacion del modelo CAPM
    by Cesar Corredor Velandia & Rafael de Jesus Mejia Pertuz

  • 2011 Modelos de precios de los activos: un ejercicio comparativo basado en redes neuronales aplicado al mercado de valores colombiano
    by Londoño Henao, Charle Augusto & Cuan Jaramillo, Yaneth María

  • 2011 Contagio financiero: una metodología para su evaluación mediante coeficientes de dependencia asintótica
    by Uribe Gil, Jorge Mario

  • 2011 Teoría de la asignación del precio por arbitraje aplicada al mercado accionario chileno
    by Kristjanpoller Rodríguez, Werner & Morales Jure, Mauricio

  • 2011 CDS: relación con índices accionarios y medida de riesgo
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  • 2011 Vers une agence européenne de la dette ?
    by Laurent Daniel & Pavel Diev

  • 2011 Une analyse temps-fréquences des cycles financiers
    by Christophe Boucher & Bertrand Maillet

  • 2011 Foreign exchange trading in emerging currencies: more financial, more offshore
    by Robert McCauley & Michela Scatigna

  • 2011 Italian banks’ profitability: improvement strategies, business models, constraints
    by Roberto Nicastro & Franco Tutino

  • 2011 Euro and the nearly-sovereign debt
    by Matteo Mattei Gentili

  • 2011 Commodity Booms and Busts
    by Colin A. Carter & Gordon C. Rausser & Aaron Smith

  • 2011 Predictability of Returns and Cash Flows
    by Ralph S.J. Koijen & Stijn Van Nieuwerburgh

  • 2011 Global Asset Pricing
    by Karen K. Lewis

  • 2011 Valuation and Risk Management of Collateralized Debt Obligations and Related Securities
    by Christian Bluhm & Christoph Wagner

  • 2011 Inflation-Indexed Bonds and the Expectations Hypothesis
    by Carolin E. Pflueger & Luis M. Viceira

  • 2011 Combinação de Previsões de Volatilidade: Um Estudo
    by Rosangela Cavaleri & Eduardo Pontual Ribeiro

  • 2011 Predicting Stock Returns With Financial Ratios: A Discriminant Analysis Application On The Ise 30 Index Stocks
    by Bulent Oz & Yucel Ayricay & Gokturk Kalkan

  • 2011 Re-examining covariance risk dynamics in international stock markets using quantile regression analysis
    by M. Y. L. Li & S. M. F. Yen

  • 2011 The Early Exercise Premium for American Options. Empirical Study on Sibex Market
    by Maria-Miruna POCHEA & Angela-Maria FILIP

  • 2011 Global Tendencies in Investment Funds Market Development
    by Ioan E. NISTOR & Ioana RADU

  • 2011 An Analysis Of Weak-Form Efficiency On The Bucharest Stock Exchange
    by Felicia Ramona Birau

  • 2011 Possible Means And Solutions For Avoiding Currency Wars
    by Mihai Dragu

  • 2011 Financial Volatility And Derivatives Products: A Bidirectional Relationship
    by Claudiu Tiberiu Albulescu & Daniel Goyeau

  • 2011 Announcement Of The Exchange Ratio Of The Merging Companies - Impact On The Acquiring Firms "
    by Leszek Czerwonka

  • 2011 Merton Model For Assessing The Cost Of Capital, Mathematical Amount But Not Also Economic Amount Of Capm And Apt Models
    by Maria PASCU-NEDELCU

  • 2011 Interest Rate Risk and Other Determinants of Post-WWII US Government Debt/GDP Dynamics
    by George J. Hall & Thomas J. Sargent

  • 2011 Learning about Risk and Return: A Simple Model of Bubbles and Crashes
    by William A. Branch & George W. Evans

  • 2011 Housing Bubbles
    by Óscar Arce & David López-Salido

  • 2010 The cross-Section of German stock returns: New data and new evidence
    by Artmann, Sabine & Finter, Philipp & Kempf, Alexander & Koch, Stefan & Theissen, Erik

  • 2010 The impact of investor sentiment on the German stock market
    by Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan

  • 2010 Determinants of expected stock returns: Large sample evidence from the German market
    by Artmann, Sabine & Finter, Philipp & Kempf, Alexander

  • 2010 Structural Breaks and GARCH Models of Stock Return Volatility: The Case of South Africa
    by Ali Babikir & Rangan Gupta & Chance Mwabutwa & Emmanuel Owusu-Sekyere

  • 2010 The Long-Run Relationship between Inflation and Real Stock Prices: Empirical Evidence from South Africa
    by Riona Arjoon & Mariette Botes & Laban K. Chesang & Rangan Gupta

  • 2010 South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns
    by Rangan Gupta & Mampho P. Modise

  • 2010 A Market for Weather Risk ? Conflicting Metrics, Attempts at Compromise and Limits to Commensuration
    by Huault, Isabelle & Rainelli, Hélène

  • 2010 Les fonds souverains ou sovereign wealth funds
    by Rocchi, Jean-Michel

  • 2010 Gestion obligataire
    by Gresse, Carole

  • 2010 Marchés d'actions
    by Folus, Didier

  • 2010 The Role of Nuclear Power in Reducing Risk of the Fossil Fuel Prices and Diversity of Electricity Generation in Tunisia: A Portfolio Approach
    by Souissi, Jomâa & Chaton, Corinne & Aloui, Chaker & Abdelhamid, Mohamed

  • 2010 Three Solutions to the Pricing Kernel Puzzle
    by Thorsten HENS & Christian REICHLIN

  • 2010 Credit Risk and Business Cycles
    by Jianjun Miao & PENGFEI WANG

  • 2010 Cost of Equity and Weighted Average Cost of Capital for Perpetuities, with Constant Growth
    by Felipe MEJIA-PELAEZ & Ignacio VELEZ-PAREJA

  • 2010 Company's Valuation in an Emerging Economy - Case Study TIMANCO S.A
    by Ignacio VELEZ-PAREJA & Joseph THAM

  • 2010 Proposed Methods for Valuation of Energy Efficient Buildings
    by Daniela POPESCU & Sven BIENERT & Christian SCHUTZENHOFER & Rodica BOAZU

  • 2010 Beta or Total Beta? The Answer Depends on the "Company" It Keeps
    by Peter BUTLER

  • 2010 Valuation Review for Financial Audit
    by Gheorghe NISTOROIU

  • 2010 A critique of Alan Greenspan’s retrospective on the crisis
    by Stein, Jerome

  • 2010 Risk Management after the Great Crash
    by Blommestein, Hans

  • 2010 An Analysis of the Dynamic Linkages between the Cash Rate and the Government Yield Curve: A Case Study - Un’analisi della relazione dinamica tra cash rate e curva dei rendimenti dei titoli pubblici: studio di un caso
    by Masih, A. Mansur M. & Ryan, Vicky

  • 2010 Erklärt das Zyklusbeta Aktienrenditen?
    by Beatrice Bieri & Klaus Spremann

  • 2010 Türkiye’de piyasa göstergelerinden para politikası beklentilerinin ölçülmesi
    by Harun ALP & Refet GÜRKAYNAK & Hakan KARA & Gürsu KELEŞ & Musa ORAK

  • 2010 İstanbul Menkul Kıymetler Borsası’nda işlem gören hisse senetlerinin fiyatlandırılmasında likiditenin rolü
    by Aslı YÜKSEL & Aydın YÜKSEL & Mete DOĞANAY

  • 2010 Sesgos en los modelos de sincronización tradicionales
    by Ferruz, Luis & Muñoz, Fernando & Vargas, María

  • 2010 ¿Influyen los tigres asiáticos en el comportamiento gregario español?
    by Blasco, Natividad & Corredor, Pilar & Ferreruela, Sandra

  • 2010 Size, value and liquidity: Do they really matter on an emerging stock market?
    by Lischewski, Judith & Voronkova, Svitlana

  • 2010 Macro expectations, aggregate uncertainty, and expected term premia
    by Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas

  • 2010 Market efficiency in the emerging securitized real estate markets
    by Schindler, Felix

  • 2010 How efficient is the U.K. housing market?
    by Schindler, Felix

  • 2010 Further evidence on the (in-) efficiency of the U.S. housing market
    by Schindler, Felix

  • 2010 Explaining time-varying risk of electricity forwards: trading activity and news announcements
    by Schulz, Frowin C.

  • 2010 Implied rates of return, the discount rate effect, and market risk premia
    by Breuer, Wolfgang & Gürtler, Marc

  • 2010 Alan Greenspan, the quants and stochastic optimal control
    by Stein, Jerome L.

  • 2010 New sight of herding behavioural through trading volume
    by Hachicha, Nizar

  • 2010 The value-added of investable hedge fund indices
    by Heidorn, Thomas & Kaiser, Dieter G. & Voinea, Andre

  • 2010 Is there a bubble in the Chinese housing market?
    by Dreger, Christian & Zhang, Yanqun

  • 2010 Sovereign bond yield spreads: a time-varying coefficient approach
    by Bernoth, Kerstin & Erdogan, Burcu

  • 2010 Cash flow and discount rate risk in up and down markets: What is actually priced?
    by Botshekan, Mahmoud & Kräussl, Roman & Lucas, André

  • 2010 Price pressures
    by Hendershott, Terrence & Menkveld, Albert J.

  • 2010 Does inter-market competition lead to less regulation?
    by Draus, Sarah

  • 2010 Blockholder dispersion and firm value
    by Konijn, Sander J. J. & Kräussl, Roman & Lucas, André

  • 2010 Risk and expected returns of private equity investments: Evidence based on market prices
    by Jegadeesh, Narasimhan & Kräussl, Roman & Pollet, Joshua

  • 2010 Sturm und Drang in money market funds: When money market funds cease to be narrow
    by Jank, Stephan & Wedow, Michael

  • 2010 Creative destruction and asset prices
    by Grammig, Joachim G. & Jank, Stephan

  • 2010 Overconfidence among professional investors: Evidence from mutual fund managers
    by Pütz, Alexander & Ruenzi, Stefan

  • 2010 Agent-based financial markets and New Keynesian macroeconomics: A synthesis
    by Lengnick, Matthias & Wohltmann, Hans-Werner

  • 2010 Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
    by Eichler, Stefan & Karmann, Alexander & Maltritz, Dominik

  • 2010 Banking and sovereign risk in the euro area
    by Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B.

  • 2010 Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
    by Dubravka Benaković & Petra Posedel

  • 2010 Orthogonalized Equity Risk Premia and Systematic Risk Decomposition
    by Rudolf F. Klein & K. Victor Chow

  • 2010 Conventions in the Foreign Exchange Market:Do they really explain Exchange Rate Dynamics?
    by Gabriele Di Filippo

  • 2010 A Contribution to the Theory of Financial Fragility and Crisis
    by Amit Bhaduri

  • 2010 The Implications of Financial Asset and Housing Markets on Profit- and Wage-led Growth: Some Results in Comparative Statics
    by Amit Bhaduri

  • 2010 Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
    by Silvia Centanni & Marco Minozzo

  • 2010 The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis
    by Alessandro Fontana

  • 2010 Consumption Smoothing and the Equity Premium
    by Benjamin Eden

  • 2010 Adaptive Forecasting of Exchange Rates with Panel Data
    by Leonardo Morales-Arias & Alexander Dross

  • 2010 Time-Varying Beta: A Boundedly Rational Equilibrium Approach
    by Carl Chiarella & Roberto Dieci & Xue-Zhong He

  • 2010 Option Valuation in Multivariate SABR Models
    by Jörg Kienitz & Manuel Wittke

  • 2010 Differences in Opinion and Risk Premium
    by Xue-Zhong He & Lei Shi

  • 2010 Hedge Fund Excess Returns Under Time-Varying Beta
    by Ron Bird & Harry Liem & Susan Thorp

  • 2010 On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders
    by Fabio Tramontana & Frank Westerhoff & Laura Gardini

  • 2010 A unifying approach to the empirical evaluation of asset pricing models
    by Francisco Peñaranda & Enrique Sentana

  • 2010 Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads
    by Thomas Schroeder & Kwamie Dunbar

  • 2010 Time Varying Risk Aversion: An Application to Energy Hedging
    by John Cotter & Jim Hanly

  • 2010 Housing Risk and Return: Evidence From a Housing Asset-Pricing Model
    by Karl Case & John Cotter & Stuart Gabriel

  • 2010 An Analysis of the EU Emission Trading Scheme
    by Don Bredin & Cal Muckley

  • 2010 Hedging: Scaling and the Investor Horizon
    by John Cotter & Jim Hanly

  • 2010 Trading and Liquidity with Limited Cognition
    by Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier

  • 2010 Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
    by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo

  • 2010 Turkiye’de Piyasa Gostergelerinden Para Politikasi Beklentilerinin Olculmesi
    by Harun Alp & Hakan Kara & Gursu Keles & Refet Gurkaynak & Musa Orak

  • 2010 Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market
    by Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo

  • 2010 A History of Housing Prices in Australia 1880-2010
    by Nigel Stapledon

  • 2010 Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship
    by Vasco Gabriel & Luis Martins

  • 2010 Markets where buyers also are sellers. How realized home equity may work as an accelerator of house prices
    by Erling Røed Larsen

  • 2010 Evolution and market behavior with endogenous investment rules
    by Giulio Bottazzi & Pietro Dindo

  • 2010 Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility
    by Ariane Szafarz

  • 2010 Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
    by Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer

  • 2010 Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes
    by Qiankun Zhou & Jun Yu

  • 2010 Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
    by Tore Selland Kleppe & Jun Yu & Hans J. Skaug

  • 2010 Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads
    by Schröder, Thomas & Dunbar, Kwamie

  • 2010 Monetary Policy and Heterogeneous Expectations
    by William A. Branch & George W. Evans

  • 2010 Risk-return tradeoff and the behaviour of volatility on the South African stock market: Evidence from both aggregate and disaggregate data
    by N.Z Mandimika & Z. Chinzara

  • 2010 For Rich or for Poor: When does Uncovered Interest Parity Hold?
    by Maurice J. Roche & Michael J. Moore

  • 2010 Cost Evaluation of Credit Risk Securitization in the Electricity Industry: Credit Default Acceptance vs. Margining Costs
    by Bellmann, Enno & Lang, Joachim & Madlener, Reinhard

  • 2010 Relevance of Risk Capital and Margining for the Valuation of Power Plants: Cash Requirements for Credit Risk Mitigation
    by Lang, Joachim & Madlener, Reinhard

  • 2010 Uncovering the Common Risk Free Rate in the European Monetary Union
    by Wagenvoort, Rien & Zwart, Sanne

  • 2010 Consumption Benefits and Gambling: Evidence From the NCAA Basketball Betting Market
    by Humphreys, Brad & Paul, Rodney & Weinbach, Andrew

  • 2010 Prices, Point Spreads and Profits: Evidence from the National Football League
    by Humphreys, Brad

  • 2010 Too Small or too Low? New Evidence on the 4-Factor Model
    by Paola Brighi & Stefano d’Addona & Antonio Carlo Francesco Della Bina

  • 2010 Volatility and the role of order book structure
    by Ralf Becker & Adam Clements

  • 2010 Determinants of sovereign bond yield spreads in the euro area in
    by Luciana Barbosa & Sónia Costa

  • 2010 The Mean Reversion Stochastic Processes Applications in Risk Management
    by Radkov, Petar

  • 2010 Long Memory in Stock Market Volatility:Evidence from India
    by Hiremath, Gourishankar S & Bandi, Kamaiah

  • 2010 Macroeconomic Risks and Characteristic-Based Factor Models
    by Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F.

  • 2010 Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
    by Hiremath, Gourishankar S & Bandi, Kamaiah

  • 2010 Does trading remove or bring frictions?
    by Lin, William & Sun, David & Tsai, Shih-Chuan

  • 2010 Search costs and investor trading activity: evidences from limit order book
    by Lin, William & Tsai, Shih-Chuan & Sun, David

  • 2010 Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45
    by Pasaribu, Rowland Bismark Fernando

  • 2010 Pemilihan Model Asset Pricing
    by Pasaribu, Rowland Bismark Fernando

  • 2010 Limited enforcement, bubbles and trading in incomplete markets
    by Bejan, Camelia & Bidian, Florin

  • 2010 Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania
    by Stefanescu, Razvan & Dumitriu, Ramona

  • 2010 Competition on MARS? A study of broker-dealer competition in the U.S. municipal auction rate securities market
    by cole, Chip & Edwards, Jeffrey A.

  • 2010 Unconditional mean, Volatility and the Fourier-Garch representation
    by Pascalau, Razvan & Thomann, Christian & Gregoriou, Greg N.

  • 2010 Theoretical analysis of the bid-ask bounce and Related Phenomena
    by Lerner, Peter

  • 2010 Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio
    by Théoret, Raymond & Racicot, François-Éric

  • 2010 fama and macbeth revisited: A Critique
    by Salazar, Juan & Lambert, Annick

  • 2010 Determinants of stock market performance in Nigeria: long-run analysis
    by MAKU, Olukayode E. & ATANDA, Akinwande Abdulmaliq

  • 2010 A behavioral model of bubbles and crashes
    by Kaizoji, Taisei (kaizoji@icu.ac.jp)

  • 2010 Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions
    by Lof, Matthijs

  • 2010 Foreign ownership in Vietnam stock markets - an empirical analysis
    by Vo, Xuan Vinh

  • 2010 An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis
    by Vo, Xuan Vinh & Batten, Jonathan

  • 2010 EQUITY Premium Puzzle in a Data-Rich Environment
    by Douch, Mohamed & Bouaddi, Mohammed

  • 2010 Searching out of Trading Noise: A Study of Intraday Transactions Cost
    by Lin, William & Sun, David & Tsai, Shih-Chuan

  • 2010 Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK
    by Nawar, Hashem

  • 2010 Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest
    by Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong

  • 2010 Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing
    by Bao, Qunfang & Li, Shenghong & Liu, Guimei

  • 2010 Flight to Liquidity and Global Equity Returns
    by Goyenko, Ruslan & Sarkissian, Sergei

  • 2010 Linking Decision and Time Utilities
    by Kontek, Krzysztof

  • 2010 House Prices and Consumption
    by Song, In Ho

  • 2010 Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market
    by Kucuk, Ugur N.

