Research classified by Journal of Economic Literature (JEL) codes

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

3005

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

2702

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

2606

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

2108

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

2019

• Virginie Coudert & Dilyara Salakhova, 2019. "Price effect of mutual fund flows on the corporate bond market. The French case," Working papers 706, Banque de France.
• Chiara Limongi Concetto & Francesco Ravazzolo, 2019. "Optimism in Financial Markets: Stock Market Returns and Investor Sentiments," BEMPS - Bozen Economics & Management Paper Series BEMPS56, Faculty of Economics and Management at the Free University of Bozen.
• Simshauser, P., 2019. "On the impact of government-initiated CfD’s in Australia’s National Electricity Market," Cambridge Working Papers in Economics 1901, Faculty of Economics, University of Cambridge.
• Ines Chaieb & Hugues Langlois & O. Scaillet, 2018. "Time-Varying Risk Premia in Large International Equity Markets," Swiss Finance Institute Research Paper Series 18-04, Swiss Finance Institute, revised Jun 2018.
  • Langlois, Hugues & Chaieb, Ines & Scaillet, O., 2018. "Time-Varying Risk Premia in Large International Equity Markets," HEC Research Papers Series 1250, HEC Paris, revised 29 May 2019.
• Michael Donadelli & Patrick Grüning & Aurelija Proskute, 2019. "Monetary policy, trade, and endogenous growth under different international financial market structures," Bank of Lithuania Working Paper Series 57, Bank of Lithuania.
• Urban Jermann, 2019. "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers 25422, National Bureau of Economic Research, Inc.
• Pietro Veronesi, 2019. "Heterogeneous Households under Uncertainty," NBER Working Papers 25448, National Bureau of Economic Research, Inc.
• Wang, Zijian, 2019. "Trading Motives in Asset Markets," MPRA Paper 91401, University Library of Munich, Germany.
• Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019. "Rise and Fall of Calendar Anomalies over a Century," Working Papers 201902, University of Pretoria, Department of Economics.

