Research classified by Journal of Economic Literature (JEL) codes

2012

• Rattana Charussaengsuriya & Tawewan Tharnpipat, 2012, "Technical analysis of stock prices using Elliot wave theory and Fibonacci number," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, volume 1, issue 1, pages 91-102, March.
• Paul R. Masson, 2012, "Fiscal asymmetries and the survival of the euro zone," International Economics, CEPII research center, issue 129, pages 5-29.
• Walid Mensi & Chaker Alaoui & Khuong Nguyen, 2012, "Crude oil market efficiency: An empirical investigation via the Shannon entropy," International Economics, CEPII research center, issue 129, pages 119-137.
• Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2012, "A Theory of Asset Prices Based on Heterogeneous Information," Levine's Working Paper Archive, David K. Levine, number 786969000000000347, Jan.
• Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012, "Credit-valuation in the sovereing CDS and bonds markets: Evidence from the euro area crisis," CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department, number CNMV Working Papers no. 5.
• Carlos Le�n & Karen Leiton & Alejandro Reveiz, 2012, "Investment Horizon Dependent CAPM: Adjusting beta for long-term dependence," Borradores de Economia, Banco de la Republica, number 9909, Aug.
• Freddy H. CASTRO, 2012, "Senales de política monetaria y movimientos en la estructura a plazo de la tasa de interés en Colombia," Archivos de Economía, Departamento Nacional de Planeación, number 9908, Jun.
• Alejandro Arregoces Castillo & Andr�s Fernando JOLA SANCHEZ & Diana Margarita QUINTERO CUELLO & Lady Didiana VELASQUEZ HENAO, 2012, "Bases para el análisis de la eficiencia y la efectividad de la inversión pública en Colombia," Archivos de Economía, Departamento Nacional de Planeación, number 10096, Oct.
• Elizabeth T. Arroyave C. & Diego A. Agudelo R., 2012, "Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007," Documentos de Trabajo de Valor Público, Universidad EAFIT, number 10656, Nov.
• Edmundo R. Lizarzaburu & Luis Berggrun & Julio Quispe, 2012, "Gestión de riesgos financieros. Experiencia en un banco latinoamericano," Estudios Gerenciales, Universidad Icesi.
• Ángel E. Martínez Gámez, 2012, "Desarrollo financiero y crecimiento económico en Venezuela: un modelo econométrico para el período 1963-2008," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 19, pages 113-137.
• Michaelides, Alexander & Nishiotis, George & Milidonis, Andreas & Papakyriacou, Panayiotis, 2012, "Sovereign Debt Rating Changes and the Stock Market," CEPR Discussion Papers, Centre for Economic Policy Research, number 8743, Jan.
• Hau, Harald & Lai, Sandy, 2012, "The Role of Equity Funds in the Financial Crisis Propagation," CEPR Discussion Papers, Centre for Economic Policy Research, number 8819, Feb.
• Hau, Harald & Lai, Sandy, 2012, "Real Effects of Stock Underpricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 8820, Feb.
• Patton, Andrew & Streatfield, Michael, 2012, "Change You Can Believe In? Hedge Fund Data Revisions," CEPR Discussion Papers, Centre for Economic Policy Research, number 8898, Mar.
• Wolfers, Justin & Zitzewitz, Eric & Snowberg, Erik, 2012, "Prediction Markets for Economic Forecasting," CEPR Discussion Papers, Centre for Economic Policy Research, number 9059, Jul.
• Schürhoff, Norman & Chen, Zhihua & Lookman, Aziz & Seppi, Duane J, 2012, "Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition," CEPR Discussion Papers, Centre for Economic Policy Research, number 9108, Aug.
• Nagel, Stefan, 2012, "Empirical Cross-Sectional Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 9227, Nov.
• Yoichi Otsubo & Theoharry Grammatikos & Thorsten Lehnert, 2012, "Market Perceptions of US and European Policy Actions Around the Subprime Crisis," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-14.
• Yoichi Otsubo, 2012, "Price Discovery of Tokyo-New York Cross-listed Stocks," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 12-5.
• Sugato Chakravarty & Chiraphol N. Chiyachantana & Christine Jiang, 2012, "The Choice of Trading Venue and Relative Price Impact of Institutional Trading: ADRs versus the Underlying Securities in their Local Markets," Working Papers, Purdue University, Department of Consumer Sciences, number 1012, Mar.
• Faias, Marta & Luque, Jaime, 2012, "Endogenous bourse structures," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1106, Apr.
• Tianyi Wang & Zhuo Huang, 2012, "The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective," Annals of Economics and Finance, Society for AEF, volume 13, issue 1, pages 211-236, May.
• Irwin, Scott H. & Sanders, Dwight R., 2012, "Financialization and Structural Change in Commodity Futures Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 44, issue 3, pages 371-396, August.
• Botshekan, Mahmoud & Kraeussl, Roman & Lucas, Andre, 2012, "Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 6, pages 1279-1301, December.
• Karim Jamal & Michael Maier & Shyam Sunder, 2012, "Decoupling Markets and Individuals: Rational Expectations Equilibrium Outcomes from Information Dissemination among Boundedly-Rational Traders," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1868, Jul.