  • 2010 Financial Markets Interactions between Economic Theory and Practice
    by Nicolau, Mihaela

  • 2010 A real-time trading rule
    by Rambaccussing, Dooruj

  • 2010 Overconfidence and bubbles in experimental asset markets
    by Michailova, Julija

  • 2010 Behavioral approach to Arbitrage Pricing Theory
    by Hasan, M.Emrul

  • 2010 Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest
    by Bao, Qunfang & Chen, Si & Liu, Guimei & Li, Shenghong

  • 2010 Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU
    by Alfaro, Rodrigo & Becerra, Juan Sebastian & Sagner, Andres

  • 2010 Stock Index Volatility: the case of IPSA
    by Alfaro, Rodrigo & Silva, Carmen Gloria

  • 2010 The role of trading frictions in real asset markets
    by Gavazza, Alessandro

  • 2010 Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4)
    by Maryatmo, Rogatianus

  • 2010 The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps
    by Delis, Manthos D & Mylonidis, Nikolaos

  • 2010 Corporate strategies – the institutional approach
    by Waśniewski, Krzysztof

  • 2010 Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation
    by Alfarano, Simone & Lux, Thomas & Wagner, Friedrich

  • 2010 The relevance of coarse thinking for investors' willingness to pay: An experimental study
    by Siddiqi, Hammad

  • 2010 QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles
    by Nyberg, Henri

  • 2010 Canonical Representation Of Option Prices and Greeks with Implications for Market Timing
    by Cadogan, Godfrey

  • 2010 Autoregressive multifactor APT model for U.S. Equity Markets
    by Malhotra, Karan

  • 2010 The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries
    by Onour, Ibrahim

  • 2010 Coarse thinking, implied volatility, and the valuation of call and put options
    by Siddiqi, Hammad

  • 2010 Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization
    by Fries, Christian P.

  • 2010 From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets
    by Balli, Faruk & Basher, Syed Abul & Ozer-Balli, Hatice

  • 2010 Asset Pricing - A Brief Review
    by Li, Minqiang

  • 2010 Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets
    by Guidi, Francesco & Gupta, Rakesh & Maheshwari, Suneel

  • 2010 Leveraging the British Railway Mania: Derivatives for the Individual Investor
    by Campbell, Gareth

  • 2010 Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania
    by Campbell, Gareth

  • 2010 ‘The Greatest Bubble in History’: Stock Prices during the British Railway Mania
    by Campbell, Gareth & Turner, John

  • 2010 Levy Subordinator Model of Default Dependency
    by Balakrishna, B S

  • 2010 New methods of estimating stochastic volatility and the stock return
    by Alghalith, Moawia

  • 2010 Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
    by Todd, Prono

  • 2010 Value of intangibles arising from R&D activities
    by Ana Maria Bandeira & Óscar Afonso

  • 2010 Valorização de activos intangíveis resultantes de actividades de I&D
    by Ana Maria Bandeira

  • 2010 An Experimental Test of the Lucas Asset Pricing Model
    by John Duffy & Sean Crockett

  • 2010 A Dynamic General Equilibrium Approach to Asset Pricing Experiments
    by John Duffy

  • 2010 Énvironmental Economics and Venture Capital
    by Emanuel Shachmurove & Yochanan Shachmurove

  • 2010 The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
    by Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez

  • 2010 Trading volume and serial correlation in stock returns: a threshold regression approach
    by Shoko Morimoto & Mototsugu Shintani

  • 2010 Monetary Policy and Heterogeneous Expectations
    by George W. Evans & William A.Branch

  • 2010 Can Emerging Asset Price Bubbles be Detected?
    by Jesús Crespo Crespo Cuaresma

  • 2010 A theoretical foundation for the Nelson and Siegel class of yield curve models, and an empirical application to U.S. yield curve dynamics
    by Leo Krippner

  • 2010 Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship
    by Vasco J. Gabriel & Luis F. Martins

  • 2010 Predictability of Returns and Cash Flows
    by Ralph S.J. Koijen & Stijn Van Nieuwerburgh

  • 2010 Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns
    by Craig Burnside

  • 2010 International Macro-Finance
    by Anna Pavlova & Roberto Rigobon

  • 2010 Trading and Liquidity with Limited Cognition
    by Bruno Biais & Johan Hombert & Pierre-Olivier Weill

  • 2010 Betting Against Beta
    by Andrea Frazzini & Lasse H. Pedersen

  • 2010 What Does Stock Ownership Breadth Measure?
    by James J. Choi & Li Jin & Hongjun Yan

  • 2010 Crisis "Shock Factors" and the Cross-Section of Global Equity Returns
    by Charles W. Calomiris & Inessa Love & Maria Soledad Martinez Peria

  • 2010 Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation
    by Priyank Gandhi & Hanno Lustig

  • 2010 What Does Equity Sector Orderflow Tell Us about the Economy?
    by Alessandro Beber & Michael W. Brandt & Kenneth A. Kavajecz

  • 2010 Does Home Owning Smooth the Variability of Future Housing Consumption?
    by Andrew Paciorek & Todd M. Sinai

  • 2010 How Does the U.S. Government Finance Fiscal Shocks?
    by Antje Berndt & Hanno Lustig & Sevin Yeltekin

  • 2010 Estimation and Evaluation of Conditional Asset Pricing Models
    by Stefan Nagel & Kenneth J. Singleton

  • 2010 On the Timing and Pricing of Dividends
    by Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen

  • 2010 Decoding Inside Information
    by Lauren Cohen & Christopher Malloy & Lukasz Pomorski

  • 2010 Countercyclical Currency Risk Premia
    by Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan

  • 2010 Risk, Uncertainty and Monetary Policy
    by Geert Bekaert & Marie Hoerova & Marco Lo Duca

  • 2010 Liquidity Risk of Corporate Bond Returns: A Conditional Approach
    by Viral V. Acharya & Yakov Amihud & Sreedhar T. Bharath

  • 2010 On the Economic Consequences of Index-Linked Investing
    by Jeffrey Wurgler

  • 2010 Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
    by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig

  • 2010 Two Monetary Tools: Interest Rates and Haircuts
    by Adam Ashcraft & Nicolae Gârleanu & Lasse Heje Pedersen

  • 2010 Cross-sectional Tobin's Q
    by Frederico Belo & Chen Xue & Lu Zhang

  • 2010 The Effects of Stock Lending on Security Prices: An Experiment
    by Steven N. Kaplan & Tobias J. Moskowitz & Berk A. Sensoy

  • 2010 The Market for Borrowing Corporate Bonds
    by Paul Asquith & Andrea S. Au & Thomas R. Covert & Parag A. Pathak

  • 2010 Predictive Regressions: A Present-value Approach
    by Jules H. van Binsbergen & Ralph S.J. Koijen

  • 2010 Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
    by Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon

  • 2010 Hard Times
    by John Y. Campbell & Stefano Giglio & Christopher Polk

  • 2010 Why Don't Issuers Choose IPO Auctions? The Complexity of Indirect Mechanisms
    by Ravi Jagannathan & Andrei Jirnyi & Ann Sherman

  • 2010 CMBS Subordination, Ratings Inflation, and the Crisis of 2007-2009
    by Richard Stanton & Nancy Wallace

  • 2010 Trading Complex Assets
    by Bruce I. Carlin & Shimon Kogan

  • 2010 The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth
    by Anisha Ghosh & George M. Constantinides

  • 2010 Ambiguity and Asset Markets
    by Larry G. Epstein & Martin Schneider

  • 2010 The Role of Mortgage Brokers in the Subprime Crisis
    by Antje Berndt & Burton Hollifield & Patrik Sandås

  • 2010 Self-Fulfilling Risk Panics
    by Philippe Bacchetta & Cédric Tille & Eric van Wincoop

  • 2010 Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
    by Hui Chen

  • 2010 Uncertainty about Government Policy and Stock Prices
    by Lubos Pastor & Pietro Veronesi

  • 2010 Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns
    by Nikolai Roussanov

  • 2010 Indian Equity Markets: Measures of Fundamental Value
    by Rajnish Mehra

  • 2010 Aggregate Idiosyncratic Volatility
    by Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang

  • 2010 Rare Disasters and Risk Sharing with Heterogeneous Beliefs
    by Hui Chen & Scott Joslin & Ngoc-Khanh Tran

  • 2010 Build America Bonds
    by Andrew Ang & Vineer Bhansali & Yuhang Xing

  • 2010 Value versus Growth: Time-Varying Expected Stock Returns
    by Huseyin Gulen & Yuhang Xing & Lu Zhang

  • 2010 Asset Liquidity and the Cost of Capital
    by Hernán Ortiz-Molina & Gordon M. Phillips

  • 2010 The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium
    by Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh

  • 2010 Does Risk Explain Anomalies? Evidence from Expected Return Estimates
    by Jin Ginger Wu & Lu Zhang

  • 2010 The Other Side of Value: Good Growth and the Gross Profitability Premium
    by Robert Novy-Marx

  • 2010 Crises and Recoveries in an Empirical Model of Consumption Disasters
    by Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa

  • 2010 Learning and the Disappearing Association Between Governance and Returns
    by Lucian A. Bebchuk & Alma Cohen & Charles C.Y. Wang

  • 2010 The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
    by Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez

  • 2010 Corporate Bond Default Risk: A 150-Year Perspective
    by Kay Giesecke & Francis A. Longstaff & Stephen Schaefer & Ilya Strebulaev

  • 2010 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
    by Yacine Aït-Sahalia & Jean Jacod

  • 2010 Cash Flow Multipliers and Optimal Investment Decisions
    by Holger Kraft & Eduardo S. Schwartz

  • 2010 On the Relative Pricing of long Maturity S&P 500 Index Options and CDX Tranches
    by Pierre Collin-Dufresne & Robert S. Goldstein & Fan Yang

  • 2010 Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs
    by Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege

  • 2010 Limited Capital Market Participation and Human Capital Risk
    by Jonathan Berk & Johan Walden

  • 2010 Bankruptcy and the Collateral Channel
    by Efraim Benmelech & Nittai K. Bergman

  • 2010 The Cross-Section and Time-Series of Stock and Bond Returns
    by Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh

  • 2010 Rollover Risk and Market Freezes
    by Viral V. Acharya & Douglas Gale & Tanju Yorulmazer

  • 2010 Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
    by Isaac Ehrlich & Jong Kook Shin & Yong Yin

  • 2010 What determines euro area bank CDS spreads ?
    by Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro

  • 2010 Anti-comonotone random variables and anti-monotone risk aversion
    by Moez Abouda & Elyess Farhoud

  • 2010 Risk aversion and relationships in model-free
    by Moez Abouda & Elyess Farhoud

  • 2010 Re-hypothecation of securities
    by Jean-Marc Bottazzi & Jaime Luque & Mário Páscoa

  • 2010 On the Existence and Prevention of Asset Price Bubbles
    by Hendrik Hakenes & Zeno Enders

  • 2010 Multiple Regime Shifts: The Influence of ASEAN Politics on Financial Integration within South-East Asia
    by David Treisman

  • 2010 Average Internal Rate of Return and investment decisions: A new perspective
    by Carlo Alberto Magni

  • 2010 Konstruktion und Anwendung von Copulas in der Finanzwirtschaft
    by Stefan Hlawatsch & Peter Reichling

  • 2010 A Theoretical Extension of the Consumption-based CAPM Model
    by Jingyuan Li & Georges Dionne

  • 2010 A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors
    by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato

  • 2010 Size, Book-to-Market Ratio and Macroeconomic News
    by Tolga Cenesizoglu

  • 2010 The Reaction of Stock Returns to News about Fundamentals
    by Tolga Cenesizoglu

  • 2010 Stock Returns and Monetary Policy: Are There Any Ties ?
    by Hafedh Bouakez & Badye Omar Essid & Michel Normandin

  • 2010 Equity Premia and State-Dependent Risks
    by Mohammed Bouaddi & Denis Larocque & Michel Normandin

  • 2010 US 'Quantitative Easing' Is Fracturing the Global Economy
    by Michael Hudson

  • 2010 A Contribution to the Theory of Financial Fragility and Crisis
    by Amit Bhaduri

  • 2010 Self-Fulfilling Risk Panics
    by Philippe Bacchetta & Cédric Tille & Eric van Wincoop

  • 2010 An assessment of variances and covariances of European SRI funds returns : does the intensity of extra-financial negative screening matter?
    by Yves Jégourel & Samuel Maveyraud

  • 2010 Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach
    by Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong

  • 2010 Heterogeneous Beliefs in a Continuous-Time Model
    by Chiaki Hara

  • 2010 Improved Portfolio Choice using Second-Order Stochastic Dominance
    by James E. Hodder & Jens Carsten Jackwerth & Olga Kolokolova

  • 2010 Pinning in the S&P 500 Futures
    by Benjamin Golez & Jens Carsten Jackwerth

  • 2010 Zur Finanzmarktkrise: Die Rolle der Immobilienbewertung
    by Oliver Arentz & Johann Eekhoff & Christine Arentz

  • 2010 Adaptive Forecasting of Exchange Rates with Panel Data
    by Leonardo Morales-Arias & Alexander Dross

  • 2010 Credit Bubbles and Land Bubbles
    by Christopher Reicher

  • 2010 Predictability of Asset Returns and the Efficient Market Hypothesis
    by Pesaran, M. Hashem

  • 2010 Predictability of Asset Returns and the Efficient Market Hypothesis
    by Pesaran, Hashem

  • 2010 Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
    by Snowberg, Erik & Wolfers, Justin

  • 2010 Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
    by Snowberg, Erik & Wolfers, Justin

  • 2010 Consumption, liquidity and the cross-sectional variation of expected returns
    by Elena Márquez & Belén Nieto Doménech & Gonzalo Rubio Irigoyen

  • 2010 Trading strategies and trading profits in experimental asset markets with cumulative information
    by Thomas St?ckl & Michael Kirchler

  • 2010 Optimal Execution of Multiasset Block Orders under Stochastic Liquidity
    by Naoki Makimoto & Yoshihiko Sugihara

  • 2010 Can Cross-Border Financial Markets Create Endogenously Good Collateral in a Crisis?
    by Makoto Saito & Shiba Suzuki & Tomoaki Yamada

  • 2010 Financial Regulation Going Forward
    by Franklin Allen & Elena Carletti

  • 2010 Booms and Busts in Asset Prices
    by Klaus Adam & Albert Marcet

  • 2010 Performance evaluation in competitive REE models
    by Paolo Colla & José M. Marín

  • 2010 Trading and Liquidity with Limited Cognition
    by Biais, Bruno & Hombert, Johan & Weill, Pierre-Olivier

  • 2010 Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
    by Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo

  • 2010 Parametric estimation of risk neutral density functions
    by Maria Grith & Volker Krätschmer

  • 2010 Prognose mit nichtparametrischen Verfahren
    by Wolfgang Karl Härdle & Rainer Schulz & Weining Wang

  • 2010 High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model
    by Song Song & Wolfgang K. Härdle & Ya'acov Ritov

  • 2010 Adaptive Interest Rate Modelling
    by Mengmeng Guo & Wolfgang Karl Härdle

  • 2010 Nonparametric Estimation of Risk-Neutral Densities
    by Maria Grith & Wolfgang Karl Härdle & Melanie Schienle

  • 2010 The dynamics of hourly electricity prices
    by Wolfgang Karl Härdle & Stefan Trück

  • 2010 Illiquidity and Derivative Valuation
    by Ulrich Horst & Felix Naujokat

  • 2010 On Securitization, Market Completion and Equilibrium Risk Transfer
    by Ulrich Horst & Traian A. Pirvu & Gonçalo Dos Reis

  • 2010 Burying the Stability Pact: The Reanimation of Default Risk in the Euro Area
    by Christian Fahrholz & Roman Goldbach

  • 2010 What Does the Yield Curve Tell Us about Exchange Rate Predictability?
    by Yu-chin Chen & Kwok Ping Tsang

  • 2010 Home Bias in Currency Forecasts
    by Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay

  • 2010 Human Capital, Endogenous Information Acquisition,and Home Bias in Financial Markets
    by Isaac Ehrlich & Jong Kook Shin & Yong Yin

  • 2010 Information Content of Order Flow and Cross-market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets
    by Eric Girardin & Dijun Tan & Woon K. Wong

  • 2010 Are House Prices Rising Too Fast in China?
    by Ashvin Ahuja & Lillian Cheung & Gaofeng Han & Nathan Porter & Wenlang Zhang

  • 2010 Dynamic Correlation Analysis of Financial Spillover to Asian and Latin American Markets in Global Financial Turmoil
    by Matthew S. Yiu & Wai-Yip Alex Ho & Lu Jin

  • 2010 Bankruptcy and the size effect
    by Lu, Ching-Chih & Chollete, Loran

  • 2010 Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990
    by Rydqvist, Kristian

  • 2010 Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model
    by De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf

  • 2010 Strategic Insider Trading Equilibrium: A Filter Theory Approach
    by Aase, Knut K. & Bjuland, Terje & Øksendal, Bernt

  • 2010 Growth Forecasts, Belief Manipulation and Capital Markets
    by Lundtofte, Frederik & Leoni, Patrick

  • 2010 Stock and Bond Relationships in Asia
    by Johansson, Anders C.