2018

• Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2015. "Short-Selling Bans and Bank Stability," CSEF Working Papers 423, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 15 Dec 2017.
  • Beber, Alessandro & Fabbri, Daniela & Pagano, Marco & Simonelli, Saverio, 2018. "Short-selling bans and bank stability," ESRB Working Paper Series 64, European Systemic Risk Board.
  • Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2016. "Short-Selling Bans and Bank Stability," EIEF Working Papers Series 1604, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2017.
  • Beber, Alessandro & Fabbri, Daniela & Pagano, Marco, 2016. "Short-Selling Bans and Bank Stability," CEPR Discussion Papers 11090, C.E.P.R. Discussion Papers.
• Perea, Maite De Sola & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2018. "Sovereign bond-backed securities: a VAR-for-VaR and Marginal Expected Shortfall assessment," ESRB Working Paper Series 65, European Systemic Risk Board.
• Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
  • Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
• Dunne, Peter G., 2018. "Positive liquidity spillovers from sovereign bond-backed securities," ESRB Working Paper Series 67, European Systemic Risk Board.
• Lotfaliei, Babak, 2018. "The variance risk premium and capital structure," ESRB Working Paper Series 70, European Systemic Risk Board.
• Ellul, Andrew & Jotikasthira, Chotibhak & Kartasheva, Anastasia & Lundblad, Christian T. & Wagner, Wolf, 2018. "Insurers as asset managers and systemic risk," ESRB Working Paper Series 75, European Systemic Risk Board.
• Timmer, Yannick, 2018. "Cyclical investment behavior across financial institutions," ESRB Working Paper Series 77, European Systemic Risk Board.
• Divya Kirti, 2018. "Lending standards and output growth," 2018 Meeting Papers 203, Society for Economic Dynamics.
  • Kirti, Divya, 2018. "Lending standards and output growth," ESRB Working Paper Series 79, European Systemic Risk Board.
  • Divya Kirti, 2018. "Lending Standards and Output Growth," IMF Working Papers 18/23, International Monetary Fund.
• Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," Working Papers 2018:03, Department of Economics, University of Venice "Ca' Foscari".
  • Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," LEM Papers Series 2018/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Michele Dell’Era, 2018. "Financial Transaction Taxes and Expert Advice," Working and Discussion Papers WP 4/2018, Research Department, National Bank of Slovakia.
• Rui Fan & Oleksandr Talavera & Vu Tran, 2018. "Does connection with @realDonaldTrump affect stock prices?," Working Papers 2018-07, Swansea University, School of Management.
• Konstantinos Gavriilidis & Dimos S. Kambouroudis & Katerina Tsakou & Dimitris S. Tsouknidis, 2018. "Volatility forecasting across tanker freight rates: the role of oil price shocks," Working Papers 2018-27, Swansea University, School of Management.
• Rui Fan & Oleksandr Talavera & Vu Tran, 2018. "Social media bots and stock markets," Working Papers 2018-30, Swansea University, School of Management.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Pricing Carbon Emissions in China," Econometric Institute Research Papers EI 2018-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers 18-028/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Establishing National Carbon Emission Prices for China," Tinbergen Institute Discussion Papers 18-028/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Te-Ke Mai, 2018. "Establishing National Carbon Emission Prices for China," Documentos de Trabajo del ICAE 2018-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Stan Olijslagers & Annelie Petersen & Nander de Vette & Sweder (S.J.G.) van Wijnbergen, 2018. "What Option Prices tell us about the ECB's Unconventional Monetary Policies," Tinbergen Institute Discussion Papers 18-096/VI, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Laurs, DK & Renneboog, Luc, 2018. "My Kingdom for a Horse (or a Classic Car)," Discussion Paper 2018-037, Tilburg University, Center for Economic Research.
• Kocher, Martin G. & Lucks, Konstantin E. & Schindler, David, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Papers in Economics 27572, University of Munich, Department of Economics.
  • Schindler, David & Kocher, M.G. & Lucks, Konstantin E., 2018. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Paper 2018-010, Tilburg University, Center for Economic Research.
  • Kocher, Martin & Lucks, Konstantin & Schindler, David, 2018. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Rationality and Competition Discussion Paper Series 81, CRC TRR 190 Rationality and Competition.
  • Martin G. Kocher & Konstantin E. Lucks & David Schindler, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," CESifo Working Paper Series 5812, CESifo Group Munich.
• Edoardo Gaffeo, 2018. "Leverage and evolving heterogeneous beliefs in a simple agent-based financial market," DEM Working Papers 2018/03, Department of Economics and Management.
• Gollier, Christian, 2018. "On the efficient growth rate of carbon price under a carbon budget," TSE Working Papers 18-952, Toulouse School of Economics (TSE), revised Nov 2018.
• John Cotter & Niall McGeever, 2018. "Are equity market anomalies disappearing? Evidence from the U.K," Working Papers 201804, Geary Institute, University College Dublin.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Pricing Carbon Emissions in China," Econometric Institute Research Papers EI 2018-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers 18-028/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Te-Ke Mai, 2018. "Establishing National Carbon Emission Prices for China," Documentos de Trabajo del ICAE 2018-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Establishing National Carbon Emission Prices for China," Tinbergen Institute Discussion Papers 18-028/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
• Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(4), pages 1-25, September.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Documentos de Trabajo del ICAE 2018-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Constantino Hevia & Martin Sola, 2018. "Bond Risk Premia and Restrictions on Risk Prices," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(4), pages 1-22, October.
  • Constantino Hevia & Martin Sola, 2018. "Bond risk premia and restrictions on risk prices," Department of Economics Working Papers 2018_03, Universidad Torcuato Di Tella.
• Aaron Hedlund, 2018. "Credit Constraints, House Prices, and the Impact of Life Cycle Dynamics," Working Papers 1807, Department of Economics, University of Missouri.
• Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017. "Corporate Credit Risk Premia," Research Papers repec:ecl:stabus:3617, Stanford University, Graduate School of Business.
  • Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia," NBER Working Papers 24213, National Bureau of Economic Research, Inc.
• Pierre Collin-Dufresne & Kent D. Daniel & Mehmet Saǧlam, 2018. "Liquidity Regimes and Optimal Dynamic Asset Allocation," NBER Working Papers 24222, National Bureau of Economic Research, Inc.
• Matthias Fleckenstein & Francis A. Longstaff, 2018. "Shadow Funding Costs: Measuring the Cost of Balance Sheet Constraints," NBER Working Papers 24224, National Bureau of Economic Research, Inc.
• Martin Lettau & Ananth Madhavan, 2018. "Exchange Traded Funds 101 For Economists," NBER Working Papers 24250, National Bureau of Economic Research, Inc.
• Daniel R. Feenberg & Clinton Tepper & Ivo Welch, 2018. "Are Interest Rates Really Low?," NBER Working Papers 24258, National Bureau of Economic Research, Inc.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2018. "Why Has Idiosyncratic Risk Been Historically Low in Recent Years?," Working Paper Series 2018-02, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  • Söhnke M. Bartram & Gregory W. Brown & René M. Stulz, 2018. "Why has Idiosyncratic Risk been Historically Low in Recent Years?," NBER Working Papers 24270, National Bureau of Economic Research, Inc.
• Bing Han & David Hirshleifer & Johan Walden, 2018. "Social Transmission Bias and Investor Behavior," NBER Working Papers 24281, National Bureau of Economic Research, Inc.
• Kenneth R. Ahern, 2018. "Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades," NBER Working Papers 24297, National Bureau of Economic Research, Inc.
• Cesa-Bianchi, Ambrogio & Pesaran, M Hashem & Rebucci, Alessandro, 2018. "Uncertainty and economic activity: a multi-country perspective," Bank of England working papers 730, Bank of England.
  • Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," NBER Working Papers 24325, National Bureau of Economic Research, Inc.
  • Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," CESifo Working Paper Series 6910, CESifo Group Munich.
  • Cesa-Bianchi, Ambrogio & Pesaran, M Hashem & Rebucci, Alessandro, 2018. "Uncertainty and Economic Activity: A Multi-Country Perspective," CEPR Discussion Papers 12713, C.E.P.R. Discussion Papers.
• Grace Xing Hu & Jun Pan & Jiang Wang, 2018. "Chinese Capital Market: An Empirical Overview," NBER Working Papers 24346, National Bureau of Economic Research, Inc.
• Wolfgang Keller & Carol H. Shiue & Xin Wang, 2018. "Capital Markets and Grain Prices: Assessing the Storage Approach," NBER Working Papers 24388, National Bureau of Economic Research, Inc.
• Charles W. Calomiris & Harry Mamaysky, 2018. "How News and Its Context Drive Risk and Returns Around the World," NBER Working Papers 24430, National Bureau of Economic Research, Inc.
• Jessica A. Wachter & Yicheng Zhu, 2018. "The Macroeconomic Announcement Premium," NBER Working Papers 24432, National Bureau of Economic Research, Inc.
• Jianan Liu & Robert F. Stambaugh & Yu Yuan, 2018. "Size and Value in China," NBER Working Papers 24458, National Bureau of Economic Research, Inc.
• Augustin, Patrick & Chernov, Mikhail & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
  • Patrick Augustin & Mikhail Chernov & Dongho Song, 2018. "Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," NBER Working Papers 24506, National Bureau of Economic Research, Inc.
• Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2018. "A Measure of Risk Appetite for the Macroeconomy," NBER Working Papers 24529, National Bureau of Economic Research, Inc.
• Bryan Kelly & Seth Pruitt & Yinan Su, 2018. "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers 24540, National Bureau of Economic Research, Inc.
• George-Marios Angeletos & Zhen Huo, 2018. "Myopia and Anchoring," NBER Working Papers 24545, National Bureau of Economic Research, Inc.
• Yong Chen & Bryan Kelly & Wei Wu, 2018. "Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment," NBER Working Papers 24552, National Bureau of Economic Research, Inc.
• Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
  • Mikhail Chernov & Drew D. Creal, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," NBER Working Papers 24563, National Bureau of Economic Research, Inc.
• George O. Aragon & Rajnish Mehra & Sunil Wahal, 2018. "Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets," NBER Working Papers 24575, National Bureau of Economic Research, Inc.
• Martin Lettau & Markus Pelger, 2018. "Estimating Latent Asset-Pricing Factors," NBER Working Papers 24618, National Bureau of Economic Research, Inc.
• Jerry Tsai & Jessica A. Wachter, 2018. "Pricing Long-Lived Securities in Dynamic Endowment Economies," NBER Working Papers 24641, National Bureau of Economic Research, Inc.
• Luis M. Viceira & Zixuan (Kevin) Wang, 2018. "Global Portfolio Diversification for Long-Horizon Investors," NBER Working Papers 24646, National Bureau of Economic Research, Inc.
• David Hirshleifer & Danling Jiang & Yuting Meng, 2018. "Mood Betas and Seasonalities in Stock Returns," NBER Working Papers 24676, National Bureau of Economic Research, Inc.
• Jordá, Óscar & Schularick, Moritz & Taylor, Alan M. & Ward, Felix, 2018. "Global financial cycles and risk premiums," CEPR Discussion Papers 12969, C.E.P.R. Discussion Papers.
  • Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018. "Global Financial Cycles and Risk Premiums," NBER Working Papers 24677, National Bureau of Economic Research, Inc.
  • Jorda, Oscar & Schularick, Moritz & Taylor, Alan M. & Ward, Felix, 2018. "Global Financial Cycles and Risk Premiums," Working Paper Series 2018-5, Federal Reserve Bank of San Francisco.
• David Greenlaw & James D. Hamilton & Ethan Harris & Kenneth D. West, 2018. "A Skeptical View of the Impact of the Fed’s Balance Sheet," NBER Working Papers 24687, National Bureau of Economic Research, Inc.
• Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2018. "Investor Experiences and Financial Market Dynamics," NBER Working Papers 24697, National Bureau of Economic Research, Inc.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2018. "q 5," NBER Working Papers 24709, National Bureau of Economic Research, Inc.
• Eric Budish, 2018. "The Economic Limits of Bitcoin and the Blockchain," NBER Working Papers 24717, National Bureau of Economic Research, Inc.
• Nicholas C. Barberis, 2018. "Psychology-based Models of Asset Prices and Trading Volume," NBER Working Papers 24723, National Bureau of Economic Research, Inc.
• Andreas Neuhierl & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo Group Munich.
  • Andreas Neuhierl & Michael Weber, 2018. "Monetary Momentum," NBER Working Papers 24748, National Bureau of Economic Research, Inc.
• Tim Landvoigt & Stijn Van Nieuwerburgh & Vadim Elenev, 2016. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," 2016 Meeting Papers 1224, Society for Economic Dynamics.
  • Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2018. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," NBER Working Papers 24757, National Bureau of Economic Research, Inc.
  • Elenev, Vadim & Landvoigt, Tim & van Nieuwerburgh, Stijn, 2017. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," CEPR Discussion Papers 12282, C.E.P.R. Discussion Papers.
• Marcin Kacperczyk & Savitar Sundaresan & Tianyu Wang, 2018. "Do Foreign Investors Improve Market Efficiency?," NBER Working Papers 24765, National Bureau of Economic Research, Inc.
• Atif Mian & Amir Sufi, 2018. "Credit Supply and Housing Speculation," NBER Working Papers 24823, National Bureau of Economic Research, Inc.
• Martin Lettau & Markus Pelger, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," NBER Working Papers 24858, National Bureau of Economic Research, Inc.
• Yukun Liu & Aleh Tsyvinski, 2018. "Risks and Returns of Cryptocurrency," NBER Working Papers 24877, National Bureau of Economic Research, Inc.
• Pástor, Luboš & Veronesi, Pietro, 2018. "Inequality Aversion, Populism, and the Backlash Against Globalization," CEPR Discussion Papers 13107, C.E.P.R. Discussion Papers.
  • Lubos Pastor & Pietro Veronesi, 2018. "Inequality Aversion, Populism, and the Backlash Against Globalization," NBER Working Papers 24900, National Bureau of Economic Research, Inc.
• Hugonnier, Julien & Lester, Benjamin & Weill, Pierre-Olivier, 2018. "Frictional intermediation in over-the-counter markets," CEPR Discussion Papers 13126, C.E.P.R. Discussion Papers.
  • Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2018. "Frictional Intermediation in Over-the-counter Markets," NBER Working Papers 24956, National Bureau of Economic Research, Inc.
• Hengjie Ai & Anmol Bhandari, 2018. "Asset Pricing with Endogenously Uninsurable Tail Risk," NBER Working Papers 24972, National Bureau of Economic Research, Inc.
• Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," CESifo Working Paper Series 7229, CESifo Group Munich.
  • Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," NBER Working Papers 25016, National Bureau of Economic Research, Inc.
  • Gürkaynak, Refet S. & Kisacikoglu, Burçin & Wright, Jonathan H., 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," CEPR Discussion Papers 13153, C.E.P.R. Discussion Papers.
• Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
• Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
  • Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
  • Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
• Efraim Benmelech & Nittai Bergman, 2018. "Debt, Information, and Illiquidity," NBER Working Papers 25054, National Bureau of Economic Research, Inc.
• Lauren Cohen & Christopher Malloy & Quoc Nguyen, 2018. "Lazy Prices," NBER Working Papers 25084, National Bureau of Economic Research, Inc.
• Robert J. Hodrick & Tuomas Tomunen, 2018. "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," NBER Working Papers 25092, National Bureau of Economic Research, Inc.
• Sergey Chernenko & Adi Sunderam, 2018. "Do Fire Sales Create Externalities?," NBER Working Papers 25104, National Bureau of Economic Research, Inc.
• Lagos, Ricardo & Zhang, Shengxing, 2016. "Turnover Liquidity and the Transmission of Monetary Policy," Working Papers 734, Federal Reserve Bank of Minneapolis.
  • Ricardo Lagos & Shengxing Zhang, 2018. "Turnover Liquidity and the Transmission of Monetary Policy," NBER Working Papers 25106, National Bureau of Economic Research, Inc.
  • Shengxing Zhang & Ricardo Lagos, 2016. "Turnover Liquidity and the Transmission of Monetary Policy," 2016 Meeting Papers 1569, Society for Economic Dynamics.
• Maarten Meeuwis & Jonathan A. Parker & Antoinette Schoar & Duncan I. Simester, 2018. "Belief Disagreement and Portfolio Choice," NBER Working Papers 25108, National Bureau of Economic Research, Inc.
• Simon Oh & Jessica A. Wachter, 2018. "Cross-sectional Skewness," NBER Working Papers 25113, National Bureau of Economic Research, Inc.
• Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo Group Munich.
  • Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
  • Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2018. "Do survey expectations of stock returns reflect risk-adjustments?," CFS Working Paper Series 600, Center for Financial Studies (CFS).
  • Adam, Klaus & Maatvev, Dmitry & Nagel, Stefan, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers 13213, C.E.P.R. Discussion Papers.
• Jordan Brooks & Michael Katz & Hanno Lustig, 2018. "Post-FOMC Announcement Drift in U.S. Bond Markets," NBER Working Papers 25127, National Bureau of Economic Research, Inc.
• Malcolm Baker & Daniel Bergstresser & George Serafeim & Jeffrey Wurgler, 2018. "Financing the Response to Climate Change: The Pricing and Ownership of U.S. Green Bonds," NBER Working Papers 25194, National Bureau of Economic Research, Inc.
• Usman Ali & David Hirshleifer, 2018. "Shared Analyst Coverage: Unifying Momentum Spillover Effects," NBER Working Papers 25201, National Bureau of Economic Research, Inc.
• Mikhail Chernov & Drew D. Creal, 2018. "International Yield Curves and Currency Puzzles," NBER Working Papers 25206, National Bureau of Economic Research, Inc.
• Matthias Fleckenstein & Francis A. Longstaff, 2018. "Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes," NBER Working Papers 25216, National Bureau of Economic Research, Inc.
• Ricardo Lagos & Shengxing Zhang, 2018. "A Monetary Model of Bilateral Over-the-Counter Markets," NBER Working Papers 25239, National Bureau of Economic Research, Inc.
• Riccardo Colacito & Mariano Max Croce & Yang Liu & Ivan Shaliastovich, 2018. "Volatility Risk Pass-through," NBER Working Papers 25276, National Bureau of Economic Research, Inc.
• Harjoat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018. "Low Inflation: High Default Risk AND High Equity Valuations," NBER Working Papers 25317, National Bureau of Economic Research, Inc.
• Anil K. Kashyap & Natalia Kovrijnykh & Jian Li & Anna Pavlova, 2018. "The Benchmark Inclusion Subsidy," NBER Working Papers 25337, National Bureau of Economic Research, Inc.
• Kent Daniel & Alexander Klos & Simon Rottke, 2018. "Overconfidence, Information Diffusion, and Mispricing Persistence," NBER Working Papers 25346, National Bureau of Economic Research, Inc.
• Fraiberger, Samuel & Lee, Do & Puy, Damien & Rancière, Romain, 2018. "Media Sentiment and International Asset Prices," CEPR Discussion Papers 13366, C.E.P.R. Discussion Papers.
  • Samuel P. Fraiberger & Do Lee & Damien Puy & Romain Rancière, 2018. "Media Sentiment and International Asset Prices," NBER Working Papers 25353, National Bureau of Economic Research, Inc.
  • Fraiberger,Samuel Paul & Lee,Do & Puy,Damien & Rancier,Romain, 2018. "Media Sentiment and International Asset Prices," Policy Research Working Paper Series 8649, The World Bank.
• Mikhail Chernov & Lars A. Lochstoer & Stig R. H. Lundeby, 2018. "Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off," NBER Working Papers 25361, National Bureau of Economic Research, Inc.
• Martin Lettau & Sydney C. Ludvigson & Paulo Manoel, 2018. "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," NBER Working Papers 25381, National Bureau of Economic Research, Inc.
• Francesco Bianchi & Howard Kung & Mikhail Tirskikh, 2018. "The Origins and Effects of Macroeconomic Uncertainty," NBER Working Papers 25386, National Bureau of Economic Research, Inc.
• Shihao Gu & Bryan Kelly & Dacheng Xiu, 2018. "Empirical Asset Pricing via Machine Learning," NBER Working Papers 25398, National Bureau of Economic Research, Inc.
• Pedro Bordalo & Nicola Gennaioli & Spencer Yongwook Kwon & Andrei Shleifer, 2018. "Diagnostic Bubbles," NBER Working Papers 25399, National Bureau of Economic Research, Inc.
• Tanweer Akram & Huiqing Li, 2018. "The Dynamics of Japanese Government Bonds' Nominal Yields," Economics Working Paper Archive wp_906, Levy Economics Institute.
• Tanweer Akram & Anupam Das, 2018. "Australian Government Bonds' Nominal Yields: An Empirical Analysis," Economics Working Paper Archive wp_910, Levy Economics Institute.
• Donadelli, Michael & Grüning, Patrick & Jüppner, Marcus & Kizys, Renatas, 2017. "Global temperature, R&D expenditure, and growth," SAFE Working Paper Series 188, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Michael Donadelli & Patrick Grüning & Marcus Jüppner & Renatas Kizys, 2018. "Global temperature, R&D expenditure, and growth," Bank of Lithuania Discussion Paper Series 9, Bank of Lithuania.
• Viktors Ajevskis, 2018. "The Natural Rate of Interest: Information Derived from a Shadow Rate Model," Working Papers 2018/02, Latvijas Banka.
• Martin Boyer & Philippe De Donder & Claude-Denys Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1806, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  • M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1804, Chaire de recherche Industrielle Alliance sur les enjeux économiques des changements démographiques.
  • M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," CIRANO Working Papers 2018s-13, CIRANO.
• M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1804, Chaire de recherche Industrielle Alliance sur les enjeux économiques des changements démographiques.
  • Martin Boyer & Philippe De Donder & Claude-Denys Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1806, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  • M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," CIRANO Working Papers 2018s-13, CIRANO.
• Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018. "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche 1807, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Joerg Schmidt, 2018. "Unconventional Monetary Policy and Bank Risk-Taking in the Euro Area," MAGKS Papers on Economics 201824, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Carlos Manuel Pinheiro & Hugo Hilário Varela, 2018. "Do Exchange Traded Funds (ETFs) Outperform the Market? Evidence from the Portuguese Stock Index," GEE Papers 0109, Gabinete de Estratégia e Estudos, Ministério da Economia, revised Sep 2018.
• Lorenzo, Menna & Patrizio, Tirelli, 2018. "Risk Premiums, Nominal Rigidities and Limited Asset Market Participation," Working Papers 388, University of Milano-Bicocca, Department of Economics, revised 25 Oct 2018.
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The use of option prices in order to evaluate the skewness risk premium," Department of Economics 0132, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2018. "The properties of a skewness index and its relation with volatility and returns," Department of Economics 0133, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
• Francisco RUGE-MURCIA, 2018. "Asset Prices in a Small Production Network," Cahiers de recherche 02-2018, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
• Ye Jin Heo, 2018. "Population aging and housing prices: who are we calling old?," NBP Working Papers 288, Narodowy Bank Polski, Economic Research Department.
• Jose Apesteguia & Jörg Oechssler & Simon Weidenholzer, 2018. "Copy trading," Economics Working Papers 1615, Department of Economics and Business, Universitat Pompeu Fabra.
• Nektarios Aslanidis & Charlotte Christiansen & Andrea Cipollini, 2017. "Predicting Bond Betas using Macro-Finance Variables," CREATES Research Papers 2017-01, Department of Economics and Business Economics, Aarhus University.
  • Aslanidis, Nektarios, & Christiansen, Charlotte & Cipollini, Andrea & Bons -- Models matemàtics, 2018. "Predicting Bond Betas using Macro-Finance Variables," Working Papers 2072/306546, Universitat Rovira i Virgili, Department of Economics.
• Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018. "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series 1808, University of St. Gallen, School of Economics and Political Science.
• Gino Cenedese & Angelo Ranaldo & Michalis Vasios, 2018. "OTC Premia," Working Papers on Finance 1818, University of St. Gallen, School of Finance, revised Dec 2018.
• Angelo Ranaldo & Fabricius Somogyi, 2018. "Heterogeneous Information Content of Global FX Trading," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Dec 2018.
• Angelo Ranaldo & Paolo Santucci de Magistris, 2018. "Trading Volume, Illiquidity and Commonalities in FX Markets," Working Papers on Finance 1823, University of St. Gallen, School of Finance.
• Xue-Zhong He & Lei Shi & Marco Tolotti, 2018. "Are We Better-off for Working Hard?," Research Paper Series 391, Quantitative Finance Research Centre, University of Technology, Sydney.
• Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," LEM Papers Series 2018/04, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018. "Momentum and Reversal in Financial Markets with Persistent Heterogeneity," Working Papers 2018:03, Department of Economics, University of Venice "Ca' Foscari".
• Krzysztof Kość & Paweł Sakowski & Robert Ślepaczuk, 2018. "Momentum and contrarian effects on the cryptocurrency market," Working Papers 2018-09, Faculty of Economic Sciences, University of Warsaw.
• Małgorzata Jabłczyńska & Krzysztof Kosc & Przemysław Ryś & Robert Ślepaczuk & Paweł Sakowski & Grzegorz Zakrzewski, 2018. "Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions," Working Papers 2018-18, Faculty of Economic Sciences, University of Warsaw.
• Fraiberger, Samuel & Lee, Do & Puy, Damien & Rancière, Romain, 2018. "Media Sentiment and International Asset Prices," CEPR Discussion Papers 13366, C.E.P.R. Discussion Papers.
  • Fraiberger,Samuel Paul & Lee,Do & Puy,Damien & Rancier,Romain, 2018. "Media Sentiment and International Asset Prices," Policy Research Working Paper Series 8649, The World Bank.
  • Samuel P. Fraiberger & Do Lee & Damien Puy & Romain Rancière, 2018. "Media Sentiment and International Asset Prices," NBER Working Papers 25353, National Bureau of Economic Research, Inc.
• Vasily Astrov & Rumen Dobrinsky & Vladimir Gligorov & Richard Grieveson & Doris Hanzl-Weiss & Peter Havlik & Gabor Hunya & Sebastian Leitner & Isilda Mara & Olga Pindyuk & Leon Podkaminer & Sandor Ric, 2018. "Riding the Global Growth Wave," wiiw Forecast Reports Spring2018, The Vienna Institute for International Economic Studies, wiiw.
• William Chen & Gregory Phelan, 2018. "Dynamic Consequences of Monetary Policy for Financial Stability," Department of Economics Working Papers 2018-06, Department of Economics, Williams College.
• Zhihong Jian & Zhican Zhu & Jie Zhou & Shuai Wu, 2018. "The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity," Departmental Working Papers 2018-01, The University of Winnipeg, Department of Economics.
• Manuel Bachmann, 2018. "Market Illiquidity, Credit Freezes and Endogenous Funding Constraints," Department of Economics Working Papers wuwp255, Vienna University of Economics and Business, Department of Economics.
• Manuel Bachmann, 2018. "The Impact of Ex Ante Regulations and Ex Post Interventions on Bank Lending and Solvency," Department of Economics Working Papers wuwp269, Vienna University of Economics and Business, Department of Economics.
• Domenico Lombardi, Pierre Siklos, Samantha St. Amand, 2018. "Asset Price Spillovers From Unconventional Monetary Policy: A Global Empirical Perspective," LCERPA Working Papers 0109, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
• Martin T. Bohl, Pierre Siklos, Claudia Wellenreuther, 2018. "Speculative Activity and Returns to Volatility of Chinese Major Agricultural Commodity Futures," LCERPA Working Papers 0111, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
• Martin T. Bohl, Badye Essid, Pierre Siklos, 2018. "Short-Selling Bans and the Global Financial Crisis: Are they Inter-Connected?," LCERPA Working Papers 0112, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk premia and seasonality in commodity futures," Bank of England working papers 591, Bank of England.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2018. "Risk Premia and Seasonality in Commodity Futures," EMF Research Papers 18, Economic Modelling and Forecasting Group.
  • Hevia, Constantino & Petrella, Ivan & Sola, Martin, 2016. "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers 11169, C.E.P.R. Discussion Papers.
  • Constantino Hevia & Ivan Petrella & Martin Sola, 2016. "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers 2016_01, Universidad Torcuato Di Tella.
• Sung Jun Park & Ki Young Park, 2018. "Can Investors Profit from Security Analyst Recommendations?," Working papers 2018rwp-131, Yonsei University, Yonsei Economics Research Institute.
• Enrica Carbone & John Hey & Tibor Neugebauer, 2018. "An Experimental Comparison of Two Exchange Mechanisms, An Asset Market versus a Credit Market," Discussion Papers 18/08, Department of Economics, University of York.
• Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
• Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
  • Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank H., 2018. "Interactions between stock, bond and housing markets," BERG Working Paper Series 133, Bamberg University, Bamberg Economic Research Group.
• Roberto Dieci & Noemi Schmitt & Frank Westerhoff, 2018. "Steady states, stability and bifurcations in multi-asset market models," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 357-378, November.
  • Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Steady states, stability and bifurcations in multi-asset market models," BERG Working Paper Series 136, Bamberg University, Bamberg Economic Research Group.
• Klein, Arne C. & Pliszka, Kamil, 2018. "The time-varying impact of systematic risk factors on corporate bond spreads," Discussion Papers 14/2018, Deutsche Bundesbank.
• Branger, Nicole & Konermann, Patrick & Meinerding, Christoph & Schlag, Christian, 2018. "Equilibrium asset pricing in directed networks," Discussion Papers 37/2018, Deutsche Bundesbank.
• Rischen, Tobias & Theissen, Erik, 2018. "Underpricing in the euro area corporate bond market: New evidence from post-crisis regulation and quantitative easing," CFR Working Papers 18-03, University of Cologne, Centre for Financial Research (CFR).
• Kräussl, Roman & Kräussl, Zsofia & Pollet, Joshua & Rinne, Kalle, 2018. "The performance of marketplace lenders: Evidence from lending club payment data," CFS Working Paper Series 598, Center for Financial Studies (CFS).
• Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
  • Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2018. "Do survey expectations of stock returns reflect risk-adjustments?," CFS Working Paper Series 600, Center for Financial Studies (CFS).
  • Adam, Klaus & Maatvev, Dmitry & Nagel, Stefan, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers 13213, C.E.P.R. Discussion Papers.
  • Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo Group Munich.
• Shachmurove, Yochanan & Vulanovic, Milos, 2018. "SPAC IPOs," EconStor Preprints 177392, ZBW - Leibniz Information Centre for Economics.
• Daube, Carl Heinz & Krivenkov, Vladislav, 2018. "Neu-Emissions-Prämien bei Anleihen - Eine empirische Untersuchung zu Existenz und Höhe von Prämien für Neu-Emissionen bei Unternehmensanleihen," EconStor Research Reports 179425, ZBW - Leibniz Information Centre for Economics.
• Bhaumik, Sumon Kumar & Chakrabarty, Manisha & Kutan, Ali M. & Selarka, Ekta, 2018. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," GLO Discussion Paper Series 290, Global Labor Organization (GLO).
• Díaz, Antonio & Jareño, Francisco & Navarro, Eliseo, 2018. "Zero-coupon interest rates: Evaluating three alternative datasets," Economics Discussion Papers 2018-67, Kiel Institute for the World Economy (IfW).
• Lee, Jaeram & Lee, Geul & Ryu, Doojin, 2018. "Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach," Economics Discussion Papers 2018-68, Kiel Institute for the World Economy (IfW).
• Trebesch, Christoph & Zettelmeyer, Jeromin, 2018. "ECB interventions in distressed sovereign debt markets: The case of Greek bonds," Kiel Working Papers 2101, Kiel Institute for the World Economy (IfW).
• Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: Can they reduce sovereign borrowing costs?," Journal of International Economics, Elsevier, vol. 114(C), pages 164-179.
  • Schumacher, Julian & Chamon, Marcos & Trebesch, Christoph, 2015. "Foreign Law Bonds: Can They Reduce Sovereign Borrowing Costs?," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113199, Verein für Socialpolitik / German Economic Association.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: Can they reduce sovereign borrowing costs?," Kiel Working Papers 2109, Kiel Institute for the World Economy (IfW).
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CEPR Discussion Papers 13020, C.E.P.R. Discussion Papers.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: can they reduce sovereign borrowing costs?," Working Paper Series 2162, European Central Bank.
  • Marcos Chamon & Julian Schumacher & Christoph Trebesch, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CESifo Working Paper Series 7137, CESifo Group Munich.
• Demary, Markus, 2018. "IW Financial Expert Survey: Second Quarter 2018," IW-Reports 13/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2018. "IW Financial Expert Survey: First Quarter 2018," IW-Reports 2/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus & Neligan, Adriana, 2018. "Are green bonds a viable way to finance environmental goals? An analysis of chances and risks of green bonds," IW-Reports 28/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2018. "IW Financial Expert Survey: Third Quarter 2018," IW-Reports 29/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2018. "IW Financial Expert Survey: Fourth Quarter 2018," IW-Reports 37/2018, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Stübinger, Johannes, 2018. "Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500," FAU Discussion Papers in Economics 01/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
• Acheson, Graeme G. & Coyle, Christopher & Jordan, David P. & Turner, John D., 2018. "Share trading activity and the rise of the rentier in the UK before 1920," QUCEH Working Paper Series 2018-04, Queen's University Belfast, Queen's University Centre for Economic History.
• Acheson, Graeme G. & Coyle, Christopher & Turner, John D., 2018. "Prices and informed trading: Evidence from an early stock market," QUCEH Working Paper Series 2018-05, Queen's University Belfast, Queen's University Centre for Economic History.
• Casarin, Roberto & Costola, Michele & Yenerdag, Erdem, 2018. "Financial bridges and network communities," SAFE Working Paper Series 208, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Huang, Darien & Schlag, Christian & Shaliastovich, Ivan & Thimme, Julian, 2018. "Volatility-of-volatility risk," SAFE Working Paper Series 210, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Huszár, Zsuzsa R. & Simon, Zorka, 2018. "The pricing implications of the oligopolistic securities lending market: A beneficial owner perspective," SAFE Working Paper Series 215, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2017. "Pricing sin stocks: Ethical preference vs. risk aversion," IWH Discussion Papers 20/2017, Halle Institute for Economic Research (IWH).
  • Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2018. "Pricing sin stocks: Ethical preference vs. risk aversion," SAFE Working Paper Series 216, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Giuliano Curatola & Stefano Colonnello & Alessandro Gioffré, 2018. "Pricing Sin Stocks: Ethical Preference vs. Risk Aversion," Working Papers - Economics wp2018_05.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
• Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
  • Getmansky, Mila & Jagannathan, Ravi & Pelizzon, Loriana & Schaumburg, Ernst & Yuferova, Darya, 2018. "Stock price crashes: Role of slow-moving capital," SAFE Working Paper Series 227, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Panzica, Roberto Calogero, 2018. "Idiosyncratic volatility puzzle: The role of assets' interconnections," SAFE Working Paper Series 228, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Harenberg, Daniel, 2018. "Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk," SAFE Working Paper Series 229, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Bernales, Alejandro & Garrido, Nicolás & Sagade, Satchit & Valenzuela, Marcela & Westheide, Christian, 2018. "A tale of one exchange and two order books: Effects of fragmentation in the absence of competition," SAFE Working Paper Series 234, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Driessen, Joost & Nijman, Theodore E. & Simon, Zorka, 2018. "Much ado about nothing: A study of differential pricing and liquidity of short and long term bonds," SAFE Working Paper Series 238, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017. "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers 20781, University of Essex, Essex Business School.
  • Schüssler, Rainer & Beckmann, Joscha & Koop, Gary & Korobilis, Dimitris, 2018. "Exchange rate predictability and dynamic Bayesian learning," Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181523, Verein für Socialpolitik / German Economic Association.
• Julia Wolfinger & Lars P. Feld & Ekkehard A. Köhler & Tobias Thomas, 2018. "57 Channels (And Nothin On) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?," CESifo Working Paper Series 7437, CESifo Group Munich.
  • Wolfinger, Julia & Köhler, Ekkehard A. & Feld, Lars P. & Thomas, Tobias, 2018. "57 Channels (And Nothin On): Does TV-News on the Eurozone affect Government Bond Yield Spreads?," Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181610, Verein für Socialpolitik / German Economic Association.
• Daniel Harenberg & Ludwig, Alexander, 2015. "Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security," MEA discussion paper series 201403, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
  • Harenberg, Daniel & Ludwig, Alexander, 2018. "Idiosyncratic risk, aggregate risk, and the welfare effects of social security," ZEW Discussion Papers 18-016, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
• Rehse, Dominik & Riordan, Ryan & Rottke, Nico & Zietz, Joachim, 2018. "The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy," ZEW Discussion Papers 18-024, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
• André C. Silva & Bernardino Adão, 2018. "The Effect of Firm Cash Holdings on Monetary Policy," Working Papers w201804, Banco de Portugal, Economics and Research Department.
• Sudipto Karmakar & Francisco Buera, 2017. "Real Effects of Financial Distress: The Role of Heterogeneity," 2017 Meeting Papers 1356, Society for Economic Dynamics.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers w201806, Banco de Portugal, Economics and Research Department.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers REM 2018/36, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Breedon, Francis, 2018. "On the transactions costs of UK quantitative easing," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 347-356.
  • Francis Breedon, 2018. "On the Transactions Costs of UK Quantitative Easing," Working Papers 848, Queen Mary University of London, School of Economics and Finance.
• Konstantinos Gkionis & Alexandros Kostakis & George Skiadopoulos & Przemyslaw S. Stilger, 2018. "Positive Stock Information In Out-Of-The-Money Option Prices," Working Papers 859, Queen Mary University of London, School of Economics and Finance.
• Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
• Heinemann, Frank & Moradi, Homayoon, 2018. "Sunspots in Global Games: Theory and Experiment," Rationality and Competition Discussion Paper Series 135, CRC TRR 190 Rationality and Competition.
• Kocher, Martin G. & Lucks, Konstantin E. & Schindler, David, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Papers in Economics 27572, University of Munich, Department of Economics.
  • Kocher, Martin & Lucks, Konstantin & Schindler, David, 2018. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Rationality and Competition Discussion Paper Series 81, CRC TRR 190 Rationality and Competition.
  • Martin G. Kocher & Konstantin E. Lucks & David Schindler, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," CESifo Working Paper Series 5812, CESifo Group Munich.
• Kirti, Divya, 2018. "Lending standards and output growth," ESRB Working Paper Series 79, European Systemic Risk Board.
  • Divya Kirti, 2018. "Lending standards and output growth," 2018 Meeting Papers 203, Society for Economic Dynamics.
  • Divya Kirti, 2018. "Lending Standards and Output Growth," IMF Working Papers 18/23, International Monetary Fund.
• Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2018. "On the determinants of bitcoin returns: A LASSO approach," Finance Research Letters, Elsevier, vol. 27(C), pages 235-240.
  • Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "On the determinants of bitcoin returns: a LASSO approach," Working Paper series 18-14, Rimini Centre for Economic Analysis.
• Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "The effects of markets, uncertainty and search intensity on bitcoin returns," Working Paper series 18-39, Rimini Centre for Economic Analysis.
• Costas Milas & Theodore Panagiotidis & Theologos Dergiades, 2018. "Twitter versus Traditional News Media: Evidence for the Sovereign Bond Markets," Working Paper series 18-42, Rimini Centre for Economic Analysis.
• Carlos Viana de Carvalho & Daniel Cordeiro & Ruy Ribeiro & Eduardo Zilberman, 2018. "Gambling, Risk Appetite and Asset Pricing," Textos para discussão 664, Department of Economics PUC-Rio (Brazil).
• Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
• Cao, Xiaping & Huang, Bihong & Lai, Rose Neng, 2018. "The Impact of Exogenous Demand Shock on the Housing Market: Evidence from the Home Purchase Restriction Policy in the People’s Republic of China," ADBI Working Papers 824, Asian Development Bank Institute.
• Galvani, Valentina & Li, Lifang, 2018. "The Momentum Effect for Canadian Corporate Bonds," Working Papers 2018-16, University of Alberta, Department of Economics.
• Galvani, Valentina, 2018. "The Value Premium During Flights," Working Papers 2018-18, University of Alberta, Department of Economics.
• Bennouna, Hicham & Bounader, Lahcen, 2018. "Analyse de la transmission de la politique monétaire vers les taux souverains," Document de travail 2018-2, Bank Al-Maghrib, Département de la Recherche.
• Akari, Mohamed-Ali & Ben-Abdallah, Ramzi & Breton, Michèle & Dionne, Georges, 2018. "The impact of central clearing on the market for single-name credit default swaps," Working Papers 18-1, HEC Montreal, Canada Research Chair in Risk Management.
• Lakdawala, Aeimit, 2018. "The growing impact of US monetary policy on emerging financial markets: Evidence from India," Working Papers 2018-9, Michigan State University, Department of Economics.
• Li, Yong & Yu, Jun & Zeng, Tao, 2018. "Integrated Deviance Information Criterion for Latent Variable Models," Economics and Statistics Working Papers 6-2018, Singapore Management University, School of Economics.
• Xuan Zou, 2018. "Can the Greater Fool Theory Explain Bubbles? Evidence from China," Departmental Working Papers 201804, Rutgers University, Department of Economics.
• Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Valuation Risk Revalued," CDMA Working Paper Series 201803, Centre for Dynamic Macroeconomic Analysis.
• Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Valuation Risk Revalued," Discussion Paper Series, Department of Economics 201805, Department of Economics, University of St. Andrews.
• Alina Klein & Rudolf Klein, 2018. "Mean Reversion and Momentum in Central and Eastern European Countries ? A Case Study on Poland and Romania," Proceedings of International Academic Conferences 8208378, International Institute of Social and Economic Sciences.
• FARUK DAYI & Ibrahim Yasar GOK & Tolga ULUSOY, 2018. "The Relationship Between Footballer and Head Coach Transfer News and Stock Prices of Sport Clubs," Proceedings of International Academic Conferences 8209526, International Institute of Social and Economic Sciences.
• Ivo Speranda, 2018. "A New Perspective on Valuating of Common Stocks," Proceedings of Economics and Finance Conferences 6908849, International Institute of Social and Economic Sciences.
• Marcin Dec, 2018. "Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives," Working Papers 2018-038, Warsaw School of Economics, Collegium of Economic Analysis.
• Marcin Dec, 2018. "On the trade-offs in money market benchmarks' stabilisation," Working Papers 2018-039, Warsaw School of Economics, Collegium of Economic Analysis.
• Thomas Nitschka & David R. Haab, 2018. "Carry trade and forward premium puzzle from the perspective of a safe-haven currency," Working Papers 2018-17, Swiss National Bank.
• Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2018. "Individual Investors Look at Price Tags," Working Papers, Department of Economics 2018_17, University of São Paulo (FEA-USP).
• Elias Cavalcante-Filho & Flavio Abdenur, Rodrigo De Losso, 2018. "Machine learning applied to accounting variables yields the risk-return metrics of private company portfolios," Working Papers, Department of Economics 2018_23, University of São Paulo (FEA-USP).
• Christophe Blot & Paul Hubert & Fabien Labondance, 2018. "Monetary Policy and Asset Price Bubbles," EconomiX Working Papers 2018-5, University of Paris Nanterre, EconomiX.
  • Christophe Blot & Paul Hubert & Fabien Labondance, 2018. "Monetray policy and asset price bubbles," Sciences Po publications 37, Sciences Po.
• Jean-Marc Fournier & Jakob Lehr, 2018. "Issuing GDP-linked bonds: Supply and demand can match," OECD Economics Department Working Papers 1500, OECD Publishing.
• Jana Šimáková, 2018. "The Study of the Effects of Exchange Rates on the Stock Companies in the Eurozone's Petrochemical Industry," Working Papers 0053, Silesian University, School of Business Administration.
• Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Discussion Papers 1807, Centre for Macroeconomics (CFM).
  • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Economics Series Working Papers 846, University of Oxford, Department of Economics.
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty contests and the term structure," LSE Research Online Documents on Economics 87384, London School of Economics and Political Science, LSE Library.
• Rahul Nath, 2018. "Flexible Labour, Income Effects, and Asset Prices," Economics Series Working Papers 851, University of Oxford, Department of Economics.
• Carolina Castagnetti, 2018. "A novel approach for testing the parity relationship between CDS and credit spread," DEM Working Papers Series 161, University of Pavia, Department of Economics and Management.
• Carlos Francisco Alves & Duarte André de Castro Reis, 2018. "Evidence of Idiosyncratic Seasonality in ETFs Performance," FEP Working Papers 603, Universidade do Porto, Faculdade de Economia do Porto.
• Pincheira, Pablo & Hardy, Nicolas, 2018. "Forecasting Base Metal Prices with Commodity Currencies," MPRA Paper 83564, University Library of Munich, Germany.
• Cerezo Sánchez, David, 2018. "The Valuation of Secrecy and the Privacy Multiplier," MPRA Paper 83954, University Library of Munich, Germany.
• Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018. "Financial bubbles and capital accumulation in altruistic economies," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 125-139.
  • Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018. "Financial bubbles and capital accumulation in altruistic economies," MPRA Paper 84429, University Library of Munich, Germany.
• Xing, Victor, 2018. "Yield Curve Flattening a Symptom of Ineffective Policy Tightening," MPRA Paper 84471, University Library of Munich, Germany.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena, 2018. "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," Working Papers 2018/02, Economics Department, Universitat Jaume I, Castellón (Spain).
  • Colasante, Annarita & Alfarano, Simone & Camacho-Cuena, Eva, 2018. "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," MPRA Paper 84835, University Library of Munich, Germany.
• Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  • Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," MPRA Paper 84886, University Library of Munich, Germany.
• Sovbetov, Yhlas, 2018. "Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero," MPRA Paper 85036, University Library of Munich, Germany.
• Bershadskii, Alexander, 2018. "Stock market activity and hormonal cycles," MPRA Paper 85298, University Library of Munich, Germany.
• White, Alan, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 85331, University Library of Munich, Germany.
• Lee, David, 2018. "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper 85575, University Library of Munich, Germany.
• CLERE, Roland & MARANDE, Stephane, 2018. "Default risk and equity value: forgotten factor or cultural revolution?," MPRA Paper 85659, University Library of Munich, Germany.
• Takaoka, Sumiko, 2018. "Convenience yield on government bonds and unconventional monetary policy in Japanese corporate bond spreads," MPRA Paper 86418, University Library of Munich, Germany.
• Simerský, Mojmír, 2018. "Czech Government Bond yields under FX pressure," MPRA Paper 86476, University Library of Munich, Germany.
• Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite
  [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
• Peter, Bossaerts & Jason, Shachat & Kuangli, Xie, 2018. "Arbitrage Opportunities: Anatomy and Remediation," MPRA Paper 87273, University Library of Munich, Germany.
• Vanessa Tchamyou & Simplice Asongu & Jacinta Nwachukwu, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," Working Papers of the African Governance and Development Institute. 18/007, African Governance and Development Institute..
  • Tchamyou, Vanessa & Asongu, Simplice & Nwachukwu, Jacinta, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," MPRA Paper 87870, University Library of Munich, Germany.
  • Vanessa S. Tchamyou & Simplice A. Asongu & Jacinta C. Nwachukwu, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," AFEA Working Papers 18/006, African Finance and Economic Association (AFEA).
• William Barnett & Qing Han & Jianbo Zhang, 2018. "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201806, University of Kansas, Department of Economics, revised Aug 2018.
  • William, Barnett & Qing, Han & Jianbo, Zhang, 2018. "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," MPRA Paper 88261, University Library of Munich, Germany.
• He, Yong, 2018. "Can the visible and invisible hands coexist in land pricing?," MPRA Paper 88770, University Library of Munich, Germany.
• Tursoy, Turgut & Faisal, Faisal & Berk, Niyazi & Shahbaz, Muhammad, 2018. "How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL," MPRA Paper 88899, University Library of Munich, Germany.
• Cesteros, Santiago Rodrigo, 2018. "Sobre volatilidad macroeconómica y dolarización de la riqueza: el caso argentino
  [On macroeconomic volatility and wealth dollarization: the Argentine case]," MPRA Paper 88968, University Library of Munich, Germany.
• Olkhov, Victor, 2018. "Expectations, Price Fluctuations and Lorenz Attractor," MPRA Paper 89105, University Library of Munich, Germany.
• Zhou, Siwen, 2018. "Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach," MPRA Paper 89445, University Library of Munich, Germany.
• Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura
  [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
• MESTRE, Roman & Terraza, Michel, 2018. "Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché -
  [Forward Regression with Discrete and Continuous Wavel," MPRA Paper 89682, University Library of Munich, Germany.
• Picarelli, Mattia & Erce, Aitor, 2018. "The Benefits of Reducing Hold-Out Risk: Evidence from the Euro CAC Experiment, 2013-2018," MPRA Paper 89973, University Library of Munich, Germany.
• Chin, Leong Choong & Sek, Siok Kun & Tan, Yee Theng, 2018. "A Sectorial Performance Analysis of Kuala Lumpur Stock Exchange (KLSE, Bursa Malaysia)," MPRA Paper 90148, University Library of Munich, Germany.
• Pincheira, Pablo & Neumann, Federico, 2018. "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," MPRA Paper 90432, University Library of Munich, Germany.
• Tumasyan, Hovik, 2018. "A Second Look at Post Crisis Pricing of Derivatives - Part I: A Note on Money Accounts and Collateral," MPRA Paper 90806, University Library of Munich, Germany.
• Suzuki, Shiba, 2018. "Inequality and asset fire sales," MPRA Paper 90906, University Library of Munich, Germany.
• Raputsoane, Leroi, 2018. "Temporal homogeneity between financial stress and the economic cycle," MPRA Paper 91119, University Library of Munich, Germany.
• Aliyu, Shehu Usman Rano & Aminu, Abubakar Wambai, 2018. "Economic regimes and stock market performance in Nigeria: Evidence from regime switching model," MPRA Paper 91430, University Library of Munich, Germany, revised 03 Oct 2018.
• Riza Demirer & Rangan Gupta, 2018. "Presidential Cycles and Time-Varying Bond-Stock Correlations: Evidence from More than Two Centuries of Data," Working Papers 201811, University of Pretoria, Department of Economics.
• Rangan Gupta & Mark E. Wohar, 2018. "The Role of Monetary Policy Uncertainty in Predicting Equity Market Volatility of the United Kingdom: Evidence from over 150 Years of Data," Working Papers 201851, University of Pretoria, Department of Economics.
• Rangan Gupta, 2018. "Manager Sentiment and Stock Market Volatility," Working Papers 201853, University of Pretoria, Department of Economics.
• Sowmya Subramaniam & David Gabauer & Rangan Gupta, 2018. "On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics," Working Papers 201864, University of Pretoria, Department of Economics.
• Tchamyou, Vanessa & Asongu, Simplice & Nwachukwu, Jacinta, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," MPRA Paper 87870, University Library of Munich, Germany.
  • Vanessa S. Tchamyou & Simplice A. Asongu & Jacinta C. Nwachukwu, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," AFEA Working Papers 18/006, African Finance and Economic Association (AFEA).
  • Vanessa Tchamyou & Simplice Asongu & Jacinta Nwachukwu, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," Working Papers of the African Governance and Development Institute. 18/007, African Governance and Development Institute..
• Tchamyou, Vanessa & Asongu, Simplice & Nwachukwu, Jacinta, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," MPRA Paper 87870, University Library of Munich, Germany.
  • Vanessa Tchamyou & Simplice Asongu & Jacinta Nwachukwu, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," Working Papers of the African Governance and Development Institute. 18/007, African Governance and Development Institute..
  • Vanessa S. Tchamyou & Simplice A. Asongu & Jacinta C. Nwachukwu, 2018. "Effects of asymmetric information on market timing in the mutual fund industry," AFEA Working Papers 18/006, African Finance and Economic Association (AFEA).
• Derksen, Mike & Spreij, Peter & van Wijnbergen, Sweder, 2018. "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers 12869, C.E.P.R. Discussion Papers.
  • Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of CoCos," Papers 1804.06890, arXiv.org.
  • Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of Cocos," Tinbergen Institute Discussion Papers 18-037/VI, Tinbergen Institute.
• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2018. "The Price of BitCoin: GARCH Evidence from High Frequency Data," EERI Research Paper Series EERI RP 2018/14, Economics and Econometrics Research Institute (EERI), Brussels.
  • Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2018. "The Price of BitCoin: GARCH Evidence from High Frequency Data," Papers 1812.09452, arXiv.org.
• Jose Apesteguia & Jörg Oechssler & Simon Weidenholzer, 2018. "Copy Trading," Working Papers 1048, Barcelona Graduate School of Economics.
  • Apesteguia, Jose & Oechssler, Jörg & Weidenholzer, Simon, 2018. "Copy Trading," Working Papers 0649, University of Heidelberg, Department of Economics.
• Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
  • Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers 627, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  • Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Massimo Guidolin & Alexei G. Orlov, 2018. "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers 1887, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Massimo Guidolin & Andrea Ricci, 2018. "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers 1888, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
• Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & Perez de Gracia, Fernando, 2018. "Oil volatility, oil and gas firms and portfolio diversification," Energy Economics, Elsevier, vol. 70(C), pages 499-515.
  • Nikolaos Antonakakis & Juncal Cunado & George Filis & David Gabauer & Fernando Perez de Gracia, 2018. "Oil volatility, oil and gas firms and portfolio diversification," BAFES Working Papers BAFES18, Department of Accounting, Finance & Economic, Bournemouth University.
• Corey Garriott & Sophie Lefebvre & Guillaume Nolin & Francisco Rivadeneyra & Adrian Walton, 2018. "Alternative Futures for Government of Canada Debt Management," Discussion Papers 18-15, Bank of Canada.
• Narayan Bulusu & Sermin Gungor, 2018. "Government of Canada Securities in the Cash, Repo and Securities Lending Markets," Discussion Papers 18-4, Bank of Canada.
• Russell Barnett & Konrad Zmitrowicz, 2018. "Assessing the Impact of Demand Shocks on the US Term Premium," Discussion Papers 18-7, Bank of Canada.
• Langlois, Hugues & Chaieb, Ines & Scaillet, O., 2018. "Time-Varying Risk Premia in Large International Equity Markets," HEC Research Papers Series 1250, HEC Paris, revised 29 May 2019.
  • Ines Chaieb & Hugues Langlois & O. Scaillet, 2018. "Time-Varying Risk Premia in Large International Equity Markets," Swiss Finance Institute Research Paper Series 18-04, Swiss Finance Institute, revised Jun 2018.
• Langlois, Hugues & Chaieb, Ines & Errunza, Vihang R., 2017. "Is Liquidity Risk Priced in Partially Segmented Markets?," HEC Research Papers Series 1254, HEC Paris, revised 04 Jun 2018.
  • Ines Chaieb & Vihang R. Errunza & Hugues Langlois, 2018. "Is Liquidity Risk Priced in Partially Segmented Markets?," Swiss Finance Institute Research Paper Series 18-05, Swiss Finance Institute, revised Jun 2018.
• Andrea Berardi & Alberto Plazzi, 2018. "Inflation Risk Premia, Yield Volatility and Macro Factors," Swiss Finance Institute Research Paper Series 18-13, Swiss Finance Institute, revised Mar 2018.
• Semyon Malamud & Marzena J. Rostek, 2018. "Decentralized Exchange," Swiss Finance Institute Research Paper Series 18-25, Swiss Finance Institute, revised Apr 2018.
• Paola Pederzoli, 2018. "Crash Risk in Individual Stocks," Swiss Finance Institute Research Paper Series 18-31, Swiss Finance Institute, revised May 2018.
• Damir Filipović & Martin Larsson & Tony Ware, 2018. "Polynomial Processes for Power Prices," Swiss Finance Institute Research Paper Series 18-34, Swiss Finance Institute.
• Roberto Steri, 2018. "A Corporate Financing-Based Asset Pricing Model," Swiss Finance Institute Research Paper Series 18-46, Swiss Finance Institute.
• M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1804, Chaire de recherche Industrielle Alliance sur les enjeux économiques des changements démographiques.
  • M. Martin Boyer & Philippe De Donder & Claude Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," CIRANO Working Papers 2018s-13, CIRANO.
  • Martin Boyer & Philippe De Donder & Claude-Denys Fluet & Marie-Louise Leroux & Pierre-Carl Michaud, 2018. "A Canadian Parlor Room-Type Approach to the Long-Term Care Insurance Puzzle," Cahiers de recherche 1806, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
• Ivan Sutoris, 2018. "Asset Prices in a Production Economy with Long-run and Idiosyncratic Risk," Working Papers 2018/4, Czech National Bank, Research Department.
• Jose Ignacio Lopez, 2018. "Predictibilidad del Mercado Accionario Colombiano," DOCUMENTOS CEDE 016086, UNIVERSIDAD DE LOS ANDES-CEDE.
• Paula A. Yepes-Henao & Diego A. Agudelo & Ramazan Gencay, 2018. "Muddying the waters: Who Induces Volatility in an Emerging Market?," DOCUMENTOS DE TRABAJO CIEF 016974, UNIVERSIDAD EAFIT.
• Martin C. Schmalz & Sergey Zhuk, 2018. "Revealing Downturns," CESifo Working Paper Series 6879, CESifo Group Munich.
  • Schmalz, Martin & Zhuk, Sergey, 2018. "Revealing Downturns," CEPR Discussion Papers 12597, C.E.P.R. Discussion Papers.
• Joenväärä, Juha & Kosowski, Robert & Tolonen, Pekka, 2018. "The Effect of Investment Constraints on Hedge Fund Investor Returns," CEPR Discussion Papers 12599, C.E.P.R. Discussion Papers.
• Robert Ready & Mariano Croce & Federico Gavazzoni & Riccardo Colacito, 2016. "Currency Risk Factors in a Recursive Multi-Country Economy," 2016 Meeting Papers 297, Society for Economic Dynamics.
  • Colacito, Riccardo & Croce, Mariano Massimiliano & Gavazzoni, Federico & Ready, Robert, 2018. "Currency Risk Factors in a Recursive Multicountry Economy," CEPR Discussion Papers 12610, C.E.P.R. Discussion Papers.
• Semyon Malamud & Andreas Schrimpf, 2016. "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series 16-75, Swiss Finance Institute.
  • Malamud, Semyon & Schrimpf, Andreas, 2018. "Intermediation markups and monetary policy pass-through," CEPR Discussion Papers 12623, C.E.P.R. Discussion Papers.
  • Andreas Schrimpf & Semyon Malamud, 2017. "Intermediation Markups and Monetary Policy Passthrough," 2017 Meeting Papers 812, Society for Economic Dynamics.
• Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018. "Capital Share Risk in U.S. Asset Pricing," CEPR Discussion Papers 12628, C.E.P.R. Discussion Papers.
• Trebesch, Christoph & Zettelmeyer, Jeromin, 2018. "ECB interventions in distressed sovereign debt markets: The case of Greek bonds," CEPR Discussion Papers 12635, C.E.P.R. Discussion Papers.
• Wagner, Alexander F. & Zeckhauser, Richard J. & Ziegler, Alexandre, 2017. "Paths to Convergence: Stock Price Behavior after Donald Trump's Election," Working Paper Series rwp17-039, Harvard University, John F. Kennedy School of Government.
  • Wagner, Alexander F & Zeckhauser, Richard & Ziegler, Alexandre, 2018. "Paths to Convergence: Stock Price Behavior After Donald Trump's Election," CEPR Discussion Papers 12657, C.E.P.R. Discussion Papers.
• Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje, 2018. "Efficiently Inefficient Markets for Assets and Asset Management," CEPR Discussion Papers 12664, C.E.P.R. Discussion Papers.
• Lasse Pedersen & David Lando & Christian Skov Jensen, 2016. "Generalized Recovery," 2016 Meeting Papers 935, Society for Economic Dynamics.
  • Lando, David & Pedersen, Lasse Heje & Skov Jensen, Christian, 2018. "Generalized Recovery," CEPR Discussion Papers 12665, C.E.P.R. Discussion Papers.
• Bianchi, Francesco & Lettau, Martin & Ludvigson, Sydney, 2018. "Monetary Policy and Asset Valuation," CEPR Discussion Papers 12671, C.E.P.R. Discussion Papers.
• Adrian, Tobias & Duarte, Fernando M., 2016. "Financial vulnerability and monetary policy," Staff Reports 804, Federal Reserve Bank of New York, revised 01 Sep 2017.
  • Adrian, Tobias & Duarte, Fernando, 2018. "Financial Vulnerability and Monetary Policy," CEPR Discussion Papers 12680, C.E.P.R. Discussion Papers.
  • Fernando Duarte & Tobias Adrian, 2017. "Financial Vulnerability and Monetary Policy," 2017 Meeting Papers 391, Society for Economic Dynamics.
• Asness, Clifford S. & Frazzini, Andrea & Israel, Ronen & Pedersen, Lasse Heje, 2018. "Size Matters, if You Control Your Junk," CEPR Discussion Papers 12684, C.E.P.R. Discussion Papers.
• Asness, Clifford S. & Liew, John M. & Pedersen, Lasse Heje & Thapar, Ashwin K, 2018. "Deep Value," CEPR Discussion Papers 12685, C.E.P.R. Discussion Papers.
• Asness, Clifford S. & Frazzini, Andrea & Gormsen, Niels Joachim & Pedersen, Lasse Heje, 2018. "Betting Against Correlation: Testing Theories of the Low-Risk Effect," CEPR Discussion Papers 12686, C.E.P.R. Discussion Papers.
• Klinger, Sven & Lando, David, 2018. "Safe Haven CDS Premiums," CEPR Discussion Papers 12694, C.E.P.R. Discussion Papers.
• Collin-Dufresne, Pierre & Daniel, Kent & Saglam, Mehmet, 2018. "Liquidity Regimes and Optimal Dynamic Asset Allocation," CEPR Discussion Papers 12737, C.E.P.R. Discussion Papers.
• Buss, Adrian & Schönleber, Lorenzo & Vilkov, Grigory, 2018. "Expected Stock Returns and the Correlation Risk Premium," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
• Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Economics Series Working Papers 846, University of Oxford, Department of Economics.
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
  • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Discussion Papers 1807, Centre for Macroeconomics (CFM).
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty contests and the term structure," LSE Research Online Documents on Economics 87384, London School of Economics and Political Science, LSE Library.
• Colacito, Riccardo & Croce, Mariano Massimiliano & Ho, Steven & Howard, Philip, 2018. "BKK the EZ Way. International Long-Run Growth News and Capital Flows," CEPR Discussion Papers 12783, C.E.P.R. Discussion Papers.
• Bhamra, Harjoat Singh & Kuehn, Lars-Alexander & Strebulaev, Ilya, 2018. "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," CEPR Discussion Papers 12827, C.E.P.R. Discussion Papers.
• Chotibhak, Jotikasthira & Ellul, Andrew & Kartasheva, Anastasia & Lundblad, Christian & Wagner, Wolf, 2018. "Insurers as Asset Managers and Systemic Risk," CEPR Discussion Papers 12849, C.E.P.R. Discussion Papers.
• Patrick Augustin & Mikhail Chernov & Dongho Song, 2018. "Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," NBER Working Papers 24506, National Bureau of Economic Research, Inc.
  • Augustin, Patrick & Chernov, Mikhail & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
• Allen, Franklin & Goldstein, Itay & Jagtiani, Julapa, 2018. "The Interplay between Financial Regulations, Resilience, and Growth," CEPR Discussion Papers 12861, C.E.P.R. Discussion Papers.
• Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of CoCos," Papers 1804.06890, arXiv.org.
  • Derksen, Mike & Spreij, Peter & van Wijnbergen, Sweder, 2018. "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers 12869, C.E.P.R. Discussion Papers.
  • Mike Derksen & Peter Spreij & Sweder van Wijnbergen, 2018. "Accounting Noise and the Pricing of Cocos," Tinbergen Institute Discussion Papers 18-037/VI, Tinbergen Institute.
• Marcin Kacperczyk & Jaromir B. Nosal & Luminita Stevens, 2014. "Investor Sophistication and Capital Income Inequality," NBER Working Papers 20246, National Bureau of Economic Research, Inc.
  • Kacperczyk, Marcin & Nosal, Jaromir & Stevens, Luminita, 2018. "Investor Sophistication and Capital Income Inequality," CEPR Discussion Papers 12870, C.E.P.R. Discussion Papers.
  • Marcin Kacperczyk & Jaromir Nosal & Luminita Stevens, 2015. "Investor sophistication and capital income inequality," NBP Working Papers 199, Narodowy Bank Polski, Economic Research Department.
• Martin, Ian, 2018. "Options and the Gamma Knife," CEPR Discussion Papers 12883, C.E.P.R. Discussion Papers.
• Mikhail Chernov & Drew D. Creal, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," NBER Working Papers 24563, National Bureau of Economic Research, Inc.
  • Chernov, Mikhail & Creal, Drew, 2018. "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers 12893, C.E.P.R. Discussion Papers.
• Lettau, Martin & Pelger, Markus, 2018. "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers 12926, C.E.P.R. Discussion Papers.
• Christian Bayer & Chi Hyun Kim & Alexander Kriwoluzky, 2018. "The Term Structure of Redenomination Risk," Discussion Papers of DIW Berlin 1740, DIW Berlin, German Institute for Economic Research.
  • Bayer, Christian & Kim, Chi & Kriwoluzky, Alexander, 2018. "The term structure of redenomination risk," CEPR Discussion Papers 12965, C.E.P.R. Discussion Papers.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018. "Global Financial Cycles and Risk Premiums," NBER Working Papers 24677, National Bureau of Economic Research, Inc.
  • Jordá, Óscar & Schularick, Moritz & Taylor, Alan M. & Ward, Felix, 2018. "Global financial cycles and risk premiums," CEPR Discussion Papers 12969, C.E.P.R. Discussion Papers.
  • Jorda, Oscar & Schularick, Moritz & Taylor, Alan M. & Ward, Felix, 2018. "Global Financial Cycles and Risk Premiums," Working Paper Series 2018-5, Federal Reserve Bank of San Francisco.
• Leombroni, Matteo & Vedolin, Andrea & Venter, Gyuri & Whelan, Paul, 2018. "Central Bank Communication and the Yield Curve," CEPR Discussion Papers 12970, C.E.P.R. Discussion Papers.
• Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: Can they reduce sovereign borrowing costs?," Journal of International Economics, Elsevier, vol. 114(C), pages 164-179.
  • Schumacher, Julian & Chamon, Marcos & Trebesch, Christoph, 2015. "Foreign Law Bonds: Can They Reduce Sovereign Borrowing Costs?," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113199, Verein für Socialpolitik / German Economic Association.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CEPR Discussion Papers 13020, C.E.P.R. Discussion Papers.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: can they reduce sovereign borrowing costs?," Working Paper Series 2162, European Central Bank.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: Can they reduce sovereign borrowing costs?," Kiel Working Papers 2109, Kiel Institute for the World Economy (IfW).
  • Marcos Chamon & Julian Schumacher & Christoph Trebesch, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CESifo Working Paper Series 7137, CESifo Group Munich.
• Atmaz, Adem & Basak, Suleyman, 2018. "Option Prices and Costly Short-Selling," CEPR Discussion Papers 13029, C.E.P.R. Discussion Papers.
• Lettau, Martin & Pelger, Markus, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers 13049, C.E.P.R. Discussion Papers.
• Lubos Pastor & Pietro Veronesi, 2018. "Inequality Aversion, Populism, and the Backlash Against Globalization," NBER Working Papers 24900, National Bureau of Economic Research, Inc.
  • Pástor, Luboš & Veronesi, Pietro, 2018. "Inequality Aversion, Populism, and the Backlash Against Globalization," CEPR Discussion Papers 13107, C.E.P.R. Discussion Papers.
• Julien Hugonnier & Benjamin Lester & Pierre-Olivier Weill, 2018. "Frictional Intermediation in Over-the-counter Markets," NBER Working Papers 24956, National Bureau of Economic Research, Inc.
  • Hugonnier, Julien & Lester, Benjamin & Weill, Pierre-Olivier, 2018. "Frictional intermediation in over-the-counter markets," CEPR Discussion Papers 13126, C.E.P.R. Discussion Papers.
• Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2018. "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers 13137, C.E.P.R. Discussion Papers.
• Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," NBER Working Papers 25016, National Bureau of Economic Research, Inc.
  • Gürkaynak, Refet S. & Kisacikoglu, Burçin & Wright, Jonathan H., 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," CEPR Discussion Papers 13153, C.E.P.R. Discussion Papers.
  • Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," CESifo Working Paper Series 7229, CESifo Group Munich.
• Schoenmaker, Dirk & Schramade, Willem, 2018. "Investing for Long-Term Value Creation," CEPR Discussion Papers 13175, C.E.P.R. Discussion Papers.
• Martin, Ian & Ross, Stephen, 2018. "Notes on the Yield Curve," CEPR Discussion Papers 13176, C.E.P.R. Discussion Papers.
• Gehrig, Thomas & Sögner, Leopold & Westerkamp, Arne, 2018. "Making Parametric Portfolio Policies Work," CEPR Discussion Papers 13193, C.E.P.R. Discussion Papers.
• Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
  • Adam, Klaus & Maatvev, Dmitry & Nagel, Stefan, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers 13213, C.E.P.R. Discussion Papers.
  • Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2018. "Do survey expectations of stock returns reflect risk-adjustments?," CFS Working Paper Series 600, Center for Financial Studies (CFS).
  • Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo Group Munich.
• Chernov, Mikhail & Creal, Drew, 2018. "International yield curves and currency puzzles," CEPR Discussion Papers 13252, C.E.P.R. Discussion Papers.
• Bergemann, Dirk & Heumann, Tibor & Morris, Stephen, 2018. "Information and Market Power," CEPR Discussion Papers 13295, C.E.P.R. Discussion Papers.
• Cestau, Dario & Hollifield, Burton & Li, Dan & Schürhoff, Norman, 2018. "Municipal Bond Markets," CEPR Discussion Papers 13301, C.E.P.R. Discussion Papers.
• Anagol, Santosh & Balasubramaniam, Vimal & Ramadorai, Tarun, 2018. "Learning from Noise: Evidence from India's IPO Lotteries," CEPR Discussion Papers 13314, C.E.P.R. Discussion Papers.
• Colacito, Riccardo & Croce, Mariano Massimiliano & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
• Friewald, Nils & Nagler, Florian, 2018. "Over-the-Counter Market Frictions and Yield Spread Changes," CEPR Discussion Papers 13345, C.E.P.R. Discussion Papers.
• Kashyap, Anil K & Kovrijnykh, Natalia & Li, Jian & Pavlova, Anna, 2018. "The Benchmark Inclusion Subsidy," CEPR Discussion Papers 13356, C.E.P.R. Discussion Papers.
• Chernov, Mikhail & Lochstoer, Lars & Lundeby, Stig, 2018. "Conditional dynamics and the multi-horizon risk-return trade-off," CEPR Discussion Papers 13365, C.E.P.R. Discussion Papers.
• Fraiberger,Samuel Paul & Lee,Do & Puy,Damien & Rancier,Romain, 2018. "Media Sentiment and International Asset Prices," Policy Research Working Paper Series 8649, The World Bank.
  • Fraiberger, Samuel & Lee, Do & Puy, Damien & Rancière, Romain, 2018. "Media Sentiment and International Asset Prices," CEPR Discussion Papers 13366, C.E.P.R. Discussion Papers.
  • Samuel P. Fraiberger & Do Lee & Damien Puy & Romain Rancière, 2018. "Media Sentiment and International Asset Prices," NBER Working Papers 25353, National Bureau of Economic Research, Inc.
• de Vette, Nander & Petersen, Annelie & Stan Olijslager, Stan & van Wijnbergen, Sweder, 2018. "What Option Prices tell us about the ECB's Unconventional Monetary Policies," CEPR Discussion Papers 13371, C.E.P.R. Discussion Papers.
• Hur, Sewon & Kondo, Illenin & Perri, Fabrizio, 2018. "Real Interest Rates, Inflation, and Default," CEPR Discussion Papers 13388, C.E.P.R. Discussion Papers.
• Fabian Goessling, 2018. "Human Capital, Growth, and Asset Prices," CQE Working Papers 6918, Center for Quantitative Economics (CQE), University of Muenster.
• Balbas Aparicio, Raquel & Balbas Aparicio, Beatriz & Balbás de la Corte, Alejandro, 2018. "Relationships between the stochastic discount factor and the optimal omega ratio," INDEM - Working Paper Business Economic Series 26348, Instituto para el Desarrollo Empresarial (INDEM).
• Afees A. Salisu, 2018. "United we stand, divided we fall: A PANICCA test evidence for stock exchanges in OECD," Working Papers 049, Centre for Econometric and Allied Research, University of Ibadan.
• Afees A. Salisu & Taofeek O. Ayinde, 2018. "Testing for spillovers in Naira exchange rates: The role of electioneering& global financial crisis," Working Papers 050, Centre for Econometric and Allied Research, University of Ibadan.
• Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2018. "Speculation and Price Indeterminacy in Financial Markets: An Experimental Study," Cowles Foundation Discussion Papers 2134, Cowles Foundation for Research in Economics, Yale University.
• John Geanakoplos & Kieran Haobin Wang, 2018. "Quantitative Easing, Collateral Constraints, and Financial Spillovers," Cowles Foundation Discussion Papers 2154, Cowles Foundation for Research in Economics, Yale University.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo Group Munich.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1718, DIW Berlin, German Institute for Economic Research.
• Daniel Bierbaumer & Malte Rieth & Anton Velinov, 2018. "Nonlinear Intermediary Pricing in the Oil Futures Market," Discussion Papers of DIW Berlin 1722, DIW Berlin, German Institute for Economic Research.
• Wulandaria, Febi & Schäfer, Dorothea & Stephan, Andreas & Sun, Chen, 2018. "Liquidity risk and yield spreads of green bonds," Ratio Working Papers 305, The Ratio Institute.
  • Febi Wulandari & Dorothea Schäfer & Andreas Stephan & Chen Sun, 2018. "Liquidity Risk and Yield Spreads of Green Bonds," Discussion Papers of DIW Berlin 1728, DIW Berlin, German Institute for Economic Research.
• Bayer, Christian & Kim, Chi & Kriwoluzky, Alexander, 2018. "The term structure of redenomination risk," CEPR Discussion Papers 12965, C.E.P.R. Discussion Papers.
  • Christian Bayer & Chi Hyun Kim & Alexander Kriwoluzky, 2018. "The Term Structure of Redenomination Risk," Discussion Papers of DIW Berlin 1740, DIW Berlin, German Institute for Economic Research.
• Jasper de Jong, 2018. "The effect of fiscal announcements on interest spreads: Evidence from the Netherlands," DNB Working Papers 584, Netherlands Central Bank, Research Department.
• Iman van Lelyveld & Sinziana Kroon, 2018. "Counterparty credit risk and the effectiveness of banking regulation," DNB Working Papers 599, Netherlands Central Bank, Research Department.
• Bahar Öztürk & Dorinth van Dijk & Frank van Hoenselaar & Sander Burgers, 2018. "The relation between supply constraints and house price dynamics in the Netherlands," DNB Working Papers 601, Netherlands Central Bank, Research Department.
• Jean-Baptiste Michau & Yoshiyasu Ono & Matthias Schlegl, 2018. "Wealth Preference and Rational Bubbles," CESifo Working Paper Series 7148, CESifo Group Munich.
  • Jean-Baptiste Michau & Yoshiyasu Ono & Matthias Schlegl, 2018. "Wealth Preference and Rational Bubbles," ISER Discussion Paper 1035, Institute of Social and Economic Research, Osaka University.
• Sessi Tokpavi & Christophe Boucher, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," EconomiX Working Papers 2018-39, University of Paris Nanterre, EconomiX.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2018. "Monetray policy and asset price bubbles," Sciences Po publications 37, Sciences Po.
  • Christophe Blot & Paul Hubert & Fabien Labondance, 2018. "Monetary Policy and Asset Price Bubbles," EconomiX Working Papers 2018-5, University of Paris Nanterre, EconomiX.
• Langlois, Hugues, 2018. "Measuring Skewness Premia," HEC Research Papers Series 1256, HEC Paris, revised 29 May 2019.
• Hedi Benamar & Thierry Foucault & Clara Vega, 2018. "Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News," Working Papers hal-01933891, HAL.
  • Foucault, Thierry & Benamar, Hedi & Vega, Clara, 2018. "Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News," HEC Research Papers Series 1263, HEC Paris, revised 03 May 2018.
• Adriana Grasso & Filippo Natoli, 2018. "Consumption volatility risk and the inversion of the yield curve," Temi di discussione (Economic working papers) 1169, Bank of Italy, Economic Research and International Relations Area.
  • Grasso, Adriana & Natoli, Filippo, 2018. "Consumption volatility risk and the inversion of the yield curve," Working Paper Series 2141, European Central Bank.
• Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: Can they reduce sovereign borrowing costs?," Journal of International Economics, Elsevier, vol. 114(C), pages 164-179.
  • Schumacher, Julian & Chamon, Marcos & Trebesch, Christoph, 2015. "Foreign Law Bonds: Can They Reduce Sovereign Borrowing Costs?," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113199, Verein für Socialpolitik / German Economic Association.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: can they reduce sovereign borrowing costs?," Working Paper Series 2162, European Central Bank.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CEPR Discussion Papers 13020, C.E.P.R. Discussion Papers.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: Can they reduce sovereign borrowing costs?," Kiel Working Papers 2109, Kiel Institute for the World Economy (IfW).
  • Marcos Chamon & Julian Schumacher & Christoph Trebesch, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CESifo Working Paper Series 7137, CESifo Group Munich.
• Sigaux, Jean-David, 2018. "Trading ahead of treasury auctions," Working Paper Series 2208, European Central Bank.
• Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2018. "Re-use of collateral: leverage, volatility, and welfare," Working Paper Series 2218, European Central Bank.
• Schwert, Michael, 2018. "Is Borrowing from Banks More Expensive than Borrowing from the Market?," Working Paper Series 2017-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Söhnke M. Bartram & Gregory W. Brown & René M. Stulz, 2018. "Why has Idiosyncratic Risk been Historically Low in Recent Years?," NBER Working Papers 24270, National Bureau of Economic Research, Inc.
  • Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2018. "Why Has Idiosyncratic Risk Been Historically Low in Recent Years?," Working Paper Series 2018-02, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2018. "Motivating Factors," Working Paper Series 2018-03, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Ben-David, Itzhak & Li, Zhi & Wang, Zexi, 2018. "Financial Constraints and Industry Dynamics," Working Paper Series 2018-09, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2018. "Q5," Working Paper Series 2018-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Karnaukh, Nina, 2018. "The Dollar Ahead of FOMC Target Rate Changes," Working Paper Series 2018-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Li, Ye & Wang, Chen, 2018. "Rediscover Predictability: Information from the Relative Prices of Long-Term and Short-Term Dividends," Working Paper Series 2018-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Leif Andersen & Darrell Duffie & Yang Song, 2017. "Funding Value Adjustments," NBER Working Papers 23680, National Bureau of Economic Research, Inc.
  • Duffie, Darrell & Andersen, Leif & Song, Yang, 2018. "Funding Value Adjustments," Research Papers 3571, Stanford University, Graduate School of Business.
• Krishnamurthy, Arvind & Archarya, Viral V., 2018. "Capital Flow Management with Multiple Instruments," Research Papers 3646, Stanford University, Graduate School of Business.
• Lee, Charles M. C. & Qu, Yuanyu & Shen, Tao, 2018. "Going Public in China: Reverse Mergers versus IPOs," Research Papers 3655, Stanford University, Graduate School of Business.
• Guihai Zhao, 2018. "Ambiguity, Nominal Bond Yields and Real Bond Yields," Staff Working Papers 18-24, Bank of Canada.
• Jeffrey Gao & Jianjian Jin & Jacob Thompson, 2018. "The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market," Staff Working Papers 18-35, Bank of Canada.
• Sara Ferreira Filipe, 2018. "Housing prices and mortgage credit in Luxembourg," BCL working papers 117, Central Bank of Luxembourg.
• Alberto Fuertes & Ricardo Gimeno & José Manuel Marqués, 2018. "Extraction of inflation expectations from financial instruments in Latin America," Working Papers 1819, Banco de España;Working Papers Homepage.
• Filippo Natoli, 2018. "Analyzing the structural transformation of commodity markets: financialization revisited," Questioni di Economia e Finanza (Occasional Papers) 419, Bank of Italy, Economic Research and International Relations Area.
• Fabrizio Venditti & Francesco Columba & Alberto Maria Sorrentino, 2018. "A risk dashboard for the Italian economy," Questioni di Economia e Finanza (Occasional Papers) 425, Bank of Italy, Economic Research and International Relations Area.
• Michele Manna & Stefano Nobili, 2018. "Banks' holdings of and trading in government bonds," Temi di discussione (Economic working papers) 1166, Bank of Italy, Economic Research and International Relations Area.
• Grasso, Adriana & Natoli, Filippo, 2018. "Consumption volatility risk and the inversion of the yield curve," Working Paper Series 2141, European Central Bank.
  • Adriana Grasso & Filippo Natoli, 2018. "Consumption volatility risk and the inversion of the yield curve," Temi di discussione (Economic working papers) 1169, Bank of Italy, Economic Research and International Relations Area.
• Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
• Marcello Pericoli, 2018. "Macroeconomics determinants of the correlation between stocks and bonds," Temi di discussione (Economic working papers) 1198, Bank of Italy, Economic Research and International Relations Area.
• García-Verdú Santiago & Ramos Francia Manuel & Sánchez-Martínez Manuel, 2018. "TIIE-28 Swaps as Risk-Adjusted Forecasts of Monetary Policy in Mexico," Working Papers 2018-16, Banco de México.