  • 2010 Inflation, Human Capital and Tobin's q
    by Parantap Basu & Max Gillman & Joseph Pearlman

  • 2010 Why does Bad News Increase Volatility and Decrease Leverage?
    by Ana Fostel & John Geanakoplos

  • 2010 A Large Trader in Bubbles and Crashes: an Application to Currency Attacks
    by Mei Li & Frank Milne

  • 2010 Can Information Made Publicly Available Explain Long-Term Performance of New Economy Seasoned Equity Offers?
    by Zoltam Murgulov & Eduardo Roca

  • 2010 An Empirical Investigation of Consumption CAPMs in the Australian Market
    by Bin Li & Benjamin Liu & Eduardo Roca

  • 2010 On monetary policy and stock market anomalies
    by Alexandros Kontonikas & Alexandros Kostakis

  • 2010 The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
    by Michael G. Arghyrou & Alexandros Kontonikas

  • 2010 Human Capital Values and Returns:Bounds Implied By Earnings and Asset Returns Data
    by Mark Huggett and Greg Kaplan

  • 2010 The Euro-dividend: public debt and interest rates in the Monetary Union
    by Simone Salotti & Luigi Marattin

  • 2010 Cost of Equity Estimation Techniques Used by Valuation Experts
    by Petra Kolouchová & Jirí Novák

  • 2010 The Price and Risk Effects of Option Introductions on the Nordic Markets
    by Staffan Linden

  • 2010 Rules and risk in the euro area: does rules-based national fiscal governance contain sovereign bond spreads?
    by Anna Iara & Guntram B. Wolff

  • 2010 Fiscal activism and the cost of debt financing
    by Hans DEWACHTER & Priscilla TOFFANO

  • 2010 Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach
    by Lean, H.H. & McAleer, M.J. & Wong, W.K.

  • 2010 Conditional beta pricing models: A nonparametric approach
    by Orbe Mandaluniz, Susan & Ferreira García, María Eva & Gil Bazo, Javier

  • 2010 Asset pricing with heterogeneous investors and portfolio constraints
    by Georgy Chabakauri

  • 2010 Connected stocks
    by Miguel Anton & Christopher Polk

  • 2010 Institutional Ownership, Analyst Following and Share Prices
    by Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A.

  • 2010 Strategic Asset Allocation with Heterogeneous Beliefs
    by Thiago de Oliveira Souza

  • 2010 Rentabilidad de los fondos de inversión en España. 1991-2009
    by Fernandez, Pablo & del Campo, Javier

  • 2010 Ranking de gestoras de fondos de inversión en España. 1994-2009
    by Fernandez, Pablo & del Campo, Javier

  • 2010 Tres sentencias con tremendos errores sobre valoración
    by Fernandez, Pablo

  • 2010 Rentabilidad y creación de valor de 125 empresas españolas en 2009
    by Fernandez, Pablo & del Campo, Javier

  • 2010 What Determine China’s Inflation?
    by Huang Yiping & Wang Xun & Hua Xiuping

  • 2010 How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?
    by Ariane Szafarz

  • 2010 Computational Methods for Production-Based Asset Pricing Models with Recursive Utility
    by Eric M. Aldrich & Howard Kung

  • 2010 Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
    by Viktor Todorov & Iaryna Grynkiv & George Tauchen

  • 2010 The Realized Laplace Transform of Volatility
    by Viktor Todorov & George Tauchen

  • 2010 Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry
    by Han Hong & Ahmed Khwaja & A. Ronald Gallant

  • 2010 Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors
    by A. Craig Burnside

  • 2010 The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment
    by A. Craig Burnside

  • 2010 Estimation of Jump Tails
    by Tim Bollerslev & Viktor Todorov

  • 2010 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen

  • 2010 Tails, Fears and Risk Premia
    by Tim Bollerslev & Viktor Todorov

  • 2010 Pricing of the Time-Change Risks
    by Ivan Shaliastovich & George Tauchen

  • 2010 Volatility Jumps
    by Viktor Todorov & George Tauchen

  • 2010 Floating European football clubs in the stock market
    by Michel Aglietta & Wladimir Andreff & Bastien Drut

  • 2010 Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?
    by Georges Prat

  • 2010 Momentum or Contrarian Investment Strategies:Evidence from Dutch institutional investors
    by Leo de Haan & Jan Kakes

  • 2010 Is There a Bubble in the Chinese Housing Market?
    by Christian Dreger & Yanqun Zhang

  • 2010 Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach
    by Kerstin Bernoth & Burcu Erdogan

  • 2010 The Weekly Structure of US Stock Prices
    by Guglielmo Maria Caporale & Luis A. Gil-Alana

  • 2010 Volatility Exposure for Strategic Asset Allocation
    by Brière, Marie & Burgues, Alexandre & Signori, Ombretta

  • 2010 Does Inter-Market Competition Lead to Less Regulation?
    by Draus, Sarah

  • 2010 Unexpected Media Coverage and Stock Market Outcomes : Evidence from Chemical Disasters
    by Laguna, Marie-Aude

  • 2010 Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework
    by Jardet, Caroline & Le Fol, Gaëlle

  • 2010 Bubbles and Crashes with Partially Sophisticated Investors
    by Bianchi, Milo & Jehiel, Philippe

  • 2010 Why Does Bad News Increase Volatility and Decrease Leverage?
    by Ana Fostel & John Geanakoplos

  • 2010 Why Does Bad News Increase Volatility and Decrease Leverage?
    by Ana Fostel & John Geanakoplos

  • 2010 Why Does Bad News Increase Volatility and Decrease Leverage?
    by Ana Fostel & John Geanakoplos

  • 2010 Solving the Present Crisis and Managing the Leverage Cycle
    by John Geanakoplos

  • 2010 Leverage Causes Fat Tails and Clustered Volatility
    by Stefan Thurner & J. Doyne Farmer & John Geanakoplos

  • 2010 Leverage Causes Fat Tails and Clustered Volatility
    by Stefan Thurner & J. Doyne Farmer & John Geanakoplos

  • 2010 Ambiguity, Learning, and Asset Returns
    by Nengjiu Ju & Jianjun Miao

  • 2010 Reaction to public information in asset markets: does ambiguity matter?
    by Brice Corgnet & Praveen Kujal & David Porter

  • 2010 The effect of reliability, content and timing of public announcements on asset trading behavior
    by Brice Corgnet & Praveen Kujal & David Porter

  • 2010 Are all Credit Default Swap databases equal?
    by Sergio Mayordomo & Juan Ignacio Peña Sánchez de Rivera & Eduardo S. Schwartz

  • 2010 Derivatives pricing with marked point processes using Tick-by-tick dataR
    by Álvaro Cartea

  • 2010 Comoment Risk and Stock Returns
    by Marie Lambert & George Hübner

  • 2010 How to Construct Fundamental Risk Factors?
    by Marie Lambert & George Hübner

  • 2010 A Direct Test of Rational Bubbles
    by Friedrich Geiecke & Mark Trede

  • 2010 An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union
    by Gerrit Reher & Bernd Wilfling

  • 2010 Risk, Uncertainty and Monetary Policy
    by Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco

  • 2010 Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals
    by Bekaert, Geert & Engstrom, Eric

  • 2010 Aggregate Idiosyncratic Volatility
    by Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan

  • 2010 Credit Supply and the Price of Housing
    by Favara, Giovanni & Imbs, Jean

  • 2010 Macroprudential policy and central bank communication
    by Born, Benjamin & Ehrmann, Michael & Fratzscher, Marcel

  • 2010 Investor Interest and Hedge Fund Returns
    by Ramadorai, Tarun

  • 2010 Investors' horizons and the Amplification of Market Shocks
    by Cella, Cristina & Ellul, Andrew & Giannetti, Mariassunta

  • 2010 Macroeconomics and the Term Structure
    by Gürkaynak, Refet S. & Wright, Jonathan

  • 2010 Two Monetary Tools: Interest Rates and Haircuts
    by Ashcraft, Adam & Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje

  • 2010 A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
    by Peñaranda, Francisco & Sentana, Enrique

  • 2010 Quantifying the Distortionary Fiscal Cost of ‘The Bailout’
    by Gomes, Francisco J & Michaelides, Alexander & Polkovnichenko, Valery

  • 2010 Money and Liquidity in Financial Markets
    by Nyborg, Kjell G & Östberg, Per

  • 2010 Uncertainty about Government Policy and Stock Prices
    by Pástor, Luboš & Veronesi, Pietro

  • 2010 Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns
    by Albuquerque, Rui

  • 2010 Banking and Sovereign Risk in the Euro Area
    by Gerlach, Stefan & Schulz, Alexander & Wolff, Guntram B.

  • 2010 Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
    by Snowberg, Erik & Wolfers, Justin

  • 2010 The Price of Liquidity: Bank Characteristics and Market Conditions
    by Fecht, Falko & Nyborg, Kjell G & Rocholl, Jörg

  • 2010 The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
    by Fernández-Villaverde, Jesús & Koijen, Ralph & Rubio-Ramírez, Juan Francisco & van Binsbergen, Jules H.

  • 2010 Tax Arbitrage with Risk and Effort Aversion -- Swedish Lottery Bonds 1970-1990
    by Rydqvist, Kristian

  • 2010 Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
    by Boyle, Phelim & Garlappi, Lorenzo & Uppal, Raman & Wang, Tan

  • 2010 Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    by DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory

  • 2010 Performance Maximization of Actively Managed Funds
    by Guasoni, Paolo & Huberman, Gur & Wang, Zhenyu

  • 2010 On the Size of the Active Management Industry
    by Pástor, Luboš & Stambaugh, Robert F.

  • 2010 A meta-analysis of the equity premium
    by Casper van Ewijk & C. Santing

  • 2010 Company Valuation in an Emerging Economy - Caldonia: A Case Study
    by Ignacio Vélez Pareja & Joseph Tham

  • 2010 Depreciation Classes, Return on Investment and Economic Profitability
    by Carlo Alberto Magni

  • 2010 Corporation Income Taxes and the Cost of Capital: A Revision
    by James W. Kolari & Ignacio Velez Pareja

  • 2010 Costo de capital con costo del patrimonio apalancado como el riesgo de los escudos fiscales
    by Joseph Tham & Ignacio Velez Pareja

  • 2010 ROE, Market Value Added e creazione di valore
    by Carlo Alberto Magni

  • 2010 Reasoning the `Net-Present-Value´ Way: Some Biases and How to Use Psychology for Falsifying Decision Models
    by Carlo Alberto Magni

  • 2010 Estimating the Appropriate Risk Profile for the Tax Savings: A Contingent Claim Approach
    by Gonzalo Diaz Hoyos & Ignacio Velez Pareja

  • 2010 Timanco S.A.: Unpaid Taxes, Losses Carried Forward, Foreign Debt, Presumptive Income and Adjustment for Inflation: Matching DCF and EVA©
    by Ignacio Velez Pareja & Joseph Tham

  • 2010 Solución Analítica al Problema de la Circularidad Usando Flujos de Caja Descontados
    by Felipe Mejia & Ignacio Velez Pareja

  • 2010 Cost of Equity and WACC for Perpetuities with Constant Growth
    by Felipe Mejia & Ignacio Velez Pareja

  • 2010 Cost of Capital with Levered Cost of Equity as the Risk of Tax Shields
    by Joseph Tham & Ignacio Velez Pareja

  • 2010 Cost of Capital, Cost of Equity and Value Without Circularity for Constant Growth Perpetuities
    by Felipe Mejía & Ignacio Velez Pareja

  • 2010 Purely Internal Rate of Return and Investment Decisions: A Cash-Flow Perspective
    by Carlo Alberto Magni

  • 2010 Risky Tax Shields and Risky Debt: A Monte Carlo Approach
    by Ignacio Velez Pareja

  • 2010 On the long-standing issue of the internal rate of return: a complete resolution
    by Carlo Alberto Magni

  • 2010 Analytical solution to the circularity problem in the discounted cash flow valuation framework
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  • 2010 The Quest for Stability: the view of financial institutions
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  • 2010 Short-horizon Asymmetry in Conditional Mean of Asean Stock Market Returns
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  • 2010 Macroeconomic Fundamentals and Stock Return Dynamics: International Evidence from the Global Finance Area
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  • 2010 Macroeconomic Determinants of Stock Returns in Pakistan: the Case of Karachi Stock Exchange
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  • 2010 The Effect Of Annual Earnings Announcement Delay On Stock Returns
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  • 2010 Discussion: The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors
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  • 2010 The Swiss Franc Exchange Rate and Deviations from Uncovered Interest Parity: Global vs Domestic Factors
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  • 2010 ZASTOSOWANIE TECHNIK ITERACYJNYCH W WYCENIE PRZEDSIeBIORSTWA – WYCENA EMCINSMED S.A
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  • 2010 Asymmetric Adjustment in the Lending-Deposit Rate Spread: Evidence from Eastern European Countries
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  • 2010 Portfolio Analysis Based On The Example Of Zagreb Stock Exchange
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  • 2010 Una Explicación Del Efecto Herding Desde El Mercado De Derivados
    by NATIVIDAD BLASCO DE LAS HERAS & SANDRA FERRERUELA GARCÉS & PILAR CORREDOR CASADO

  • 2010 Dinámica Del Volumen, Información Y Estructura De Propiedad
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  • 2010 Owning Capital or Being Shareholders: An Equivalence Result with Incomplete Markets
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  • 2010 Asset Pricing in a Production Economy with Chew-Dekel Preferences
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  • 2010 Comparacion de modelos de prediccion de retornos accionarios en el Mercado Accionario Chileno: capm, fama y french y reward beta
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  • 2010 Productos derivados sobre bienes de consumo
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  • 2010 The Sustainability of House Price Trends in the Czech Republic
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  • 2010 Monetary Policy Implementation and Liquidity Management of the Czech Banking System
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  • 2010 Estimación de la curva de rendimiento cupón cero para el Perú y su uso para el análisis monetario
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  • 2010 Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model
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  • 2010 The Effects of Financial Crisis on the Behaviour of Investors on the Romanian Capital Market
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  • 2010 An Analysis of the Catastrophe Bonds Market. Modelling the Volatility of an Index
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  • 2010 „Black-Scholes Model Used To Evaluate Stocks Options”
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  • 2010 Intellectual Capital Valuation Using Monte Carlo Simulation
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  • 2010 Modeling the Term Structure of Interest Rates: A Review of the Literature
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  • 2010 Empirically Based Asset Management Decision Support for Reliable and Cost Effective Asset Operation
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  • 2010 Continuous-Time Option Games: Review of Models and Extensions
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  • 2010 Egyenes-e a tőkepiaci árazási modell (CAPM) karakterisztikus és értékpapír-piaci egyenese?
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  • 2010 Are All Individual Investors Equally Prone to the Disposition Effect All the Time? New Evidence from a Small Market
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  • 2010 China’s Equilibrium Exchange Rate Dynamics 1994–2004: A Cointegration Analysis
    by Jingtao Yi

  • 2010 Exchange Rate Pass-Through: The Case of China
    by Jinbin Wang & Nan Li

  • 2010 The Lending-Deposit Rate Relationship in Eastern European Countries: Evidence from the Rank Test for Non-linear Cointegration
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  • 2010 CAPM Beta, Size, Book-to-Market, and Momentum in Realized Stock Returns
    by Jiri Novak & Dalibor Petr

  • 2010 Fundamentals and the Origin of Fama-French Factors: The Case of the Spanish Market
    by Francisco J. De Pena & Carlos Forner & Germán López-Espinosa

  • 2010 Risk-Sharing Externalities and Its Implications for Equity Premium in an Infinite-Horizon Economy
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  • 2010 Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index
    by Nikolaos SARIANNIDIS & Grigoris GIANNARAKIS & Nicolaos LITINAS & George KONTEOS

  • 2010 Asymmetric information, firm investment and stock prices
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  • 2010 Illiquidity and asset pricing in the Chinese stock market
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  • 2010 Zinsspreads auf europäische Anleihen: Finanzmärkte verstärken Druck zu mehr Haushaltsdisziplin
    by Kerstin Bernoth & Burcu Erdogan

  • 2010 Zinsspreads auf europäische Staatsanleihen: Implikationen und Lehren aus der europäischen Schuldenkrise
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  • 2010 Financial Markets Interactions between Economic Theory and Practice
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  • 2010 Fluctuations of Real Interest Rates and Business Cycles
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  • 2010 L’autorité ne fait pas le contrat de travail : Une critique du modèle de Simon (1951)
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  • 2010 Factores determinantes del margen entre la deuda
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  • 2010 Teoría de precios de arbitraje. Evidencia empírica para Colombia a través de redes neuronales
    by Charle Londoño & Mauricio Lopera & Sergio Restrepo

  • 2010 Análisis de la distribución de las tasas de retorno accionarias haciendo uso de la distribución g y h de Tukey
    by Andrés Mauricio Mendoza Piñeros & José Alfredo Jiménez Moscoso

  • 2010 Oil Prices and Stock Markets: What Drives What in the Gulf Corporation Council Countries
    by Mohamed Arouri & Christophe Rault

  • 2010 The Canadian ABS Market: Where Do We Go From Here?
    by David C. Allan & Philippe Bergevin

  • 2010 The Canadian ABS Market: Where Do We Go From Here?
    by David C. Allan & Philippe Bergevin

  • 2010 Addicted to Ratings: The Case for Reducing Governments’ Reliance on Credit Ratings
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  • 2010 Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe
    by Mohamed El Hedi Arouri & Christophe Rault

  • 2010 Les krachs boursiers en France depuis 1854
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  • 2010 Investigating Exchange Rate Exposure of Bank Shares: Empirical Evidence From ISE
    by Serkan Yilmaz Kandir & Ahmet Erismis

  • 2010 Determinants of the Greek stock-bond correlation
    by Petros M Migiakis

  • 2010 Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
    by Dubravka Benakovic & Petra Posedel

  • 2010 A user's guide to the Triennial Central Bank Survey of foreign exchange market activity
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  • 2010 The $4 trillion question: what explains FX growth since the 2007 survey?
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  • 2010 Policy responses to dislocations in the FX swap market: the experience of Korea
    by Naohiko Baba & Ilhyock Shim

  • 2010 Valuation of unquoted foreign direct investment stocks at market value: methods and results for France
    by Nivat, D. & Topiol, A.

  • 2010 Les investissements directs français à l’étranger et étrangers en France en 2009
    by NIVAT, D. & TERRIEN, B.