• García-Verdú Santiago & Ramos Francia Manuel, 2018. "On the Costs of Deflation: A Consumption-Based Approach," Working Papers 2018-20, Banco de México.
• Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon & Sebastian Sanin-Restrepo, 2018. "Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality," Borradores de Economia 1051, Banco de la Republica de Colombia.
• Christian Pfister, 2018. "(Real-)Time Is Money," Working papers 675, Banque de France.
• Pierlauro Lopez & David Lopez-Salido & Francisco Vazquez-Grande, 2018. "Risk-Adjusted Linearizations of Dynamic Equilibrium Models," Working papers 702, Banque de France.
• Apesteguia, Jose & Oechssler, Jörg & Weidenholzer, Simon, 2018. "Copy Trading," Working Papers 0649, University of Heidelberg, Department of Economics.
  • Jose Apesteguia & Jörg Oechssler & Simon Weidenholzer, 2018. "Copy Trading," Working Papers 1048, Barcelona Graduate School of Economics.
• Kristyna Ters & Jörg Urban, 2018. "Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model," BIS Working Papers 689, Bank for International Settlements.
• Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," CIS Discussion paper series 667, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
  • Masazumi Hattori & Ilhyock Shim & Yoshihiko Sugihara, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," BIS Working Papers 702, Bank for International Settlements.
• Sven Klingler & Suresh Sundaresan, 2018. "An explanation of negative swap spreads: demand for duration from underfunded pension plans," BIS Working Papers 705, Bank for International Settlements.
• Elías Albagli & Luis Ceballos & Sebastián Claro & Damián Romero, 2015. "Channels of US Monetary Policy Spillovers into International Bond Markets," Working Papers Central Bank of Chile 771, Central Bank of Chile.
  • Elias Albagli & Luis Ceballos & Sebastián Claro & Damian Romero, 2018. "Channels of US monetary policy spillovers to international bond markets," BIS Working Papers 719, Bank for International Settlements.
• Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2018. "Identifying oil price shocks and their consequences: the role of expectations in the crude oil market," BIS Working Papers 725, Bank for International Settlements.
• Monika Piazzesi & Martin Schneider, 2018. "Payments, credit and asset prices," BIS Working Papers 734, Bank for International Settlements.
• Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or Qualitative Forward Guidance: Does it Matter?," CESifo Working Paper Series 7314, CESifo Group Munich.
  • Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," BIS Working Papers 742, Bank for International Settlements.
  • Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," CAMA Working Papers 2018-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Anna Cieslak & Andreas Schrimpf, 2018. "Non-monetary news in central bank communication," BIS Working Papers 761, Bank for International Settlements.
• Saskia Ter Ellen & Edvard Jansen & Nina Larsson Midthjell, 2018. "ECB spillovers and domestic monetary policy effectiveness in small open economies," Working Paper 2018/9, Norges Bank.
• Boneva, Lena & de Roure, Calebe & Morley, Ben, 2018. "The impact of the Bank of England’s Corporate Bond Purchase Scheme on yield spreads," Bank of England working papers 719, Bank of England.
• Karvik, Geir-Are & Noss, Joseph & Worlidge, Jack & Beale, Daniel, 2018. "The deeds of speed: an agent-based model of market liquidity and flash episodes," Bank of England working papers 743, Bank of England.
• Brugler, James & Linton, Oliver & Noss, Joseph & Pedace, Lucas, 2018. "The cross-sectional spillovers of single stock circuit breakers," Bank of England working papers 759, Bank of England.
• Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
  • Lloyd, Simon, 2018. "Estimating nominal interest rate expectations: overnight indexed swaps and the term structure," Bank of England working papers 763, Bank of England.
• Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2018. "The information in the joint term structures of bond yields," Bank of England working papers 772, Bank of England.
• Carpenter, Jennifer N. & Lu, Fangzhou & Whitelaw, Robert F., 2018. "The real value of China’s stock market," BOFIT Discussion Papers 2, Bank of Finland, Institute for Economies in Transition.
• Carpenter, Jennifer N. & Lu, Fangzhou & Whitelaw, Robert F., 2018. "The real value of China’s stock market," BOFIT Discussion Papers 2/2018, Bank of Finland, Institute for Economies in Transition.
• Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1/2018, Bank of Finland.
  • Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1, Bank of Finland.
• Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1, Bank of Finland.
  • Lof, Matthijs & Bommel, Jos van, 2018. "Asymmetric information and the distribution of trading volume," Research Discussion Papers 1/2018, Bank of Finland.
• Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
• Dimitris A. Georgoutsos & Petros M. Migiakis, 2018. "Risk perceptions and fundamental effects on sovereign spreads," Working Papers 250, Bank of Greece.
• Dimitris Malliaropulos & Petros Migiakis, 2018. "Quantitative easing and sovereign bond yields: a global perspective," Working Papers 253, Bank of Greece.
• Cheolbeom Park & Suyeon Park, 2018. "Rare Disasters and Exchange Rates: An Empirical Investigation of South Korean Exchange Rates under Tension between the Two Koreas," Working Papers 2018-8, Economic Research Institute, Bank of Korea.
• Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018. "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers 123, Brandeis University, Department of Economics and International Businesss School.
• Altermatt, Lukas, 2018. "Savings, asset scarcity, and monetary policy," Working papers 2018/13, Faculty of Business and Economics - University of Basel.
• Winter, Christoph, 2018. "The Impact of Heterogeneous Signals on Stock Price Predictability in a Rational Expectations Model," Working papers 2018/21, Faculty of Business and Economics - University of Basel.
• Winter, Christoph, 2018. "The Impact of Heterogeneous Signals on Stock Price Predictability in a Strategic Trade Model," Working papers 2018/22, Faculty of Business and Economics - University of Basel.
• Samir Kadiric & Arthur Korus, 2018. "Effects of Brexit on Corporate Yield Spreads: Evidence from UK and Eurozone Corporate Bond Markets," EIIW Discussion paper disbei251, Universitätsbibliothek Wuppertal, University Library.
• Anil Ari & Giancarlo Corsetti & Luca Dedola, 2018. "Debt Seniority and Sovereign Debt Crises," IMF Working Papers 18/104, International Monetary Fund.
  • Ari, A. & Corsetti, G. & Dedola, L., 2018. "Debt Seniority and Sovereign Debt Crises," Cambridge Working Papers in Economics 1831, Faculty of Economics, University of Cambridge.
• João M. Pinto & Mário C. Santos, 2018. "The Choice Between Corporate And Structured Financing: Evidence From New Corporate Borrowings," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
• Guodong Chen & Minjoon Lee & Tong-yob Nam, 2018. "Forced Retirement Risk and Portfolio Choice," Carleton Economic Papers 18-06, Carleton University, Department of Economics.
• De Sola Perea, Maite & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2018. "Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment," Research Technical Papers 3/RT/18, Central Bank of Ireland.
• Cronin, David & Dunne, Peter G., 2018. "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series 66, European Systemic Risk Board.
  • Cronin, David & Dunne, Peter G., 2018. "How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device," Research Technical Papers 4/RT/18, Central Bank of Ireland.
• Dunne, Peter G., 2018. "Positive Liquidity Spillovers from Sovereign Bond-Backed Securities," Research Technical Papers 5/RT/18, Central Bank of Ireland.
• Moritz Wagner & John Byong-Tek Lee & Dimitris Margaritis, 2018. "Mutual Fund Flows and Seasonalities in Stock Returns," Working Papers in Economics 18/17, University of Canterbury, Department of Economics and Finance.
• Athanasios Geromichalos & Lucas Herrenbrueck & Sukjoon Lee, 2018. "Asset Safety versus Asset Liquidity," Working Papers 326, University of California, Davis, Department of Economics.
• Athanasios Geromichalos & Lucas Herrenbrueck & Sukjoon Lee, 2018. "Asset Safety versus Asset Liquidity," Working Papers 9914, University of California, Davis, Department of Economics.
• Christian A. L. Hilber & Olivier Schöni, 2018. "The Economic Impacts of Constraining Home Investments," CEP Discussion Papers dp1556, Centre for Economic Performance, LSE.
• Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2018. "Formation of Market Beliefs in the Oil Market," CERGE-EI Working Papers wp619, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1718, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Alex Plastun, 2018. "Price Overreactions in the Cryptocurrency Market," CESifo Working Paper Series 6861, CESifo Group Munich.
• Schmalz, Martin & Zhuk, Sergey, 2018. "Revealing Downturns," CEPR Discussion Papers 12597, C.E.P.R. Discussion Papers.
  • Martin C. Schmalz & Sergey Zhuk, 2018. "Revealing Downturns," CESifo Working Paper Series 6879, CESifo Group Munich.
• Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M. Taylor, 2017. "The Rate of Return on Everything, 1870–2015," NBER Working Papers 24112, National Bureau of Economic Research, Inc.
  • Òscar Jordà & Katharina Knoll & Dmitry Kuvshinov & Moritz Schularick & Alan M. Taylor, 2018. "The Rate of Return on Everything, 1870-2015," CESifo Working Paper Series 6899, CESifo Group Munich.
  • Jorda, Oscar & Knoll, Katharina & Kuvshinov, Dmitry & Schularick, Moritz & Taylor, Alan M., 2017. "The Rate of Return on Everything, 1870–2015," Working Paper Series 2017-25, Federal Reserve Bank of San Francisco.
  • Jord�, �scar & Knoll, Katharina & Kuvshinov, Dmitry & Schularick, Moritz & Taylor, Alan M., 2017. "The Rate of Return on Everything, 1870-2015," CEPR Discussion Papers 12509, C.E.P.R. Discussion Papers.
• Guglielmo Maria Caporale & Alex Plastun, 2018. "On the Frequency of Price Overreactions," CESifo Working Paper Series 7011, CESifo Group Munich.
• Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," IMF Working Papers 18/98, International Monetary Fund.
  • Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," CESifo Working Paper Series 7072, CESifo Group Munich.
• Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: Can they reduce sovereign borrowing costs?," Journal of International Economics, Elsevier, vol. 114(C), pages 164-179.
  • Schumacher, Julian & Chamon, Marcos & Trebesch, Christoph, 2015. "Foreign Law Bonds: Can They Reduce Sovereign Borrowing Costs?," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113199, Verein für Socialpolitik / German Economic Association.
  • Marcos Chamon & Julian Schumacher & Christoph Trebesch, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CESifo Working Paper Series 7137, CESifo Group Munich.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CEPR Discussion Papers 13020, C.E.P.R. Discussion Papers.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: can they reduce sovereign borrowing costs?," Working Paper Series 2162, European Central Bank.
  • Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018. "Foreign-law bonds: Can they reduce sovereign borrowing costs?," Kiel Working Papers 2109, Kiel Institute for the World Economy (IfW).
• Jean-Baptiste Michau & Yoshiyasu Ono & Matthias Schlegl, 2018. "Wealth Preference and Rational Bubbles," ISER Discussion Paper 1035, Institute of Social and Economic Research, Osaka University.
  • Jean-Baptiste Michau & Yoshiyasu Ono & Matthias Schlegl, 2018. "Wealth Preference and Rational Bubbles," CESifo Working Paper Series 7148, CESifo Group Munich.
• Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo Group Munich.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo Group Munich.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo Group Munich.
• Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," NBER Working Papers 25016, National Bureau of Economic Research, Inc.
  • Refet S. Gürkaynak & Burçin Kısacıkoğlu & Jonathan H. Wright, 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," CESifo Working Paper Series 7229, CESifo Group Munich.
  • Gürkaynak, Refet S. & Kisacikoglu, Burçin & Wright, Jonathan H., 2018. "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," CEPR Discussion Papers 13153, C.E.P.R. Discussion Papers.
• Caporale Guglielmo Maria & Luis A. Gil-Alana & Trilochan Tripathy, 2018. "Persistence in the Russian Stock Market Volatility Indices," CESifo Working Paper Series 7243, CESifo Group Munich.
• Guglielmo Maria Caporale & Alex Plastun & Viktor Oliinyk, 2018. "Bitcoin Fluctuations and the Frequency of Price Overreactions," CESifo Working Paper Series 7280, CESifo Group Munich.
• Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," NBER Working Papers 25122, National Bureau of Economic Research, Inc.
  • Klaus Adam & Dmitry Matveev & Stefan Nagel, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CESifo Working Paper Series 7285, CESifo Group Munich.
  • Adam, Klaus & Matveev, Dmitry & Nagel, Stefan, 2018. "Do survey expectations of stock returns reflect risk-adjustments?," CFS Working Paper Series 600, Center for Financial Studies (CFS).
  • Adam, Klaus & Maatvev, Dmitry & Nagel, Stefan, 2018. "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers 13213, C.E.P.R. Discussion Papers.
• Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," BIS Working Papers 742, Bank for International Settlements.
  • Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or Qualitative Forward Guidance: Does it Matter?," CESifo Working Paper Series 7314, CESifo Group Munich.
  • Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," CAMA Working Papers 2018-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Harjaat S. Bhamra & Christian Dorion & Alexandre Jeanneret & Michael Weber, 2018. "Low Inflation: High Default Risk AND High Equity Valuations," CESifo Working Paper Series 7391, CESifo Group Munich.
• Giovanni Cespa & Xavier Vives, 2018. "Exchange Competition, Entry, and Welfare," CESifo Working Paper Series 7432, CESifo Group Munich.
• Wolfinger, Julia & Köhler, Ekkehard A. & Feld, Lars P. & Thomas, Tobias, 2018. "57 Channels (And Nothin On): Does TV-News on the Eurozone affect Government Bond Yield Spreads?," Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181610, Verein für Socialpolitik / German Economic Association.
  • Julia Wolfinger & Lars P. Feld & Ekkehard A. Köhler & Tobias Thomas, 2018. "57 Channels (And Nothin On) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?," CESifo Working Paper Series 7437, CESifo Group Munich.
• Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Economics Series Working Papers 846, University of Oxford, Department of Economics.
  • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Discussion Papers 1807, Centre for Macroeconomics (CFM).
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty contests and the term structure," LSE Research Online Documents on Economics 87384, London School of Economics and Political Science, LSE Library.
• Pinter, Gabor, 2018. "Macroeconomic shocks and risk premia," LSE Research Online Documents on Economics 90370, London School of Economics and Political Science, LSE Library.
  • Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
• Peter Kondor & Gabor Pinter, 2018. "Private Information and Client Connections in Government Bond Markets," Discussion Papers 1901, Centre for Macroeconomics (CFM).
• Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers REM 2018/26, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  • Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers Department of Economics 2018/01, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
• Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers Department of Economics 2018/01, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  • Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers REM 2018/26, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Maria Teresa Medeiros Garcia & Vítor Hugo Ferreira Carvalho, 2018. "A static approach to the Nelson-Siegel-Svensson model: an application for several negative yield cases," Working Papers REM 2018/35, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Sudipto Karmakar & Francisco Buera, 2017. "Real Effects of Financial Distress: The Role of Heterogeneity," 2017 Meeting Papers 1356, Society for Economic Dynamics.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers REM 2018/36, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  • Francisco Buera & Sudipto Karmakar, 2018. "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers w201806, Banco de Portugal, Economics and Research Department.
• Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Paper Series 1198, Research Institute of Industrial Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," IZA Discussion Papers 11357, Institute for the Study of Labor (IZA).
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Papers 2018:1, Lund University, Department of Economics.
  • Marco Di Maggio & Amir Kermani & Kaveh Majlesi, 2018. "Stock Market Returns and Consumption," NBER Working Papers 24262, National Bureau of Economic Research, Inc.
• Butler, David & Cheung, Stephen L., 2018. "Mind, Body, Bubble! Psychological and Biophysical Dimensions of Behavior in Experimental Asset Markets," IZA Discussion Papers 11563, Institute for the Study of Labor (IZA).
• Colasante, Annarita & Alfarano, Simone & Camacho-Cuena, Eva, 2018. "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," MPRA Paper 84835, University Library of Munich, Germany.
  • Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena, 2018. "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," Working Papers 2018/02, Economics Department, Universitat Jaume I, Castellón (Spain).
• William, Barnett & Qing, Han & Jianbo, Zhang, 2018. "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," MPRA Paper 88261, University Library of Munich, Germany.
  • William Barnett & Qing Han & Jianbo Zhang, 2018. "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201806, University of Kansas, Department of Economics, revised Aug 2018.
• Mert Demirer & Umut Gokcen & Kamil Yilmaz, 2018. "Financial Sector Volatility Connectedness and Equity Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1803, Koc University-TUSIAD Economic Research Forum.
• Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
• Chiaki Hara & Toshiki Honda, 2018. "ImpliedAmbiguity:Mean-Variance Efficiency andPricingErrors," KIER Working Papers 1004, Kyoto University, Institute of Economic Research.
• Chiaki Hara, 2018. "Equilibrium Prices of the Market Portfolio in the CAPM with Incomplete Financial Markets," KIER Working Papers 1005, Kyoto University, Institute of Economic Research.
• Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018. "Speculative activity and returns volatility of Chinese major agricultural commodity futures," CAMA Working Papers 2018-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or Qualitative Forward Guidance: Does it Matter?," CESifo Working Paper Series 7314, CESifo Group Munich.
  • Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," CAMA Working Papers 2018-36, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018. "Quantitative or qualitative forward guidance: Does it matter?," BIS Working Papers 742, Bank for International Settlements.
• Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Economics Series Working Papers 846, University of Oxford, Department of Economics.
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty contests and the term structure," LSE Research Online Documents on Economics 87384, London School of Economics and Political Science, LSE Library.
  • Martin Ellison & Andreas Tischbirek, 2018. "Beauty Contests and the Term Structure," Discussion Papers 1807, Centre for Macroeconomics (CFM).
  • Ellison, Martin & Tischbirek, Andreas, 2018. "Beauty Contests and the Term Structure," CEPR Discussion Papers 12762, C.E.P.R. Discussion Papers.
• Kremens, Lukas & Martin, Ian, 2017. "The Quanto Theory of Exchange Rates," CEPR Discussion Papers 11970, C.E.P.R. Discussion Papers.
  • Kremens, Lukas & Martin, Ian, 2018. "The quanto theory of exchange rates," LSE Research Online Documents on Economics 89839, London School of Economics and Political Science, LSE Library.
• Gabor Pinter, 2018. "Macroeconomic Shocks and Risk Premia," Discussion Papers 1812, Centre for Macroeconomics (CFM).
  • Pinter, Gabor, 2018. "Macroeconomic shocks and risk premia," LSE Research Online Documents on Economics 90370, London School of Economics and Political Science, LSE Library.
• Hilber, Christian A. L. & Schöni, Olivier, 2018. "The economic impacts of constraining second home investments," LSE Research Online Documents on Economics 91677, London School of Economics and Political Science, LSE Library.
• Petr Jakubik & Eveline Turturescu, 2018. "Potential drivers of insurers equity investments," EIOPA Financial Stability Report - Thematic Articles 12, EIOPA, Risks and Financial Stability Department.
• Lorenzo Danieli & Petr Jakubik, 2018. "Early warning system for the European Insurance Sector," EIOPA Financial Stability Report - Thematic Articles 13, EIOPA, Risks and Financial Stability Department.
• Chia-Lin Chang & Te-Ke Mai & Michael Mcaleer, 2018. "Pricing Carbon Emissions In China," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-37, September.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing Carbon Emissions in China," Tinbergen Institute Discussion Papers 18-001/III, Tinbergen Institute.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Pricing Carbon Emissions in China," Econometric Institute Research Papers EI 2018-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Pricing carbon emissions in China," Documentos de Trabajo del ICAE 2018-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Chia-Lin Chang & Michael McAleer & Te-Ke Mai, 2018. "Establishing National Carbon Emission Prices for China," Documentos de Trabajo del ICAE 2018-10, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018. "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers 18-028/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Te-Ke Mai & Michael McAleer, 2018. "Establishing National Carbon Emission Prices for China," Tinbergen Institute Discussion Papers 18-028/III, Tinbergen Institute.
• Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 2018-052/III, Tinbergen Institute.
  • Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers TI 2018-052/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Tinbergen Institute Discussion Papers 18-052/III, Tinbergen Institute.
  • Chia-Lin Chang & Michael McAleer & Yu-Ann Wang, 2018. "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Documentos de Trabajo del ICAE 2018-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
• Marcin Jaskowski & Michael McAleer, 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Documentos de Trabajo del ICAE 2018-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Jaskowski, M. & McAleer, M.J., 2018. "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers EI 208-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(4), pages 1-25, September.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Documentos de Trabajo del ICAE 2018-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers EI2018-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2018. "Dynamic return and volatility spillovers among S&P 500, crude oil and gold," Working Papers 15-46, Eastern Mediterranean University, Department of Economics.
• Karel Janda, 2018. "Earnings Stability and Peer Selection for Indirect Valuation," Working Papers IES 2018/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2018.
• Onrej Tobek & Martin Hronec, 2018. "Does the Source of Fundamental Data Matter?," Working Papers IES 2018/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Aug 2018.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2018. "Monetary policy asset bubbles," Documents de Travail de l'OFCE 2018-37, Observatoire Francais des Conjonctures Economiques (OFCE).
• Wang, J. Christina, 2018. "Technology, the nature of information, and fintech marketplace lending," Current Policy Perspectives 18-3, Federal Reserve Bank of Boston.
• Song, Dongho & Tang, Jenny, 2018. "News-driven uncertainty fluctuations," Working Papers 18-3, Federal Reserve Bank of Boston.
• Illenin Kondo & Fabrizio Perri & Sewon Hur, 2016. "Inflation, Debt, and Default," 2016 Meeting Papers 1610, Society for Economic Dynamics.
  • Hur, Sewon & Kondo, Illenin O. & Perri, Fabrizio, 2018. "Inflation, Debt, and Default," Working Papers (Old Series) 1812, Federal Reserve Bank of Cleveland.
• Martinez-Garcia, Enrique & Grossman, Valerie, 2018. "Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World," Globalization Institute Working Papers 342, Federal Reserve Bank of Dallas, revised 01 Sep 2018.
• de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2018. "Valuation Risk Revalued," Working Papers 1808, Federal Reserve Bank of Dallas.
• Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
  • Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
  • Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018. "Global Financial Cycles and Risk Premiums," NBER Working Papers 24677, National Bureau of Economic Research, Inc.
  • Jorda, Oscar & Schularick, Moritz & Taylor, Alan M. & Ward, Felix, 2018. "Global Financial Cycles and Risk Premiums," Working Paper Series 2018-5, Federal Reserve Bank of San Francisco.
  • Jordá, Óscar & Schularick, Moritz & Taylor, Alan M. & Ward, Felix, 2018. "Global financial cycles and risk premiums," CEPR Discussion Papers 12969, C.E.P.R. Discussion Papers.
• Christensen, Jens H. E. & Lopez, Jose A. & Mussche, Paul, 2018. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Working Paper Series 2018-9, Federal Reserve Bank of San Francisco.
• Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2018. "Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?," Working Paper Series 2018-14, Federal Reserve Bank of San Francisco.
• Andrew Y. Chen & Thomas Zimmermann, 2018. "Publication Bias and the Cross-Section of Stock Returns," Finance and Economics Discussion Series 2018-033, Board of Governors of the Federal Reserve System (US).
• Andrew C. Chang, 2018. "Nothing is Certain Except Death and Taxes : The Lack of Policy Uncertainty from Expiring "Temporary" Taxes," Finance and Economics Discussion Series 2018-041, Board of Governors of the Federal Reserve System (US).
• Eric Engstrom & Steven A. Sharpe, 2018. "The Near-Term Forward Yield Spread as a Leading Indicator : A Less Distorted Mirror," Finance and Economics Discussion Series 2018-055, Board of Governors of the Federal Reserve System (US).
• Martin M. Andreasen & Andrew C. Meldrum, 2018. "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series 2018-056, Board of Governors of the Federal Reserve System (US).
• Song Han & Alan G. Huang & Madhu Kalimipalli & Ke Wang, 2018. "Information and Liquidity of OTC Securities : Evidence from Public Registration of Rule 144A Bonds," Finance and Economics Discussion Series 2018-061, Board of Governors of the Federal Reserve System (US).
• Scott Mixon & Tugkan Tuzun, 2018. "Price Pressure and Price Discovery in the Term Structure of Interest Rates," Finance and Economics Discussion Series 2018-065, Board of Governors of the Federal Reserve System (US).
• Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena, 2018. "Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement," Finance and Economics Discussion Series 2018-081, Board of Governors of the Federal Reserve System (US).
• A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2018. "Does Smooth Ambiguity Matter for Asset Pricing?," International Finance Discussion Papers 1221, Board of Governors of the Federal Reserve System (U.S.).
• Bastian von Beschwitz & Donald B. Keim & Massimo Massa, 2018. "First to "Read" the News: New Analytics and Algorithmic Trading," International Finance Discussion Papers 1233, Board of Governors of the Federal Reserve System (U.S.).
• Olivier J Blanchard & Christopher G. Collins & Mohammad R. Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018. "Why Has the Stock Market Risen So Much Since the US Presidential Election?," Policy Briefs PB18-4, Peterson Institute for International Economics.
  • Olivier Jean Blanchard & Christopher G. Collins & Mohammad Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018. "Why Has the Stock Market Risen So Much Since the US Presidential Election?," International Finance Discussion Papers 1235, Board of Governors of the Federal Reserve System (U.S.).
• Velde, Francois R., 2018. "Lottery Loans in the Eighteenth Century," Working Paper Series WP-2018-7, Federal Reserve Bank of Chicago.
• Benzoni, Luca & Chyruk, Olena & Kelley, David, 2018. "Why Does the Yield-Curve Slope Predict Recessions?," Chicago Fed Letter, Federal Reserve Bank of Chicago.
  • Benzoni, Luca & Chyruk, Olena & Kelley, David, 2018. "Why Does the Yield-Curve Slope Predict Recessions?," Working Paper Series WP-2018-15, Federal Reserve Bank of Chicago.
• Emmanuel Farhi & François Gourio, 2018. "Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia," NBER Working Papers 25282, National Bureau of Economic Research, Inc.
  • Farhi, Emmanuel & Gourio, Francois, 2018. "Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia," Working Paper Series WP-2018-19, Federal Reserve Bank of Chicago.
• D'Amico, Stefania & Pancost, N. Aaron, 2018. "Special Repo Rates and the Cross-Section of Bond Prices: the Role of the Special Collateral Risk Premium," Working Paper Series WP-2018-21, Federal Reserve Bank of Chicago.
• Breach , Tomas & King, Thomas B., 2018. "Securities Financing and Asset Markets: New Evidence," Working Paper Series WP-2018-22, Federal Reserve Bank of Chicago.
• Chien, YiLi & Lee, Junsang, 2018. "The Real Term Premium in a Stationary Economy with Segmented Asset Markets," Working Papers 2018-30, Federal Reserve Bank of St. Louis.
• Chari, V. V., 2018. "The Role of Uncertainty and Risk in Climate Change Economics," Staff Report 576, Federal Reserve Bank of Minneapolis.
• Alvarez, Fernando & Atkeson, Andrew, 2018. "The Risk of Becoming Risk Averse: A Model of Asset Pricing and Trade Volumes," Staff Report 577, Federal Reserve Bank of Minneapolis.
• Kovner, Anna & Van Tassel, Peter, 2018. "Regulatory changes and the cost of capital for banks," Staff Reports 854, Federal Reserve Bank of New York, revised 01 Oct 2018.
• Antill, Samuel & Sarkar, Asani, 2018. "Is size everything?," Staff Reports 864, Federal Reserve Bank of New York.
• Mertens, Thomas M. & Williams, John C., 2018. "What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices," Working Paper Series 2018-3, Federal Reserve Bank of San Francisco.
  • Mertens, Thomas M. & Williams, John C., 2018. "What to expect from the lower bound on interest rates: evidence from derivatives prices," Staff Reports 865, Federal Reserve Bank of New York.
• Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
  • Del Negro, Marco & Giannone, Domenico & Giannoni, Marc & Tambalotti, Andrea, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
  • Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
• Van Tassel, Peter, 2018. "Relative pricing and risk premia in equity volatility markets," Staff Reports 867, Federal Reserve Bank of New York.
• Boyarchenko, Nina & Giannone, Domenico & Shachar, Or, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
• Allen, Franklin & Goldstein, Itay & Jagtiani, Julapa, 2018. "The Interplay Among Financial Regulations, Resilience, and Growth," Working Papers 18-9, Federal Reserve Bank of Philadelphia.
• Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2017. "Pricing sin stocks: Ethical preference vs. risk aversion," IWH Discussion Papers 20/2017, Halle Institute for Economic Research (IWH).
  • Giuliano Curatola & Stefano Colonnello & Alessandro Gioffré, 2018. "Pricing Sin Stocks: Ethical Preference vs. Risk Aversion," Working Papers - Economics wp2018_05.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  • Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2018. "Pricing sin stocks: Ethical preference vs. risk aversion," SAFE Working Paper Series 216, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Abramov Alexander, 2018. "Financial Markets and Financial Institutions in Russia in 2017," Published Papers ppaper-2018-305, Gaidar Institute for Economic Policy, revised 2018.
• Ana Sofia Monteiro & Hélder Sebastião & Nuno Silva, 2018. "Predictability of stock returns and dividend growth using dividend yields: An international approach," CeBER Working Papers 2018-10, Centre for Business and Economics Research (CeBER), University of Coimbra.
• Stöckl, Thomas & Palan, Stefan, 2018. "Catch me if you can. Can human observers identify insiders in asset markets?," Journal of Economic Psychology, Elsevier, vol. 67(C), pages 1-17.
  • Thomas Stöckl & Stefan Palan, 2018. "Catch me if you can. Can human observers identify insiders in asset markets?," Working Paper Series, Social and Economic Sciences 2018-01, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
• Ferikawita M. Sembiring, 2018. "Three-Factor and Five-Factor Models: Implementation of Fama and French Model on Market Overreaction Conditions," GATR Journals jfbr150, Global Academy of Training and Research (GATR) Enterprise.
• Selmi, Refk & Mensi, Walid & Hammoudeh, Shawkat & Bouoiyour, Jamal, 2018. "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Energy Economics, Elsevier, vol. 74(C), pages 787-801.
  • Jamal Bouoiyour & W. Mensi & Refk Selmi & . Shewkat, 2018. "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Post-Print hal-01879667, HAL.
• Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 26(C), pages 100-105.
  • Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018. "Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis," Post-Print hal-01879668, HAL.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2012.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018. "Ambiguity and the historical equity premium," Post-Print halshs-01886571, HAL.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2017. "Ambiguity and the Historical Equity Premium," Post-Print hal-01646155, HAL.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rrr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2016.
  • Sujoy Mukerji & Kevin Sheppard & Fabrice Collard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Economics Series Working Papers 550, University of Oxford, Department of Economics.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2011. "Ambiguity and the historical equity premium," Documents de travail du Centre d'Economie de la Sorbonne 11032rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2015.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2017. "Ambiguity and the historical equity premium," Working Papers 835, Queen Mary University of London, School of Economics and Finance.
  • Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2016. "Ambiguity and the historical equity premium," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00594096, HAL.
• Saker Sabkha & Christian De Peretti, 2018. "On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market," Working Papers hal-01710398, HAL.
• Foucault, Thierry & Benamar, Hedi & Vega, Clara, 2018. "Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News," HEC Research Papers Series 1263, HEC Paris, revised 03 May 2018.
  • Hedi Benamar & Thierry Foucault & Clara Vega, 2018. "Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News," Working Papers hal-01933891, HAL.
• Becker, Janis & Leschinski, Christian, 2018. "Directional Predictability of Daily Stock Returns," Hannover Economic Papers (HEP) dp-624, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Becker, Janis & Leschinski, Christian, 2018. "Estimating the Volatility of Asset Pricing Factors," Hannover Economic Papers (HEP) dp-631, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Becker, Janis & Leschinski, Christian, 2018. "The Bias of Realized Volatility," Hannover Economic Papers (HEP) dp-642, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
• Daniel L. Tortorice & Arben Kita, 2018. "Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries," Working Papers 1801, College of the Holy Cross, Department of Economics.
• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2018. "The Price of BitCoin: GARCH Evidence from High Frequency Data," Papers 1812.09452, arXiv.org.
  • Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2018. "The Price of BitCoin: GARCH Evidence from High Frequency Data," EERI Research Paper Series EERI RP 2018/14, Economics and Econometrics Research Institute (EERI), Brussels.
• Marco Di Maggio & Amir Kermani & Kaveh Majlesi, 2018. "Stock Market Returns and Consumption," NBER Working Papers 24262, National Bureau of Economic Research, Inc.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Paper Series 1198, Research Institute of Industrial Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Papers 2018:1, Lund University, Department of Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," IZA Discussion Papers 11357, Institute for the Study of Labor (IZA).
• Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Paper Series 1198, Research Institute of Industrial Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," Working Papers 2018:1, Lund University, Department of Economics.
  • Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018. "Stock Market Returns and Consumption," IZA Discussion Papers 11357, Institute for the Study of Labor (IZA).
  • Marco Di Maggio & Amir Kermani & Kaveh Majlesi, 2018. "Stock Market Returns and Consumption," NBER Working Papers 24262, National Bureau of Economic Research, Inc.
• Polakova, Aija, 2018. "Name and shame? Evidence from the European Union tax haven blacklist," Discussion Papers 2018/18, Norwegian School of Economics, Department of Business and Management Science.
• Gavrilova, Evelina & Polakova, Aija, 2018. "Stairway to (Secrecy) Heaven: Market Attitudes towards Secrecy Shopping," Discussion Papers 2018/19, Norwegian School of Economics, Department of Business and Management Science.
• Febi Wulandari & Dorothea Schäfer & Andreas Stephan & Chen Sun, 2018. "Liquidity Risk and Yield Spreads of Green Bonds," Discussion Papers of DIW Berlin 1728, DIW Berlin, German Institute for Economic Research.
  • Wulandaria, Febi & Schäfer, Dorothea & Stephan, Andreas & Sun, Chen, 2018. "Liquidity risk and yield spreads of green bonds," Ratio Working Papers 305, The Ratio Institute.
• Souza, Thiago de Oliveira, 2018. "Size-related premiums," Discussion Papers of Business and Economics 3/2018, University of Southern Denmark, Department of Business and Economics.
• Klova, Valeriia & Odegaard, Bernt Arne, 2018. "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance 2018/4, University of Stavanger, revised 20 Aug 2018.
• Masazumi Hattori & Ilhyock Shim & Yoshihiko Sugihara, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," BIS Working Papers 702, Bank for International Settlements.
  • Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2018. "Cross-stock market spillovers through variance risk premiums and equity flows," CIS Discussion paper series 667, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
• Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018. "Sectoral Labor Reallocation and Return Predictability," Working Papers 2018-006, Human Capital and Economic Opportunity Working Group.
• Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
  • Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  • Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers 627, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
• Olivier Jean Blanchard & Christopher G. Collins & Mohammad Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018. "Why Has the Stock Market Risen So Much Since the US Presidential Election?," International Finance Discussion Papers 1235, Board of Governors of the Federal Reserve System (U.S.).
  • Olivier J Blanchard & Christopher G. Collins & Mohammad R. Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018. "Why Has the Stock Market Risen So Much Since the US Presidential Election?," Policy Briefs PB18-4, Peterson Institute for International Economics.
• Trebesch, Christoph & Zettelmeyer, Jeromin, 2015. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112809, Verein für Socialpolitik / German Economic Association.
  • Jeromin Zettelmeyer & Christoph Trebesch, 2018. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," Working Paper Series WP18-1, Peterson Institute for International Economics.
• Leandro, Alvaro & Zettelmeyer, Jeromin, 2018. "The Search for a Euro Area Safe Asset," CEPR Discussion Papers 12793, C.E.P.R. Discussion Papers.
  • Jeromin Zettelmeyer & Álvaro Leandro, 2018. "The Search for a Euro Area Safe Asset," Working Paper Series WP18-3, Peterson Institute for International Economics.
• Koichiro Kamada & Tetsuo Kurosaki & Ko Miura & Tetsuya Yamada, 2018. "Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data," IMES Discussion Paper Series 18-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
• Masayuki Kazato & Tetsuya Yamada, 2018. "The Implied Bail-in Probability in the Contingent Convertible Securities Market," IMES Discussion Paper Series 18-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
• Kenji Suganuma & Yoichi Ueno, 2018. "The Effects of the Bank of Japan fs Corporate and Government Bond Purchases on Credit Spreads," IMES Discussion Paper Series 18-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
• Loriana Pelizzon & Marti G. Subrahmanyam & Reiko Tobe & Jun Uno, 2018. "Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan," IMES Discussion Paper Series 18-E-14, Institute for Monetary and Economic Studies, Bank of Japan.
• Ari, A. & Corsetti, G. & Dedola, L., 2018. "Debt Seniority and Sovereign Debt Crises," Cambridge Working Papers in Economics 1831, Faculty of Economics, University of Cambridge.
  • Anil Ari & Giancarlo Corsetti & Luca Dedola, 2018. "Debt Seniority and Sovereign Debt Crises," IMF Working Papers 18/104, International Monetary Fund.
• Divya Kirti, 2018. "Lending standards and output growth," 2018 Meeting Papers 203, Society for Economic Dynamics.
  • Divya Kirti, 2018. "Lending Standards and Output Growth," IMF Working Papers 18/23, International Monetary Fund.
  • Kirti, Divya, 2018. "Lending standards and output growth," ESRB Working Paper Series 79, European Systemic Risk Board.
• Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," CESifo Working Paper Series 7072, CESifo Group Munich.
  • Nidhaleddine Ben Cheikh & Sami Ben Naceur & Oussama Kanaan & Christophe Rault, 2018. "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," IMF Working Papers 18/98, International Monetary Fund.
• Jorge M. Uribe, 2018. "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers 201826, University of Barcelona, Research Institute of Applied Economics, revised Oct 2018.

2017

• Boubaker, Sabri & Essaddam, Naceur & Nguyen, Duc Khuong & Saadi, Samir, 2017. "On the robustness of week-day effect to error distributional assumption: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 114-130.
• Schoenfeld, Jordan, 2017. "The effect of voluntary disclosure on stock liquidity: New evidence from index funds," Journal of Accounting and Economics, Elsevier, vol. 63(1), pages 51-74.
• Leippold, Markus & Schärer, Steven, 2017. "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 1-16.
• Aabo, Tom & Pantzalis, Christos & Park, Jung Chul, 2017. "Idiosyncratic volatility: An indicator of noise trading?," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 136-151.
• González-Urteaga, Ana & Rubio, Gonzalo, 2017. "The joint cross-sectional variation of equity returns and volatilities," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 17-34.
• He, Xue-Zhong & Shi, Lei, 2017. "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 64-79.
• Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
• Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
• Nartea, Gilbert V. & Kong, Dongmin & Wu, Ji, 2017. "Do extreme returns matter in emerging markets? Evidence from the Chinese stock market," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 189-197.
• Christopoulos, Andreas D., 2017. "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 215-239.
• Li, Xiaorong & Wang, Steven Shuye & Wang, Xue, 2017. "Trust and stock price crash risk: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 74-91.
• Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
• Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2017. "Temperature shocks and the cost of equity capital: Implications for climate change perceptions," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 18-34.
• Farkas, Walter & Gourier, Elise & Huitema, Robert & Necula, Ciprian, 2017. "A two-factor cointegrated commodity price model with an application to spread option pricing," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 249-268.
  • Ciprian Necula & Elise Gourier & Robert Huitema & Walter Farkas, 2015. "A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing," Swiss Finance Institute Research Paper Series 15-54, Swiss Finance Institute, revised Jun 2016.
• Gannon, Gerard L. & Thuraisamy, Kannan S., 2017. "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 328-350.
• Leippold, Markus & Vasiljević, Nikola, 2017. "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
• Møller, Stig V. & Sander, Magnus, 2017. "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 153-163.
• Assefa, Tibebe A. & Esqueda, Omar A. & Mollick, André Varella, 2017. "Stock returns and interest rates around the World: A panel data approach," Journal of Economics and Business, Elsevier, vol. 89(C), pages 20-35.
• Ou-Yang, Hui & Wu, Weili, 2017. "Net trade and market efficiency in Grossman and Stiglitz (1980)," Journal of Economic Theory, Elsevier, vol. 167(C), pages 75-85.
• Herrenbrueck, Lucas & Geromichalos, Athanasios, 2017. "A tractable model of indirect asset liquidity," Journal of Economic Theory, Elsevier, vol. 168(C), pages 252-260.
  • Lucas Herrenbrueck & Athanasios Geromichalos, 2015. "A Tractable Model of Indirect Asset Liquidity," Discussion Papers dp15-08, Department of Economics, Simon Fraser University.
  • Herrenbrueck, Lucas & Geromichalos, Athanasios, 2015. "A Tractable Model of Indirect Asset Liquidity," MPRA Paper 68521, University Library of Munich, Germany.
  • Athanasios Geromichalos & Lucas Herrenbrueck, 2015. "A Tractable Model of Indirect Asset Liquidity," Working Papers 126, University of California, Davis, Department of Economics.
• Bhamra, Harjoat S. & Shim, Kyung Hwan, 2017. "Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns," Journal of Economic Theory, Elsevier, vol. 168(C), pages 400-431.
• Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
• Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
  • Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
• Wang, Huijun & Yan, Jinghua & Yu, Jianfeng, 2017. "Reference-dependent preferences and the risk–return trade-off," Journal of Financial Economics, Elsevier, vol. 123(2), pages 395-414.
• Dutta, Sunil & Nezlobin, Alexander, 2017. "Information disclosure, firm growth, and the cost of capital," Journal of Financial Economics, Elsevier, vol. 123(2), pages 415-431.
• Andrei, Daniel & Cujean, Julien, 2017. "Information percolation, momentum and reversal," Journal of Financial Economics, Elsevier, vol. 123(3), pages 617-645.
• Chague, Fernando & De-Losso, Rodrigo & De Genaro, Alan & Giovannetti, Bruno, 2017. "Well-connected short-sellers pay lower loan fees: A market-wide analysis," Journal of Financial Economics, Elsevier, vol. 123(3), pages 646-670.
• van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
  • Jules H. van Binsbergen & Ralph S.J. Koijen, 2015. "The Term Structure of Returns: Facts and Theory," NBER Working Papers 21234, National Bureau of Economic Research, Inc.
  • Koijen, Ralph & van Binsbergen, Jules H., 2015. "The Term Structure of Returns: Facts and Theory," CEPR Discussion Papers 10633, C.E.P.R. Discussion Papers.
• Han, Bing & Subrahmanyam, Avanidhar & Zhou, Yi, 2017. "The term structure of credit spreads, firm fundamentals, and expected stock returns," Journal of Financial Economics, Elsevier, vol. 124(1), pages 147-171.
• Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2017. "High frequency trading and the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 124(1), pages 22-42.
• Jiang, George J. & Zhu, Kevin X., 2017. "Information Shocks and Short-Term Market Underreaction," Journal of Financial Economics, Elsevier, vol. 124(1), pages 43-64.
• Yasushi Asako & Yukihiko Funaki & Kozo Ueda & Nobuyuki Uto, 2016. "Symmetric Information Bubbles: Experimental Evidence," Working Papers 1613, Waseda University, Faculty of Political Science and Economics.
  • Yasushi Asako & Yukihiko Funaki & Kozo Ueda & Nobuyuki Uto, 2017. "Symmetric information bubbles: Experimental evidence," CAMA Working Papers 2017-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Asako, Yasushi & Funaki, Yukihiko & Ueda, Kozo & Uto, Nobuyuki, 2017. "(A)symmetric Information Bubbles: Experimental Evidence," Globalization Institute Working Papers 312, Federal Reserve Bank of Dallas.
• Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Energy Economics, Elsevier, vol. 66(C), pages 536-546.
  • Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Working Papers 2017-02, University of Tasmania, Tasmanian School of Business and Economics.
  • Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," CAMA Working Papers 2017-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil Price Shocks and Policy Uncertainty: New Evidence on the Effects of US and non-US Oil Production," Globalization Institute Working Papers 295, Federal Reserve Bank of Dallas.
• Domenico Lombardi, Pierre Siklos, Samantha St.Amand, 2017. "Government Bond Yields at the Effective Lower Bound: International Evidence," LCERPA Working Papers 0099, Laurier Centre for Economic Research and Policy Analysis, revised 01 Apr 2017.
  • Domenico Lombardi & Pierre L. Siklos & Samantha St. Amand, 2017. "Government bond yields at the effective lower bound: International evidence," CAMA Working Papers 2017-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Leo Krippner, 2017. "A comment on Wu and Xia (2016) from a macroeconomic perspective," CAMA Working Papers 2017-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic Implications of Financial Imperfections: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1719, Koc University-TUSIAD Economic Research Forum.
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• Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
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• António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects," CESifo Working Paper Series 6691, CESifo Group Munich.
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• Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping the Housing Market," Globalization Institute Working Papers 301, Federal Reserve Bank of Dallas.
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• Pavlidis, Efthymios & Martinez-Garcia, Enrique & Grossman, Valerie, 2017. "Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices," Globalization Institute Working Papers 325, Federal Reserve Bank of Dallas, revised 01 Jul 2018.
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• Christensen, Jens H. E. & Lopez, Jose A. & Shultz, Patrick, 2017. "Is There an On-the-Run Premium in TIPS?," Working Paper Series 2017-10, Federal Reserve Bank of San Francisco, revised 25 Sep 2017.
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• Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 1809. "Term Structure Analysis with Big Data," CREATES Research Papers 2017-31, Department of Economics and Business Economics, Aarhus University.
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• David B. Cashin & Erin E. Syron Ferris & Elizabeth C. Klee & Cailey Stevens, 2017. "Take it to the Limit : The Debt Ceiling and Treasury Yields," Finance and Economics Discussion Series 052, Board of Governors of the Federal Reserve System (U.S.).
• Anthony M. Diercks & William Waller, 2017. "Taxes and the Fed : Theory and Evidence from Equities," Finance and Economics Discussion Series 2017-104, Board of Governors of the Federal Reserve System (US).
• Ramirez, Carlos, 2017. "Firm Networks and Asset Returns," Finance and Economics Discussion Series 2017-014, Board of Governors of the Federal Reserve System (US), revised 23 Feb 2017.
• Nathan Swem, 2017. "Information in Financial Markets : Who Gets It First?," Finance and Economics Discussion Series 2017-023, Board of Governors of the Federal Reserve System (US).
• Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (US).
• Sebastian Infante, 2017. "Private Money Creation with Safe Assets and Term Premia," Finance and Economics Discussion Series 2017-041, Board of Governors of the Federal Reserve System (US).
• Alex Hsu & Francisco J. Palomino & Charles Qian, 2017. "The Decline in Asset Return Predictability and Macroeconomic Volatility," Finance and Economics Discussion Series 2017-050, Board of Governors of the Federal Reserve System (US).
• David B. Cashin & Erin E. Syron Ferris & Elizabeth C. Klee & Cailey Stevens, 2017. "Take it to the Limit : The Debt Ceiling and Treasury Yields," Finance and Economics Discussion Series 2017-052, Board of Governors of the Federal Reserve System (US).
• R. Matthew Darst & Ehraz Refayet, 2017. "A Collateral Theory of Endogenous Debt Maturity," Finance and Economics Discussion Series 2017-057, Board of Governors of the Federal Reserve System (US).
• Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016. "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers 22839, National Bureau of Economic Research, Inc.
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• Vikram Nanda & Wei Wu & Xing Zhou, 2017. "Investment Commonality across Insurance Companies : Fire Sale Risk and Corporate Yield Spreads," Finance and Economics Discussion Series 2017-069, Board of Governors of the Federal Reserve System (US).
• Frei, Christoph & Capponi, Agostino & Brunetti, Celso, 2017. "Managing Counterparty Risk in OTC Markets," Finance and Economics Discussion Series 2017-083, Board of Governors of the Federal Reserve System (US), revised 25 Oct 2018.
• Seung Jung Lee & Kelly E. Posenau & Viktors Stebunovs, 2017. "The Anatomy of Financial Vulnerabilities and Crises," International Finance Discussion Papers 1191, Board of Governors of the Federal Reserve System (U.S.).
• Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2017. "International Illiquidity," International Finance Discussion Papers 1201, Board of Governors of the Federal Reserve System (U.S.).
• Amir Akbari & Francesca Carrieri & Aytek Malkhozov, 2017. "Reversals in Global Market Integration and Funding Liquidity," International Finance Discussion Papers 1202, Board of Governors of the Federal Reserve System (U.S.).
• Ricardo M. Reyes-Heroles & Gabriel Tenorio, 2017. "Interest Rate Volatility and Sudden Stops : An Empirical Investigation," International Finance Discussion Papers 1209, Board of Governors of the Federal Reserve System (U.S.).
• Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017. "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers 1212, Board of Governors of the Federal Reserve System (U.S.).
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• Anene, Dominic & D'Amico, Stefania, 2017. "A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices," Working Paper Series WP-2017-26, Federal Reserve Bank of Chicago.
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• Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018. "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
  • António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects," CESifo Working Paper Series 6691, CESifo Group Munich.
  • António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Working Papers REM 2017/02, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
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• Margarida Abreu, 2017. "How Biased is the Behavior of the Individual Investor in Warrants?," Working Papers REM 2017/07, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Victor Mendes & Margarida Abreu, 2014. "The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?," EcoMod2014 6621, EcoMod.
  • Margarida Abreu & Victor Mendes, 2017. "The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?," Working Papers REM 2017/14, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  • Margaria Abreu & Victor Mendes, 2017. "The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?," Working Papers Department of Economics 2017/19, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
• António Afonso & Pedro Cardoso, 2017. "Exchange-traded Funds as an Alternative Investment Option: a Case Study," Working Papers REM 2017/22, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
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• Colasante, Annarita & Alfarano, Simone & Camacho Cuena, Eva & Gallegati, Mauro, 2017. "Long-run expectations in a Learning-to-Forecast-Experiment: a simulation approach," MPRA Paper 77618, University Library of Munich, Germany.
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• Ciaian, Pavel & Rajcaniova, Miroslava & Kancs, d'Artis, 2018. "Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 173-195.
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• Wildmer Daniel Gregori & Wildmer Agnese Sacchi, 2016. "Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions," Mo.Fi.R. Working Papers 134, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
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• Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta, 2017. "On Asymmetric Market Model with Heteroskedasticity and Quantile Regression," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 155-174, January.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Searching for Inefficiencies in Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 405-432, March.
• Jonathan E. Alevy & Michael K. Price, 2017. "Advice in the marketplace: a laboratory study," Experimental Economics, Springer;Economic Science Association, vol. 20(1), pages 156-180, March.
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• François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.
• Manuel Hoffmann & Matthias Neuenkirch, 2017. "The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine," International Economics and Economic Policy, Springer, vol. 14(1), pages 61-73, January.
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• S. McKay Price & Michael J. Seiler & Jiancheng Shen, 2017. "Do Investors Infer Vocal Cues from CEOs During Quarterly REIT Conference Calls?," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 515-557, May.
• Sati P. Bandyopadhyay & Alan Guoming Huang & Kevin Jialin Sun & Tony S. Wirjanto, 2017. "The return premiums to accruals quality," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 83-115, January.
• Tao Shen, 2017. "Credit spreads and investment opportunities," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 117-152, January.
• Debarati Bhattacharya & Wei-Hsien Li & Gokhan Sonaer, 2017. "Has momentum lost its momentum?," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 191-218, January.
• Jeffrey Hobbs & Hei Wai Lee & Vivek Singh, 2017. "New evidence on the effect of belief heterogeneity on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 289-309, February.
• Stefan Dierkes & Ulrich Schäfer, 2017. "Corporate taxes, capital structure, and valuation: Combining Modigliani/Miller and Miles/Ezzell," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 363-383, February.
• Paul Brockman & Dennis Y. Chung & Kenneth W. Shaw, 2017. "The R&D-abnormal return anomaly: a transaction cost explanation," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 385-406, February.
• Andrei Semenov, 2017. "Background risk in consumption and the equity risk premium," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 407-439, February.
• Ying Jiang & Shamim Ahmed & Xiaoquan Liu, 2017. "Volatility forecasting in the Chinese commodity futures market with intraday data," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1123-1173, May.
• Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.
• Sharad Asthana, 2017. "Diversification by the audit offices in the US and its impact on audit quality," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1003-1030, May.
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• Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
  • Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
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• Stijn Claessens & M Ayhan Kose, 2017. "Macroeconomic implications of financial imperfections: a survey," BIS Working Papers 677, Bank for International Settlements.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic Implications of Financial Imperfections: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1719, Koc University-TUSIAD Economic Research Forum.
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• Massimo Franchi & Søren Johansen, 2017. "Improved Inference on Cointegrating Vectors in the Presence of a near Unit Root Using Adjusted Quantiles," Econometrics, MDPI, Open Access Journal, vol. 5(2), pages 1-20, June.
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• Park, Heungju & Ju, Lan & Liang, Tianyu & Tu, Zhiyong, 2017. "Horizon analysis of art investments: Evidence from the Chinese market," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 17-25.
• Lin, Chaonan & Ko, Kuan-Cheng & Lin, Lin & Yang, Nien-Tzu, 2017. "Price limits and the value premium in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 26-45.
• Naifar, Nader & Mroua, Mourad & Bahloul, Slah, 2017. "Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 65-74.
• Huang, Chun-Kai & North, Delia & Zewotir, Temesgen, 2017. "Exchangeability, extreme returns and Value-at-Risk forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 477(C), pages 204-216.
• Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017. "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 185-192.
• Noman, Abdullah & Naka, Atsuyuki & Zirek, Duygu, 2017. "Examining return predictability of industry style portfolios with prior return relative to a benchmark," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 193-203.
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• Tao, Qizhi & Chen, Carl & Lu, Rui & Zhang, Ting, 2017. "Underfunding or distress? An analysis of corporate pension underfunding and the cross-section of expected stock returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 116-133.
• Kim, Myeong Hyeon & Sun, Lingxia, 2017. "Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 309-325.
• Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
• Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017. "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 34-48.
• Lai, Ya-Wen, 2017. "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 452-477.
• Kim, Kwanho, 2017. "Liquidity basis between credit default swaps and corporate bonds markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 98-115.
• Vortelinos, Dimitrios I. & Koulakiotis, Athanasios & Tsagkanos, Athanasios, 2017. "Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 150-168.
• Trabelsi Mnif, Afef, 2017. "Political uncertainty and behavior of Tunisian stock market cycles: Structural unobserved components time series models," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 206-214.
• Dinh, Minh Thi Hong, 2017. "The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 30-40.
• Cheong, Calvin W.H. & Sinnakkannu, Jothee & Ramasamy, Sockalingam, 2017. "On the predictability of carry trade returns: The case of the Chinese Yuan," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 358-376.
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• Ciaian, Pavel & Rajcaniova, Miroslava & Kancs, d'Artis, 2018. "Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 173-195.
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• Valerio Filoso, Valerio & Panico, Carlo & Papagni, Erasmo & Francesco, Purificato & Vázquez Suarez, Marta, 2016. "Causes and timing of the European debt crisis: An econometric evaluation," MPRA Paper 75847, University Library of Munich, Germany.
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• Swamy, Vighneswara, 2017. "Wealth Effects and Macroeconomic Dynamics – Evidence from Indian Economy," MPRA Paper 76836, University Library of Munich, Germany.
• Janda, Karel & Kaszas, Micha, 2017. "Indirect Firm Valuation and Earnings Stability," MPRA Paper 77234, University Library of Munich, Germany.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena & Mauro Gallegati, 2017. "Long-run expectations in a Learning-to-Forecast Experiment: A Simulation Approach," Working Papers 2017/03, Economics Department, Universitat Jaume I, Castellón (Spain).
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• Pham, Ngoc-Sang, 2017. "Assets with possibly negative dividends," MPRA Paper 78193, University Library of Munich, Germany.
• Lakdawala, Aeimit & Wu, Shu, 2017. "Federal Reserve credibility and the term structure of interest rates," European Economic Review, Elsevier, vol. 100(C), pages 364-389.
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• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017. "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper 78771, University Library of Munich, Germany, revised 04 Apr 2017.
• Muhammad A. Cheema & Gilbert V. Nartea & Yimei Man, 2018. "Cross‐Sectional and Time Series Momentum Returns and Market States," International Review of Finance, International Review of Finance Ltd., vol. 18(4), pages 705-715, December.
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• Cantillo, Miguel, 2017. "A Reconsideration of the Equity Premium Puzzle," MPRA Paper 79357, University Library of Munich, Germany.
• Anginer,Deniz & Han,Snow Xue & Yildizhan,Celim, 2017. "Do individual investors ignore transaction costs ?," Policy Research Working Paper Series 8098, The World Bank.
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• OUATTARA, Aboudou, 2017. "Impact de la publication des notes financières sur les cours et les volume de transaction des sociétés cotées à la BRVM : Une analyse à partir des études d'évenement
  [Impact of Rating released on s," MPRA Paper 79837, University Library of Munich, Germany.
• Parker, Edgar, 2017. "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper 80036, University Library of Munich, Germany.
• Lindblad, Annika, 2017. "Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility," MPRA Paper 80266, University Library of Munich, Germany.
• Širůček, Martin, 2017. "Využití Indikátorů P/E A P/Bv Při Sestavení Akciového Portfolia
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• Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan, 2017. "Factor pricing in commodity futures and the role of liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1745-1757, November.
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• Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2017. "Costly Information Acquisition, Social Networks and Asset Prices: Experimental Evidence," MPRA Paper 80658, University Library of Munich, Germany.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "Carry Trades and Commodity Risk Factors," MPRA Paper 80789, University Library of Munich, Germany.
• BENDOB, Ali & Benahmed-Daho, Rachida, 2017. "Pourrions-nous utiliser l'Euribor comme taux de rendement sans risque dans la région Arabe ?
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• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, vol. 33(C), pages 90-101.
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• William Barnett & Jinan Liu, 2017. "User Cost of Credit Card Services under Risk with Intertemporal Nonseparability," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201705, University of Kansas, Department of Economics, revised Sep 2017.
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• Magni, Carlo Alberto & Veronese, Piero & Graziani, Rebecca, 2017. "Chisini means and rational decision making: Equivalence of investment criteria," MPRA Paper 81532, University Library of Munich, Germany.
• Harri Pönkä, 2018. "Sentiment and sign predictability of stock returns," Economics Bulletin, AccessEcon, vol. 38(3), pages 1676-1684.
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• Caspi, Itamar & Graham, Meital, 2018. "Testing for bubbles in stock markets with irregular dividend distribution," Finance Research Letters, Elsevier, vol. 26(C), pages 89-94.
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• Tchamyou, Vanessa S. & Asongu, Simplice A., 2017. "Conditional market timing in the mutual fund industry," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1355-1366.
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• Withanage, Yeshan & Jayasinghe, Prabhath, 2017. "Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan," MPRA Paper 82782, University Library of Munich, Germany, revised Nov 2017.
• Ephraim Clark & Zhuo Qiao & Wing-Keung Wong, 2016. "Theories Of Risk: Testing Investor Behavior On The Taiwan Stock And Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, vol. 54(2), pages 907-924, April.
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• Xing, Victor, 2017. "Non-bank Financial Institutions at the Ground Zero of Next Crisis," MPRA Paper 83077, University Library of Munich, Germany.
• Abdullahi, Shafiu Ibrahim, 2017. "Stock Market Linkage, Financial Contagion and Assets Price Movements: Evidence from Nigerian Stock Exchange," MPRA Paper 83455, University Library of Munich, Germany, revised Nov 2017.
• Fan, Minyou & Li, Youwei & Liu, Jiadong, 2018. "Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches," Research in International Business and Finance, Elsevier, vol. 46(C), pages 131-140.
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• Tan, Zekuang, 2017. "RBC LiONS™ S&P 500 Buffered Protection Securities (USD) Series 4 Analysis Option Pricing Analysis, Issuing Company Risk-hedging Analysis, and Recommended Investment Strategy," MPRA Paper 83669, University Library of Munich, Germany.
• LEGOUGUI, Fateh & CHIKHI, Mohamed, 2017. "استخدام نماذج Arch لنمذجة تقلبات أسعار الأسهم في سوق المال السعودي - دراسة حالة شركة اتحاد اتصالات السعودية –
  [Modelling Saudi Stock Market Volatility Using ARCH Models –Case Study : Etihad Etisala," MPRA Paper 84263, University Library of Munich, Germany, revised Oct 2017.
• MESTRE, Roman & Terraza, Michel, 2017. "Analyse Temps-fréquence du MEDAF –Application au CAC 40 –
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• MESTRE, Roman & TERRAZA, Michel, 2017. "Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-
  [Time-Frequency varying Beta Estimation -A continuous wavelets approach-]," MPRA Paper 86335, University Library of Munich, Germany.
• Xiao, Tim, 2017. "A New Model for Pricing Collateralized Financial Derivatives," MPRA Paper 87088, University Library of Munich, Germany.
• Ekong, Christopher N. & Onye, Kenneth U., 2017. "Application of Garch Models to Estimate and Predict Financial Volatility of Daily Stock Returns in Nigeria," MPRA Paper 88309, University Library of Munich, Germany.
• Arouri, Mohamed El Hedi & M’saddek, Oussama & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2017. "Cojumps and Asset Allocation in International Equity Markets," MPRA Paper 89938, University Library of Munich, Germany, revised May 2018.
• Anginer, Deniz & Han, Xue Snow & Yildizhan, Celim, 2017. "Do Individual Investors Ignore Transaction Costs?," MPRA Paper 89941, University Library of Munich, Germany.
• Aviral Kumar Tiwari & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2017. "Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data," Working Papers 201735, University of Pretoria, Department of Economics.
• Rangan Gupta & Tahir Suleman & Mark E. Wohar, 2017. "The Role of Time-Varying Rare Disaster Risks in Predicting Bond Returns and Volatility," Working Papers 201770, University of Pretoria, Department of Economics.
• Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018. "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 632-647.
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• Laura Wallenius & Elena Fedorova & Sheraz Ahmed & Mikael Collan, 2017. "Surprise Effect of Euro Area Macroeconomic Announcements on CIVETS Stock Markets," Prague Economic Papers, University of Economics, Prague, vol. 2017(1), pages 55-71.
• Pawel Maryniak & Rafal Weron, 2017. "Habitat momentum," HSC Research Reports HSC/17/05, Hugo Steinhaus Center, Wroclaw University of Technology.
• M. Hashem Pesaran & Takashi Yamagata, 2017. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," CESifo Working Paper Series 6432, CESifo Group Munich.
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• Laura Coroneo & Sergio Pastorello, 2017. "European spreads at the interest rate lower bound," Discussion Papers 17/10, Department of Economics, University of York.
• Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
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• Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
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• Lux, Thomas, 2017. "Estimation of agent-based models using sequential Monte Carlo methods," Economics Working Papers 2017-07, Christian-Albrechts-University of Kiel, Department of Economics.
• Korn, Olaf & Kuntz, Laura-Chloé, 2015. "Low-beta investment strategies," CFR Working Papers 15-17, University of Cologne, Centre for Financial Research (CFR).
• Korn, Olaf & Kuntz, Laura-Chloé, 2017. "Low-beta strategies," CFR Working Papers 15-17 [rev.], University of Cologne, Centre for Financial Research (CFR).
• Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
• Philip Stork & Luiz Felix & Roman Kraussl, 2017. "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers 17-002/IV, Tinbergen Institute, revised 26 Jan 2018.
  • Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Single stock call options as lottery tickets," CFS Working Paper Series 566, Center for Financial Studies (CFS).
• Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
• Bannier, Christina E. & Pauls, Thomas & Walter, Andreas, 2017. "CEO-speeches and stock returns," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168192, Verein für Socialpolitik / German Economic Association.
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• Goncharenko, Roman & Ongena, Steven & Rauf, Asad, 2017. "The agency of CoCo: Why do banks issue contingent convertible bonds?," CFS Working Paper Series 586, Center for Financial Studies (CFS).
• Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2018. "Market fragility and the paradox of the recent stock-bond dissonance," Economics Letters, Elsevier, vol. 162(C), pages 162-166.
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• Dumitru, Ana-Maria & Holden, Tom, 2017. "A Hawkes model of the transmission of European sovereign default risk," EconStor Conference Papers 168431, ZBW - Leibniz Information Centre for Economics.
• Tennert, Julius & Lambert, Marie & Burghof, Hans-Peter, 2017. "Moral hazard in VC finance: More expensive than you thought," Hohenheim Discussion Papers in Business, Economics and Social Sciences 02-2017, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
• Jopp, Tobias A., 2017. "How does the public perceive alliances? The Central and Allied Powers in World War I," IBF Paper Series 12-17, IBF – Institut für Bank- und Finanzgeschichte / Institute for Banking and Financial History, Frankfurt am Main.
• Han, Liyan & Xu, Yang & Yin, Libo, 2017. "Does investor attention matter? The attention-return relation in gold futures market," Economics Discussion Papers 2017-37, Kiel Institute for the World Economy (IfW).
• Schasfoort, Joeri & Stockermans, Christopher, 2017. "Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market," Economics Discussion Papers 2017-63, Kiel Institute for the World Economy (IfW).
• Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
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• Boeing-Reicher, Claire A. & Boysen-Hogrefe, Jens, 2017. "Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments," Kiel Working Papers 2086, Kiel Institute for the World Economy (IfW).
• Xiong, Qizhou, 2018. "The liquidity premium of safe assets: The role of government debt supply," IWH Discussion Papers 11/2017, Halle Institute for Economic Research (IWH).
• Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2017. "Pricing sin stocks: Ethical preference vs. risk aversion," IWH Discussion Papers 20/2017, Halle Institute for Economic Research (IWH).
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• Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers 4/2017, Halle Institute for Economic Research (IWH).
• Demary, Markus, 2017. "IW Financial Expert Survey: 2. Quartal 2017," IW-Reports 12/2017, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2017. "IW Financial Expert Survey: 3. Quartal 2017," IW-Reports 22/2017, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Demary, Markus, 2017. "IW Financial Expert Survey: 4. Quartal 2017," IW-Reports 31/2017, Institut der deutschen Wirtschaft (IW) / German Economic Institute.
• Hanna, Alan J. & Turner, John D. & Walker, Clive B., 2017. "News media and investor sentiment over the long run," QUCEH Working Paper Series 2017-06, Queen's University Belfast, Queen's University Centre for Economic History.
• Giuliano Curatola & Michael Donadelli & Patrick Grüning, 2017. "Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices," Bank of Lithuania Working Paper Series 47, Bank of Lithuania.
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• Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Michael Donadelli & Patrick Gruning, 2017. "Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare," Bank of Lithuania Working Paper Series 43, Bank of Lithuania.
  • Donadelli, Michael & Grüning, Patrick, 2017. "Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare," SAFE Working Paper Series 171, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Kamga, Merlin Kuate & Wilde, Christian, 2017. "Liquidity premia in CDS markets," SAFE Working Paper Series 173, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Curatola, Giuliano & Dergunov, Ilya, 2017. "International capital markets with time-varying preferences," SAFE Working Paper Series 176, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Donadelli, M. & Jüppner, M. & Riedel, M. & Schlag, C., 2017. "Temperature shocks and welfare costs," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 331-355.
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• Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti & Uno, Jun & Yuferova, Darya, 2017. "Coming early to the party," SAFE Working Paper Series 182, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017. "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series 183, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Patrick Grüning, 2017. "Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics," Bank of Lithuania Occasional Paper Series 16, Bank of Lithuania.
  • Grüning, Patrick, 2017. "Heterogeneity in the Internationalization of R&D: Implications for anomalies in finance and macroeconomics," SAFE Working Paper Series 185, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2017. "Level and slope of volatility smiles in Long-Run Risk Models," SAFE Working Paper Series 186, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
• Donadelli, Michael & Grüning, Patrick & Jüppner, Marcus & Kizys, Renatas, 2017. "Global temperature, R&D expenditure, and growth," SAFE Working Paper Series 188, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Michael Donadelli & Patrick Grüning & Marcus Jüppner & Renatas Kizys, 2018. "Global temperature, R&D expenditure, and growth," Bank of Lithuania Discussion Paper Series 9, Bank of Lithuania.
• Eichler, Stefan & Rövekamp, Ingmar, 2017. "Eurozone exit risk," CEPIE Working Papers 07/17, Technische Universität Dresden, Center of Public and International Economics (CEPIE).
• Voelzke, Jan & Gößling, Fabian & Diesteldorf, Jeanne & Weigt, Till, 2017. "Investors' favourite - A different look at valuing individual labour income," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168065, Verein für Socialpolitik / German Economic Association.
• Bannier, Christina & Pauls, Thomas & Walter, Andreas, 2017. "CEO-speeches and stock returns," CFS Working Paper Series 583, Center for Financial Studies (CFS).
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• Holzmann, Carolin & Scholz, Hendrik & Kreidl, Felix & Büttner, Thiess, 2017. "Stock Market Behavior on Ex-Dividend Dates: The Case of Cum-Ex Transactions in Germany," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168242, Verein für Socialpolitik / German Economic Association.
• Aldrich, Eric M. & Friedman, Daniel, 2017. "Order protection through delayed messaging," Discussion Papers, Research Professorship Market Design: Theory and Pragmatics SP II 2017-502, WZB Berlin Social Science Center.
• Florian Madison, 2017. "Frictional asset reallocation under adverse selection," ECON - Working Papers 261, Department of Economics - University of Zurich, revised Jan 2018.
• Tanweer Akram & Anupam Das, 2017. "The Long-run Determinants of Indian Government Bond Yields," Economics Working Paper Archive wp_881, Levy Economics Institute.
• Tanweer Akram & Anupam Das, 2017. "The Dynamics of Government Bond Yields in the Eurozone," Economics Working Paper Archive wp_889, Levy Economics Institute.
• Eric Tymoigne, 2017. "On the Centrality of Redemption: Linking the State and Credit Theories of Money through a Financial Approach to Money," Economics Working Paper Archive wp_890, Levy Economics Institute.
• Tanweer Akram & Huiqing Li, 2017. "An Inquiry Concerning Long-term US Interest Rates Using Monthly Data," Economics Working Paper Archive wp_894, Levy Economics Institute.
• Grüning, Patrick, 2017. "Heterogeneity in the Internationalization of R&D: Implications for anomalies in finance and macroeconomics," SAFE Working Paper Series 185, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Patrick Grüning, 2017. "Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics," Bank of Lithuania Occasional Paper Series 16, Bank of Lithuania.
• Donadelli, Michael & Grüning, Patrick, 2017. "Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare," SAFE Working Paper Series 171, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Michael Donadelli & Patrick Gruning, 2017. "Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare," Bank of Lithuania Working Paper Series 43, Bank of Lithuania.