  • 2010 Évaluation des stocks d’investissements directs dans des sociétés non cotées en valeur de marché : méthodes et résultats pour la France
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  • 2010 Option-Based Valuation Of Mortgage-Backed Securities
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  • 2010 Open Issues In Testing Liquidity In Frontier Financial Markets: The Case Of Serbia
    by Jelena Z. Minović & Boško R. Živković

  • 2010 Modelling The Benchmark Spot Curve For The Serbian Market
    by Mikica Drenovak & Branko Urošević

  • 2010 Pricing the Currency Premium Under Flexible Exchange Rates: Evidence from South Africa
    by Martin Grandes & Marcel Peter & Nicolas Pinaud

  • 2010 Premiums and arbitrage of Asian Exchange Traded Funds
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  • 2010 Heterogeneity, Selection, and Wealth Dynamics
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  • 2010 Cross-Sectional Asset Pricing Tests
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  • 2010 Risk Management
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  • 2010 Ambiguity and Asset Markets
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  • 2010 Stochastic Processes in Finance
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  • 2010 Limits of Arbitrage
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  • 2010 Martingale Pricing
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  • 2010 Patrimonial Resources’ Management And Effects On The Economic Value Added
    by Vasile Burja“1 Decembrie 1918†University of Alba Iulia & Camelia Burja“1 Decembrie 1918†University of Alba Iulia

  • 2010 The impact of Lehman Brothers on Romanian banks listed on BVB
    by Ioan NISTOR & Maria ULICI

  • 2010 The correlation between the macroeconomic variables and the Bucharest stock exchange share prices
    by Cristina CURUTIU BALINT

  • 2010 Options evaluation - Black-Scholes model vs. binomial options pricing model
    by Ioan TRENCA & Maria Miruna POCHEA & Angela Maria FILIP

  • 2010 Aspects Regarding The Influence Of Volatility On The Option’S Price
    by Assoc. Prof. Dalia Simion Ph. D & Lect. Roxana Ispas Ph. D

  • 2010 An Analysis of Mutual Fund Performance on the Stock Exchange of Mauritius
    by Sunil Bundoo & Boopen Seetanah & Zaineh Pooloo

  • 2010 Common stock returns in the pre-WWI Berlin Stock Exchange
    by Caroline Fohlin & Steffen Reinhold

  • 2010 The Asymmetric Impulse of the Sunshine Effect on Stock Returns and Volatilities
    by Yuan-Ming Lee & Kuan-Min Wang

  • 2010 How Debt Markets Have Malfunctioned in the Crisis
    by Arvind Krishnamurthy

  • 2010 When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007-2009
    by Marcin Kacperczyk & Philipp Schnabl

  • 2010 Security Price Informativeness with Delegated Traders
    by Gary Gorton & Ping He & Lixin Huang

  • 2010 Sovereign Risk and Secondary Markets
    by Fernando Broner & Alberto Martin & Jaume Ventura

  • 2010 Technology Adoption with Exit in Imperfectly Informed Equity Markets
    by Katrin Tinn

  • 2010 Repo Market Effects of the Term Securities Lending Facility
    by Michael J. Fleming & Warren B. Hrung & Frank M. Keane

  • 2010 Interest Rate Risk in Credit Markets
    by Monika Piazzesi & Martin Schneider

  • 2010 Loan Syndication and Credit Cycles
    by Victoria Ivashina & David Scharfstein

  • 2010 An Equilibrium Term Structure Model with Recursive Preferences
    by Anh Le & Kenneth J. Singleton

  • 2010 Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
    by Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan

  • 2010 Long Run Risks, Credit Markets, and Financial Structure
    by Harjoat S. Bhamra & Lars-Alexander Kuehn & Ilya A. Strebulaev

  • 2010 Long Run Risks, the Macroeconomy, and Asset Prices
    by Ravi Bansal & Dana Kiku & Amir Yaron

  • 2010 Confidence Risk and Asset Prices
    by Ravi Bansal & Ivan Shaliastovich

  • 2010 Growth Opportunities and Technology Shocks
    by Leonid Kogan & Dimitris Papanikolaou

  • 2010 Affine Disagreement and Asset Pricing
    by Hui Chen & Scott Joslin & Ngoc-Khanh Tran

  • 2010 The Great Recession: Lessons from Microeconomic Data
    by Atif Mian & Amir Sufi

  • 2010 Dynamic Asset Pricing in a System of Local Housing Markets
    by Patrick Bayer & Bryan Ellickson & Paul B. Ellickson

  • 2010-2011 French outward and inward foreign direct investment in 2009 - New presentation
    by Nivat, D. & Terrien, B.

  • 2010, 2nd quarter update housing wealth
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  • 2010, 1st quarter update general equilibrium with incomplete markets
    by Michael Magill & Martine Quinzii

  • 2010(XX) The Romanian Municipal Bond Market and the International Financial Crisis
    by VALENTINA VASILE & MIRELA MATEI

  • 2009 Overconfidence among professional investors: Evidence from mutual fund managers
    by Pütz, Alexander & Ruenzi, Stefan

  • 2009 What Ties Return Volatilities to Price Valuations and Fundamentals?
    by Alexander David & Pietro Veronesi

  • 2009 Long Term Asset Price Volatility and Macroeconomic Fluctuations
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  • 2009 An Analysis Of Dynamic Risk In The Greater China Equity Markets
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  • 2009 Rentabilidad y creación de valor de 136 empresas españolas en 2008
    by Fernandez, Pablo & Bermejo, Vicente

  • 2009 Arbitrage Pricing Under Transaction Costs: Continuous Time
    by Lépinette-Denis, Emmanuel

  • 2009 Comment faire évoluer les méthodes d’évaluation financière des innovations ?
    by Breese, Pierre & Nussenbaum, Maurice

  • 2009 A reality check of hedging practices in the mining industry
    by Armstrong, Margareth & Galli, Alain & Lautier, Delphine

  • 2009 News Pressure, Public Image, and Firm Stock Market Value
    by Laguna, Marie-Aude

  • 2009 Les fonds souverains pétroliers
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  • 2009 L’impact des décisions des agences de notation sur le prix des actions : une comparaison du cas français avec les cas européen et américain
    by Iankova, Evguenia & Pochon, Florent & Teiletche, Jérôme

  • 2009 Le marché des trackers : aspects techniques, dimensions sociales
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  • 2009 The Fundamental Analysis of Financial Instruments in the Context of Diverse Investing Styles
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  • 2009 Information Use and Transference among Legally Separated Share Markets— An Experimental Approach
    by Li Qi & Jack Ochs

  • 2009 Who benefits from market integration? A comparative study of Yankee IPOs from high and low integrated markets
    by Pukthuanthong, Kuntara

  • 2009 Effective parameters for stochastic volatility models
    by Wang, Zaizhi

  • 2009 Modeling and pricing of credit derivatives using macroeconomic information
    by Schmid, Bernd & Zagst, Rudi & Antes, Stefan & El Moufatich, Fayssal

  • 2009 The equity premium in 150 textbooks
    by Fernandez, Pablo

  • 2009 Global Crisis and the Integration of India’s Stock Market
    by Dhal, Sarat

  • 2009 Testing the Integration of the US and Chinese Stock Markets in a Fama-French Framework
    by Di Iorio, Amalia

  • 2009 Short Sale Constraints and Stock Misvaluation: Daily Evidence on the Nasdaq
    by Zhao, Min (Kevin)

  • 2009 The Equity Risk Premium, Market Factors and the Maturing Economy Hypothesis
    by Michael Devaney

  • 2009 Market Maker unter Wolken – Wettereffekte am deutschen Aktienmarkt
    by Marcus Flemisch & Andreas Hackethal & Dirk Schiereck

  • 2009 „Home, Sweet Home“ – Die Entwicklung des Handelsvolumens deutscher Aktien im Ausland
    by Michael H. Grote & Florian Kube & Michael Küchen

  • 2009 Mandelbrot and the Smile
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  • 2009 Financial Predictors of Real Activity and the Propagation of Aggregate Shocks
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  • 2009 Franchise Values in North American Professional Sports Leagues: Evidence from a Repeat Sales Method
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  • 2009 How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?
    by Ariane Szafarz

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  • 2009 Banks and Real Estate Prices
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  • 2009 Explaining House Price Fluctuations
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  • 2009 Stock Market Returns and Partisan Political Business Cycles
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  • 2009 Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
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  • 2009 Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
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  • 2009 Dating the Timeline of Financial Bubbles During the Subprime Crisis
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  • 2009 Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
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  • 2009 Time-Varying Currency Betas: Evidence from Developed and Emerging Markets
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  • 2009 Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
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  • 2009 The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105 Years of Data from South Africa
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  • 2009 Value, Size and Momentum Portfolios in Real Time: The Cross-Section of South African Stocks
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  • 2009 Segmentation across International Equity, Bond, and Foreign Exchange Markets
    by Cathy Ning & Stephen Sapp

  • 2009 Solving Exchange Rate Puzzles with neither Sticky Prices nor Trade Costs
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  • 2009 How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach
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  • 2009 Back to the Basics in Banking? A Micro-Analysis of Banking System Stability
    by O. DE JONGHE

  • 2009 EFR 2009-01 A factor analysis approach to measuring European loan and bond market integration
    by Wagenvoort, Rien & Ebner, André & Morgese Borys, Magdalena

  • 2009 Options and Efficiency in Spaces of Bounded Claims
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  • 2009 Housing Prices and the Role of Speculation: The Case of Seoul
    by Park, Donghyun & Xiao, Qin

  • 2009 Option Pricing with Modular Neural Networks
    by Nikola Gradojevic & Ramazan Gencay & Dragan Kukolj

  • 2009 Means, Motive and Opportunity? Disentangling Client Influence on Performance Measurement Appraisals
    by Neil Crosby & Colin Lizieri & Patrick McAllister

  • 2009 Style Analysis in Real Estate Markets: Beyond the Sectors and Regions Dichotomy
    by Franz Fuerst & Gianluca Marcato

  • 2009 Testing for periodically collapsing rational speculative bubbles in US REITs
    by Keith Anderson & Chris Brooks & Sotiris Tsolacos

  • 2009 Transaction Costs, Trading Volume and Momentum Strategies
    by Xiafei Li & Chris Brooks & Joelle Miffre

  • 2009 Time Varying Volatility and the Cross-Section of Equity Returns
    by Chris Brooks & Xiafei Li & Joelle Miffre

  • 2009 HACking at Non-linearity: Evidence from Stocks and Bonds
    by Robert J Bianchi & Adam E Clements & Michael E Drew

  • 2009 The Value Effect and the Market For Chinese Stocks
    by Burton G. Malkiel & Derek Jun

  • 2009 Long-Run Impacts of Unions on Firms: New Evidence from Financial Markets, 1961-1999
    by David S. Lee & Alexandre Mas

  • 2009 Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009)
    by Wahyudi, Imam & Robbi, Abdu

  • 2009 Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
    by Anginer, Deniz & Yildizhan, Celim

  • 2009 New insights into India’s single stock futures markets
    by HUNG, MAO-WEI & SO, LEH-CHYAN

  • 2009 Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review
    by Hiremath, Gourishankar S

  • 2009 On the random walk characteristics of stock returns in India
    by Hiremath, Gourishankar S & Bandi, Kamaiah

  • 2009 Koreksi Bias Koefisien Beta
    by Pasaribu, Rowland Bismark Fernando

  • 2009 Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market
    by Javid, Attiya Yasmin

  • 2009 Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham
    by Pasaribu, Rowland Bismark Fernando

  • 2009 Koreksi Bias Koefisien Beta
    by Pasaribu, Rowland Bismark Fernando

  • 2009 Performance metrics for algorithmic traders
    by Rosenthal, Dale W.R.

  • 2009 Nexus between Oil Price and Stock Performance of Power Industry in Malaysia
    by Puah, Chin-Hong & Tan, Lay-Phin & Md Isa, Abu Hassan

  • 2009 Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach
    by Erdemlioglu, Deniz

  • 2009 Oil and portfolio risk diversification
    by Cifarelli, Giulio & Paladino, Giovanna

  • 2009 Exploiting price misalignements
    by Rambaccussing, Dooruj

  • 2009 Estimating Value-at-Risk (VaR) using TiVEx-POT Models
    by Mapa, Dennis S. & Cayton, Peter Julian & Lising, Mary Therese

  • 2009 Optimal option pricing and trading: a new theory
    by Moawia, Alghalith

  • 2009 Evaluating alternative methods for testing asset pricing models with historical data
    by Rubio, Gonzalo & Lozano, Martin

  • 2009 Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice
    by Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J.

  • 2009 Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media
    by García de la Vega, Victor Manuel & Ruiz-Porras, Antonio

  • 2009 Central banking and monetary management in islamic financial environment
    by Hanif, M. Nadim & Sheikh, Salman

  • 2009 Coarse Thinking and Pricing a Financial Option
    by Siddiqi, Hammad

  • 2009 Measuring market risk using extreme value theory
    by Mapa, Dennis S. & Suaiso, Oliver Q.

  • 2009 Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
    by Varga, Gyorgy

  • 2009 What Causes Herding:Information Cascade or Search Cost ?
    by Lin, William & Tsai, Shih-Chuan & Sun, David

  • 2009 On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control
    by Cadogan, Godfrey

  • 2009 Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique
    by Todd, Prono

  • 2009 U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?
    by John, Tatom

  • 2009 A Spot Stochastic Recovery Extension of the Gaussian Copula
    by Bennani, Norddine & Maetz, Jerome

  • 2009 A new stopping time and American option model: a solution to the free-boundary problem
    by Moawia, Alghalith

  • 2009 Optimal option pricing and trading: a new theory
    by Moawia, Alghalith

  • 2009 An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play
    by Gonzalez-Astudillo, Manuel

  • 2009 An Extended Macro-Finance Model with Financial Factors
    by Dewachter, Hans & Iania, Leonardo

  • 2009 Does Macroeconomic Indicators exert shock on the Nigerian Capital Market?
    by Maku, Olukayode E. & Atanda, Akinwande A.

  • 2009 Equity Price Bubbles in the Middle Eastern and North African Financial Markets
    by Jahan-Parvar, Mohammad & Waters, George

  • 2009 An Extended Macro-Finance Model with Financial Factors
    by Dewachter, Hans & Iania, Leonardo

  • 2009 Legitimacy to develop fair value measurement standards: The Case of the IVSC Discussion Paper – Determination of fair value of intangible assets for IFRS reporting purposes
    by Deaconu, Adela & Nistor, Cristina Silvia & Filip, Crina

  • 2009 Estimación de la Curva de Rendimiento
    by Alfaro, Rodrigo

  • 2009 Testing Linearity in Term Structures
    by Peroni, Chiara

  • 2009 How Duration Between Trades of Underlying Securities Affects Option Prices
    by Cartea, Álvaro & Meyer-Brandis, Thilo

  • 2009 Equity Returns and Business Cycles in Small Open Economies
    by Jahan-Parvar, Mohammad R. & Liu, Xuan & Rothman, Philip

  • 2009 US Industry-Level Returns and Oil Prices
    by Fan, Qinbin & Jahan-Parvar, Mohammad R.

  • 2009 Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process
    by Gan, Jumwu

  • 2009 The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds
    by Landon, Stuart

  • 2009 Ambiguity, Learning, and Asset Returns
    by Ju, Nengjiu & Miao, Jianjun

  • 2009 Carry Trades and Global FX Volatility
    by Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas

  • 2009 Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk?
    by Balli, Faruk & Ozer-Balli, Hatice

  • 2009 Potential dividends versus actual cash flows in firm valuation
    by Magni, Carlo Alberto & Vélez-Pareja, Ignacio

  • 2009 Axiomatization of residual income and generation of financial securities
    by Ghiselli Ricci, Roberto & Magni, Carlo Alberto

  • 2009 Corporate equality and equity prices: Doing well while doing good?
    by Fu, Shihe & Shan, Liwei

  • 2009 Prima de Riesgo del Mercado: Histórica, Esperada, Exigida e Implícita
    by Fernandez, Pablo

  • 2009 Apples and oranges: relative growth rate of consumer price indices
    by Kitov, Ivan

  • 2009 Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment
    by Siddiqi, Hammad

  • 2009 An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
    by Cheng, Ai-ru & Jahan-Parvar, Mohammad R. & Rothman, Philip

  • 2009 The Undervaluation of Distressed Company's Equity
    by Schmidt, Frederik

  • 2009 U.S. Venture Capital Meets Clean-Technology
    by Emanuel Shachmurove & Yochanan Shachmurove

  • 2009 Venture Capital Meets Industrial Sector and Location
    by Emanuel Shachmurove & Yochanan Shachmurove

  • 2009 Economic Geography, Venture Capital and Focal Points of Entrepreneurial Activity
    by Yochanan Shachmurove

  • 2009 Asset markets can achieve efficiency in the directed search framework
    by Shoko Morimoto

  • 2009 Are Banks Different? Evidence from the CDS Market
    by Burkhard Raunig & Martin Scheicher

  • 2009 What Drives Sovereign Risk Premiums?: An Analysis of Recent Evidence from the Euro Area
    by David Haugh & Patrice Ollivaud & David Turner

  • 2009 A theoretical foundation for the Nelson and Siegel class of yield curve models
    by Leo Krippner

  • 2009 Developing stratified housing price measures for New Zealand
    by Chris McDonald & Mark Smith

  • 2009 Capital Mobility and Asset Pricing
    by Darrell Duffie & Bruno Strulovici

  • 2009 Characterization of Pure Strategy Equilibria in Uniform Price IPO Auctions
    by Ping Zhang

  • 2009 Do Structural Oil-Market Shocks Affect Stock Prices?
    by Nicholas Apergis & Stephen M. Miller

  • 2009 Measuring the Impact of Behavioural Traders in the Market for Closed-end Country Funds from 2002 to 2009
    by Hugh Kelley & Tom Evans

  • 2009 The Increasing Default Risk of U.S. Treasuries Securities Due to the Financial Crisis
    by Srinivas Nippani & Stanley D. Smith

  • 2009 U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?
    by John A. Tatom

  • 2009 Estimated Impact of the Fed's Mortgage-Backed Securities Purchase Program
    by Johannes C. Stroebel & John B. Taylor

  • 2009 Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets
    by Benjamin Chabot & Eric Ghysels & Ravi Jagannathan

  • 2009 Decentralized Trading with Private Information
    by Mikhail Golosov & Guido Lorenzoni & Aleh Tsyvinski

  • 2009 Risk Price Dynamics
    by Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman

  • 2009 An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
    by Ravi Bansal & Dana Kiku & Amir Yaron

  • 2009 Can Owning a Home Hedge the Risk of Moving?
    by Todd M. Sinai & Nicholas S. Souleles

  • 2009 The Demographics of Innovation and Asset Returns
    by Nicolae Gârleanu & Leonid Kogan & Stavros Panageas

  • 2009 Disasters Risk and Business Cycles
    by François Gourio

  • 2009 Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?
    by Yi-Li Chien & Harold L. Cole & Hanno Lustig

  • 2009 On the Scholes Liquidation Problem
    by David B. Brown & Bruce Ian Carlin & Miguel Sousa Lobo

  • 2009 Systemic Risk and the Refinancing Ratchet Effect
    by Amir E. Khandani & Andrew W. Lo & Robert C. Merton

  • 2009 Technological Growth and Asset Pricing
    by Nicolae B. Gârleanu & Stavros Panageas & Jianfeng Yu

  • 2009 Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy
    by George O. Aragon & Philip E. Strahan

  • 2009 Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices
    by Narasimhan Jegadeesh & Roman Kräussl & Joshua Pollet

  • 2009 Risk Aversion and Clientele Effects
    by Douglas W. Blackburn & William N. Goetzmann & Andrey D. Ukhov

  • 2009 Tiebreaker: Certification and Multiple Credit Ratings
    by Dion Bongaerts & K.J. Martijn Cremers & William N. Goetzmann

  • 2009 Mutual Fund Tax Clienteles
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  • 2009 Measuring the Timing Ability and Performance of Bond Mutual Funds
    by Yong Chen & Wayne Ferson & Helen Peters

  • 2009 When Everyone Runs for the Exit
    by Lasse Heje Pedersen

  • 2009 Professor Zipf goes to Wall Street
    by Yannick Malevergne & Pedro Santa-Clara & Didier Sornette

  • 2009 The Determinants of Stock and Bond Return Comovements
    by Lieven Baele & Geert Bekaert & Koen Inghelbrecht

  • 2009 Aggregate Implications of Micro Asset Market Segmentation
    by Chris Edmond & Pierre-Olivier Weill

  • 2009 On the Size Distribution of Macroeconomic Disasters
    by Robert J. Barro & Tao Jin

  • 2009 A Parsimonious Macroeconomic Model for Asset Pricing
    by Fatih Guvenen

  • 2009 Disasters implied by equity index options
    by David Backus & Mikhail Chernov & Ian Martin

  • 2009 Asset Return Dynamics under Bad Environment Good Environment Fundamentals
    by Geert Bekaert & Eric Engstrom

  • 2009 The stock market and aggregate employment
    by Long Chen & Lu Zhang

  • 2009 Dynamic Trading with Predictable Returns and Transaction Costs
    by Nicolae B. Garleanu & Lasse H. Pedersen

  • 2009 Market Selection
    by Leonid Kogan & Stephen Ross & Jiang Wang & Mark M. Westerfield

  • 2009 A Factor Analysis of Bond Risk Premia
    by Sydney C. Ludvigson & Serena Ng

  • 2009 Market Valuation of Accrued Social Security Benefits
    by John Geanakoplos & Stephen P. Zeldes

  • 2009 The Japanese Bubble: A 'Heterogeneous' Approach
    by Robert B. Barsky

  • 2009 Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
    by Raymond Kan & Cesare Robotti & Jay Shanken

  • 2009 Inflation and the Stock Market:Understanding the "Fed Model"
    by Geert Bekaert & Eric Engstrom

  • 2009 Understanding Inflation-Indexed Bond Markets
    by John Y. Campbell & Robert J. Shiller & Luis M. Viceira

  • 2009 Liquidity Shocks and Order Book Dynamics
    by Bruno Biais & Pierre-Olivier Weill

  • 2009 Why Do Foreign Firms Have Less Idiosyncratic Risk than U.S. Firms?
    by Söhnke M. Bartram & Gregory Brown & René M. Stulz

  • 2009 Risk Shifting and Mutual Fund Performance
    by Jennifer Huang & Clemens Sialm & Hanjiang Zhang

  • 2009 Disclosure and the Cost of Capital: Evidence from Firms' Responses to the Enron Shock
    by Christian Leuz & Catherine Schrand

  • 2009 CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence
    by Zhi Da & Re-Jin Guo & Ravi Jagannathan

  • 2009 Information Asymmetry, Information Precision, and the Cost of Capital
    by Richard A. Lambert & Christian Leuz & Robert E. Verrecchia

  • 2009 Valuing Toxic Assets: An Analysis of CDO Equity
    by Francis A. Longstaff & Brett Myers

  • 2009 Forced Sales and House Prices
    by John Y. Campbell & Stefano Giglio & Parag Pathak

  • 2009 Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets
    by Simon Gilchrist & Vladimir Yankov & Egon Zakrajsek

  • 2009 A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management
    by Patrick Bolton & Hui Chen & Neng Wang

  • 2009 Confidence Risk and Asset Prices
    by Ravi Bansal & Ivan Shaliastovich

  • 2009 Learning and Asset-Price Jumps
    by Ravi Bansal & Ivan Shaliastovich

  • 2009 Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns
    by Turan G. Bali & Nusret Cakici & Robert F. Whitelaw

  • 2009 The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment
    by Jason Beeler & John Y. Campbell

  • 2009 Optimal Endowment Destruction under Campbell-Cochrane Habit Formation
    by Lars Ljungqvist & Harald Uhlig

  • 2009 Stock-Market Crashes and Depressions
    by Robert J. Barro & José F. Ursúa

  • 2009 Are Stocks Really Less Volatile in the Long Run?
    by Lubos Pastor & Robert F. Stambaugh

  • 2009 Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
    by John Y. Campbell & Adi Sunderam & Luis M. Viceira

  • 2009 The Term Structures of Equity and Interest Rates
    by Martin Lettau & Jessica A. Wachter

  • 2009 Global Imbalances and Financial Fragility
    by Ricardo J. Caballero & Arvind Krishnamurthy

  • 2009 Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?
    by Francis A. Longstaff

  • 2009 Momentum traders in the housing market: survey evidence and a search model
    by Monika Piazzesi & Martin Schneider

  • 2009 The reception of public signals in financial markets – what if central bank communication becomes stale?
    by Michael Ehrmann & David Sondermann

  • 2009 Back to the basics in banking ? A micro-analysis of banking system stability
    by Olivier De Jonghe

  • 2009 Asset Pricing in a Production Economy with Chew-Dekel Preferences
    by CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca

  • 2009 Asset Pricing in a Production Economy with Chew–Dekel Preferences
    by CAMPANALE, Claudio & CASTRO, Rui & CLEMENTI, Gian Luca

  • 2009 An analytical derivation of the relation between idiosyncratic volatility and expected stock return
    by Don U.A. Galagedera

  • 2009 Arbitrage and equilibrium with portofolio constraints
    by Bernard Cornet & Ramu Gopalan

  • 2009 Accounting and economic measures:An integrated theory of capital budgeting
    by Carlo Alberto Magni

  • 2009 A joint macroeconomic-yield curve model for Hungary
    by Zoltán Reppa

  • 2009 The information content of Hungarian sovereign CDS spreads
    by Lóránt Varga

  • 2009 Should governments minimize debt service cost and risk? A closer look at the debt strategy. Simulation approach
    by Massimo BERNASCHI & Alessandro MISSALE & Davide VERGNI

  • 2009 News and Correlations of CEEC-3 Financial Markets
    by David Büttner & Bernd Hayo

  • 2009 The Impact of Foreign Macroeconomic News on Financial Markets in the Czech Republic, Hungary, and Poland
    by David Büttner & Bernd Hayo & Matthias Neuenkirch

  • 2009 Comparison of the Stock Price Clustering of stocks which are traded in the US and Germany—Is XETRA more efficient than the NYSE?
    by Kirsten Rüchardt & Bodo Vogt

  • 2009 Structured Finance, Risk Management, and the Recent Financial Crisis
    by Georges Dionne

  • 2009 Detecting Regime Shifts in Corporate Credit Spreads
    by Georges Dionne & Pascal François & Olfa Maalaoui Chun

  • 2009 A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
    by Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti

  • 2009 Robust Equilibrium Yield Curves
    by Isaac Kleshchelski & Nicolas Vincent

  • 2009 Credit Spread Changes within Switching Regimes
    by Olfa Maalaoui & Georges Dionne & Pascal François

  • 2009 Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model
    by Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters

  • 2009 A Convergence Model of the Term Structure of Interest Rates
    by Viktors Ajevskis & Kristine Vitola

  • 2009 Short-Horizon Return Predictability in International Equity Markets
    by Abul Shamsuddin & Jae H Kim

  • 2009 A factor analysis approch to measuring European loan and bond market integration
    by Wagenvoort, Rien & Ebner, André & Morgese Borys, Magdalena

  • 2009 Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods
    by Chiaki Hara

  • 2009 Heterogeneous Impatience in a Continuous-Time Model
    by Chiaki Hara

  • 2009 Incomplete Financial Markets and Jumps in Asset Prices
    by Hervé Crès & Tobias Markeprand & Mich Tvede

  • 2009 The Intertemporal Relation between Expected Return and Risk on Currency
    by Turan Bali & Kamil Yilmaz

  • 2009 Maturity, Indebtedness, and Default Risk
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  • 2009 Determinants of government bond spreads in the Euro area – in good times as in bad
    by Christian Aßmann & Jens Hogrefe

  • 2009 Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations
    by Thomas Lux & Leonardo Morales-Arias

  • 2009 Mass Psychology in Action: Identification of Social Interaction Effects in the German Stock Market
    by Thomas Lux

  • 2009 Arbitrage and Equilibrium with Portfolio Constraints
    by Bernard Cornet & Ramu Gopalan

  • 2009 Two Heads Are Less Bubbly than One: Team Decision-Making in an Experimental Asset Market
    by Cheung, Stephen L. & Palan, Stefan

  • 2009 Two Heads Are Less Bubbly than One: Team Decision-Making in an Experimental Asset Market
    by Cheung, Stephen L. & Palan, Stefan

  • 2009 Determinants of interest rate exposure of Spanish banking industry
    by Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer

  • 2009 Bubble or no Bubble - The Impact of Market Model on the Formation of Price Bubbles in Experimental Asset Markets
    by Michael Kirchler & J?rgen Huber & Thomas St?ckl

  • 2009 Testing the Modigliani-Miller theorem directly in the lab: a general equilibrium approach
    by Jianying Qiu & Prashanth Mahagaonkar

  • 2009 Proposals for a Needed Adjustment of the VaR-based Market Risk Charge of Basle II
    by Jens Fricke & Ralf Pauly

  • 2009 Common Trends and Common Cycles among Interest Rates of the G7-Countries
    by Nannette Lindenberg & Frank Westermann

  • 2009 Ecological Discounting
    by Gollier, Christian

  • 2009 Dynamics of Biofuel Stock Prices: A Bayesian Approach
    by Xiaodong Du & Dermot J. Hayes & Cindy L. Yu

  • 2009 Representations for optimal stopping under dynamic monetary utility functionals
    by Volker Krätschmer & John Schoenmakers

  • 2009 Shape invariant modelling pricing kernels and risk aversion
    by Maria Grith & Wolfgang Härdle & Juhyun Park

  • 2009 CDO and HAC
    by Barbara Choroś & Wolfgang Härdle & Ostap Okhrin

  • 2009 A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
    by Ji Cao & Wolfgang Härdle & Julius Mungo

  • 2009 CDO Pricing with Copulae
    by Barbara Choros & Wolfgang Härdle & Ostap Okhrin

  • 2009 Credit Spreads on Corporate Bonds and the Macroeconomy in Japan
    by Kiyotaka Nakashima & Makoto Saito

  • 2009 Information Loss in Volatility Measurement with Flat Price Trading
    by Peter C. B. Phillips & Jun Yu

  • 2009 International Interest-Rate Risk Premia in Affine Term Structure Models
    by Felix Geiger

  • 2009 A Structural Investigation into the Price and Wage Dynamics in Hong Kong
    by Michael Cheng & Wai-Yip Alex Ho

  • 2009 Heterogeneous Impatience in a Continuous-Time Model
    by Hara, Chiaki

  • 2009 What factors affect the Oslo Stock Exchange?
    by Næs, Randi & Skjeltorp, Johannes & Ødegaard, Bernt Arne

  • 2009 Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period
    by Naes, Randi & Ødegaard, Bernt Arne

  • 2009 Oil Price Shocks and Stock Return Predictability
    by Sørensen, Lars Qvigstad

  • 2009 A Model of Deferred Callability in Defaultable Debt
    by Mjøs, Aksel & Persson, Svein-Arne

  • 2009 Dynamics in Systematic Liquidity
    by Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger

  • 2009 Introducing a spread into the Kyle model
    by Salomonsson, Marcus

  • 2009 Asian Sovereign Debt and Country Risk
    by Johansson, Anders C.

  • 2009 What Moves Bond Yields In China?
    by Fan, Longzhen & Johansson, Anders C.

  • 2009 Stock returns in relation to environmental, social and governance performance: mispricing or compensation for risk?
    by Manescu, Cristiana

  • 2009 The determinants of option-adjusted delta credit spreads: a comparative analysis of the United States, the United Kingdom and the euro area
    by Becchetti , Leonardo & Carpentieri , Andrea & Hasan, Iftekhar

  • 2009 Noncausal vector autoregression
    by Lanne, Markku & Saikkonen, Pentti

  • 2009 Stock return seasonalities and investor structure: Evidence from China's B-share markets
    by Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L.

  • 2009 Systemic Risk and the Refinancing Ratchet Effect
    by Amir E. Khandani & Andrew W. Lo & Robert C. Merton

  • 2009 Trader see, trader do: How do (small) FX traders react to large counterparties' trades?
    by Menkhoff, Lukas & Schmeling, Maik

  • 2009 The Goods and Services Tax (GST) and Non-Bank Lender Mortgage Costs: Empirical Evidence
    by Allen Huang & Benjamin Liu

  • 2009 The Goods and Services Tax (GST) and Bank Mortgage Costs: Empirical Evidence
    by Allen Huang & Benjamin Liu

  • 2009 How does European Integration affect the European Stock Markets?
    by Burcu Erdogan

  • 2009 An Empirical Investigation of the Lucas Hypothesis: the Yield Curve and on Linearity in the Money-Output Relationship
    by Matteo Modena

  • 2009 Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years
    by Giulio Cifarelli & Giovanna Paladino

  • 2009 What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice?
    by Nicole Branger & Holger Kraft & Christoph Meinerding

  • 2009 Cointegração e Causalidade entre Indicadores Macroeconômicos e Índice Bovespa
    by Mário Bertella & Roseli da Silva & Renan Pereira

  • 2009 Empirical Risk Factors in Realized Stock Returns
    by Jiri Novak & Dalibor Petr

  • 2009 Ethical vs. Non-Ethical – Is There a Difference? Analyzing Performance of Ethical and Non-Ethical Investment Funds
    by Linnéa Lundberg & Jiri Novak & Maria Vikman

  • 2009 Determinants of intra-euro area government bond spreads during the financial crisis
    by Salvador Barrios & Per Iversen & Magdalena Lewandowska & Ralph Setzer

  • 2009 Corporate Responses to Climate Change and Financial Performance: The Impact of Climate Policy
    by Andreas Ziegler & Timo Busch & Volker H. Hoffmann

  • 2009 Sorting out Downside Beta
    by Post, G.T. & van Vliet, P. & Lansdorp, S.D.

  • 2009 Forecasting Realized Volatility with Linear and Nonlinear Models
    by McAleer, M.J. & Medeiros, M.C.

  • 2009 Predicting Betas: Two new methods
    by Tusell Palmer, Fernando Jorge & Esteban González, María Victoria

  • 2009 Endogenous technological progress and the cross section of stock returns
    by Xiaoji Lin

  • 2009 Does beta move with news?: Systematic risk and firm-specific information flows
    by Andrew J. Patton & Michela Verardo

  • 2009 The lifecycle of the financial sector and other speculative industries
    by Bruno Biais & Jean-Charles Rochet & Paul Woolley

  • 2009 Understanding portfolio efficiency with conditioning information
    by Francisco Peñaranda

  • 2009 The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds
    by Stuart Landon

  • 2009 Corporate Equality and Equity Prices: Doing Well While Doing Good?
    by Shihe Fu & Liwei Shan

  • 2009 Default Risk, Idiosyncratic Coskewness and Equity Returns
    by Chabi-Yo, Fousseni & Yang, Jun

  • 2009 Expected Returns and Volatility of Fama-French Factors
    by Chabi-Yo, Fousseni

  • 2009 The equity premium in 150 textbooks
    by Fernandez, Pablo

  • 2009 Shareholder value creators in the Dow Jones: Year 2008
    by Fernandez, Pablo & Bermejo, Vicente J.