• Curatola, Giuliano & Donadelli, Michael & Grüning, Patrick, 2017. "Technology trade with asymmetric tax regimes and heterogeneous labor markets: Implications for macro quantities and asset prices," SAFE Working Paper Series 163, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  • Giuliano Curatola & Michael Donadelli & Patrick Grüning, 2017. "Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices," Bank of Lithuania Working Paper Series 47, Bank of Lithuania.
• Peter Tillmann, 2017. "Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks," MAGKS Papers on Economics 201724, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
• Carlos J. Perez & Manuel Santos, 2017. "On the Dynamics of Speculation in a Model of Bubbles and Manias," Working Papers 2017-02, University of Miami, Department of Economics.
• Seung C. Ahn & Alex R. Horenstein, 2017. "Asset Pricing and Excess Returns over the Market Return," Working Papers 2017-12, University of Miami, Department of Economics.
• Alex R. Horenstein, 2017. "Betting Against Alpha," Working Papers 2017-13, University of Miami, Department of Economics.
• Takahiro Hattori, 2017. "J-liquidity Measure: the Term Structure of the Liquidity Premium and the Decomposition of the Municipal Bond Spread," Discussion papers ron290, Policy Research Institute, Ministry of Finance Japan.
• Naji Massad & Jørgen Vitting Andersen, 2017. "Three different ways synchronization can cause contagion in financial markets," Documents de travail du Centre d'Economie de la Sorbonne 17059, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
• Shujie Ma & Oliver Linton & Jiti Gao, 2017. "Estimation and inference in semiparametric quantile factor models," Monash Econometrics and Business Statistics Working Papers 8/17, Monash University, Department of Econometrics and Business Statistics.
• Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Chapters,in: NBER Macroeconomics Annual 2017, volume 32, pages 493-523 National Bureau of Economic Research, Inc.
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• Gregory Phelan, 2017. "Collateralized borrowing and increasing risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 471-502, February.
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• Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez, 2017. "Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 71-103, February.
• Jun-Biao Lina & Ping-Yeh Su, 2017. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-2.
• Jun-Biao Lina & Ping-Yeh Su, 2017. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 0, pages 2-2.
• D'Errico, Marco & Roukny, Tarik, 2017. "Compressing over-the-counter markets," ESRB Working Paper Series 44, European Systemic Risk Board.
• Ferrari, Massimo & Guagliano, Claudia & Mazzacurati, Julien, 2017. "Collateral scarcity premia in euro area repo markets," ESRB Working Paper Series 55, European Systemic Risk Board.
• Pan, Kevin & Zeng, Yao, 2017. "ETF arbitrage under liquidity mismatch," ESRB Working Paper Series 59, European Systemic Risk Board.
• Pietro Dindo & Jacopo Staccioli, 2017. "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," Working Papers 2017:31, Department of Economics, University of Venice "Ca' Foscari".
  • Pietro Dindo & Jacopo Staccioli, 2017. "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," LEM Papers Series 2017/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
• Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Energy Economics, Elsevier, vol. 66(C), pages 536-546.
  • Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2017. "Oil Price Shocks and Policy Uncertainty: New Evidence on the Effects of US and non-US Oil Production," Globalization Institute Working Papers 295, Federal Reserve Bank of Dallas.
  • Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Working Papers 2017-02, University of Tasmania, Tasmanian School of Business and Economics.
  • Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017. "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," CAMA Working Papers 2017-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
• Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017. "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers 2017-09, University of Tasmania, Tasmanian School of Business and Economics.
• Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017. "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers 2017-10, University of Tasmania, Tasmanian School of Business and Economics.
• Deng, Xiaohu & Gao, Lei & Kemme, David, 2017. "The information content of short selling and put option trading: When are they substitutes?," Working Papers 2017-13, University of Tasmania, Tasmanian School of Business and Economics.
• Ronan C Lyons, 2017. "Credit conditions and the housing price ratio: evidence from Ireland's bubble and crash," Trinity Economics Papers tep0717, Trinity College Dublin, Department of Economics.
• Felix, Luiz & Kräussl, Roman & Stork, Philip, 2017. "Implied volatility sentiment: A tale of two tails," CFS Working Paper Series 565, Center for Financial Studies (CFS).
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• Martijn (M.I.) Droes & Ryan van Lamoen & Simona Mattheussens, 2017. "Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Assets Purchase Program," Tinbergen Institute Discussion Papers 17-080/IV, Tinbergen Institute.
• Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Discussion Paper 2017-027, Tilburg University, Center for Economic Research.
• Luc Renneboog & Peter G. Szilagyi & Cara Vansteenkiste, 2017. "Creditor rights, claims enforcement, and bond performance in mergers and acquisitions," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 48(2), pages 174-194, February.
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• Hörner, Johannes & Lovo, Stefano, 2017. "Belief-free Price Formation," TSE Working Papers 17-790, Toulouse School of Economics (TSE).
• Gollier, Christian, 2017. "Valuation of natural capital under uncertain substitutability," IDEI Working Papers 871, Institut d'Économie Industrielle (IDEI), Toulouse.
  • Gollier, Christian, 2017. "Valuation of natural capital under uncertain substitutability," TSE Working Papers 17-813, Toulouse School of Economics (TSE), revised Dec 2018.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016. "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers 16-010/III, Tinbergen Institute, revised 23 Jan 2017.
  • Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017. "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE 2017-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  • Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2017. "Connecting VIX and Stock Index ETF," Econometric Institute Research Papers 2016-010/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Simón Sosvilla-Rivero & Victor Echevarria Icaza, 2017. "Systemic banks, capital composition and CoCo bonds issuance:The effects on bank risk," Working Papers 17-03, Asociación Española de Economía y Finanzas Internacionales.
  • Victor Echevarria-Icaza & Simón Sosvilla-Rivero, 2017. "Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk," Working Papers del Instituto Complutense de Estudios Internacionales 1706, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
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• Imran Hussain Shah & Simón Sosvilla-Rivero, 2017. "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," IREA Working Papers 201710, University of Barcelona, Research Institute of Applied Economics, revised May 2017.
  • Imran Hussain Shaha & Simón Sosvilla-Rivero, 2017. "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," Working Papers del Instituto Complutense de Estudios Internacionales 1707, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
• Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 125(1), pages 140-223.
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• Chien, YiLi & Lustig, Hanno & Naknoi, Kanda, 2015. "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working Papers 2015-39, Federal Reserve Bank of St. Louis, revised 26 Sep 2017.
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• Charles G. Nathanson & Eric Zwick, 2017. "Arrested Development: Theory and Evidence of Supply-Side Speculation in the Housing Market," NBER Working Papers 23030, National Bureau of Economic Research, Inc.
• Briana Chang & Harrison Hong, 2017. "Assignment of Stock Market Coverage," NBER Working Papers 23115, National Bureau of Economic Research, Inc.
• Wagner, Alexander F. & Zeckhauser, Richard J. & Siegler, Alexandre, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," Working Paper Series rwp17-005, Harvard University, John F. Kennedy School of Government.
  • Alexander Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," NBER Working Papers 23152, National Bureau of Economic Research, Inc.
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• Fatih Guvenen & Sam Schulhofer-Wohl & Jae Song & Motohiro Yogo, 2017. "Worker Betas: Five Facts about Systematic Earnings Risk," American Economic Review, American Economic Association, vol. 107(5), pages 398-403, May.
  • Guvenen, Fatih & Schulhofer-Wohl, Sam & Song, Jae & Yogo, Motohiro, 2017. "Worker Betas: Five Facts about Systematic Earnings Risk," Staff Report 546, Federal Reserve Bank of Minneapolis.
  • Fatih Guvenen & Sam Schulhofer-Wohl & Jae Song & Motohiro Yogo, 2017. "Worker Betas: Five Facts about Systematic Earnings Risk," NBER Working Papers 23163, National Bureau of Economic Research, Inc.
  • Guvenen, Fatih & Schulhofer-Wohl, Sam & Yogo, Motohiro, 2017. "Worker Betas: Five Facts About Systematic Earnings Risk," Working Paper Series WP-2017-4, Federal Reserve Bank of Chicago.
• P�stor, Lubo� & Veronesi, Pietro, 2017. "Political Cycles and Stock Returns," CEPR Discussion Papers 11864, C.E.P.R. Discussion Papers.
  • Lubos Pastor & Pietro Veronesi, 2017. "Political Cycles and Stock Returns," NBER Working Papers 23184, National Bureau of Economic Research, Inc.
• Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," Working Paper 504391, Harvard University OpenScholar.
  • Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," NBER Working Papers 23191, National Bureau of Economic Research, Inc.
• Joel Hasbrouck & Richard M. Levich, 2017. "FX Market Metrics: New Findings Based on CLS Bank Settlement Data," NBER Working Papers 23206, National Bureau of Economic Research, Inc.
• Lu Zhang, 2017. "The Investment CAPM," NBER Working Papers 23226, National Bureau of Economic Research, Inc.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo Group Munich.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo Group Munich.
• Kurt F. Lewis & Francis A. Longstaff & Lubomir Petrasek, 2017. "Asset Mispricing," NBER Working Papers 23231, National Bureau of Economic Research, Inc.
• Maryam Farboodi & Gregor Jarosch & Robert Shimer, 2017. "The Emergence of Market Structure," NBER Working Papers 23234, National Bureau of Economic Research, Inc.
• Azi Ben-Rephael & Bruce I. Carlin & Zhi Da & Ryan D. Israelsen, 2017. "Demand for Information and Asset Pricing," NBER Working Papers 23274, National Bureau of Economic Research, Inc.
• Vahid Gholampour & Eric van Wincoop, 2017. "What can we Learn from Euro-Dollar Tweets?," NBER Working Papers 23293, National Bureau of Economic Research, Inc.
• Cristina Arellano & Yan Bai & Luigi Bocola, 2017. "Sovereign Default Risk and Firm Heterogeneity," NBER Working Papers 23314, National Bureau of Economic Research, Inc.
• Mike Anderson & René M. Stulz, 2017. "Is Post-Crisis Bond Liquidity Lower?," NBER Working Papers 23317, National Bureau of Economic Research, Inc.
• Takatoshi Ito & Masahiro Yamada, 2017. "Did the Reform Fix the London Fix Problem?," NBER Working Papers 23327, National Bureau of Economic Research, Inc.
• Adam Jørring & Andrew W. Lo & Tomas J. Philipson & Manita Singh & Richard T. Thakor, 2017. "Sharing R&D Risk in Healthcare via FDA Hedges," NBER Working Papers 23344, National Bureau of Economic Research, Inc.
• Philippe Bacchetta & Eric Van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 17.05, Université de Lausanne, Faculté des HEC, DEEP.
  • Philippe Bacchetta & Eric van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," NBER Working Papers 23363, National Bureau of Economic Research, Inc.
  • Bacchetta, Philippe & van Wincoop, Eric, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," CEPR Discussion Papers 11983, C.E.P.R. Discussion Papers.
  • Philippe Bacchetta & Eric van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Swiss Finance Institute Research Paper Series 17-15, Swiss Finance Institute.
• Ralph S.J. Koijen & Motohiro Yogo, 2017. "Risk of Life Insurers: Recent Trends and Transmission Mechanisms," NBER Working Papers 23365, National Bureau of Economic Research, Inc.
• Kaiji Chen & Jue Ren & Tao Zha, 2018. "The Nexus of Monetary Policy and Shadow Banking in China," American Economic Review, American Economic Association, vol. 108(12), pages 3891-3936, December.
  • Kaiji Chen & Jue Ren & Tao Zha, 2017. "The Nexus of Monetary Policy and Shadow Banking in China," NBER Working Papers 23377, National Bureau of Economic Research, Inc.
• Kewei Hou & Chen Xue & Lu Zhang, 2017. "Replicating Anomalies," NBER Working Papers 23394, National Bureau of Economic Research, Inc.
• Michael Weber & Ali Ozdagli, 2016. "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers 148, Society for Economic Dynamics.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," NBER Working Papers 23424, National Bureau of Economic Research, Inc.
  • Ozdagli, Ali K. & Weber, Michael, 2017. "Monetary policy through production networks: evidence from the stock market," Working Papers 17-15, Federal Reserve Bank of Boston.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," CESifo Working Paper Series 6486, CESifo Group Munich.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," Working Papers 2017-07, Becker Friedman Institute for Research In Economics.
• David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2017. "Innovative Originality, Profitability, and Stock Returns," NBER Working Papers 23432, National Bureau of Economic Research, Inc.
• Eric Zwick & Charles Nathanson & Anthony DeFusco, 2017. "Speculative Dynamics of Prices and Volume," 2017 Meeting Papers 239, Society for Economic Dynamics.
  • Anthony A. DeFusco & Charles G. Nathanson & Eric Zwick, 2017. "Speculative Dynamics of Prices and Volume," NBER Working Papers 23449, National Bureau of Economic Research, Inc.
• Daniel Andrei & Bruce I. Carlin, 2017. "Asset Pricing in the Quest for the New El Dorado," NBER Working Papers 23455, National Bureau of Economic Research, Inc.
• Anusha Chari & Karlye Dilts Stedman & Christian Lundblad, 2017. "Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows," NBER Working Papers 23474, National Bureau of Economic Research, Inc.
• Andrea L. Eisfeldt & Hanno Lustig & Lei Zhang, 2017. "Complex Asset Markets," NBER Working Papers 23476, National Bureau of Economic Research, Inc.
• Michael D. Bauer & James D. Hamilton, 2018. "Robust Bond Risk Premia," Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 399-448.
  • Bauer, Michael D. & Hamilton, James D., 2015. "Robust bond risk premia," Working Paper Series 2015-15, Federal Reserve Bank of San Francisco, revised 22 May 2017.
  • Michael D. Bauer & James D. Hamilton, 2017. "Robust Bond Risk Premia," NBER Working Papers 23480, National Bureau of Economic Research, Inc.
  • Michael D. Bauer & James D. Hamilton, 2015. "Robust Bond Risk Premia," CESifo Working Paper Series 5541, CESifo Group Munich.
• Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Chapters,in: NBER Macroeconomics Annual 2017, volume 32, pages 493-523 National Bureau of Economic Research, Inc.
  • Efraim Benmelech & Nittai K. Bergman, 2017. "Credit Market Freezes," NBER Working Papers 23512, National Bureau of Economic Research, Inc.
• Marco Di Maggio & Francesco Franzoni & Amir Kermani & Carlo Sommavilla, 2017. "The Relevance of Broker Networks for Information Diffusion in the Stock Market," NBER Working Papers 23522, National Bureau of Economic Research, Inc.
• Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
• Gustavo S. Cortes & Marc D. Weidenmier, 2017. "Stock Volatility and the Great Depression," NBER Working Papers 23554, National Bureau of Economic Research, Inc.
• Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2017. "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," NBER Working Papers 23557, National Bureau of Economic Research, Inc.
• Kewei Hou & Haitao Mo & Chen Xue & Lu Zhang, 2017. "The Economics of Value Investing," NBER Working Papers 23563, National Bureau of Economic Research, Inc.
• Efraim Benmelech & Adam Guren & Brian T. Melzer, 2017. "Making the House a Home: The Stimulative Effect of Home Purchases on Consumption and Investment," NBER Working Papers 23570, National Bureau of Economic Research, Inc.
• Alexander M. Chinco & Mao Ye, 2017. "Investment-Horizon Spillovers," NBER Working Papers 23650, National Bureau of Economic Research, Inc.
• Leif Andersen & Darrell Duffie & Yang Song, 2017. "Funding Value Adjustments," NBER Working Papers 23680, National Bureau of Economic Research, Inc.
• Anisha Ghosh & George M. Constantinides, 2017. "What Information Drives Asset Prices?," NBER Working Papers 23689, National Bureau of Economic Research, Inc.
• João F. Gomes & Marco Grotteria & Jessica A. Wachter, 2017. "Cyclical Dispersion in Expected Defaults," NBER Working Papers 23704, National Bureau of Economic Research, Inc.
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• Cory Cutsail & Farley Grubb, 2017. "The Paper Money of Colonial North Carolina, 1712-1774," NBER Working Papers 23783, National Bureau of Economic Research, Inc.
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• Xiaomeng Lu & Robert F. Stambaugh & Yu Yuan, 2017. "Anomalies Abroad: Beyond Data Mining," NBER Working Papers 23809, National Bureau of Economic Research, Inc.
• Laura A. Bakkensen & Lint Barrage, 2017. "Flood Risk Belief Heterogeneity and Coastal Home Price Dynamics: Going Under Water?," NBER Working Papers 23854, National Bureau of Economic Research, Inc.
• Pedro Bordalo & Nicola Gennaioli & Rafael La Porta & Andrei Shleifer, 2017. "Diagnostic Expectations and Stock Returns," NBER Working Papers 23863, National Bureau of Economic Research, Inc.
• Samuel M. Hartzmark & Kelly Shue, 2017. "A Tough Act to Follow: Contrast Effects In Financial Markets," NBER Working Papers 23883, National Bureau of Economic Research, Inc.
• Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
• Andrei S. Gonçalves & Chen Xue & Lu Zhang, 2017. "Does the Investment Model Explain Value and Momentum Simultaneously?," NBER Working Papers 23910, National Bureau of Economic Research, Inc.
• Alexander M. Chinco & Adam D. Clark-Joseph & Mao Ye, 2017. "Sparse Signals in the Cross-Section of Returns," NBER Working Papers 23933, National Bureau of Economic Research, Inc.
• Lim, Jongha & Schwert, Michael & Weisbech, Michael S., 2017. "The Economics of PIPEs," Working Paper Series 2017-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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• Hombert, Johan & Biais, Bruno & Weill, Pierre-Olivier, 2017. "Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing," HEC Research Papers Series 1236, HEC Paris.
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• Ting Chen & Zhenyu Gao & Jibao He & Wenxi Jiang & Wei Xiong, 2017. "Daily Price Limits and Destructive Market Behavior," NBER Working Papers 24014, National Bureau of Economic Research, Inc.
• Ali Hortaçsu & Jakub Kastl & Allen Zhang, 2017. "Bid Shading and Bidder Surplus in the U.S. Treasury Auction System," NBER Working Papers 24024, National Bureau of Economic Research, Inc.
• Ravi Jagannathan & Ashwin Ravikumar & Marco Sammon, 2017. "Environmental, Social, and Governance Criteria: Why Investors are Paying Attention," NBER Working Papers 24063, National Bureau of Economic Research, Inc.
• Kozak, Serhiy & Nagel, Stefan & Santosh, Shrihari, 2017. "Shrinking the Cross Section," CEPR Discussion Papers 12463, C.E.P.R. Discussion Papers.
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• Andrea Barbon & Marco Di Maggio & Francesco Franzoni & Augustin Landier, 2017. "Brokers and Order Flow Leakage: Evidence from Fire Sales," NBER Working Papers 24089, National Bureau of Economic Research, Inc.
• Michael Bailey & Eduardo Dávila & Theresa Kuchler & Johannes Stroebel, 2017. "House Price Beliefs And Mortgage Leverage Choice," NBER Working Papers 24091, National Bureau of Economic Research, Inc.
• Mila Getmansky & Ravi Jagannathan & Loriana Pelizzon & Ernst Schaumburg & Darya Yuferova, 2017. "Stock Price Crashes: Role of Slow-Moving Capital," NBER Working Papers 24098, National Bureau of Economic Research, Inc.
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• Jord�, �scar & Knoll, Katharina & Kuvshinov, Dmitry & Schularick, Moritz & Taylor, Alan M., 2017. "The Rate of Return on Everything, 1870-2015," CEPR Discussion Papers 12509, C.E.P.R. Discussion Papers.
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• David Hirshleifer & Chong Huang & Siew Hong Teoh, 2017. "Model Uncertainty, Ambiguity Aversion, and Market Participation," NBER Working Papers 24143, National Bureau of Economic Research, Inc.
• Yongqiang Chu & David Hirshleifer & Liang Ma, 2017. "The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies," NBER Working Papers 24144, National Bureau of Economic Research, Inc.
• Kent Daniel & David Hirshleifer & Lin Sun, 2017. "Short- and Long-Horizon Behavioral Factors," NBER Working Papers 24163, National Bureau of Economic Research, Inc.
• Kent Daniel & Lira Mota & Simon Rottke & Tano Santos, 2017. "The Cross-Section of Risk and Return," NBER Working Papers 24164, National Bureau of Economic Research, Inc.
• Rawley Z. Heimer & Alp Simsek, 2017. "Should Retail Investors' Leverage Be Limited?," NBER Working Papers 24176, National Bureau of Economic Research, Inc.
• Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Liquidity sentiments," Economics Working Papers 1583, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2018.
• Dare, Wale, 2017. "Testing efficiency in small and large financial markets," Economics Working Paper Series 1714, University of St. Gallen, School of Economics and Political Science.
• Ruf, Daniel, 2017. "Agglomeration Effects and Liquidity Gradients in Local Rental Housing Markets," Working Papers on Finance 1702, University of St. Gallen, School of Finance.
• Borisenko, Dmitry & Pozdeev, Igor, 2017. "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance 1708, University of St. Gallen, School of Finance, revised 1710.
• Bucher, Melk C., 2017. "Investor Attention and Sentiment: Risk or Anomaly?," Working Papers on Finance 1712, University of St. Gallen, School of Finance.
• Ruenzi, Stefan & Weigert, Florian, 2018. "Momentum and crash sensitivity," Economics Letters, Elsevier, vol. 165(C), pages 77-81.
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• Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series 385, Quantitative Finance Research Centre, University of Technology, Sydney.
• Pietro Dindo & Jacopo Staccioli, 2017. "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," LEM Papers Series 2017/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  • Pietro Dindo & Jacopo Staccioli, 2017. "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," Working Papers 2017:31, Department of Economics, University of Venice "Ca' Foscari".
• Yang Hu & Les Oxley, 2017. "Bubble Contagion: Evidence from Japan's Asset Price Bubble of the 1980-90s," Working Papers in Economics 17/20, University of Waikato.
• Leon Li & Nen-Chen Richard Hwang, 2017. "Prospect Theory and Earnings Manipulation: Examination of the Non-Uniform Relationship between Earnings Manipulation and Stock Returns Using Quantile Regression," Working Papers in Economics 17/25, University of Waikato.
• Anginer, Deniz & Yildizhan, Celim & Han, Xue Snow, 2017. "Do Individual Investors Ignore Transaction Costs?," MPRA Paper 79358, University Library of Munich, Germany.
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• Grossman, Richard, 2017. "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," CEPR Discussion Papers 12121, C.E.P.R. Discussion Papers.
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• Gong Feixue & Gregory Phelan, 2017. "Debt Collateralization, Structured Finance, and the CDS Basis," Department of Economics Working Papers 2017-06, Department of Economics, Williams College.
• Danilo Cascaldi-Garcia, 2017. "News Shocks and the Slope of the Term Structure of Interest Rates: Comment," American Economic Review, American Economic Association, vol. 107(10), pages 3243-3249, October.
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• Blume, Marshall E. & Keim, Donald B., 2017. "The Changing Nature of Institutional Stock Investing," Critical Finance Review, now publishers, vol. 7(1), pages 1-41, March.
• Eisdorfer, Assaf & Kohl, Elizabeth, 2017. "Corporate Sport Sponsorship and Stock Returns: Evidence from the NFL," Critical Finance Review, now publishers, vol. 7(1), pages 179-209, March.
• Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2018. "Fiscal Policy and the Cycle in Latin America: the Role of Financing Conditions and Fiscal Rules," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 36(85), pages 101-116, April.
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• Jana Šimáková & Nikola Rusková, 2017. "Role of the Exchange Rates in the Stock Price Development of Companies in Chemical Industry," Working Papers 0042, Silesian University, School of Business Administration.
• Jun Sakamoto, 2017. "An empirical study on the risk premium caused by differences in the dispersion of information among investors," Discussion Papers in Economics and Business 17-11, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
• Jun Sakamoto, 2017. "An empirical analysis of the impact of differences in the disclosure among companies on the equity premium," Discussion Papers in Economics and Business 17-11-Rev., Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP), revised Jan 2018.
• Luc Renneboog & Peter G. Szilagyi & Cara Vansteenkiste, 2017. "Creditor rights, claims enforcement, and bond performance in mergers and acquisitions," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 48(2), pages 174-194, February.
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• Robert J. Barro & Jesús Fernández-Villaverde & Oren Levintal & Andrew Mollerus, 2014. "Safe Assets," NBER Working Papers 20652, National Bureau of Economic Research, Inc.
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• Adam Marszk, 2017. "Development of innovative financial products in Europe: Case of exchange-traded products in Germany," Working Papers 153/2017, Institute of Economic Research, revised May 2017.
• Tomas Meluzin & Marek Zinecker & doubravsky@fbm.vutbr.cz & Mirko Dohnal, 2017. "Effects of Rumours on IPO Success: A Qualitative Approach," Working Papers 79/2017, Institute of Economic Research, revised May 2017.
• Ewa Karwowski, 2017. "Corporate financialisation in South Africa: From investment strike to housing bubble," Working Papers 1708, Post Keynesian Economics Society (PKES).
• Karwowski, Ewa, 2017. "Corporate financialisation in South Africa: From investment strike to housing bubble," Economics Discussion Papers 2017-7, School of Economics, Kingston University London.
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• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
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• José Couto & Paula Brito & António Cerqueira, 2017. "The Method of Market Multiples on the Valuation of Companies: A Multivariate Approach," FEP Working Papers 586, Universidade do Porto, Faculdade de Economia do Porto.
• John Hartwick, 2017. "Daily Share Price-changes for Eleven D-J Companies over Five Three-month Periods and Short-term Profit-seeking," Working Papers 1395, Queen's University, Department of Economics.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean‐Marc Tallon, 2018. "Ambiguity and the historical equity premium," Quantitative Economics, Econometric Society, vol. 9(2), pages 945-993, July.
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• Robin Greenwood & Andrei Shleifer & Yang You, 2017. "Bubbles for Fama," NBER Working Papers 23191, National Bureau of Economic Research, Inc.
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• Anthony Newell & Lionel Page, 2017. "Countercyclical risk aversion and self-reinforcing feedback loops in experimental asset markets," QuBE Working Papers 050, QUT Business School.
• Bielagk, Jana & Horst, Ulrich & Moreno-Bromberg, Santiago, 2017. "Trading under Market Impact," Rationality and Competition Discussion Paper Series 39, CRC TRR 190 Rationality and Competition.
• Pierlauro Lopez, 2018. "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 29, pages 85-105, July.
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• Wei Cui & Leo Kaas, 2017. "Default Cycles," Discussion Papers 1716, Centre for Macroeconomics (CFM).
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• Sudipto Karmakar & Francisco Buera, 2017. "Real Effects of Financial Distress: The Role of Heterogeneity," 2017 Meeting Papers 1356, Society for Economic Dynamics.
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• Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
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• Andries, Marianne & Eisenbach, Thomas M. & Schmalz, Martin C. & Wang, Yichuan, 2015. "The term structure of the price of variance risk," Staff Reports 736, Federal Reserve Bank of New York.
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• Anthony A. DeFusco & Charles G. Nathanson & Eric Zwick, 2017. "Speculative Dynamics of Prices and Volume," NBER Working Papers 23449, National Bureau of Economic Research, Inc.
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• Michael Weber & Andreas Neuhierl, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," Working Papers 2016-26, Becker Friedman Institute for Research In Economics.
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• Adrian, Tobias & Duarte, Fernando M., 2016. "Financial vulnerability and monetary policy," Staff Reports 804, Federal Reserve Bank of New York, revised 01 Sep 2017.
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• David Berger & Ian Dew-Becker & Stefano Giglio, 2017. "Uncertainty Shocks as Second-Moment News Shocks," NBER Working Papers 23796, National Bureau of Economic Research, Inc.
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• Roberto Marfè, 2015. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 429, Collegio Carlo Alberto.
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• Favilukis, Jack & van Nieuwerburgh, Stijn, 2017. "Out-of-town Home Buyers and City Welfare," CEPR Discussion Papers 12283, C.E.P.R. Discussion Papers.
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• Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
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• Colin Caines, 2016. "Can Learning Explain Boom-Bust Cycles In Asset Prices? An Application to the US Housing Boom," International Finance Discussion Papers 1181, Board of Governors of the Federal Reserve System (U.S.).
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• Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders, 2017. "Re-Use of Collateral: Leverage, Volatility, and Welfare," Swiss Finance Institute Research Paper Series 17-04, Swiss Finance Institute.
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• Semyon Malamud & Andreas Schrimpf, 2016. "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series 16-75, Swiss Finance Institute.
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• Baojing Sun, 2017. "Financial Weather Derivatives for Corn Production in Northeastern China: Modelling the underlying Weather Index," Working Papers 2017-05, University of Victoria, Department of Economics, Resource Economics and Policy Analysis Research Group.
• Jeon, Bang Nam & Zheng, Dazhi & Zhu, Lei, 2017. "Exchange Rate Exposure : International Evidence from Daily Firm-Level Data," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 32(1), pages 112-159.
• Ewa Karwowski, 2017. "Corporate financialisation in South Africa: From investment strike to housing bubble," Working Papers PKWP1708, Post Keynesian Economics Society (PKES).
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• Li, Yong & Yu, Jun & Zeng, Tao, 2017. "Deviance Information Criterion for Bayesian Model Selection: Justification and Variation," Economics and Statistics Working Papers 5-2017, Singapore Management University, School of Economics.
• Li, Yong & Yu, Jun & Zeng, Tao, 2017. "A Specification Test based on the MCMC Output," Economics and Statistics Working Papers 9-2017, Singapore Management University, School of Economics.
• Mediha Mezhoud & Asma Sghaier & Adel Boubaker, 2017. "The Impact of Internal Governance Mechanisms on the Share Price Volatility of Listed Companies in Paris Stock Exchange," Bulletin of Applied Economics, Risk Market Journals, vol. 4(1), pages 1-12.
• Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Departmental Working Papers 201711, Rutgers University, Department of Economics.
• Qing Zhou & Robert Faff, 2017. "The complementary role of cross-sectional and time-series information in forecasting stock returns," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 113-139, February.
• Shuang Li & Yanli Zhou & Yonghong Wu & Xiangyu Ge, 2017. "Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 276-295, May.
• Abhijeet Chandra & M. Thenmozhi, 2017. "Behavioural Asset Pricing: Review and Synthesis," Journal of Interdisciplinary Economics, , vol. 29(1), pages 1-31, January.
• Tomas Williams & Lorenzo Pandolfi, 2017. "Capital Flows and Sovereign Debt Markets: Evidence from Index Rebalancings," Working Papers 2017-11, The George Washington University, Institute for International Economic Policy.
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• I Doun Kuo, 2017. "Irrationality and Term Structure Anomaly," Proceedings of Economics and Finance Conferences 4507033, International Institute of Social and Economic Sciences.
• Mark Iarovyi & sasson Bar Yosef & Itzhak Venezia, 2017. "Implied Maturity Mismatches and Investor Disagreement," Proceedings of Economics and Finance Conferences 4507072, International Institute of Social and Economic Sciences.
• Sana Tauseef, 2017. "Cross-Sectional Variation in Stock Returns: Evidence from an Emerging Market," Proceedings of Economics and Finance Conferences 4807087, International Institute of Social and Economic Sciences.
• Mohsin Sadaqat & Hilal Anwar Butt, 2017. "Anomalous Returns, Risk Premiums and Diversification: Evidence from Emerging Market," Proceedings of Economics and Finance Conferences 4807461, International Institute of Social and Economic Sciences.
• Cheng-Te Lee & Deng-Sing Huang, 2017. "Asymmetric Globalization and Specialization," IEAS Working Paper : academic research 17-A004, Institute of Economics, Academia Sinica, Taipei, Taiwan.
• Fuhrer, Lucas Marc, 2018. "Liquidity in the repo market," Journal of International Money and Finance, Elsevier, vol. 84(C), pages 1-22.
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• Aleksander Berentsen & Benjamin Müller, 2014. "A tale of fire-sales and liquidity hoarding," ECON - Working Papers 139, Department of Economics - University of Zurich, revised Jun 2015.
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• Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2017. "Uncovering Skilled Short-sellers," Working Papers, Department of Economics 2017_01, University of São Paulo (FEA-USP).
• Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2017. "The Price Tag Illusion," Working Papers, Department of Economics 2017_31, University of São Paulo (FEA-USP).
• Selcuk Kendirli & Muhammet Cankaya & Altug Cagatay, 2017. "The Effects of Global Economic Crisis of 2008 to Financial Statements and Liquidity Ratios Which Companies are Settled In BIST Energy Sector (2005-2013 Term Review)," Journal of Economic Development, Environment and People, Alliance of Central-Eastern European Universities, vol. 6(1), pages 6-21, March.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2017. "Does monetary policy generate asset price bubbles ?," Documents de Travail de l'OFCE 2017-05, Observatoire Francais des Conjonctures Economiques (OFCE).
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• Roi D. Taussig & Sagi Akron, 2017. "Returns to scale, operating leverage, and expected stock returns," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 7(1), pages 141-155, April.
• Constantinos Kardaras & Scott Robertson, 2017. "Continuous-time perpetuities and time reversal of diffusions," Finance and Stochastics, Springer, vol. 21(1), pages 65-110, January.
• Holger Kraft & Thomas Seiferling & Frank Thomas Seifried, 2017. "Optimal consumption and investment with Epstein–Zin recursive utility," Finance and Stochastics, Springer, vol. 21(1), pages 187-226, January.
• Peter Bank & Yan Dolinsky & Ari-Pekka Perkkiö, 2017. "The scaling limit of superreplication prices with small transaction costs in the multivariate case," Finance and Stochastics, Springer, vol. 21(2), pages 487-508, April.
• Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2017. "Local risk-minimization for Barndorff-Nielsen and Shephard models," Finance and Stochastics, Springer, vol. 21(2), pages 551-592, April.
• Tomas Björk & Mariana Khapko & Agatha Murgoci, 2017. "On time-inconsistent stochastic control in continuous time," Finance and Stochastics, Springer, vol. 21(2), pages 331-360, April.
• Houdou Basse Mama & Alexander Bassen, 2017. "Neglected disciplinary effects of investor relations: evidence from corporate cash holdings," Journal of Business Economics, Springer, vol. 87(2), pages 221-261, February.
• Vasilis Siakoulis, 2017. "Fiscal policy effects on non-performing loan formation," Working Papers 224, Bank of Greece.
• Leonidas S. Rompolis, 2017. "The effectiveness of unconventional monetary policy on risk aversion and uncertainty," Working Papers 231, Bank of Greece.
• G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
• Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
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• Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Businesss School.
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• Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116R, Brandeis University, Department of Economics and International Businesss School, revised Feb 2018.
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• Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116, Brandeis University, Department of Economics and International Businesss School.
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• Lloyd, S. P., 2017. "Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term Structure," Cambridge Working Papers in Economics 1734, Faculty of Economics, University of Cambridge.
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• Lloyd, S. P., 2017. "Unconventional Monetary Policy and the Interest Rate Channel: Signalling and Portfolio Rebalancing," Cambridge Working Papers in Economics 1735, Faculty of Economics, University of Cambridge.
• João M. Pinto & Mafalda C. Correia, 2017. "Are Covered Bonds Different from Asset Securitization Bonds?," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
• Muhammad A. Cheema & Gilbert V. Nartea, 2017. "Investor Sentiment Dynamics, the Cross-section of Stock Returns and the MAX Effect," Working Papers in Economics 17/13, University of Canterbury, Department of Economics and Finance.
• Muhammad A. Cheema & Gilbert V. Nartea, 2017. "Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Are Islamic Stocks Different?," Working Papers in Economics 17/14, University of Canterbury, Department of Economics and Finance.
• Jędrzej Białkowski & Ehud I. Ronn, 2017. "The Global Equity Premium Revisited: What Human Rights Imply for Assets’ Purchasing Power," Working Papers in Economics 17/19, University of Canterbury, Department of Economics and Finance.
• Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018. "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