  • 2009 Beta = 1 does a better job than calculated betas
    by Fernandez, Pablo & Bermejo, Vicente

  • 2009 Betas utilizadas por directivos y profesores europeos en 2009
    by Fernandez, Pablo & Bermejo, Vicente

  • 2009 La prima de riesgo del mercado según 100 Libros
    by Fernandez, Pablo

  • 2009 Betas used by professors: A survey with 2,500 answers
    by Fernandez, Pablo

  • 2009 The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy
    by Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich

  • 2009 17 problemas de finanzas básicas resueltos y 307 respuestas erróneas
    by Fernandez, Pablo

  • 2009 Rentabilidad de los fondos de pensiones en España. 1991-2008
    by Fernandez, Pablo & Bermejo, Vicente

  • 2009 Rentabilidad y creación de valor de 136 empresas españolas en el primer semestre de 2009 y en 2008
    by Fernandez, Pablo & Bermejo, Vicente

  • 2009 100 questions on finance
    by Fernandez, Pablo

  • 2009 Can corporate social responsibility help us understand the credit crisis?
    by Argandoña, Antonio

  • 2009 Rentabilidad de los fondos de inversión en España. 1991-2008
    by Fernandez, Pablo & Bermejo, Vicente

  • 2009 IBEX 35: 1991-2008. Rentabilidad y creación de valor
    by Fernandez, Pablo

  • 2009 The valuation of tax shields induced by asset step-ups in corporate acquisitions
    by Groh, Alexander P. & Henseleit, Christoph

  • 2009 Market risk premium used in 2008: A survey of more than a 1,000 professors
    by Fernandez, Pablo

  • 2009 Liquidity cycles and make/take fees in electronic markets
    by Foucault, Thierry & Kadan, Ohad & Kandel, Eugene

  • 2009 Dating the Timeline of Financial Bubbles During the Subprime Crisis
    by Peter C. B. Phillips & Jun Yu

  • 2009 Financial Leverage and Market Volatility with Diverse Beliefs
    by Wen-Chung Guo & Frank Yong Wang & Ho-Mou Wu

  • 2009 Time-Varying Currency Betas : Evidence from Developed and Emerging Markets
    by Prabhath Jayasinghe & Albert K. Tsui

  • 2009 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen

  • 2009 Pricing of the Time-Change Risks
    by Ivan Shaliastovich & George Tauchen

  • 2009 Evaluation of Hedge Fund Returns Value at Risk Using GARCH Models
    by Sabrina Khanniche

  • 2009 Regulatory versus Informational Value of Bond Ratings: Hints from History ..
    by Ludovic Moreau

  • 2009 Media Bias in Financial Newspapers: Evidence from Early 20th Century France
    by Vincent Bignon & Antonio Miscio

  • 2009 The Crux of the Matter: Ratings and Credit Risk Valuation at the heart of the Structured Finance Crisis
    by Michel Aglietta & Ludovic Moreau & Adrian Roche

  • 2009 The dynamics of U.S. equity risk premia: lessons from professionals'view
    by Alain Abou & Georges Prat

  • 2009 The European used-car market at a glance: Hedonic resale price valuation in automotive leasing industry
    by Sylvain Prado

  • 2009 Fundamentals, Macroeconomic Announcements and Asset Prices
    by Aymen Belgacem

  • 2009 How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach
    by Joscha Beckmann & Ansgar Belke & Michael Kühl

  • 2009 How Does European Integration Affect the European Stock Markets?
    by Burcu Erdogan

  • 2009 How Does European Integration Affect the European Stock Markets?
    by Burcu Erdogan

  • 2009 Sovereign Risk in International Bond Markets and Nonconvergence
    by Volker Böhm & George Vachadze

  • 2009 Strategic beliefs
    by Napp, Clotilde & Jouini, Elyès

  • 2009 Volatility as an Asset Class for Long-Term Investors
    by Burgues, Alexander & Signori, Ombretta & Brière, Marie

  • 2009 Do Inflation-Linked Bonds Still Diversify ?
    by Brière, Marie & Signori, Ombretta

  • 2009 Corporate Finance: The Role of the Private Equity Funds in Restructuring of the Economic Productive Tissue
    by Benslimane, Sonia & Poix, Michel

  • 2009 Unbiased Disagreement and the Efficient Market Hypothesis
    by Jouini, Elyès & Napp, Clotilde

  • 2009 How does the Introduction of an ETF Market with Liquidity Providers Impact the Liquidity of the Underlying Stocks?
    by Platten, Isabelle & Gresse, Carole & De Winne, Rudy

  • 2009 Titrisation : analyse économique et financière
    by Simon, Yves & Lautier, Delphine

  • 2009 Quantifying the Distortionary Fiscal Cost of ‘The Bailout’
    by Francisco Gomes & Alexander Michaelides & Valery Polkovnichenko

  • 2009 Hyperbolic Discounting Is Rational: Valuing the Far Future with Uncertain Discount Rates
    by J. Doyne Farmer & John Geanakoplos

  • 2009 The Leverage Cycle
    by John Geanakoplos

  • 2009 The Leverage Cycle
    by John Geanakoplos

  • 2009 Market Valuation of Accrued Social Security Benefits
    by John Geanakoplos & Stephen P. Zeldes

  • 2009 Understanding Inflation-Indexed Bond Markets
    by John Y. Campbell & Robert J. Shiller & Luis M. Viceira

  • 2009 Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia
    by Jianping Mei & Jose A. Scheinkman & Wei Xiong

  • 2009 Real Options Theory for Law Makers
    by Bruno Deffains & Marie Obidzinski

  • 2009 Consistent estimation of the risk-return tradeoff in the presence of measurement error
    by Anisha Ghosh & Oliver Linton

  • 2009 A nonparametric copula based test for conditional independence with applications to granger causality
    by Taoufik Bouezmarni & Jeroen V. K. Rombouts & Abderrahim Taamouti

  • 2009 Two-sided career concern and financial equilibrium
    by Yolanda Portilla

  • 2009 Volatility and covariation of financial assets: a high-frequency analysis
    by Alvaro Cartea & Dimitrios Karyampas

  • 2009 The relationship between the volatility of returns and the number of jumps in financial markets
    by Alvaro Cartea & Dimitrios Karyampas

  • 2009 Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs
    by Sergio Mayordomo & Juan Ignacio Peña & Juan Romo

  • 2009 Behavioral Heterogeneity in the Option Market
    by Thorsten Lehnert & Bart Frijns & Remco Zwinkels

  • 2009 Directional and non-directional risk exposures in Hedge Fund returns
    by Marie Lambert & George Hübner & Marie Lambert

  • 2009 A Cumulative Prospect Theory Approach to Option Pricing
    by Christian Wolff & Thorsten Lehnert & Cokki Versluis

  • 2009 The Other January Effect: International Evidence
    by Martin T. Bohl & Christian A. Salm

  • 2009 Stock Return Seasonalities and Investor Structure: Evidence from China’s B-Share Markets
    by Martin T. Bohl & Michael Schuppli & Pierre L. Siklos

  • 2009 A new approach to estimating equilibrium exchange rates for small open economies: The case of Canada
    by Tino Berger & Bernd Kempa

  • 2009 Identification of speculative bubbles using state-space models with Markov-switching
    by Nael Al-Anaswah & Bernd Wilfling

  • 2009 Asset fire sales and purchases and the international transmission of financial shocks
    by Jotikasthira, Chotibhak & Lundblad, Christian T & Ramadorai, Tarun

  • 2009 Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity
    by Albuquerque, Rui

  • 2009 Short-Selling Bans around the World: Evidence from the 2007-09 Crisis
    by Beber, Alessandro & Pagano, Marco

  • 2009 Liquidity cycles and make/take fees in electronic markets
    by Foucault, Thierry & Kadan, Ohad & Kandel, Eugene

  • 2009 Dynamic Trading and Asset Prices: Keynes vs. Hayek
    by Cespa, Giovanni & Vives, Xavier

  • 2009 Government Bond Risk Premiums in the EU revisited: The Impact of the Financial Crisis
    by Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido

  • 2009 Internal Rationality and Asset Prices
    by Adam, Klaus & Marcet, Albert

  • 2009 Equilibrium Prices in the Presence of Delegated Portfolio Management
    by Cuoco, Domenico & Kaniel, Ron

  • 2009 When Everyone Runs for the Exit
    by Pedersen, Lasse Heje

  • 2009 Disasters implied by equity index options
    by Backus, David & Chernov, Mikhail & Martin, Ian

  • 2009 Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion
    by Basak, Suleyman & Yan, Hongjun

  • 2009 Dynamic Trading with Predictable Returns and Transaction Costs
    by Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje

  • 2009 Quantifying private benefits of control from a structural model of block trades
    by Albuquerque, Rui & Schroth, Enrique

  • 2009 Repeat Sales Indexes: Estimation Without Assuming that Errors in Asset Returns Are Independently Distributed
    by Campbell, Rachel & Graddy, Kathryn & Hamilton, Jonathan

  • 2009 Monetary Policy Inertia: More a Fiction than a fact?
    by Consolo, Agostino & Favero, Carlo A.

  • 2009 Limits to Arbitrage and Hedging: Evidence from Commodity Markets
    by Acharya, Viral V & Lochstoer, Lars & Ramadorai, Tarun

  • 2009 The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks
    by Smith, Peter N & Sorensen, Steffen & Wickens, Michael R.

  • 2009 Testing Asymmetric-Information Asset Pricing Models
    by Kelly, Bryan & Ljungqvist, Alexander P.

  • 2009 Incomplete-Market Equilibria Solved Recursively on an Event Tree
    by Dumas, Bernard J & Lyasoff, Andrew

  • 2009 Rollover Risk and Market Freezes
    by Acharya, Viral V & Gale, Douglas M & Yorulmazer, Tanju

  • 2009 Discounting investments in mitigation and adaptation: a dynamic stochastic general equilibrium approach of climate change
    by Rob Aalbers

  • 2009 Stock prices, anticipations and investment in general equilibrium
    by DREZE, Jacques H. & LACHIRI, Oussama & MINELLI, Enrico

  • 2009 A nonparametric copula based test for conditional independence with applications to Granger causality
    by BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen & TAAMOUTI, Abderrahim

  • 2009 Accounting and economic measures: an integrated theory of capital budgeting
    by Carlo Alberto Magni

  • 2009 Decomposition of a Certain Cash Flow Stream: Systemic Value Added and Net Final Value
    by Carlo Alberto Magni

  • 2009 Economic value added and systemic value added: symmetry, aditive coherence and differences in performance
    by Roberto Ghiselli Ricci & Carlo Alberto Magni

  • 2009 A Logical Umbrella for Firm Evaluation: The Fundamental Relation [Un Ombrello Logico Per La Valutazione Di Azienda: La Relazione Fondamentale]
    by Carlo Alberto Magni

  • 2009 Valoracion de flujos de caja en inflacion. El caso de la regulacion en el Banco Mundial
    by Ignacio Velez-Pareja

  • 2009 Ambiguita Nell´Applicazione del CAPM per la valutazione degli investimenti
    by Carlo Alberto Magni

  • 2009 The use of Npv and CAPM for capital budgeting is not a good idea. A reply to De Reyck (2005)
    by Carlo Alberto Magni

  • 2009 Modeling excess profit
    by Carlo Alberto Magni

  • 2009 Potential dividends versus actual cash flows in firm valuation
    by Carlo Alberto Magni & Ignacio Velez-Pareja

  • 2009 Controles a la entrada de capitales y volatilidad de la tasa de cambio: ¿daño colateral? la experiencia colombiana
    by Andres Mauricio Vargas P. & Camilo Rivera Pérez

  • 2009 ¿Realidad o sofisma? Poniendo a prueba el análisis técnico en las acciones colombianas
    by Diego Alonso Agudelo Rueda & Jorge Hernán Uribe E.

  • 2009 Una aproximación teórica a la superficie de volatilidad en el mercado colombiano a través del modelo de difusión con saltos
    by Carlos León

  • 2009 Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
    by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai

  • 2009 Option-Implied Measures of Equity Risk
    by Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg

  • 2009 Option Valuation with Conditional Heteroskedasticity and Non-Normality
    by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs

  • 2009 A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
    by Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti

  • 2009 Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
    by René Garcia & Richard Luger

  • 2009 Long-Term Asset Price Volatility and Macroeconomics Fluctations
    by Miguel Angel Iraola & Manuel S. Santos

  • 2009 Money and Liquidity in Financial Markets
    by Kjell G. NYBORG & Per OSTBERG

  • 2009 Microinformation, Nonlinear Filtering and Granularity
    by Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT

  • 2009 Realizing Smiles: Pricing Options with Realized Volatility
    by Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA

  • 2009 How Should the Distant Future be Discounted when Discount Rates are Uncertain?
    by Christian Gollier & Martin L. Weitzman

  • 2009 Dynamic Trading and Asset Prices: Keynes vs. Hayek
    by Giovanni Cespa & Xavier Vives

  • 2009 On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries
    by Mohamed El hedi Arouri & Christophe Rault

  • 2009 Tax-Co-ordination in Europe: Assessing the First Years of the EU-Savings Taxation Directive
    by Thomas Hemmelgarn & Gaëtan J.A. Nicodème

  • 2009 Application of Stochastic Optimal Control to Financial Market Debt Crises
    by Jerome L. Stein

  • 2009 Common Trends and Common Cycles among Interest Rates of the G7-Countries
    by Nannette Lindenberg & Frank Westermann

  • 2009 Size and Value Efects in the Visegrad Countries
    by Magdalena Morgese Borys & Petr Zemcik

  • 2009 Housing Markets in Central and Eastern Europe: Is There a Bubble in the Czech Republic?
    by Petr Zemcik

  • 2009 Can Optimism about Technology Stocks Be Good for Welfare? Positive Spillovers vs. Equity Market Losses
    by Katrin Tinn & Evangelia Vourvachaki

  • 2009 An Options Pricing Approach for CO2 Allowances in the EU ETS
    by Beat Hintermann

  • 2009 Allowance Price Drivers in the First Phase of the EU ETS
    by Beat Hintermann

  • 2009 Characterization of Pure Strategy Equilibria in Uniform Price IPO Auctions
    by Ping Zhang

  • 2009 Can behavioral finance models account for historical asset prices?
    by ap Gwilym, Rhys

  • 2009 A Theory of Banks, Bonds, and the Distribution of Firm Size
    by Diego Valderrama & Katheryn N. Russ

  • 2009 Admissible strategies in semimartingale portfolio selection
    by Sara Biagini & Ales Cerny

  • 2009 Bayesian Extreme Value Mixture Modelling for Estimating VaR
    by Xin Zhao & Carl John Scarrott & Marco Reale & Les Oxley

  • 2009 Extreme Value GARCH modelling with Bayesian Inference
    by Les Oxley & Marco Reale & Carl Scarrott & Xin Zhao

  • 2009 Testing the Modigliani-Miller theorem directly in the lab: a general equilibrium approach
    by Jianying Qiu & Prashanth Mahagaonkar

  • 2009 Convertible Bonds: Default Risk and Uncertain Volatility
    by Haishi Huang

  • 2009 Convertible Bonds: Risks and Optimal Strategies
    by Haishi Huang

  • 2009 Benchmark bonds interactions under regime shifts
    by Dimitris A. Georgoutsos & Petros M. Migiakis

  • 2009 Exercise Strategies for American Exotic Options under Ambiguity
    by Tatjana Chudjakow & Jörg Vorbrink

  • 2009 Consumption-Wealth Ratio and Housing Prices
    by Dubecq, S. & Ghattassi, I.

  • 2009 Frequency-domain analysis of debt service in a macro-finance model for the euro area
    by Renne, J-P.

  • 2009 Fuzzy Capital Requirements, Risk-Shifting and the Risk Taking Channel of Monetary Policy
    by Dubecq, S. & Mojon, B. & Ragot, X.

  • 2009 La TVA sociale : bonne ou mauvaise idée ?
    by Fève, P. & Matheron, J. & Sahuc, J-G.

  • 2009 No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
    by Jardet, C. & Monfort, A. & Pegoraro, F.

  • 2009 A Model of a Systemic Bank Run
    by Harald Uhlig

  • 2009 High and Low Frequency Correlations in Global Equity Markets
    by Robert F. Engle & José Gonzalo Rangel

  • 2009 The Factor-Spline-GARCH Model for High and Low Frequency Correlations
    by Jose Gonzalo Rangel & Robert F. Engle

  • 2009 Assessing the risk-return trade-off in loans portfolios
    by Javier Mencía

  • 2009 Extraction of financial market expectations about inflation and interest rates from a liquid market
    by Ricardo Gimeno & José Manuel Marqués

  • 2009 Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
    by Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap

  • 2009 Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
    by Alejandro García & Andrei Prokopiw

  • 2009 Asset Bubbles without Dividends - An Experiment
    by Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin

  • 2009 Efficience informationnelle des marchés de l’or à Paris et à Londres, 1948-2008. Une vérification économétrique de la forme faible
    by Thi Hong Van Hoang

  • 2009 A Challenge to Triumphant Optimists? A New Index for the Paris Stock-Exchange (1854-2007)
    by David Le Bris & Pierre-Cyrille Hautcoeur

  • 2009 Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary
    by Christian M. Dahl & Emma M. Iglesias

  • 2009 Global Asset Pricing: Is There a Role for Long-run Consumption Risk?
    by Jesper Rangvid & Maik Schmeling & Andreas Schrimpf

  • 2009 Realized Volatility and Multipower Variation
    by Torben G. Andersen & Viktor Todorov

  • 2009 The dividend-price ratio does predict dividend growth: International evidence
    by Tom Engsted & Thomas Q. Pedersen

  • 2009 The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
    by Peter Christoffersen & Steven Heston & Kris Jacobs

  • 2009 Option Valuation with Conditional Heteroskedasticity and Non-Normality
    by Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs

  • 2009 Long Memory and Tail dependence in Trading Volume and Volatility
    by Eduardo Rossi & Paolo Santucci de Magistris

  • 2009 Tails, Fears and Risk Premia
    by Tim Bollerslev & Viktor Todorov

  • 2009 A Meta-Distribution for Non-Stationary Samples
    by Dominique Guégan

  • 2009 Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
    by Dennis Kristensen & Antonio Mele

  • 2009 Jump Testing and the Speed of Market Adjustment
    by Torben B. Rasmussen

  • 2009 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
    by Tim Bollerslev & Natalia Sizova & George Tauchen

  • 2009 New thoughts on efficient markets
    by Helena NAFFA

  • 2009 Hétérogénéité des croyances et équilibre des marchés financiers
    by Ben Mansour Kharraz, Selima

  • 2009 Should we Discount the Far-Distant Future at its Lowest Possible Rate?
    by Gollier, Christian

  • 2009 Capm With Information Cost
    by Hachicha NIZAR

  • 2009 Case Study Regarding The Co-Integration Of The Financial Derivates With Their Underlying Assets
    by Laura STEFANESCU

  • 2009 Macroeconomic Conditions And Credit Spreads
    by Tarek CHEBBI & Slaheddine HELLARA

  • 2009 The Analysis Of The Per Effect In The Financial Markets Of Ceec
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  • 2009 Foreign Institutional Investor'S Impact On Stock Prices In India
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  • 2008 Combination notes: market segmentation and equity transfer
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  • 2008 Returns and Volatility of Eurozone Energy Stocks
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  • 2008 Bewertung ohne "Kapitalkosten": Ein arbitragetheoretischer Ansatz zu Unternehmenswert, Kapitalstruktur und persönlicher Besteuerung
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  • 2008 Quantitative forecast model for the application of the Black-Litterman approach
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  • 2008 A Data-Reconstructed Fractional Volatility Model
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  • 2008 Bewertung von Schiffsfonds: Brücke zwischen Theorie und Praxis
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  • 2008 Informationseffizienz von Handelsplattformen für Schiffsfonds
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  • 2008 Foreign exchange symmetries
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  • 2008 Latin hypercube sampling with dependence and applications in finance
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  • 2008 FX basket options
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  • 2008 Vergleich von Anlagestrategien bei Riesterrenten ohne Berücksichtigung von Gebühren: Eine Simulationsstudie zur Verteilung der Renditen
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  • 2008 Riesterrente im Vergleich: Eine Simulationsstudie zur Verteilung der Renditen
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  • 2008 The diminishing liquidity premium
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  • 2008 Pro-rata matching and one-tick futures markets
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  • 2008 Excess returns and the distinguished player paradox
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  • 2008 Why and how to integrate liquidity risk into a VaR-framework
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  • 2008 Equilibrium security prices with capital income taxes and an exogenous interest rate
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  • 2008 Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models
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  • 2008 On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization
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  • 2008 A value at risk analysis of credit default swaps
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  • 2008 The pricing of correlated default risk: evidence from the credit derivatives market
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  • 2008 Market conditions, default risk and credit spreads
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  • 2008 Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks
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  • 2008 Sturm und Drang in money market funds: when money market funds cease to be narrow
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  • 2008 The German sub-national government bond market: evolution, yields and liquidity
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  • 2008 Modellierung von Aktienanlagen bei laufenden Umschichtungen und einer Besteuerung von Veräußerungsgewinnen
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  • 2008 Should Benchmark Indices Have Alpha? Revisiting Performance
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  • 2008 Pension Funds And Capital Market Development:How Much Bang For The Buck?
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  • 2008 Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs
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  • 2008 The Structure of Equilibrium in an Asset Market with Variable Supply
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  • 2008 Italian Equity Funds: Efficiency and Performance Persistence
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  • 2008 Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
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  • 2008 Crisis and Hedge Fund Risk
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  • 2008 Substitution, Risk Aversion and Asset Prices: An Expected Utility Approach
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  • 2008 Exchange Options Under Jump-Diffusion Dynamics
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  • 2008 Heterogeneity, Bounded Rationality and Market Dysfunctionality
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  • 2008 Hedge Portfolios in Markets with Price Discontinuities
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  • 2008 Hedging for the Long Run
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  • 2008 Insights into the Market Impact of Different Investment Styles
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  • 2008 Why Disagreement May Not Matter (much) for Asset Prices
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  • 2008 Predicting the Presidential Election Cycle in US Stock Prices: Guinea Pigs versus the Pros
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  • 2008 Betting on Hitler: The value of political connections in Nazi Germany
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  • 2008 Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
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  • 2008 A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
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  • 2008 Employee Satisfaction, Firm Value and Firm Productivity
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  • 2008 On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts
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  • 2008 Do Structural Oil-Market Shocks Affect Stock Prices?
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  • 2008 Does Volatility matter? Expectations of price return and variability in an asset pricing experiment
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  • 2008 Forecasting Realized Volatility: A Bayesian Model Averaging Approach
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  • 2008 Information Salience, Investor Sentiment, and Stock Returns : The Case of British Soccer Betting
    by Palomino, F.A. & Renneboog, L.D.R. & Zhang, C.

  • 2008 The Dutch Grey Market
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  • 2008 Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices
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  • 2008 A New Perspective on the Relationship Between House Prices and Income
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  • 2008 A dynamic equilibrium of imperfectly integrated financial markets
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  • 2008 Bourse et Football
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  • 2008 Volatility Exposure for Strategic Asset Allocation
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  • 2008 Does FOMC News Increase Global FX Trading?
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  • 2008 A Semiparametric Stochastic Volatility Model
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  • 2008 Information Loss in Volatility Measurement with Flat Price Trading
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  • 2008 Dynamic Trading and Asset Prices: Keynes vs. Hayek
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  • 2008 Stages of the Ongoing Global Financial Crisis: Is There a Wandering Asset-Price Bubble?
    by Lucjan T. Orlowski

  • 2008 Liquidity and Asset Prices
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  • 2008 The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve
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  • 2008 An analytically tractable time-changed jump-diffusion default intensity model
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  • 2008 A Term Structure Decomposition of the Australian Yield Curve
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  • 2008 Momentum in Australian Stock Returns: An Update
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  • 2008 Insiders-Outsiders, Transparency and the Value of the Ticker
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  • 2008 The Stock of Intangible Capital in Canada: Evidence from the Aggregate Value of Securities
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  • 2008 Statistical Arbitrage with Default and Collateral
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  • 2008 Taxation and bond market investment strategies: Evidence from the market for Government of Canada bonds
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  • 2008 A Non-Random Walk down Canary Wharf
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  • 2008 The term structure and the expectations hypothesis: a threshold model
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  • 2008 Capital Investment as Real Options: A Note on Dixit-Pindyck Model
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  • 2008 Investment Model Uncertainty and Fair Pricing
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  • 2008 Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns
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  • 2008 Parametrix approximations for non constant coefficient parabolic PDEs
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  • 2008 Potential dividends and actual cash flows. Theoretical and empirical reasons for using ‘actual’ and dismissing ‘potential’, Or: How not to pull potential rabbits out of actual hats
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  • 2008 Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
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  • 2008 Closed-Form Approximations for Spread Option Prices and Greeks
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  • 2008 Can financial ratios predict the Malaysian stock return?
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  • 2008 Yield to Maturity Is Always Realized as Promised: A Reply
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  • 2008 Centre Rules the Markets
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  • 2008 Yield to Maturity Is Always Received as Promised: A Reply
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  • 2008 Pengaruh Variabel Fundamental terhadap Harga Saham Perusahaan Go-public di Bursa Efek Indonesia periode 2003-2006
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  • 2008 Approximating correlated defaults
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  • 2008 Using sentiment surveys to predict GDP growth and stock returns
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  • 2008 Using sentiment to predict GDP growth and stock returns
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  • 2008 Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca
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  • 2008 Sur-réaction sur le marché tunisien des actions : une investigation empirique
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  • 2008 The Logic of Merger and Acquisition Pricing
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  • 2008 Peut-on encore parler des mesures de performance ?
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  • 2008 Changes in REIT liquidity 1988 - 2007: Evidence from daily data
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  • 2008 Stock returns and foreign investment in Brazil
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  • 2008 Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
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  • 2008 Rare Events, Financial Crises, and the Cross-Section of Asset Returns
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  • 2008 Price informativeness and predictability: how liquidity can help
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  • 2008 Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca
    by El Bouhadi, A. & Ounir, A. & El Maguiri, M.

  • 2008 Pricing of Double Barrier Options by Spectral Theory
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  • 2008 Pricing of the European Options by Spectral Theory
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  • 2008 Central banks and asset prices: the role of the interest rate in volatility correction in the Romanian case
    by Albulescu, Claudiu Tiberiu

  • 2008 Gambling Preference and the New Year Effect of Assets with Lottery Features
    by Doran, James & Jiang, Danling & Peterson, David

  • 2008 Stock Futures Introduction & Its Impact on Indian Spot Market
    by Bhattacharyya, Surajit & Saxena, Arunima

  • 2008 Market Bubbles and Chrashes
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  • 2008 A non-parametric investigation of risk premia
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  • 2008 Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach
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  • 2008 Dynamic Regimes of a Multi-agent Stock Market Model
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  • 2008 Indicators for the analysis of the evolution of the stock exchange
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  • 2008 Trust and Loss Aversion in Romanian Capital Market
    by Alexandru, Ciprian Antoniade

  • 2008 Stages of the 2007/2008 Global Financial Crisis: Is There a Wandering Asset-Price Bubble?
    by Orlowski, Lucjan T

  • 2008 Information Exchange and the Limits of Arbitrage
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  • 2008 Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM
    by Md Isa, Abu Hassan & Puah, Chin-Hong & Yong, Ying-Kiu

  • 2008 S-shaped utility, subprime crash and the black swan
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  • 2008 Information Exchange and the Limits of Arbitrage
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  • 2008 Macro-finance VARs and bond risk premia: a caveat
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  • 2008 What does a financial system say about future economic growth?
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  • 2008 Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem
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  • 2008 A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation
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  • 2008 Cash Flow-Wise ABCDS pricing
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  • 2008 Equilibrium asset prices and bubbles in a continuous time OLG model
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  • 2008 Splitting Up Value: A Critical Review of Residual Income Theories
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  • 2008 Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets?
    by Balli, Faruk

  • 2008 Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns
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  • 2008 Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange
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  • 2008 Information, Liquidity, Asset Prices and Monetary Policy, Second Version
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  • 2008 Information, Liquidity and Asset Prices
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  • 2008 Liquidity and Asset Prices
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  • 2008 The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve
    by Clive G. Bowsher & Roland Meeks

  • 2008 The Definition of Bank and the Subprime Mortgage Crisis: Tying Bank Regulation to Banks’ Risk-Return Trade-offs in the 21st Century
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  • 2008 Incomplete-Market Equilibria Solved Recursively on an Event Tree
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  • 2008 Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds
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  • 2008 Mispricing of S&P 500 Index Options
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  • 2008 Asset Pricing Tests with Long Run Risks in Consumption Growth
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  • 2008 Impossible Frontiers
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  • 2008 Price Momentum In Stocks: Insights From Victorian Age Data
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  • 2008 Taxes on Tax-Exempt Bonds
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  • 2008 Incomplete Information in a Long Run Risks Model of Asset Pricing
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  • 2008 Can rare events explain the equity premium puzzle?
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  • 2008 Asset pricing tests with long run risks in consumption growth
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  • 2008 Métodos de valoración de empresas
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  • 2008 Rentabilidad y creación de valor de 125 empresas españolas en 2008 (hasta el 17 de septiembre)
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  • 2008 Valoración de empresas por descuento de flujos: Diez métodos y siete teorías
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  • 2008 Dos sentencias con tremendos errores sobre valoración
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  • 2008 The equity premium in 100 textbooks
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  • 2008 Descensos de las cotizaciones de 154 empresas españolas. 1991-2008
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  • 2008 Price efficiency and short selling
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  • 2008 Differences of opinion, information and the timing of trades
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  • 2008 Poor performance of mutual funds in Spain. 1991-2007
    by Fernandez, Pablo & Bermejo, Vicente J. & Bilan, Andrada

  • 2008 The equity premium in finance and valuation textbooks
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  • 2008 Eléctricas españolas: 1991-2007. Creación de valor y rentabilidad para los accionistas
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  • 2008 Iberdrola: 1991-2007. Creación de valor y rentabilidad
    by Fernandez, Pablo & Bermejo, Vicente J.

  • 2008 Rentabilidad de los fondos de pensiones en España. 1991-2007
    by Fernandez, Pablo & Bermejo, Vicente J.

  • 2008 Rentabilidad de los fondos de inversión en España. 1991-2007
    by Fernandez, Pablo & Bermejo, Vicente

  • 2008 BBVA: 1991-2007. Creación de valor y rentabilidad
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  • 2008 Banco Santander: 1991-2007. Creación de valor y rentabilidad
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  • 2008 Telefónica: 1991-2007. Creación de valor y rentabilidad
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  • 2008 Las empresas españolas en 2007 (y en el periodo 1993-2007). Rentabilidad y creación de valor
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  • 2008 IBEX 35: 1992-2007 - Rentabilidad y creación de valor
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  • 2008 Individual investors and volatility
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  • 2008 Intra-metropolitan Price and Trading Volume Dynamics : Evidence from Hong Kong
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  • 2008 Simulation-based Estimation of Contingent-claims Prices
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  • 2008 Prices for Paintings by African American Artists and Their Contemporaries: Does Race Matter? (Revision of Working Paper No. 2006-06)
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  • 2008 Le financement des entreprises : Rôle des fonds de private-equity dans la recomposition du tissu productif
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  • 2008 Value Relevance of Summary Accounting Income Measures: Evidence from Major European Capital Markets
    by Lin, Stephen & Ramond, Olivier & Casta, Jean-François

  • 2008 IPO Underpricing, Post-Listing Liquidity, and Information Asymmetry in the Secondary Market
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  • 2008 A market for weather risk ? Worlds in conflict and compromising
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  • 2008 Are More Risk-Averse Agents More Optimistic ? Insights from a Rational Expectations Model
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  • 2008 Are Risk-Averse Agents more Optimistic? A Bayesian Estimation Approach
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  • 2008 Long Term Risk
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  • 2008 Rentabilité d'actifs et fluctuations économiques : une perspective d'équilibre général dynamique et stochastique
    by Beaubrun-Diant, Kevin & Matheron, Julien

  • 2008 Les réhausseurs de crédit : anatomie d'une crise
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  • 2008 A market for weather risk ? Worlds in conflict and compromising
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  • 2008 Systematic credit risk: CDX index correlation and extreme dependence
    by Aboura, Sofiane & Wagner, Niklas

  • 2008 The Virtues and Vices of Equilibrium and the Future of Financial Economics
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  • 2008 The real estate risk premium : A developed/emerging country panel data analysis
    by John-John, D’ARGENSIO & Frederic, LAURIN

  • 2008 Measuring causality between volatility and returns with high-frequency data
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  • 2008 The value of coskewness in evaluating mutual funds
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  • 2008 The performance of socially responsible mutual funds: the role of fees and management companies
    by Javier Gil-Bazo & Pablo Ruiz-Verdu & Andre A. P. Santos

  • 2008 Nonparametric estimation of conditional beta pricing models
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  • 2008 Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from UK and US
    by Nikolaos Giannellis & Athanasios Papadopoulos & Angelos Kanas

  • 2008 Loss Functions in Option Valuation: A Framework for Selection
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  • 2008 Local GMM Estimation of Time Series Models with Conditional Moment Restrictions
    by Nikolay Gospodinov & Taisuke Otsu

  • 2008 Competitive Rational Expectations Equilibria Without Apology
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  • 2008 Individual Investors and Volatility
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  • 2008 The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium
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  • 2008 Black Man’s Burden: Measured Philanthropy in the British Empire, 1880-1913
    by Accominotti, Olivier & Flandreau, Marc & Rezzik, Riad & Zumer, Frédéric

  • 2008 The Term Structure of Inflation Expectations
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  • 2008 Does FOMC News Increase Global FX Trading?
    by Fischer, Andreas M & Ranaldo, Angelo

  • 2008 Determinants of the Block Premium and of Private Benefits of Control
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  • 2008 Why so Glum? The Meese-Rogoff Methodology Meets the Stock Market
    by Flood, Robert P & Rose, Andrew K

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  • 2008 The Role of Portfolio Constraints in the International Propagation of Shocks
    by Pavlova, Anna & Rigobon, Roberto

  • 2008 Tax-Adjusted Discount Rates with Investor Taxes and Risky Debt
    by Cooper, Ian & Nyborg, Kjell G

  • 2008 Moral Hazard, Collateral and Liquidity
    by Acharya, Viral V & Viswanathan, S. Vish

  • 2008 The real estate risk premium: A developed/emerging country panel data analysis
    by D’ARGENSIO, John-John & LAURIN, Frédéric

  • 2008 Dividendos "potenciales" versus pagados : razones teoricas y empiricas para usar dividendos pagados. Casos de America Latina y Argentina
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  • 2008 The mismatching of APV and the DCF in Brealey, Myers and Allen 8th edition of Principles of corporate finance, 2006
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  • 2008 There exists circularity between WACC and value? Another solution
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  • 2008 Potential Dividends and Actual Cash Flows. Theoretical and Empirical Reasons for Using 'Actual' and Dismissing 'Potential'. Or: How Not to Pull Pot..
    by Ignacio Velez-Pareja & Carlo Alberto Magni

  • 2008 La volatilidad de la tasa de interés a corto plazo: Un ejercicio para la economía Colombiana, 2001-2006
    by Juan Carlos Botero Ramírez & Andrés Ramírez Hassan

  • 2008 Artificial Markets under a Complexity Perspective
    by Alejandro Reveiz Herault

  • 2008 Índice representativo del mercado de deuda pública interna: IDXTES
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  • 2008 Estructura a plazo, hipótesis de expectativas y paridad descubierta de intereses en Colombia
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  • 2008 Mortgage Interest Rates, Country Risk and Maturity Matching in Colombia
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  • 2008 The Econometrics Of Mean-Variance Efficiency Tests: A Survey
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  • 2008 A Comparison Of Mean-Variance Efficiency Tests
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  • 2008 Efficiency in Large Dynamic Panel Models with Common Factor
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  • 2008 Market Selection of Constant Proportions Investment Strategies in Continuous Time
    by Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE

  • 2008 Bubbles and multiplicity of equilibria under portfolio constraints
    by Julien Hugonnier

  • 2008 Mutual Fund Competition in the Presence of Dynamic Flows
    by Michèle Breton & Julien Hugonnier & Tarek Masmoudi

  • 2008 Incomplete information, idiosyncratic volatility and stock returns
    by Tony BERRADA & Julien HUGONNIER

  • 2008 Valuing modularity as a real option
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  • 2008 O Spread de Incumprimento dos Emprestimos Bancarios
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  • 2008 Competitive Rational Expectations Equilibria without Apology
    by Alexander Kovalenkov & Xavier Vives

  • 2008 No-Trade in the Laboratory
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  • 2008 Using Chebyshev Polynomials to Approximate Partial Differential Equations
    by Guglielmo Maria Caporale & Mario Cerrato

  • 2008 Reputation, Price, and Death: An Empirical Analysis of Art Price Formation
    by Heinrich Ursprung & Christian Wiermann

  • 2008 The Other Side of the Trading Story: Evidence from NYSE
    by Wong, Woon K & Copeland, Laurence & Lu, Ralph

  • 2008 A Generalized Normal Mean Variance Mixture for Return Processes in Finance
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  • 2008 Multivariate Variance Gamma and Gaussian dependence: a study with copulas
    by Elisa Luciano & Patrizia Semeraro

  • 2008 Comparative Statics of Asset Prices
    by Theodoros Diasakos

  • 2008 Identifying and Forecasting House Price Dynamics in Ireland
    by D'Agostino, Antonello & McQuinn, Kieran & O' Reilly, Gerard

  • 2008 Feedback Trading and Intermittent Market Turbulence
    by Tambakis, D.N.