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• Leland E. Farmer & Alexis Akira Toda, 2017. "Discretizing nonlinear, non‐Gaussian Markov processes with exact conditional moments," Quantitative Economics, Econometric Society, vol. 8(2), pages 651-683, July.
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  • Farmer, Leland E. & Toda, Alexis Akira, 2017. "Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments," University of California at San Diego, Economics Working Paper Series qt4jk1h0kk, Department of Economics, UC San Diego.
• Alexis Akira Toda & Kieran James Walsh, 2017. "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1156-1177, September.
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  • Toda, Alexis Akira & Walsh, Kieran James, 2017. "Fat tails and spurious estimation of consumption-based asset pricing models," University of California at San Diego, Economics Working Paper Series qt8df3x7gw, Department of Economics, UC San Diego.
• Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Osmundsen, Petter & Lovas, Kjell & Emhjellen, Magne, 2017. "Petroleum tax competition subject to capital rationing," UiS Working Papers in Economics and Finance 2017/5, University of Stavanger.
  • Petter Osmundsen & Kjell Løvås & Magne Emhjellen, 2017. "Petroleum Tax Competition Subject ot Capital Rationing," CESifo Working Paper Series 6390, CESifo Group Munich.
• Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo Group Munich.
  • Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 6391, CESifo Group Munich.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin 1647, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," CESifo Working Paper Series 6396, CESifo Group Munich.
• M. Hashem Pesaran & Takashi Yamagata, 2017. "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," Discussion Papers 17/04, Department of Economics, University of York.
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• Michael Weber & Ali Ozdagli, 2016. "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers 148, Society for Economic Dynamics.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," CESifo Working Paper Series 6486, CESifo Group Munich.
  • Ozdagli, Ali K. & Weber, Michael, 2017. "Monetary policy through production networks: evidence from the stock market," Working Papers 17-15, Federal Reserve Bank of Boston.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," NBER Working Papers 23424, National Bureau of Economic Research, Inc.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," Working Papers 2017-07, Becker Friedman Institute for Research In Economics.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," Discussion Papers of DIW Berlin 1670, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," CESifo Working Paper Series 6534, CESifo Group Munich.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2016. "Why Does Idiosyncratic Risk Increase with Market Risk?," Working Paper Series 2016-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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• Andreas Neuhierl & Michael Weber, 2017. "Monetary Momentum," CESifo Working Paper Series 6648, CESifo Group Munich.
  • Andreas Neuhierl & Michael Weber, 2018. "Monetary Momentum," NBER Working Papers 24748, National Bureau of Economic Research, Inc.
• Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018. "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
  • Afonso, António & Arghyrou, Michael G & Gadea, María Dolores & Kontonikas, Alexandros, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Cardiff Economics Working Papers E2017/12, Cardiff University, Cardiff Business School, Economics Section.
  • António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects," CESifo Working Paper Series 6691, CESifo Group Munich.
  • António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Working Papers REM 2017/02, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
• Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," Discussion Papers of DIW Berlin 1694, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo Group Munich.
• Zeno Enders & Hendrik Hakenes, 2017. "Market Depth, Leverage, and Speculative Bubbles," CESifo Working Paper Series 6806, CESifo Group Munich.
• Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Persistence in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 46(C), pages 141-148.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1703, DIW Berlin, German Institute for Economic Research.
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• Leo Kaas & Wei Cui, 2017. "Default Cycles," 2017 Meeting Papers 1288, Society for Economic Dynamics.
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• Marcus Miller & Lei Zhang & Songklod Rastapana, 2017. "Subprime assets and financial crisis: theory, policy and the law," CAGE Online Working Paper Series 340, Competitive Advantage in the Global Economy (CAGE).
• Ally Quan Zhang, 2017. "Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints," Swiss Finance Institute Research Paper Series 17-02, Swiss Finance Institute.
• Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2017. "Re-use of Collateral: Leverage, Volatility, and Welfare," 2017 Meeting Papers 697, Society for Economic Dynamics.
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• Alexander Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," NBER Working Papers 23152, National Bureau of Economic Research, Inc.
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• Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla, 2017. "The Relevance of Broker Networks for Information Diffusion in the Stock Market," Swiss Finance Institute Research Paper Series 17-08, Swiss Finance Institute.
• Philippe Bacchetta & Eric Van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 17.05, Université de Lausanne, Faculté des HEC, DEEP.
  • Philippe Bacchetta & Eric van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," Swiss Finance Institute Research Paper Series 17-15, Swiss Finance Institute.
  • Philippe Bacchetta & Eric van Wincoop, 2017. "Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns," NBER Working Papers 23363, National Bureau of Economic Research, Inc.
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• Damir Filipović & Martin Larsson & Francesco Statti, 2017. "Unspanned Stochastic Volatility in the Multi-Factor CIR Model," Swiss Finance Institute Research Paper Series 17-16, Swiss Finance Institute, revised Apr 2018.
• Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Papers 1704.08175, arXiv.org, revised Jun 2017.
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• Anastasiia Sokko & Klaus Reiner Schenk-Hoppé, 2017. "Margin Requirements and Evolutionary Asset Pricing," Swiss Finance Institute Research Paper Series 17-20, Swiss Finance Institute.
• Didier Sornette & Peter Cauwels & Georgi Smilyanov, 2017. "Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles," Swiss Finance Institute Research Paper Series 17-27, Swiss Finance Institute.
• Hendershott, Terrence & Li, Dan & Livdan, Dmitry & Sch�rhoff, Norman, 2017. "Relationship Trading in OTC Markets," CEPR Discussion Papers 12472, C.E.P.R. Discussion Papers.
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• Per Östberg & Thomas Richter, 2017. "The Sovereign Debt Crisis: Rebalancing or Freezes?," Swiss Finance Institute Research Paper Series 17-32, Swiss Finance Institute.
• Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017. "Paths to Convergence: Stock Price Behavior After Donald Trump's Election," Swiss Finance Institute Research Paper Series 17-36, Swiss Finance Institute, revised Feb 2018.
• Damien Ackerer & Damir Filipović, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Swiss Finance Institute Research Paper Series 17-41, Swiss Finance Institute.
• Wojciech Zurowski, 2017. "Monetary Policy and Bond Risk Premia in the US and the UK," Swiss Finance Institute Research Paper Series 17-42, Swiss Finance Institute.
• Biljana Seistrajkova, 2017. "Short Selling and the Subsequent Performance of Initial Public Offerings," Swiss Finance Institute Research Paper Series 17-49, Swiss Finance Institute.
• Damir Filipović & Sander Willems, 2017. "A Term Structure Model for Dividends and Interest Rates," Swiss Finance Institute Research Paper Series 17-52, Swiss Finance Institute.
• Damir Filipović & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Swiss Finance Institute Research Paper Series 17-60, Swiss Finance Institute.
• Andrea Barbon & Marco Di Maggio & Francesco A. Franzoni & Augustin Landier, 2017. "Brokers and Order Flow Leakage: Evidence from Fire Sales," Swiss Finance Institute Research Paper Series 17-61, Swiss Finance Institute, revised Jun 2018.
• Alexey Ivashchenko, 2017. "Credit Spreads, Daily Business Cycle, and Corporate Bond Returns Predictability," Swiss Finance Institute Research Paper Series 17-67, Swiss Finance Institute, revised Jan 2018.
• Alessio Ruzza & Wojciech Zurowski, 2017. "Corporate Bond Dealers' Inventory Risk and FOMC," Swiss Finance Institute Research Paper Series 17-68, Swiss Finance Institute.
• Walter Farkas & Ciprian Necula, 2017. "The Dynamics of Heterogeneity and Asset Prices," Swiss Finance Institute Research Paper Series 17-76, Swiss Finance Institute.
• Ying Liu, 2018. "Why Do Large Investors Disclose Their Information?," Swiss Finance Institute Research Paper Series 18-17, Swiss Finance Institute.
• Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2018. "Model-Free International Stochastic Discount Factors," Swiss Finance Institute Research Paper Series 18-18, Swiss Finance Institute.
• Ying Liu & Sebastian Vogel & Yuan Zhang, 2018. "Electronic Trading in OTC Markets vs. Centralized Exchange," Swiss Finance Institute Research Paper Series 18-19, Swiss Finance Institute.
• Filippo Ippolito & Roberto Steri & Claudio Tebaldi, 2018. "Levered Returns and Capital Structure Imbalances," Swiss Finance Institute Research Paper Series 18-36, Swiss Finance Institute.
• Manresa, Elena & Pe�aranda, Francisco & Sentana, Enrique, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
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• Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
• Julio A. Crego & Jin Huang, 2017. "Early Birds and Second Mice in the Stock Market," Working Papers wp2017_1717, CEMFI.
• Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2018_1711, CEMFI.
• Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2018_1714, CEMFI.
• Julio A. Crego & Jin Huang, 2017. "Early Birds and Second Mice in the Stock Market," Working Papers wp2018_1717, CEMFI.
• Adam Kucera & Michal Dvorak & Lubos Komarek & Zlatuse Komarkova, 2017. "Longer-term Yield Decomposition: An Analysis of the Czech Government Yield Curve," Working Papers 2017/12, Czech National Bank, Research Department.
• Peter Claeys & Borek Vasicek, 2017. "Transmission of Uncertainty Shocks: Learning from Heterogeneous Responses on a Panel of EU Countries," Working Papers 2017/13, Czech National Bank, Research Department.
• Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," REVISTA DESARROLLO Y SOCIEDAD, UNIVERSIDAD DE LOS ANDES-CEDE, vol. 78, February.
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• Peter Claeys, 2017. "Uncertainty spillover and policy reactions," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(82), pages 64-77, April.
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• Pablo Andrés Garay Rodriguez & Peter David Lowy Galvis, 2017. "Análisis de recomposición del portafolio accionario por sectores en Colombia basado en Valor en Riesgo entre el Q2 2013-Q2 2014 y Q2 2015-Q2 2016," VNIVERSITAS ECONÓMICA 015939, UNIVERSIDAD JAVERIANA - BOGOTÁ.
• Jason N. Harris & Jason Nassios & James A. Giesecke, 2017. "Determining agent-specific rates of return in a Financial CGE model of Australia," Centre of Policy Studies/IMPACT Centre Working Papers g-270, Victoria University, Centre of Policy Studies/IMPACT Centre.
• Ed Westerhout & Ona Ciocyte, 2017. "The role of inflation-linked bonds," CPB Discussion Paper 344, CPB Netherlands Bureau for Economic Policy Analysis.
• Orphanides, Athanasios, 2017. "Central Bank Policies and the Debt Trap," CEPR Discussion Papers 11834, C.E.P.R. Discussion Papers.
• Wagner, Alexander F & Zeckhauser, Richard & Ziegler, Alexandre, 2017. "Company Stock Price Reactions to the 2016 Election Shock: Trump, Taxes and Trade," CEPR Discussion Papers 11837, C.E.P.R. Discussion Papers.
• Lubos Pastor & Pietro Veronesi, 2017. "Political Cycles and Stock Returns," NBER Working Papers 23184, National Bureau of Economic Research, Inc.
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• Kuo-Shing Chen & Chien-Chiang Lee & Chun-Ming Chen, 2017. "Arbitrage, Covered Interest Parity and Cointegration Analysis on the New Taiwan Dollar/US Dollar FOREX Market Revisited," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 420-428.
• Cheung, Kwok Tong Samuel & Naidu, Dharmendra & Navissi, Farshid & Ranjeeni, Kumari, 2017. "Valuing talent: Do CEOs' ability and discretion unambiguously increase firm performance," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 15-35.
• Borochin, Paul & Yang, Jie, 2017. "Options, equity risks, and the value of capital structure adjustments," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 150-178.
• Chen, Changling & Kim, Jeong-Bon & Yao, Li, 2017. "Earnings smoothing: Does it exacerbate or constrain stock price crash risk?," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 36-54.
• Abdoh, Hussein & Varela, Oscar, 2017. "Product market competition, idiosyncratic and systematic volatility," Journal of Corporate Finance, Elsevier, vol. 43(C), pages 500-513.
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• Coqueret, Guillaume, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 180-201.
• Akram, Tanweer & Li, Huiqing, 2017. "What keeps long-term U.S. interest rates so low?," Economic Modelling, Elsevier, vol. 60(C), pages 380-390.
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• Liang, Hanchao & Yang, Chunpeng & Cai, Chuangqun, 2017. "Beauty contest, bounded rationality, and sentiment pricing dynamics," Economic Modelling, Elsevier, vol. 60(C), pages 71-80.
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• Wei, Yu-Chen & Lu, Yang-Cheng & Chen, Jen-Nan & Hsu, Yen-Ju, 2017. "Informativeness of the market news sentiment in the Taiwan stock market," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 158-181.
• Filzen, Joshua J. & Schutte, Maria Gabriela, 2017. "Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 19-37.
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• Dolmas, Jim, 2017. "Campbell and Cochrane meet Melino and Yang: Reverse engineering the surplus ratio in a Mehra–Prescott economy," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 55-62.
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• Kyle C. Meng, 2017. "Using a Free Permit Rule to Forecast the Marginal Abatement Cost of Proposed Climate Policy," American Economic Review, American Economic Association, vol. 107(3), pages 748-784, March.
• Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(1), pages 1-39, January.
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• Carson, Nathaniel & Langemeier, Michael, 2017. "An Examination of the Relationship Between Net Crop Returns and Cash Rent Values in Indiana," 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama 252768, Southern Agricultural Economics Association.
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• Dickinson, David L. & Chaudhuri, Ananish & Greenaway-McGrevy, Ryan, 2017. "Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market," IZA Discussion Papers 10984, Institute for the Study of Labor (IZA).
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• Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tedongap & Lai Xi, 2017. "Variance Premium, Downside Risk and Expected Stock Returns," Staff Working Papers 17-58, Bank of Canada.
• Pierre Guérin & Danilo Leiva-Leon, 2017. "Monetary policy, stock market and sectoral comovement," Working Papers 1731, Banco de España;Working Papers Homepage.
• Óscar Arce & Ricardo Gimeno & Sergio Mayordomo, 2017. "Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE," Working Papers 1743, Banco de España;Working Papers Homepage.
• Nicola Branzoli & Giovanni Guazzarotti, 2017. "Liquidity transformation and financial stability: evidence from the cash management of open-end Italian mutual funds," Temi di discussione (Economic working papers) 1113, Bank of Italy, Economic Research and International Relations Area.
• Giuseppe Ferrero & Michele Loberto & Marcello Miccoli, 2017. "The collateral channel of unconventional monetary policy," Temi di discussione (Economic working papers) 1119, Bank of Italy, Economic Research and International Relations Area.
• Sara Cecchetti, 2017. "A quantitative analysis of risk premia in the corporate bond market," Temi di discussione (Economic working papers) 1141, Bank of Italy, Economic Research and International Relations Area.
• J. Sebastian Amador-Torres & Jose Eduardo Gomez-Gonzalez & Sebastian Sanin-Restrepo, 2017. "I know what you did during the last bubble: Determinants of housing bubbles' duration in OECD countries," Borradores de Economia 1005, Banco de la Republica de Colombia.
• Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon, 2017. "Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study," Borradores de Economia 1009, Banco de la Republica de Colombia.
• Jose Eduardo Gomez-Gonzalez & Jorge Hirs-Garzon & Jorge M. Uribe, 2017. "Dynamic Connectedness and Causality between Oil prices and Exchange Rates," Borradores de Economia 1025, Banco de la Republica de Colombia.
• Gomez-Gonzalez, Jose Eduardo & Sanin-Restrepo, Sebastian, 2018. "The maple bubble: A history of migration among Canadian provinces," Journal of Housing Economics, Elsevier, vol. 41(C), pages 57-71.
  • Jose Eduardo Gomez-Gonzalez & Sebastian Sanin-Restrepo, 2017. "The Maple Bubble: A History of Migration among Canadian Provinces," Borradores de Economia 992, Banco de la Republica de Colombia.
• Peter Claeys, 2017. "Uncertainty spillover and policy reactions," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 35(82), pages 64-77, April.
  • Peter Claeys, 2017. "Uncertainty spillover and policy reactions," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(82), pages 31-45, April.
• Paul De Grauwe & Eddie Gerba, 2017. "Monetary transmission under competing corporate finance regimes," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(82), pages 46-55, April.
• Michael Weber & Ali Ozdagli, 2016. "Monetary Policy Through Production Networks: Evidence from the Stock Market," 2016 Meeting Papers 148, Society for Economic Dynamics.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," Working Papers 2017-07, Becker Friedman Institute for Research In Economics.
  • Ozdagli, Ali K. & Weber, Michael, 2017. "Monetary policy through production networks: evidence from the stock market," Working Papers 17-15, Federal Reserve Bank of Boston.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," NBER Working Papers 23424, National Bureau of Economic Research, Inc.
  • Ali Ozdagli & Michael Weber, 2017. "Monetary Policy through Production Networks: Evidence from the Stock Market," CESifo Working Paper Series 6486, CESifo Group Munich.
• J. Idier & T. Piquard, 2017. "Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks," Working papers 621, Banque de France.
• W. Arrata & B. Nguyen, 2017. "Price impact of bond supply shocks: Evidence from the Eurosystem's asset purchase program," Working papers 623, Banque de France.
• Lalliard, A., 2017. "Détecter autrement les tensions sur le marché immobilier résidentiel," Bulletin de la Banque de France, Banque de France, issue 210, pages 15-23.
• Arrata, W. & Gautier, A. & Lopez, P. & Rahmouni-Rousseau, I. & Girotti, M. & Mojon, B. & Szczerbowicz, U. & Vari, M. & Foucault, T., 2017. "12e atelier annuel de banque centrale sur la microstructure des marchés financiers - 29-30 septembre 2016, Banque de France," Bulletin de la Banque de France, Banque de France, issue 210, pages 35-43.
• Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Liquidity Sentiments," Working Papers 993, Barcelona Graduate School of Economics.
• Lawrence L Kreicher & Robert Neil McCauley & Philip Wooldridge, 2017. "The bond benchmark continues to tip to swaps," BIS Quarterly Review, Bank for International Settlements, March.
• Schlepper, Kathi & Riordan, Ryan & Hofer, Heiko & Schrimpf, Andreas, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," Discussion Papers 06/2017, Deutsche Bundesbank.
  • Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
• Xianfeng Jiang & Frank Packer, 2017. "Credit ratings of domestic and global agencies: What drives the differences in China and how are they priced?," BIS Working Papers 648, Bank for International Settlements.
• Gregory Sutton & Dubravko Mihaljek & Agnė Subelytė, 2017. "Interest rates and house prices in the United States and around the world," BIS Working Papers 665, Bank for International Settlements.
• Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
  • Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
  • Claessens, Stijn & Kose, Ayhan, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
• Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic Implications of Financial Imperfections: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1719, Koc University-TUSIAD Economic Research Forum.
  • Stijn Claessens & M Ayhan Kose, 2017. "Macroeconomic implications of financial imperfections: a survey," BIS Working Papers 677, Bank for International Settlements.
  • Stijn Claessens & M. Ayhan Kose, 2017. "Macroeconomic implications of financial imperfections: A survey," CAMA Working Papers 2017-75, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  • Claessens ,Stijn & Kose,Ayhan, 2017. "Macroeconomic implications of financial imperfections : a survey," Policy Research Working Paper Series 8260, The World Bank.
  • Claessens, Stijn & Kose, Ayhan, 2017. "Macroeconomic Implications of Financial Imperfections: A Survey," CEPR Discussion Papers 12461, C.E.P.R. Discussion Papers.
• Leif Brubakk & Saskia ter Ellen & Hong Xu, 2017. "Forward guidance through interest rate projections: does it work?," Working Paper 2017/6, Norges Bank.
• Saskia ter Ellen & Cars H. Hommes & Remco C.J. Zwinkels, 2017. "Comparing behavioural heterogeneity across asset classes," Working Paper 2017/12, Norges Bank.
• Vegard Høghaug Larsen & Leif Anders Thorsrud, 2017. "Asset returns, news topics, and media effects," Working Papers No 5/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  • Vegard H. Larsen & Leif Anders Thorsrud, 2017. "Asset returns, news topics, and media effects," Working Paper 2017/17, Norges Bank.
• Vegard H. Larsen & Leif Anders Thorsrud, 2017. "Asset returns, news topics, and media effects," Working Paper 2017/17, Norges Bank.
  • Vegard Høghaug Larsen & Leif Anders Thorsrud, 2017. "Asset returns, news topics, and media effects," Working Papers No 5/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
• Bardoscia, Marco & Barucca, Paolo & Brinley Codd, Adam & Hill, John, 2017. "The decline of solvency contagion risk," Bank of England working papers 662, Bank of England.
• Douglas, Graeme & Noss, Joseph & Vause, Nicholas, 2017. "The impact of Solvency II regulations on life insurers’ investment behaviour," Bank of England working papers 664, Bank of England.
• Baranova, Yuliya & Liu, Zijun & Shakir, Tamarah, 2017. "Staff Working Paper No. 665: Dealer intermediation, market liquidity and the impact of regulatory reform," Bank of England working papers 665, Bank of England.
• Czech, Robert & Roberts-Sklar, Matt, 2017. "Investor behaviour and reaching for yield: evidence from the sterling corporate bond market," Bank of England working papers 685, Bank of England.
• Schmelzing, Paul, 2017. "Staff Working Paper No. 686: Eight centuries of the risk-free rate: bond market reversals from the Venetians to the ‘VaR shock’," Bank of England working papers 686, Bank of England.
• Bicu, Andreea & Chen, Louisa & Elliott, David, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England, revised 19 Dec 2017.
• Kaminska, Iryna & Roberts-Sklar, Matt, 2018. "Volatility in equity markets and monetary policy rate uncertainty," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 68-83.
  • Kaminska, Iryna & Roberts-Sklar, Matt, 2017. "Volatility in equity markets and monetary policy rate uncertainty," Bank of England working papers 700, Bank of England.
• Baranova, Yuliya & Coen, Jamie & Noss, Joseph & Lowe, Pippa & Silvestri, Laura, 2017. "Simulating stress across the financial system: the resilience of corporate bond markets and the role of investment funds," Bank of England Financial Stability Papers 42, Bank of England.
• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  • Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Research Discussion Papers 1/2017, Bank of Finland.
• Jan Voelzke & Jeanne Diesteldorf & Fabian Goessling & Till Weigt, 2017. "Investors' favourite - A different look at valuing individual labour income," CQE Working Papers 6017, Center for Quantitative Economics (CQE), University of Muenster.
• Christian Gross, 2017. "Examining the Common Dynamics of Commodity Futures Prices," CQE Working Papers 6317, Center for Quantitative Economics (CQE), University of Muenster.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2017. "Does monetary policy generate asset price bubbles ?," Documents de Travail de l'OFCE 2017-05, Observatoire Francais des Conjonctures Economiques (OFCE).
  • Christophe Blot & Paul Hubert & Fabien Labondance, 2017. "Does Monetary Policy generate Asset Price Bubbles?," Working Papers 2017-06, CRESE.
  • Christophe Blot & Paul Hubert & Fabien Labondance, 2017. "Does monetary policy generate asset price bubbles ?," Sciences Po publications info:hdl:2441/2geqol5jud8, Sciences Po.
• Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2017. "Differential equations connecting VaR and CVaR," INDEM - Working Paper Business Economic Series 24017, Instituto para el Desarrollo Empresarial (INDEM).
• Lafuente Luengo, Juan Ángel & Serrano Jiménez, Pedro José & Petit, Nuria, 2017. "Dissecting interbank risk," DEE - Working Papers. Business Economics. WB 24553, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
• Gonzalo Jesús & Taamouti Abderrahim, 2017. "The reaction of stock market returns to unemployment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-20, September.
  • Taamouti, Abderrahim & Gonzalo, Jesús, 2017. "The Reaction of Stock Market Returns to Unemployment," UC3M Working papers. Economics 24120, Universidad Carlos III de Madrid. Departamento de Economía.
• Salmeron Garrido, Jose Antonio & García Martí, Dolores & D'Auria, Bernardo, 2017. "Optimal portfolio with insider information on the stochastic interest rate," DES - Working Papers. Statistics and Econometrics. WS 25819, Universidad Carlos III de Madrid. Departamento de Estadística.
• Raymond Swaray & Afees A. Salisu, 2017. "The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?," Working Papers 021, Centre for Econometric and Allied Research, University of Ibadan.
• Ana Fostel & John Geanakoplos & Gregory Phelan, 2015. "Global Collateral: How Financial Innovation Drives Capital Flows and Increases Financial Instability," Department of Economics Working Papers 2015-12, Department of Economics, Williams College, revised Feb 2017.
  • Ana Fostel & John Geanakoplos & Gregory Phelan, 2017. "Global Collateral: How Financial Innovation Drives Capital Flows and Increases Financial Instability," Cowles Foundation Discussion Papers 2076, Cowles Foundation for Research in Economics, Yale University.
• Gérard CHARREAUX, 2017. "Gestion de portefeuille et politique:existe-t-il une prime partisane sur le marché français ?, Portfolio management and politics:is there a presidential premium on the French market ?," Working Papers CREGO 1170201, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," CESifo Working Paper Series 6396, CESifo Group Munich.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin 1647, DIW Berlin, German Institute for Economic Research.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," CESifo Working Paper Series 6534, CESifo Group Munich.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Is Market Fear Persistent? A Long-Memory Analysis," Discussion Papers of DIW Berlin 1670, DIW Berlin, German Institute for Economic Research.
• Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," CESifo Working Paper Series 6716, CESifo Group Munich.
  • Guglielmo Maria Caporale & Alex Plastun, 2017. "The Day of the Week Effect in the Crypto Currency Market," Discussion Papers of DIW Berlin 1694, DIW Berlin, German Institute for Economic Research.
• Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Persistence in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 46(C), pages 141-148.
  • Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," CESifo Working Paper Series 6811, CESifo Group Munich.
  • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin 1703, DIW Berlin, German Institute for Economic Research.
• Farley Grubb, 2017. "The Paper Money of Colonial North Carolina, 1712-1774," Working Papers 17-01, University of Delaware, Department of Economics.
• Ryan van Lamoen & Simona Mattheussens & Martijn Dröes, 2017. "Quantitative easing and exuberance in government bond markets: Evidence from the ECB's expanded asset purchase program," DNB Working Papers 548, Netherlands Central Bank, Research Department.
• Dirk Broeders & Arco van Oord & David Rijsbergen, 2017. "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," DNB Working Papers 561, Netherlands Central Bank, Research Department.
• Gabriele Galati & Federica Teppa & Rob Alessie, 2013. "Heterogeneity in house price dynamics," DNB Working Papers 371, Netherlands Central Bank, Research Department.
  • Gabriele Galati & Federica Teppa, 2017. "Heterogeneity in house price dynamics," DNB Working Papers 564, Netherlands Central Bank, Research Department.
• Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping in the housing market," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 232-263.
  • Leung, Charles Ka Yui & Tse, Chung-Yi, 2017. "Flipping in the Housing Market," MPRA Paper 76443, University Library of Munich, Germany.
  • Charles Ka Yui Leung & Chung-Yi Tse, 2017. "Flipping in the Housing Market," ISER Discussion Paper 0989, Institute of Social and Economic Research, Osaka University.
• Houdou Basse Mama & Rachidi Kotchoni, 2017. "Investor Relations' Quality and Mispricing," EconomiX Working Papers 2017-33, University of Paris Nanterre, EconomiX.
• Catherine, Sylvain, 2016. "Countercyclical Income Risk and Portfolio Choices over the Life-Cycle," HEC Research Papers Series 1147, HEC Paris.
• Lovo, Stefano & Spaenjers, Christophe, 2014. "A Model of Trading in the Art Market," HEC Research Papers Series 1150, HEC Paris, revised 22 Sep 2017.
• Schmidt, Daniel & Lunghi, Sandro & von Beschwitz, Bastian, 2017. "Limits of Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," HEC Research Papers Series 1206, HEC Paris, revised 13 Aug 2017.
• Honkanen, Pekka & Schmidt, Daniel, 2017. "Price and Liquidity Spillovers during Fire Sale Episodes," HEC Research Papers Series 1214, HEC Paris, revised 07 Jul 2017.
• Rosu, Ioanid & Sojli, Elvira & Tham, Wing Wah, 2017. "Quotes, Trades and the Cost of Capital," HEC Research Papers Series 1231, HEC Paris, revised 26 Jan 2018.
• Rosu, Ioanid & Sojli, Elvira & Tham, Wing Wah, 2017. "Quotes, Trades and the Cost of Capital," HEC Research Papers Series 1232, HEC Paris, revised 26 Jan 2018.
• Langlois, Hugues & Chaieb, Ines & Errunza, Vihang R., 2017. "Is Liquidity Risk Priced in Partially Segmented Markets?," HEC Research Papers Series 1254, HEC Paris, revised 04 Jun 2018.
  • Ines Chaieb & Vihang R. Errunza & Hugues Langlois, 2018. "Is Liquidity Risk Priced in Partially Segmented Markets?," Swiss Finance Institute Research Paper Series 18-05, Swiss Finance Institute, revised Jun 2018.
• Giovanni Cespa & Xavier Vives, 2016. "High Frequency Trading and Fragility," CESifo Working Paper Series 6279, CESifo Group Munich.
  • Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
  • Cespa, Giovanni & Vives, Xavier, 2017. "High frequency trading and fragility," Working Paper Series 2020, European Central Bank.
  • Cespa, Giovanni & Vives, Xavier, 2016. "High Frequency Trading and Fragility," CEPR Discussion Papers 11732, C.E.P.R. Discussion Papers.
• Corradin, Stefano, 2017. "Is collateral eligibility priced?," Research Bulletin, European Central Bank, vol. 31.
• Kick, Heinrich, 2017. "Pricing of bonds and equity when the zero lower bound is relevant," Working Paper Series 1992, European Central Bank.
• Speck, Christian, 2017. "Inflation anchoring in the euro area," Working Paper Series 1998, European Central Bank.
• Giovanni Cespa & Xavier Vives, 2016. "High Frequency Trading and Fragility," CESifo Working Paper Series 6279, CESifo Group Munich.
  • Cespa, Giovanni & Vives, Xavier, 2017. "High frequency trading and fragility," Working Paper Series 2020, European Central Bank.
  • Cespa, Giovanni & Vives, Xavier, 2017. "High Frequency Trading and Fragility," IESE Research Papers D/1161, IESE Business School.
  • Cespa, Giovanni & Vives, Xavier, 2016. "High Frequency Trading and Fragility," CEPR Discussion Papers 11732, C.E.P.R. Discussion Papers.
• De Santis, Roberto A. & Holm-Hadulla, Fédéric, 2017. "Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment," Working Paper Series 2052, European Central Bank.
• Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2018. "Bid-to-cover and yield changes around public debt auctions in the euro area," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 118-134.
  • Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Hanson, Jesper, 2017. "Bid-to-cover and yield changes around public debt auctions in the euro area," CEPR Discussion Papers 11932, C.E.P.R. Discussion Papers.
  • Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2017. "Bid-to-cover and yield changes around public debt auctions in the euro area," Working Paper Series 2056, European Central Bank.
• Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
• Schumacher, Malte D. & Żochowski, Dawid, 2017. "The risk premium channel and long-term growth," Working Paper Series 2114, European Central Bank.
• Alexander Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," NBER Working Papers 23152, National Bureau of Economic Research, Inc.
  • Wagner, Alexander F. & Zeckhauser, Richard J. & Siegler, Alexandre, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," Working Paper Series rwp17-005, Harvard University, John F. Kennedy School of Government.
  • Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler, 2017. "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," Swiss Finance Institute Research Paper Series 17-06, Swiss Finance Institute.
• Wagner, Alexander F. & Zeckhauser, Richard J. & Ziegler, Alexandre, 2017. "Paths to Convergence: Stock Price Behavior after Donald Trump's Election," Working Paper Series rwp17-039, Harvard University, John F. Kennedy School of Government.
  • Wagner, Alexander F & Zeckhauser, Richard & Ziegler, Alexandre, 2018. "Paths to Convergence: Stock Price Behavior After Donald Trump's Election," CEPR Discussion Papers 12657, C.E.P.R. Discussion Papers.
• Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2016. "Exchange Traded Funds (ETFs)," Swiss Finance Institute Research Paper Series 16-64, Swiss Finance Institute.
  • Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2017. "Exchange Traded Funds (ETFs)," Working Paper Series 2016-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  • Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2016. "Exchange Traded Funds (ETFs)," NBER Working Papers 22829, National Bureau of Economic Research, Inc.
• Wruck, Karen H. & Wu, YiLin, 2017. "Equity Incentives, Disclosure Quality, and Stock Liquidity Risk," Working Paper Series 2017-02, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Panayides, Marios A. & Rindi, Barbara & Werner, Ingrid M., 2017. "Trading Fees and Intermarket Competition," Working Paper Series 2017-03, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Anderson, Mike & Stulz, Rene M., 2017. "Is Post-crisis Bond Liquidity Lower?," Working Paper Series 2017-09, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Chen Lin & Thomas Schmid & Michael S. Weisbach, 2017. "Price Risk, Production Flexibility, and Liquidity Management: Evidence from Electricity Generating Firms," NBER Working Papers 23434, National Bureau of Economic Research, Inc.
  • Lin, Chen & Schmid, Thomas & Weisbach, Michael S., 2017. "Price Risk, Production Flexibility, and Liquidity Management: Evidence from Electricity Generating Firms," Working Paper Series 2017-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Goncalves, Andrei, 2017. "Can Reinvestment Risk Explain the Dividend and Bond Term Structures?," Working Paper Series 2017-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Beltratti, Andrea & Stulz, Rene M., 2017. "How Important Was Contagion Through Banks During the European Sovereign Crisis?," Working Paper Series 2017-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2017. "The Economics of Value Investing," Working Paper Series 2017-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Bao, Jack & Hou, Kewei, 2017. "De Facto Seniority, Credit Risk, and Corporate Bond Prices," Working Paper Series 2017-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Rindi, Barbara & Werner, Ingrid M., 2017. "U.S. Tick Size Pilot," Working Paper Series 2017-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Goncalves, Andrei & Xue, Chen & Zhang, Lu, 2017. "Aggregation, Capital Heterogeneity, and the Investment CAPM," Working Paper Series 2017-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Wruck, Karen H. & Wu, YiLin, 2017. "Do CEOs Make Their Own Luck? Relative Versus Absolute Performance Evaluation and Firm Risk," Working Paper Series 2017-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Jongha Lim & Michael W. Schwert & Michael S. Weisbach, 2017. "The Economics of PIPEs," NBER Working Papers 23967, National Bureau of Economic Research, Inc.
  • Lim, Jongha & Schwert, Michael & Weisbech, Michael S., 2017. "The Economics of PIPEs," Working Paper Series 2017-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Li, Ye, 2017. "Procyclical Finance: The Money View," Working Paper Series 2017-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Hou, Kewei & Tang, Ke & Zhang, Bohui, 2017. "Political Uncertainty and Commodity Prices," Working Paper Series 2017-25, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Arif, Salman & Ben-Rephael, Azi & Lee, Charles M. C., 2017. "Mutual Funds and Short-Sellers: Why Does Short-Sale Volume Predict Stock Returns?," Research Papers 3162, Stanford University, Graduate School of Business.
• Lee, Charles M. C. & So, Eric C. & Wang, Charles C. Y., 2017. "Evaluating Firm-Level Expected-Return Proxies," Research Papers 3188, Stanford University, Graduate School of Business.
• Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
  • Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
  • Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers 3518, Stanford University, Graduate School of Business.
  • Koijen, Ralph & Lustig, Hanno & van Nieuwerburgh, Stijn, 2012. "The Cross-Section and Time-Series of Stock and Bond Returns," CEPR Discussion Papers 9024, C.E.P.R. Discussion Papers.
• Lee, Charles M. C. & Qu, Yuanyu & Shen, Tao, 2017. "Reverse Mergers, Shell Value, and Regulation Risk in Chinese Equity Markets," Research Papers repec:ecl:stabus:3604, Stanford University, Graduate School of Business.
• Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017. "Corporate Credit Risk Premia," Research Papers repec:ecl:stabus:3617, Stanford University, Graduate School of Business.
  • Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia," NBER Working Papers 24213, National Bureau of Economic Research, Inc.

2016

• Pierre Chollet & Blaise W. Sandwidi, 2016. "L’impact sur les marchés financiers européens de la diffusion d’alertes sociétales et de leurs évènements déclencheurs," Revue Finance Contrôle Stratégie, revues.org, vol. 19(2), pages 59-82, June.
• Baetje, Fabian & Menkhoff, Lukas, 2016. "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1193-1207.
  • Baetje, Fabian & Menkhoff, Lukas, 2015. "Equity premium prediction: Are economic and technical indicators instable?," Kiel Working Papers 1987, Kiel Institute for the World Economy (IfW).
  • Fabian Baetje & Lukas Menkhoff, 2016. "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin 1552, DIW Berlin, German Institute for Economic Research.
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• Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
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• Malliaropulos, Dimitris & Migiakis, Petros, 2018. "The re-pricing of sovereign risks following the Global Financial Crisis," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 39-56.
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• Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2017. "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 371-385.
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• Takuji Fueki & Hiroka Higashi & Naoto Higashio & Jouchi Nakajima & Shinsuke Ohyama & Yoichiro Tamanyu, 2016. "Identifying Oil Price Shocks and Their Consequences:Role of Expectations and Financial Factors in the Crude Oil Market," Bank of Japan Working Paper Series 16-E-17, Bank of Japan.
• Zia-ur-Rehman Rao & Amjad Iqbal & Muhammad Zubair Tauni, 2016. "Performance persistence in institutional investment management: The case of Chinese equity funds," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(3), pages 146-156, September.
• Oguz Ersan & Cumhur Ekinci, 2016. "Algorithmic and high-frequency trading in Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(4), pages 233-248, December.
• Baglioni Angelo & Cherubini Umberto, 2016. "Eurobonds: A Quantitative Approach," Review of Law & Economics, De Gruyter, vol. 12(3), pages 507-521, November.
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• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99R, Brandeis University, Department of Economics and International Businesss School, revised Aug 2016.
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• Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99, Brandeis University, Department of Economics and International Businesss School.
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• Gyorgy Varga & Ricardo Dias de Oliveira Brito, 2016. "The Cross-Section of Expected Stock Returns in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(2), pages 151-187.
• Walter Gonçalves Junior & William Eid Junior, 2016. "Determinants of Foreign Investment in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(2), pages 189-224.
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• Daniella Acker, 2016. "Prediction Markets: Reality and Theory," Bristol Accounting and Finance Discussion Papers 16/5, School of Economics, Finance, and Management, University of Bristol, UK.
• Sébastien Galanti & Françoise Le quéré, 2016. "Quelles incidences d’un élargissement du rôle des fonds d’investissement collectifs ?," Revue d'économie financière, Association d'économie financière, vol. 0(3), pages 235-254.
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• Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
• M. Hashem Pesaran & Ida Johnsson, 2016. "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," CESifo Working Paper Series 6272, CESifo Group Munich.
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• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
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• Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
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• Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2016. "The ECB, Between Conservatism and Pragmatism," Journal of Central Banking Theory and Practice, Central bank of Montenegro, pages 25-52.
• Muhammad Ali Nasir & Alaa M. Soliman & Milton Yago & Junjie Wu, 2016. "Macroeconomic Policies Interaction & the Symmetry of Financial Markets’ Responses," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 5(1), pages 53-69.
• Velimir Lukić, 2016. "Integration of Government Bond Market in the Euro Area and Monetary Policy," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 5(1), pages 71-97.
• Jedrzej Bialkowski & Laura T. Starks, 2016. "SRI Funds: Investor Demand, Exogenous Shocks and ESG Profiles," Working Papers in Economics 16/11, University of Canterbury, Department of Economics and Finance.
• Jedrzej Bialkowski & Ehud I. Ronn, 2016. "Financial Markets in the Face of the Apocalypse," Working Papers in Economics 16/14, University of Canterbury, Department of Economics and Finance.
• Elisa Luciano & Riccardo Giacomelli, 2016. "Equilibrium bid-ask spread and infrequent trade with outside options," Carlo Alberto Notebooks 445, Collegio Carlo Alberto.
• Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
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• Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
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• Roberto Marfè, 2015. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 407, Collegio Carlo Alberto.
  • Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
• Roberto Marfè, 2015. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 429, Collegio Carlo Alberto.
  • Roberto Marfè, 2017. "Labor Rigidity and the Dynamics of the Value Premium," 2017 Meeting Papers 466, Society for Economic Dynamics.
  • Roberto Marfè, 2016. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 460, Collegio Carlo Alberto.
• Roberto Marfè, 2016. "Labor Rigidity, Ination Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
• Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
• Athanasios Geromichalos & Lucas Herrenbrueck, 2016. "The Strategic Determination of the Supply of Liquid Assets," Working Papers 161, University of California, Davis, Department of Economics.
• Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016. "The Strategic Determination of the Supply of Liquid Assets," MPRA Paper 71454, University Library of Munich, Germany.
  • Athanasios Geromichalos & Lucas Herrenbrueck, 2016. "The Strategic Determination of the Supply of Liquid Assets," Working Papers 161, University of California, Davis, Department of Economics.
• Geromichalos, Athanasios & Herrenbrueck, Lucas, 2016. "The Strategic Determination of the Supply of Liquid Assets," MPRA Paper 71454, University Library of Munich, Germany.
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• Toda, Alexis Akira, 2017. "A Note On The Size Distribution Of Consumption: More Double Pareto Than Lognormal," Macroeconomic Dynamics, Cambridge University Press, vol. 21(06), pages 1508-1518, September.
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  • Toda, Alexis Akira, 2016. "A Note On The Size Distribution Of Consumption: More Double Pareto Than Lognormal," University of California at San Diego, Economics Working Paper Series qt4gm143d8, Department of Economics, UC San Diego.
• Christian A. L. Hilber, Olivier Schoeni, 2016. "The Housing Market Impacts of Constraining Second Home Investments," Diskussionsschriften credresearchpaper11, Universitaet Bern, Departement Volkswirtschaft - CRED.
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• Suren Vardanyan, 2016. "Contagion in Experimental Financial Markets," CERGE-EI Working Papers wp580, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
• Walter Kraemer, 2016. "A Neglected Semi-Stylized Fact of Daily Stock Returns," CESifo Working Paper Series 5806, CESifo Group Munich.
• Kocher, Martin G. & Lucks, Konstantin E. & Schindler, David, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Papers in Economics 27572, University of Munich, Department of Economics.
  • Kocher, Martin & Lucks, Konstantin & Schindler, David, 2018. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Rationality and Competition Discussion Paper Series 81, CRC TRR 190 Rationality and Competition.
  • Martin G. Kocher & Konstantin E. Lucks & David Schindler, 2016. "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," CESifo Working Paper Series 5812, CESifo Group Munich.
• Burkhard Heer & Alfred Maußner & Halvor Ruf, 2017. "Q-Targeting in New Keynesian Models," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 13(2), pages 189-224, November.
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• Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," Discussion Papers of DIW Berlin 1573, DIW Berlin, German Institute for Economic Research.
  • Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo Group Munich.
• Elmhjellen, Magne & Osmundsen, Petter, 2016. "Oil project selection by metrics," UiS Working Papers in Economics and Finance 2016/5, University of Stavanger.
  • Magne Emhjellen & Petter Osmundsen, 2016. "Oil Project Selection by Metrics," CESifo Working Paper Series 5898, CESifo Group Munich.
• Bailey, Michael & Cao, Ruiqing & Kuchler, Theresa & Ströbel, Johannes, 2016. "Social Networks and Housing Markets," CEPR Discussion Papers 11272, C.E.P.R. Discussion Papers.
  • Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Ströbel, 2016. "Social Networks and Housing Markets," CESifo Working Paper Series 5905, CESifo Group Munich.
  • Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Stroebel, 2016. "Social Networks and Housing Markets," NBER Working Papers 22258, National Bureau of Economic Research, Inc.
• Weber, Michael, 2018. "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, vol. 128(3), pages 486-503.
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• Michael Weber & Andreas Neuhierl, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," Working Papers 2016-26, Becker Friedman Institute for Research In Economics.
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• Sven Steinkamp & Frank Westermann, 2017. "Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(2), pages 169-178, April.
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• Pesaran, Hashem. & Johnsson. Ida., 2016. "Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes," Cambridge Working Papers in Economics 1679, Faculty of Economics, University of Cambridge.
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• Cespa, Giovanni & Vives, Xavier, 2016. "High Frequency Trading and Fragility," CEPR Discussion Papers 11732, C.E.P.R. Discussion Papers.
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• Nadjeschda Katharina Arnold, 2016. "The Sovereign Default Problem in the Eurozone - Why Limited Liability Resulted in Excessive Debt Accumulation and How Insurance Can Counteract," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 66, September.
• Pinter, Gabor, 2016. "The macroeconomic shock with the highest price of risk," Bank of England working papers 616, Bank of England.
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• Albert S. Kyle & Anna Obizhaeva & Yajun Wang, 2016. "Beliefs Aggregation and Return Predictability," Working Papers w0231, Center for Economic and Financial Research (CEFIR).
• Kyoung-hun Bae & Albert S. Kyle & Eun Jung Lee & Anna Obizhaeva, 2016. "Invariance of buy-sell switching points," Working Papers w0232, Center for Economic and Financial Research (CEFIR).
• Paul Schneider, 2015. "An Anatomy of the Equity Premium," Swiss Finance Institute Research Paper Series 15-61, Swiss Finance Institute.
• Steven C. BOURASSA & Martin HOESLI & Elias OIKARINEN, 2016. "Measuring House Price Bubbles," Swiss Finance Institute Research Paper Series 16-01, Swiss Finance Institute.
• Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
• Markus Leippold & Steven Schaerer, 2016. "Discrete-Time Option Pricing with Stochastic Liquidity," Swiss Finance Institute Research Paper Series 16-15, Swiss Finance Institute.
• Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016. "Equity Is Cheap for Large Financial Institutions: The International Evidence," Research Papers 3454, Stanford University, Graduate School of Business.
  • Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series 16-22, Swiss Finance Institute, revised Jun 2016.
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• Damir Filipović & Martin Larsson & Anders B. Trolle, 2016. "On the Relation between Linearity-Generating Processes and Linear-Rational Models," Swiss Finance Institute Research Paper Series 16-23, Swiss Finance Institute.
• Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2016. "Why Does Fast Loan Growth Predict Poor Performance for Banks?," NBER Working Papers 22089, National Bureau of Economic Research, Inc.
  • Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2016. "Why Does Fast Loan Growth Predict Poor Performance for Banks?," Swiss Finance Institute Research Paper Series 16-24, Swiss Finance Institute.
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• Damien Ackerer & Damir Filipović, 2016. "Linear Credit Risk Models," Swiss Finance Institute Research Paper Series 16-34, Swiss Finance Institute, revised Jun 2016.
• Damien Ackerer & Damir Filipović & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Swiss Finance Institute Research Paper Series 16-35, Swiss Finance Institute, revised Jun 2016.
• Jean-Christophe Delfim & Martin Hoesli, 2016. "Risk Factors of European Non-Listed Real Estate Fund Returns," Swiss Finance Institute Research Paper Series 16-37, Swiss Finance Institute.
• Damir Filipović & Sander Willems, 2016. "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series 16-38, Swiss Finance Institute.
• Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(3), pages 377-387.
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• Damir Filipovic & Yerkin Kitapbayev, 2016. "On the American Swaption in the Linear-Rational Framework," Swiss Finance Institute Research Paper Series 16-44, Swiss Finance Institute.
• Semyon Malamud & Aytek Malkhozov, 2016. "Market Integration and Global Crashes," Swiss Finance Institute Research Paper Series 16-49, Swiss Finance Institute.
• Umit Yilmaz, 2016. "Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market," Swiss Finance Institute Research Paper Series 16-50, Swiss Finance Institute, revised Dec 2016.
• Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
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• Ines Chaieb & Vihang R. Errunza & Rajna Gibson, 2016. "How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?," Swiss Finance Institute Research Paper Series 16-52, Swiss Finance Institute.
• Alberto Plazzi & Walter N. Torous, 2016. "Does Corporate Governance Matter? Evidence from the AGR Governance Rating," Swiss Finance Institute Research Paper Series 16-54, Swiss Finance Institute.
• Damien Ackerer & Thibault Vatter, 2016. "Dependent Defaults and Losses with Factor Copula Models," Swiss Finance Institute Research Paper Series 16-59, Swiss Finance Institute.
• Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla, 2016. "The Relevance of Broker Networks for Information Diffusion in the Stock Market," Swiss Finance Institute Research Paper Series 16-63, Swiss Finance Institute.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi, 2016. "Exchange Traded Funds (ETFs)," NBER Working Papers 22829, National Bureau of Economic Research, Inc.
  • Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2016. "Exchange Traded Funds (ETFs)," Swiss Finance Institute Research Paper Series 16-64, Swiss Finance Institute.
  • Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2017. "Exchange Traded Funds (ETFs)," Working Paper Series 2016-22, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
• Fecht, Falko & Nyborg, Kjell G & Rocholl, Jorg & Woschitz, Jiri, 2016. "Collateral, Central Bank Repos, and Systemic Arbitrage," CEPR Discussion Papers 11663, C.E.P.R. Discussion Papers.
  • Falko Fecht & Kjell G. Nyborg & Jörg Rocholl & Jiri Woschitz, 2016. "Collateral, Central Bank Repos, and Systemic Arbitrage," Swiss Finance Institute Research Paper Series 16-66, Swiss Finance Institute.
• Semyon Malamud & Andreas Schrimpf, 2016. "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series 16-75, Swiss Finance Institute.
  • Andreas Schrimpf & Semyon Malamud, 2017. "Intermediation Markups and Monetary Policy Passthrough," 2017 Meeting Papers 812, Society for Economic Dynamics.
  • Malamud, Semyon & Schrimpf, Andreas, 2018. "Intermediation markups and monetary policy pass-through," CEPR Discussion Papers 12623, C.E.P.R. Discussion Papers.
• Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
• Christopher Findlay & Silvia Sorescu & Camilo Umana Dajud, 2016. "Markets are Smart! Structural Reforms and Country Risk," Working Papers 2016-23, CEPII research center.
• Caio Almeida & Kym Ardison & René Garcia & Jose Vicente, 2017. "Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(3), pages 333-376.
  • René Garcia & Caio Almeida & Kym Ardison & Jose Vicente, 2016. "Nonparametric Tail Risk, Stock Returns and the Macroeconomy," CIRANO Working Papers 2016s-20, CIRANO.
• Ales Bulir & Jan Vlcek, 2015. "Monetary Transmission; Are Emerging Market and Low Income Countries Different?," IMF Working Papers 15/239, International Monetary Fund.
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• Lubos Komarek & Kristyna Ters, 2016. "Intraday dynamics of euro area sovereign credit risk contagion," BIS Working Papers 573, Bank for International Settlements.
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• Malovaná, Simona & Frait, Jan, 2017. "Monetary policy and macroprudential policy: Rivals or teammates?," Journal of Financial Stability, Elsevier, vol. 32(C), pages 1-16.
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• Jimmy Melo, 2016. "Precios de los activos bajo ambigüedad estructural: portafolios cautelosos, prudenciales y conservadores," Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 34(80), pages 91-102, June.
• Thomas Goda & Chris Stewart & Alejandro Torres García, 2016. "Absolute Income Inequality and Rising House Prices," DOCUMENTOS DE TRABAJO CIEF 015247, UNIVERSIDAD EAFIT.
• Jimmy Saravia & Carlos Garcia & Paula Almonacid, 2016. "The Determinants of Systematic Risk: A Firm Lifecycle Perspective," DOCUMENTOS DE TRABAJO CIEF 015299, UNIVERSIDAD EAFIT.
• Aneta Wlodarczyk & Iwona Otola, 2016. "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 87-116.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2016. "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," NBER Working Papers 22096, National Bureau of Economic Research, Inc.
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• Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2015. "Short-Selling Bans and Bank Stability," CSEF Working Papers 423, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 15 Dec 2017.
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• Jesús Fernández‐Villaverde & Oren Levintal, 2018. "Solution methods for models with rare disasters," Quantitative Economics, Econometric Society, vol. 9(2), pages 903-944, July.
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• Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Hanson, Jesper, 2016. "Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area," CEPR Discussion Papers 11122, C.E.P.R. Discussion Papers.
• Pasquale Della Corte & Steven J. Riddiough & Lucio Sarno, 2016. "Currency Premia and Global Imbalances," Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2161-2193.
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• Broer, Tobias, 2016. "Securitisation Bubbles: Structured finance with disagreement about default correlations," CEPR Discussion Papers 11145, C.E.P.R. Discussion Papers.
• Giannetti, Mariassunta & Kahraman, Bige, 2016. "Who Trades Against Mispricing?," CEPR Discussion Papers 11156, C.E.P.R. Discussion Papers.
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018. "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, vol. 129(1), pages 1-23.
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• Roger E.A. Farmer, 2016. "Pricing Assets in an Economy with Two Types of People," NBER Working Papers 22228, National Bureau of Economic Research, Inc.
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• Michael Bailey & Ruiqing Cao & Theresa Kuchler & Johannes Stroebel, 2016. "Social Networks and Housing Markets," NBER Working Papers 22258, National Bureau of Economic Research, Inc.
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• Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2017. "Currency Value," Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 416-441.
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• Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York, revised 01 Nov 2017.
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• Jacobs, Heiko & Regele, Tobias & Weber, Martin, 2015. "Expected Skewness and Momentum," CEPR Discussion Papers 10601, C.E.P.R. Discussion Papers.
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• Adrian, Tobias & Moench, Emanuel & Shin, Hyun Song, 2013. "Dynamic leverage asset pricing," Staff Reports 625, Federal Reserve Bank of New York, revised 01 Dec 2014.
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• Malamud, Semyon & Malkhozov, Aytek, 2016. "Market Integration and Global Crashes," CEPR Discussion Papers 11468, C.E.P.R. Discussion Papers.
• Malamud, Semyon, 2016. "A Dynamic Equilibrium Model of ETFs," CEPR Discussion Papers 11469, C.E.P.R. Discussion Papers.
• Massa, Massimo & Schumacher, David & Wang, Yan, 2016. "Who is afraid of BlackRock?," CEPR Discussion Papers 11471, C.E.P.R. Discussion Papers.
• Huang, Shiyang & Lou, Dong & Polk, Christopher, 2016. "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers 11531, C.E.P.R. Discussion Papers.
• Miller, Marcus & Rastapana, Songklod & Zhang, Lei, 2016. "A comedy of errors: misguided policy, mis-sold mortgages, and more," CEPR Discussion Papers 11533, C.E.P.R. Discussion Papers.
• Lukas Schmid & Andres Schneider & Mikhail Chernov, 2016. "A macrofinance view of US Sovereign CDS premiums," 2016 Meeting Papers 432, Society for Economic Dynamics.
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• Ungeheuer, Michael & Weber, Martin, 2016. "The Perception of Dependence, Investment Decisions, and Stock Prices," CEPR Discussion Papers 11585, C.E.P.R. Discussion Papers.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2017. "Macrofinancial History and the New Business Cycle Facts," NBER Macroeconomics Annual, University of Chicago Press, vol. 31(1), pages 213-263.
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• Cecilia Parlatore & Ana Babus, 2016. "Strategic Fragmented Markets," 2016 Meeting Papers 1582, Society for Economic Dynamics.
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• Martin, Ian & Wagner, Christian, 2016. "What is the Expected Return on a Stock?," CEPR Discussion Papers 11608, C.E.P.R. Discussion Papers.
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• Favero, Carlo A. & Ortu, Fulvio & Tamoni, Andrea & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
• Collet, Stéphanie & Oosterlinck, Kim, 2016. "Pricing the Odious in Odious Debts," CEPR Discussion Papers 11653, C.E.P.R. Discussion Papers.
• Falko Fecht & Kjell G. Nyborg & Jörg Rocholl & Jiri Woschitz, 2016. "Collateral, Central Bank Repos, and Systemic Arbitrage," Swiss Finance Institute Research Paper Series 16-66, Swiss Finance Institute.
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• Chavaz, Matthieu & Flandreau, Marc, 2017. "“High & Dry”: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880–1910)," The Journal of Economic History, Cambridge University Press, vol. 77(03), pages 653-691, September.
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• Cespa, Giovanni & Colla, Paolo, 2016. "Market Fragmentation, Dissimulation, and the Disclosure of Insider Trades," CEPR Discussion Papers 11690, C.E.P.R. Discussion Papers.
• Breach , Tomas & D'Amico, Stefania & Orphanides, Athanasios, 2016. "The Term Structure and Inflation Uncertainty," Working Paper Series WP-2016-22, Federal Reserve Bank of Chicago.
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• Giovanni Cespa & Xavier Vives, 2016. "High Frequency Trading and Fragility," CESifo Working Paper Series 6279, CESifo Group Munich.
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• Martin T. Bohl & Christian Gross & Waldemar Souza, 2016. "The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets," CQE Working Papers 5116, Center for Quantitative Economics (CQE), University of Muenster.
• Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2016. "Coherent Pricing," INDEM - Working Paper Business Economic Series 22932, Instituto para el Desarrollo Empresarial (INDEM).
• Shi Chen & Wolfgang Karl Härdle & Weining Wang, "undated". "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," SFB 649 Discussion Papers SFB649DP2015-049, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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• Butkiewicz, James L. & Solcan, Mihaela, 2016. "The original Operation Twist: the War Finance Corporation's war bond purchases, 1918–1920," Financial History Review, Cambridge University Press, vol. 23(01), pages 21-46, April.
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• Juessen, Falko & Linnemann, Ludger & Schabert, Andreas, 2016. "Default Risk Premia On Government Bonds In A Quantitative Macroeconomic Model," Macroeconomic Dynamics, Cambridge University Press, vol. 20(01), pages 380-403, January.
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• Gustavo Fruet Dias & Cristina M. Scherrer & Fotis Papailias, 2016. "Volatility Discovery," CREATES Research Papers 2016-07, Department of Economics and Business Economics, Aarhus University.
• Tom Engsted & Thomas Q. Pedersen, 2016. "The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?," CREATES Research Papers 2016-11, Department of Economics and Business Economics, Aarhus University.
• Mikkel Bennedsen & Ulrich Hounyo & Asger Lunde & Mikko S. Pakkanen, 2016. "The Local Fractional Bootstrap," CREATES Research Papers 2016-15, Department of Economics and Business Economics, Aarhus University.
• Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
• Tim Bollerslev & Jia Li & Yuan Xue, 2016. "Volume, Volatility and Public News Announcements," CREATES Research Papers 2016-19, Department of Economics and Business Economics, Aarhus University.
• Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
• Mikkel Bennedsen, 2016. "Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data," CREATES Research Papers 2016-21, Department of Economics and Business Economics, Aarhus University.
• Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016. "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers 2016-26, Department of Economics and Business Economics, Aarhus University.
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• Peter Koudijs & Hans-Joachim Voth, 2016. "Leverage and Beliefs: Personal Experience and Risk-Taking in Margin Lending," American Economic Review, American Economic Association, vol. 106(11), pages 3367-3400, November.
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• Neil Bhutta & Benjamin J. Keys, 2016. "Interest Rates and Equity Extraction during the Housing Boom," American Economic Review, American Economic Association, vol. 106(7), pages 1742-1774, July.
• Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
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• Ana Fostel & John Geanakoplos, 2016. "Financial Innovation, Collateral, and Investment," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(1), pages 242-284, January.
• Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016. "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 111-136, April.
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• Demian Pouzo & Ignacio Presno, 2016. "Sovereign Default Risk and Uncertainty Premia," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(3), pages 230-266, July.
• Ohad Kadan & Fang Liu & Suying Liu, 2016. "Generalized Systematic Risk," American Economic Journal: Microeconomics, American Economic Association, vol. 8(2), pages 86-127, May.
• Pithak Srisuksai & Vimut Vanitcharearntham, 2016. "Asset Pricing with Idiosyncratic Shocks," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 23(1), pages 35-58, June.
• Li, Jian & Chavas, Jean-Paul & Etienne, Xiaoli & Li, Chongguang, 2016. "Commodity Price Bubbles and Macroeconomics: Evidence from Chinese Agricultural Markets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235068, Agricultural and Applied Economics Association.
• Serrao, Amilcar, 2016. "A controversial debate between financial speculation and changes in agricultural commodity spot prices," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235638, Agricultural and Applied Economics Association.
• Miao, Ruiqing & Hennessy, David A. & Feng, Hongli, 2016. "Grassland Easement Evaluation and Acquisition: an Integrated Framework," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236176, Agricultural and Applied Economics Association.
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• Bargain, Olivier & Cardebat, Jean-Marie & Vignolles, Alexandra, 2016. "Crowdfunding in Wine," Working Papers 234638, American Association of Wine Economists.
• Fei, Chengcheng & Gao, Chen & Hardin, Erin M. & Dharmasena, Senarath, 2016. "Application of Demand Analysis Framework to Understand the Price and Volume Movements of Exchange Traded Funds (ETFs)," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 229798, Southern Agricultural Economics Association.
• Siddiqi, Hammad, 2016. "Anchoring and Adjustment Heuristic: A Unified Explanation for Asset-Return Puzzles," Risk and Sustainable Management Group Working Papers 229607, University of Queensland, School of Economics.
• Dávid Kutasi & Milán Csaba Badics, 2016. "Valuation Methods for the Housing Market: Evidence from Budapest," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 66(3), pages 527-546, September.
• Duong Thi Hieu, 2016. "Testing sovereign contagion via changes of CDS price in European debt crisis," Society and Economy, Akadémiai Kiadó, Hungary, vol. 38(1), pages 5-28, March.
• Will Mackay & Tariq Haque, 2016. "A Study of Industry Cost of Equity in Australia Using the Fama and French 5 Factor Model and the Capital Asset Pricing Model (CAPM): A Pitch," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 15(3), pages 618-623, September.
• Searat Ali, 2016. "Corporate Governance and Stock Liquidity in Australia: A Pitch," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 15(3), pages 624-631, September.
• Ralph Sonenshine, 2016. "Effect of Utility Deregulation and Mergers on Consumer Welfare," Working Papers 2016-08, American University, Department of Economics.
• Wildmer Daniel Gregori & Wildmer Agnese Sacchi, 2016. "Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions," Mo.Fi.R. Working Papers 134, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
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• Urszula Gołaszewska-Kaczan & Jarosław Kilon & Jacek Marcinkiewicz, 2016. "Ocena atrakcyjnosci inwestycji w akcje spolek spolecznie odpowiedzialnych na podstawie indeksu RECPECT / An Assessment of the Attractiveness of Investments in the Shares of Socially Responsible Busine," Annales. Ethics in Economic Life, University of Lodz, Faculty of Economics and Sociology, vol. 19(3), pages 113-127, September.
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• Anna Paulson & Richard Rosen, 2016. "The Life Insurance Industry and Systemic Risk: A Bond Market Perspective," Annual Review of Financial Economics, Annual Reviews, vol. 8(1), pages 155-174, October.
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• Francesco Campanella & Mario Mustilli & Eugenio D¡¯Angelo, 2016. "Efficient Market Hypothesis and Fundamental Analysis: An Empirical Test in the European Securities Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 27-42, February.
• Bruce Morley & Dennis Thomas, 2016. "An Empirical Analysis of UK House Price Risk Variation by Property Type," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 45-56, May.
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• Jean-Sébastien Fontaine, 2016. "What Fed Funds Futures Tell Us About Monetary Policy Uncertainty," Staff Working Papers 16-61, Bank of Canada.
• Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2018. "Fiscal Policy and the Cycle in Latin America: the Role of Financing Conditions and Fiscal Rules," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 36(85), pages 101-116, November.
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• Jose Eduardo Gomez-Gonzalez & Juliana Gamboa-Arbeláez & Jorge Hirs-Garzón & Andrés Pinchao-Rosero, 2018. "When Bubble Meets Bubble: Contagion in OECD Countries," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 546-566, May.
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• Jimmy Melo, 2016. "Precios de los activos bajo ambigüedad estructural: portafolios cautelosos, prudenciales y conservadores," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 34(80), pages 91-102, June.
• Wendy C.Y. Li & Bronwyn H. Hall, 2016. "Depreciation of Business R&D Capital," NBER Working Papers 22473, National Bureau of Economic Research, Inc.
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• Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
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• Buttin, E., 2016. "Les green bonds : solution au financement de la transition ou effet de mode ?," Bulletin de la Banque de France, Banque de France, issue 208, pages 21-28.
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• Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Information Spillovers in Asset Markets with Correlated Values," American Economic Review, American Economic Association, vol. 107(7), pages 2007-2040, July.
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• Jordi Caballé & Ariadna Dumitrescu, 2016. "Disclosure of Corporate Tax Reports, Tax Enforcement, and Insider Trading," Working Papers 911, Barcelona Graduate School of Economics.
• Francesco Cerigioni, 2016. "Dual Decision Processes and Noise Trading," Working Papers 925, Barcelona Graduate School of Economics.
• Amstad, Marlene & Remolona, Eli & Shek, Jimmy, 2016. "How do global investors differentiate between sovereign risks? The new normal versus the old," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 32-48.
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• Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2018. "Fiscal Policy and the Cycle in Latin America: the Role of Financing Conditions and Fiscal Rules," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 36(85), pages 101-116, April.
  • Enrique Alberola & Iván Kataryniuk & Ángel Melguizo & René Orozco, 2018. "Fiscal Policy and the Cycle in Latin America: the Role of Financing Conditions and Fiscal Rules," Revista ESPE - ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 36(85), pages 101-116, November.
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• Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner, 2015. "Has the Pricing of Stocks Become More Global?," Swiss Finance Institute Research Paper Series 15-48, Swiss Finance Institute, revised Apr 2016.
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• Lubos Komarek & Kristyna Ters & Jorg Urban, 2016. "Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion," Working Papers 2016/04, Czech National Bank, Research Department.
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• Agić-Šabeta Elma, 2016. "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets," Business Systems Research, Sciendo, vol. 7(1), pages 59-80, March.
• Škrinjarić Tihana & Šego Boško, 2016. "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach," Business Systems Research, Sciendo, vol. 7(2), pages 78-90, September.
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• Charles N. Noussair & Steven Tucker, 2016. "Cash Inflows And Bubbles In Asset Markets With Constant Fundamental Values," Economic Inquiry, Western Economic Association International, vol. 54(3), pages 1596-1606, July.
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• Tom Engsted, 2016. "Fama On Bubbles," Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 370-376, April.
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• Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2016. "Stock Market Volatility and Learning," Journal of Finance, American Finance Association, vol. 71(1), pages 33-82, February.
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• Arthur Korteweg & Stefan Nagel, 2016. "Risk-Adjusting the Returns to Venture Capital," Journal of Finance, American Finance Association, vol. 71(3), pages 1437-1470, June.
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• Suleyman Basak & Anna Pavlova, 2016. "A Model of Financialization of Commodities," Journal of Finance, American Finance Association, vol. 71(4), pages 1511-1556, August.
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• Harrison Hong & David A. Sraer, 2016. "Speculative Betas," Journal of Finance, American Finance Association, vol. 71(5), pages 2095-2144, October.
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• BUNESCU Liliana, 2016. "Current Market Of Government Bonds In Romania: Key Issues," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 68(3), pages 8-23, December.
• Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016. "Agreeing on disagreement: heterogeneity or uncertainty?," Working Paper 2016/4, Norges Bank.
• Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
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• Benos, Evangelos & Payne, Richard & Vasios, Michalis, 2016. "Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act," Bank of England working papers 580, Bank of England.
• Braun-Munzinger, Karen & Liu, Zijun & Turrell, Arthur, 2016. "An agent-based model of dynamics in corporate bond trading," Bank of England working papers 592, Bank of England.
• Benos, Evangelos & Zikes, Filip, 2016. "Liquidity determinants in the UK gilt market," Bank of England working papers 600, Bank of England.
• Gabor Pinter, 2016. "The Macroeconomic Shock with the Highest Price of Risk," Discussion Papers 1623, Centre for Macroeconomics (CFM), revised Apr 2017.
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• Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2016. "Overseas unspanned factors and domestic bond returns," Bank of England working papers 618, Bank of England.
• Harris, Richard & Stoja, Evarist & Nguyen, Linh, 2016. "Systematic tail risk," Bank of England working papers 637, Bank of England.
• Benford, James & Joy, Mark & Kruger, Mark, 2016. "Sovereign GDP-linked bonds," Bank of England Financial Stability Papers 39, Bank of England.
• Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
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• Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2016. "Price effects of sovereign debt auctions in the euro-zone: The role of the crisis," Journal of Financial Intermediation, Elsevier, vol. 25(C), pages 30-53.
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• Chiang, Shu Ling & Yang, Tyler T. & Tsai, Ming Shann, 2016. "Assessing mortgage servicing rights using a reduced-form model: Considering the effects of interest rate risks, prepayment and default risks, and random state variables," Journal of Housing Economics, Elsevier, vol. 32(C), pages 29-46.
• Damen, Sven & Vastmans, Frank & Buyst, Erik, 2016. "The effect of mortgage interest deduction and mortgage characteristics on house prices," Journal of Housing Economics, Elsevier, vol. 34(C), pages 15-29.
• Donner, Herman & Song, Han-Suck & Wilhelmsson, Mats, 2016. "Forced sales and their impact on real estate prices," Journal of Housing Economics, Elsevier, vol. 34(C), pages 60-68.
• Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
• Sola, Sergio & Palomba, Geremia, 2016. "Sub-nationals' risk premia in fiscal federations: Fiscal performance and institutional design," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 165-187.
• Amstad, Marlene & Remolona, Eli & Shek, Jimmy, 2016. "How do global investors differentiate between sovereign risks? The new normal versus the old," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 32-48.
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• Dufrénot, Gilles & Gente, Karine & Monsia, Frédia, 2016. "Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 123-146.
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• Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2016. "Scale economies in pension fund investments: A dissection of investment costs across asset classes," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 147-171.
• Charlot, Philippe & Darné, Olivier & Moussa, Zakaria, 2016. "Commodity returns co-movements: Fundamentals or “style” effect?," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 130-160.
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• He, Dong & Yu, Xiangrong, 2016. "Network effects in currency internationalisation: Insights from BIS triennial surveys and implications for the renminbi," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 203-229.
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• Cakici, Nusret & Tang, Yi & Yan, An, 2016. "Do the size, value, and momentum factors drive stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 179-204.
• Gerlach-Kristen, Petra & McCauley, Robert N. & Ueda, Kazuo, 2016. "Currency intervention and the global portfolio balance effect: Japanese lessons," Journal of the Japanese and International Economies, Elsevier, vol. 39(C), pages 1-16.
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• Fukunaga, Ichiro & Kato, Naoya, 2016. "Japanese repo and call markets before, during, and emerging from the financial crisis," Journal of the Japanese and International Economies, Elsevier, vol. 39(C), pages 17-34.
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• Sakuragawa, Masaya & Sakuragawa, Yukie, 2016. "Absence of safe assets and fiscal crisis," Journal of the Japanese and International Economies, Elsevier, vol. 40(C), pages 59-76.
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• Kateryna Anatoliyevna Kopyl & John Byong-Tek Lee, 2016. "How safe are the safe haven assets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 453-482, November.
• Yunieta Nainggolan & Janice How & Peter Verhoeven, 2016. "Ethical Screening and Financial Performance: The Case of Islamic Equity Funds," Journal of Business Ethics, Springer, vol. 137(1), pages 83-99, August.
• Mohamed A. Ayadi & Hatem Ben-Ameur & Lawrence Kryzanowski, 2016. "Typical and Tail Performance of Canadian Equity SRI Mutual Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(1), pages 57-94, August.
• Peter Miu & Bogie Ozdemir & Evren Cubukgil & Michael Giesinger, 2016. "Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(2), pages 243-273, October.
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• Brent Ambrose & Charles Cao & Walter D’Lima, 2016. "Real Estate Risk and Hedge Fund Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 197-225, April.
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• Brent W. Ambrose & Charles Cao & Walter D’Lima, 2016. "Real Estate Risk and Hedge Fund Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 197-225, April.
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• Yongheng Deng & Erik Devos & Shofiqur Rahman & Desmond Tsang, 2016. "The Role of Debt Covenants in the Investment Grade Bond Market – The REIT Experiment," The Journal of Real Estate Finance and Economics, Springer, vol. 52(4), pages 428-448, May.
• Jiro Yoshida & Miki Seko & Kazuto Sumita, 2016. "The Rent Term Premium for Cancellable Leases," The Journal of Real Estate Finance and Economics, Springer, vol. 52(4), pages 480-511, May.
• Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016. "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 419-449, November.
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• Benjamin Blau & Jared F. Egginton & Matthew Hill, 2016. "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 1-24, January.
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• Jungshik Hur & Vivek Singh, 2016. "Reexamining momentum profits: Underreaction or overreaction to firm-specific information?," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 261-289, February.
• Alan Douglas & Alan Huang & Kenneth Vetzal, 2016. "Cash flow volatility and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 417-458, February.
• Oliver Entrop & Michael McKenzie & Marco Wilkens & Christoph Winkler, 2016. "The performance of individual investors in structured financial products," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 569-604, April.
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• Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
• Takahiro Hattori, 2016. "The predictive power of the implied volatility of interest rates: Evidence from US Dollar, Euro, and Japanese Yen," Keio-IES Discussion Paper Series 2016-018, Institute for Economics Studies, Keio University.
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• Liu, Weimin & Luo, Di & Zhao, Huainan, 2016. "Transaction costs, liquidity risk, and the CCAPM," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 126-145.
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• Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
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• Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin, 2016. "Jump and variance risk premia in the S&P 500," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 72-83.
• AitSahlia, Farid & Yoon, Joon-Hui, 2016. "Information stages in efficient markets," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 84-94.
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• DeLisle, R. Jared & McTier, Brian C. & Smedema, Adam R., 2016. "Systematic limited arbitrage and the cross-section of stock returns: Evidence from exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 118-136.
• Helberg, Stig & Lindset, Snorre, 2016. "Risk protection from risky collateral: Evidence from the euro bond market," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 193-213.
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• Chen, Hanwen & Huang, Henry He & Lobo, Gerald J. & Wang, Chong, 2016. "Religiosity and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 70-85.
• Spencer, Peter, 2016. "US bank credit spreads during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 168-182.
• Bae, Kwangil & Kang, Jangkoo & Lee, Soonhee, 2016. "Bullish/bearish/neutral strategies under short sale restrictions," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 227-239.
• Karapandza, Rasa, 2016. "Stock returns and future tense language in 10-K reports," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 50-61.
• Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju, 2016. "Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 151-174.
• Celiker, Umut & Kayacetin, Nuri Volkan & Kumar, Raman & Sonaer, Gokhan, 2016. "Cash flow news, discount rate news, and momentum," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 240-254.
• Yang, Lisa (Zongfei) & Goh, Jeremy & Chiyachantana, Chiraphol, 2016. "Valuation uncertainty, market sentiment and the informativeness of institutional trades," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 81-98.
• Min, Byoung-Kyu & Kim, Tong Suk, 2016. "Momentum and downside risk," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 104-118.
• Cao, Jie & Han, Bing, 2016. "Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 1-15.
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• Langnickel, Ferdinand & Zeisberger, Stefan, 2016. "Do we measure overconfidence? A closer look at the interval production task," Journal of Economic Behavior & Organization, Elsevier, vol. 128(C), pages 121-133.
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• Kumar, Satish, 2016. "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, vol. 86(C), pages 16-32.
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• Winkler, Fabian, 2016. "The Role of Learning for Asset Prices and Business Cycles," Finance and Economics Discussion Series 2016-019, Board of Governors of the Federal Reserve System (US), revised 01 Mar 2017.
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• Darst, R. Matthew & Refayet, Ehraz, 2016. "Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default," Finance and Economics Discussion Series 2016-042, Board of Governors of the Federal Reserve System (US), revised 01 Jun 2016.
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• Yuriy Kitsul & Marcelo Ochoa, 2016. "Funding Liquidity Risk and the Cross-section of MBS Returns," Finance and Economics Discussion Series 2016-052, Board of Governors of the Federal Reserve System (US).
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