  • 2008 Barrier Options and a Reflection Principle of the Fractional Brownian Motion
    by Cipian Necula

  • 2008 Asset Pricing in a Two-Country Discontinuous General Equilibrium Model
    by Ciprian Necula

  • 2008 A Two-Country Discontinuous General Equilibrium Model
    by Ciprian Necula

  • 2008 Pricing European and Barrier Options in the Fractional Black-Scholes Market
    by Ciprian Necula

  • 2008 Option Pricing in a Fractional Brownian Motion Environment
    by Cipian Necula

  • 2008 A Framework for Derivative Pricing in the Fractional Black-Scholes Market
    by Ciprian Necula

  • 2008 Short-run Exchange-rate Dynamics: Theory And Evidence
    by John A. Carlson & Christian M. Dahl & Carol L. Osler

  • 2008 Return Predictability under Equilibrium Constraints on the Equity Premium
    by Davide Pettenuzzo & Allan G. Timmermann & Rossen I. Valkanov

  • 2008 Asymptotic Maturity Behavior of the Term Structure
    by Klaas Schulze

  • 2008 The evolution of trading activity in Asian foreign exchange markets
    by Yosuke Tsuyuguchi & Philip Wooldridge

  • 2008 Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve
    by Joyce, Michael & Kaminska, Iryna & Lildholdt, Peter

  • 2008 On equilibrium prices in continuous time
    by V. Filipe Martins-da-Rocha & Frank Riedel

  • 2008 Econometric Asset Pricing Modelling
    by Bertholon, H. & Monfort, A. & Pegoraro, F.

  • 2008 A Macroeconomic Model of the Term Structure of Interest Rates in Mexico
    by Josué Fernando Cortés Espada & Manuel Ramos Francia

  • 2008 An Affine Model of the Term Structure of Interest Rates in Mexico
    by Josué Fernando Cortés Espada & Manuel Ramos Francia

  • 2008 An Empirical Analysis of the Mexican Term Structure of Interest Rates
    by Josué Fernando Cortés Espada & Alberto Torres García & Manuel Ramos Francia

  • 2008 A beta based framework for (lower) bond risk premia
    by Stefano Nobili & Gerardo Palazzo

  • 2008 A structural model of sovereign debt issuance: assessing the role of financial factors
    by Aitor Erce

  • 2008 Uncertainty and the price of risk in a nominal convergence process
    by Ricardo Gimeno & José Manuel Marqués

  • 2008 Delving into country risk
    by Silvia Iranzo

  • 2008 How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange
    by Ron Alquist

  • 2008 McCallum Rules, Exchange Rates, and the Term Structure of Interest Rates
    by Antonio Diez de los Rios

  • 2008 Macroeconomic Determinants of the Term Structure of Corporate Spreads
    by Jun Yang

  • 2008 Good Policies or Good Fortune: What Drives the Compression in Emerging Market Spreads?
    by Philipp Maier & Garima Vasishtha

  • 2008 Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market
    by George J. Jiang & Ingrid Lo & Adrien Verdelhan

  • 2008 On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
    by Fousseni Chabi-Yo & Eric Ghysels & Eric Renault

  • 2008 Default Dependence: The Equity Default Relationship
    by Stuart M. Turnbull & Jun Yang

  • 2008 Cotton manufacturers as bankers: the textile trade and credit in spain (1840-1913)
    by Marc Prat Sabartes

  • 2008 Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
    by Christian Conrad & Enno Mammen

  • 2008 Stock Market Volatility and Learning
    by Albert Marcet & Klaus Adam & Juan Pablo Nicolini

  • 2008 Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
    by Thomas Q. Pedersen

  • 2008 Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
    by Almut E. D. Veraart

  • 2008 Expected Stock Returns and Variance Risk Premia
    by Tim Bollerslev & Tzuo Hao & George Tauchen

  • 2008 Mean Reversion in US and International Short Rates
    by Charlotte Christiansen

  • 2008 Semiparametric Inference in a GARCH-in-Mean Model
    by Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias

  • 2008 Consumption growth and time-varying expected stock returns
    by Stig Vinther Møller

  • 2008 Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
    by Tom Engsted & Thomas Q. Pedersen

  • 2008 Inference for the jump part of quadratic variation of Itô semimartingales
    by Almut Veraart

  • 2008 Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach
    by Jie Zhu

  • 2008 Pricing Volatility of Stock Returns with Volatile and Persistent Components
    by Jie Zhu

  • 2008 An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns
    by Tom Engsted & Stig V. Møller

  • 2008 Option Valuation with Long-run and Short-run Volatility Components
    by Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang

  • 2008 Short-run Exchange-Rate Dynamics: Theory and Evidence
    by John A Carlson & Christian M. Dahl & Carol L. Osler

  • 2008 Asset Management in Volatile Markets
    by Peter R. Haiss & Bernhard Sammer & Martin Gartner & Otto Loistl & Stephan Zellner & Christine Zinner & Robert C. Merton & Krzysztof Rybinski & Urszula Sowa

  • 2008 Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières
    by Kourouvakalis, Stylianos

  • 2008 A New Model For Stock Price Movements
    by Guido VENIER

  • 2008 Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data
    by Dirk Krueger & Hanno Lustig & Fabrizio Perri

  • 2008 Emerging Market Liquidity and Crises
    by Eduardo Levy Yeyati & Sergio L. Schmukler & Neeltje Van Horen

  • 2008 Risk Factors for the Swiss Stock Market
    by Manuel Ammann & Michael Steiner

  • 2008 Discussion of "Bounded Rationality, Rights Offerings, and Optimal Subscription Prices"
    by Christian Schlag

  • 2008 Bounded Rationality, Rights Offerings, and Optimal Subscription Prices
    by Wolfgang Breuer

  • 2008 Elementary Quantum Mechanical Principles and Social Science: Is There a Connection?
    by Haven, Emmanuel

  • 2008 Evaluating art as an alternative investment aset
    by Mamarbachi, Raya & Day, Marc & Favato, Giampiero

  • 2008 Direction of Change at the Bucharest Stock Exchange
    by Radu Lupu & Cristiana Tudor

  • 2008 International Asset Markets and Real Exchange Rate Volatility
    by Martin Bodenstein

  • 2008 Asset Pricing with Adaptive Learning
    by Eva Carceles-Poveda & Chryssi Giannitsarou

  • 2008 Performance of Quoted and Non-quoted Companies in the Europe
    by Tomáš Buus

  • 2008 New Approach to Evalution of Risk Loans
    by Jaroslav Schönfeld

  • 2008 Some Notices to the Firm Valuations by Income Approach
    by Jan Jurečka

  • 2008 Fair Value Measurement – Obstacle or Benefit of Financial Accounting and Reporting?
    by Marcela Žárová

  • 2008 Partial versus Integrated Conception of Intellectual Property for Asset Valuation
    by Jan Jurečka

  • 2008 HML and SMB Premiums in the Recent Scholar Literature – Magnitude and Nature
    by Tomáš Buus

  • 2008 On Estimation of Volatility of Financial Time Series for Pricing Derivatives
    by Michal Černý

  • 2008 Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach
    by Arshad Hasan & Zafar Mueen Nasir

  • 2008 Interest rate expectations and macroeconomic shocks affecting the yield curve
    by Zoltán Reppa

  • 2008 Equilibrium Security Prices with Capital Income Taxes and an Exogenous Interest Rate
    by Marc Steffen Rapp & Bernhard Schwetzler

  • 2008 Conditional Risk Premia in International Government Bond Markets
    by Joelle Miffre

  • 2008 Una revisión de conjunto de la economía de los intangibles
    by PULIDO SAN ROMÁN, Antonio

  • 2008 Valoración de opciones. Un enfoque diferente
    by CRUZ BÁEZ, DOMINGO ISRAEL & GONZÁLEZ RODRÍGUEZ, JOSÉ MANUEL

  • 2008 Size and Value Premium inKarachi Stock Exchange
    by Nawazish Mirza & Saima Shahid

  • 2008 The Motivations of Issuing Convertible Bonds - An Inquiry regarding the Sequential-Financing Hypothesis
    by Chun-Da Chen & Fu-Pin Hung & Dar-Hsin Chen & Hsin-Ho Lin

  • 2008 The Policy Effects of Lifting the Short-Sale Price Restriction on Stock Price Behaviors
    by Shih-Ju Chan & Ching-Chung Lin & Wen-Hsiu Kuo

  • 2008 Testing Term Structure Estimation Models: Evidence from Taiwan's Government Bonds Market
    by Jian-Hsin Chou & Hong-Fwu Yu & Der-Rong Hwu

  • 2008 Volatilidad de Indices Accionarios: El caso del IPSA
    by Rodrigo A. Alfaro & Carmen Gloria Silva

  • 2008 Emerging Markets Spreads at the Turn of the Cantury: A roller Coaster
    by Sergio Godoy

  • 2008 Real Option Applications to Information Security
    by Pythagoras PETRATOS

  • 2008 Dynamic Copula Modelling for Value at Risk
    by Dean Fantazzini

  • 2008 First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights
    by Martina Nardon

  • 2008 Statistical Inference for Risk-Adjusted Performance Measure
    by Miranda Lam

  • 2008 Fundamental Capital Valuation for IT Companies: A Real Options Approach
    by Chung Baek, Arun J Prakash, Bruce Dupoyet

  • 2008 Is there a risk-return trade-off? Evidences from Chinese stock markets
    by KONG Dongmin & LIU Hening & WANG Le

  • 2008 La matriz de covarianzas de residuales en la asignación y valuación de activos
    by Benjamín García Martínez & Arturo Lorenzo Valdés

  • 2008 Aplicación de procesos poisson-gaussianos a los activos nacionales: desechando la distribución normal
    by Guillermo Einar Moreno Quezada

  • 2008 Análisis empírico de la relación entre las tasas de interés forward subyacentes al mercado Mexicano de swaps de TIIE
    by Jesús Bravo Pliego

  • 2008 Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
    by Li, Ming-Yuan Leon

  • 2008 Forecasting Market Crashes: Does Density Specification Matter?
    by BRIO, Esther B. & PEROTE, Javier

  • 2008 Impact du cadre légal sur le revenu des actionnaires:preuve par la non-normalité
    by Cécile Kharoubi-Rakotomalala & Christophe Moussu

  • 2008 Cómo medir la quiebra de las empresas en Santander, el modelo logístico: una herramienta para evaluar el riesgo de quiebra
    by José Joaquín Alzate Marín

  • 2008 Análisis de vulnerabilidad empresarial y sus efectos sobre la vulnerabilidad bancaria en Colombia: una aplicación delenfoque de hoja de balances
    by Henry Laverde Rojas

  • 2008 La valoración de empresas: sus fundamentos económicos, estratégicos y financieros
    by Jorge Enrique Bueno Orozco

  • 2008 Beyond Bubbles: The Role of Asset Prices in Early-Warning Indicators
    by Esteban Gómez & Sandra Rozo

  • 2008 Viewpoint: Estimating the equity premium
    by John Y. Campbell

  • 2008 The Analysis of the Impact of Size and Book-To-Market Ratio on the Stock Returns of the ISE Companies
    by Serpil Canbas & Serkan Yilmaz Kandir & Ahmet Erismis

  • 2008 Developments in repo markets during the financial turmoil
    by Peter Hördahl & Michael R King

  • 2008 The ABX: how do the markets price subprime mortgage risk?
    by Ingo Fender & Martin Scheicher

  • 2008 Credit derivatives an structured creit: the nascant markets of Asia and the Pacific
    by Eli M Remolona & Ilhyock Shim

  • 2008 The spillover of money market turbulence to FX swap and cross-currency swap markets
    by Naohiko Baba & Frank Packer & Teppei Nagano

  • 2008 Interbank rate fixings during the recent turmoil
    by Jacob Gyntelberg & Philip Wooldridge

  • 2008 The Market Performance of Initial Public Offerings in the Istanbul Stock Exchange
    by Recep Bildik & Mustafa K. Yilmaz

  • 2008 Financial Stability of the Turkish Banking Sector
    by Münür Yayla & Alper Hekimoglu & Mahmut Kutlukaya

  • 2008 Distribuição Regional do Crédito Bancário e Convergência no Crescimento Estadual Brasileiro
    by Michel Alexandre & Ciro Biderman & Gilberto Tadeu Lima

  • 2008 Overconfidence And Trading Volume: Evidence From An Emergent Market
    by Zaiane Salma & Abaoub Ezzeddine

  • 2008 Comprehensive Income In Europe: Valuation, Prediction And Conservative Issues
    by Igor Goncharov & Allan Hodgson

  • 2008 Can oil reach $200 a barrel?
    by David BONNER

  • 2008 Assessing Financial Equilibrium of the Romanian Companies Traded at Bucharest Stock Exchange
    by Adina Elena DaNULETIU & Dan Constantin DANULETIU

  • 2008 Reservation Prices And Pre-Auction Estimates: A Study In Abstract Art
    by Calin Valsan & Robert Sproule

  • 2008 Stocks as Lotteries: The Implications of Probability Weighting for Security Prices
    by Nicholas Barberis & Ming Huang

  • 2008 Leverage Cycles and the Anxious Economy
    by John Geanakoplos & Ana Fostel

  • 2008 Disasters and the Welfare Cost of Uncertainty
    by Ian W. R. Martin

  • 2008 Disasters and Recoveries
    by Francois Gourio

  • 2008 Variable Rare Disasters: A Tractable Theory of Ten Puzzles in Macro-finance
    by Xavier Gabaix

  • 2008 Consumption Disasters in the Twentieth Century
    by Robert J. Barro & Jose F. Ursua

  • 2007 Endogenous State Prices, Liquidity, Default, and the Yield Curve
    by Raphael A. Espinoza & Dimitrios P Tsomocos

  • 2007 La dépréciation des actifs
    by Chabrak, Nihel

  • 2007 Finance internationale et gestion des risques : questions et exercices corrigés
    by Lautier, Delphine & Simon, Yves

  • 2007 No arbitrage conditions and liquidity
    by Astic, Fabian & Touzi, Nizar

  • 2007 Equilibres à anticipations rationnelles et information incomplète sur les caractéristiques des autres acteurs
    by Jouini, Elyès & Napp, Clotilde

  • 2007 Attentes Stratégiques
    by Jouini, Elyès & Napp, Clotilde

  • 2007 Financial Markets with Heterogeneous Beliefs
    by Jouini, Elyès & Napp, Clotilde

  • 2007 Market timing with candlestick technical analysis
    by Marshall, Ben & Young, Martin & Rose, Lawrence

  • 2007 The Implied Equity Risk Premium – An Evaluation of Empirical Methods
    by David Schröder

  • 2007 Yatırım ortaklıkları ve bedelsiz sermaye artırımları: İMKB’de ampirik bir analiz
    by Sadık ÇUKUR & Resul ERYİĞİT

  • 2007 Hisse senedi getirilerinde global ve yerel faiz oranı riski: Kısmi çokdeğişkenli GARCH modeliyle İstanbul Menkul Kıymetler Borsası üzerine bir çalışma
    by Alper ÖZÜN & Atilla ÇİFTER

  • 2007 Devlet iç borçlanma senetleri için getiri eğrisi tahmini
    by Özge AKINCI & Burcu GÜRCİHAN & Refet GÜRKAYNAK & Özgür ÖZEL

  • 2007 Immunization Strategy In A Fuzzy Environment
    by Terceño Gómez, A. & Brotons Martínez, J. M. & Fernández Bariviera, A.

  • 2007 Modelo de opciones reales y aplicación al mercado petrolero
    by Hernández del Valle, Adrián & Martínez García, Claudia Icela

  • 2007 Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies
    by Thomas Nitschka

  • 2007 Cashflow news, the value premium and an asset pricing view on European stock market integration
    by Thomas Nitschka

  • 2007 International evidence for return predictability and the implications for long-run covariation of the G7 stock markets
    by Thomas Nitschka

  • 2007 The Consumption - Real Exchange Rate Anomaly: an Asset Pricing Perspective
    by Mathias Hoffmann & Thomas Nitschka

  • 2007 Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns
    by Schrimpf, Andreas & Grammig, Joachim G.

  • 2007 Analysts' dividend forecasts, portfolio selection, and market risk premia
    by Breuer, Wolfgang & Feilke, Franziska & Gürtler, Marc

  • 2007 Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
    by Cremers, Heinz & Walzner, Jens

  • 2007 Instalment options: a closed-form solution and the limiting case
    by Griebsch, Susanne & Kühn, Christoph & Wystup, Uwe

  • 2007 Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns
    by Canto, Bea & Kräussl, Roman

  • 2007 On the relative performance of multi-strategy and funds of hedge funds
    by Agarwal, Vikas & Kale, Jayant R.

  • 2007 Transaction costs and value premium
    by Agarwal, Vikas & Wang, Lingling

  • 2007 Hedge funds for retail investors? An examination of hedged mutual funds
    by Agarwal, Vikas & Boyson, Nicole M. & Naik, Narayan Y.

  • 2007 The effect of socially responsible investing on portfolio performance
    by Kempf, Alexander & Osthoff, Peer

  • 2007 Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
    by Herwartz, Helmut & Golosnoy, Vasyl

  • 2007 An affine macro-finance term structure model for the euro area
    by Lemke, Wolfgang

  • 2007 A note on the coefficient of determination in regression models with infinite-variance variables
    by Loretan, Michael Stanislaus & Kurz-Kim, Jeong-Ryeol

  • 2007 Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure
    by Archontakis, Theofanis & Lemke, Wolfgang