• Karim Jamal & Michael Maier & Shyam Sunder, 2012, "Simple Agents, Intelligent Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1868R, Jul, revised Mar 2015.
• Fischer, Thomas, 2012, "News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents," Publications of Darmstadt Technical University, Institute for Business Studies (BWL), Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL), number 58930, Aug.
• Batsch, Laurent (ed.), 2012, "Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10918.
• Granger, Thierry (ed.), 2012, "L'Efficience informationnelle du marché des paris sportifs : un parallèle avec les marchés boursiers," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/11416.
• Mohamed Firas Thraya & Michel M. Albouy, 2012, "Enracinement des actionnaires de contrôle et performance à court terme des fusions-acquisitions en France - The entrenchment of controlling shareholders and the short term performance of mergers and acquisitions in France," Revue Finance Contrôle Stratégie, revues.org, volume 15, issue 4, pages 47-69, December.
• Christos Kollias & Stephanos Papadamou, 2012, "Rogue State Behavior and Markets: The Financial Fallout of North Korean Nuclear Tests," Economics of Security Working Paper Series, DIW Berlin, German Institute for Economic Research, number 67.
• Georges Prat & Remzi Uctum, 2012, "Modeling the horizon-dependent risk premium in the forex market: evidence from survey data," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2012-29.
• Lescourret, Laurence, 2012, "Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1212, Dec.
• Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2012, "Does Aggregate Riskiness Predict Future Economic Downturns?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-09, May.
• Jindra, Jan & Voetmann, Torben & Walkling, Ralph A., 2012, "Reverse Mergers: The Chinese Experience," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-18, Oct.
• Hou, Kewei & Xue, Chen & Zhang, Lu, 2012, "Digesting Anomalies: An Investment Approach," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-21, Dec.
• Hou, Kewei & Loh, Roger, 2012, "Have We Solved the Idiosyncratic Volatility Puzzle?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2012-28, Dec.
• Darrell Duffie & Bruno Strulovici, 2012, "Capital Mobility and Asset Pricing," Econometrica, Econometric Society, volume 80, issue 6, pages 2469-2509, November, DOI: ECTA8822.
• Seyyed Ali Paytakhti Oskooe, 2012, "Nonlinear Adjustment of Emerging Stock Market Returns: Symmetrical or Asymmetrical," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 2, pages 179-183.
• Bettina Lis & Christian Ne ler & Jan Retzmann, 2012, "Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 2, pages 190-200.
• Hsien-Yi Lee & Khatanbaatar Sodoikhuu, 2012, "Efficiency Tests in Foreign Exchange Market," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 2, pages 216-224.
• Pyemo Afego, 2012, "Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984 2009)," International Journal of Economics and Financial Issues, Econjournals, volume 2, issue 3, pages 340-347.
• Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2012, "Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE), number 2012-72.
• Abdallah, Abed AL-Nasser & Abdallah, Wissam & Ismail, Ahmad, 2012, "Do accounting standards matter to financial analysts? An empirical analysis of the effect of cross-listing from different accounting standards regimes on analyst following and forecast error," The International Journal of Accounting, Elsevier, volume 47, issue 2, pages 168-197, DOI: 10.1016/j.intacc.2012.03.002.
• De Ridder, Adri & Burnie, David A. & Råsbrant, Jonas, 2012, "Institutional investors' holdings surrounding equity rights offerings," Global Finance Journal, Elsevier, volume 23, issue 2, pages 125-140, DOI: 10.1016/j.gfj.2012.06.002.
• Siriopoulos, Costas & Fassas, Athanasios, 2012, "An investor sentiment barometer — Greek Implied Volatility Index (GRIV)," Global Finance Journal, Elsevier, volume 23, issue 2, pages 77-93, DOI: 10.1016/j.gfj.2012.03.001.
• Al-Khasawneh, Jamal Ali & Essaddam, Naceur, 2012, "Market reaction to the merger announcements of US banks: A non-parametric X-efficiency framework," Global Finance Journal, Elsevier, volume 23, issue 3, pages 167-183, DOI: 10.1016/j.gfj.2012.10.003.
• Al-Hares, Osama M. & AbuGhazaleh, Naser M. & Haddad, Ayman E., 2012, "Value relevance of earnings, book value and dividends in an emerging capital market: Kuwait evidence," Global Finance Journal, Elsevier, volume 23, issue 3, pages 221-234, DOI: 10.1016/j.gfj.2012.10.006.
• Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia, 2012, "Market response to policy initiatives during the global financial crisis," Journal of International Economics, Elsevier, volume 87, issue 1, pages 162-177, DOI: 10.1016/j.jinteco.2011.12.001.
• Vithessonthi, Chaiporn & Tongurai, Jittima, 2012, "The impact of capital account liberalization measures," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 1, pages 16-34, DOI: 10.1016/j.intfin.2011.07.003.
• Huang, Weihua & Schwienbacher, Armin & Zhao, Shan, 2012, "When bank loans are bad news: Evidence from market reactions to loan announcements under the risk of expropriation," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 233-252, DOI: 10.1016/j.intfin.2011.09.004.
• Mugwagwa, Tafadzwa & Ramiah, Vikash & Naughton, Tony & Moosa, Imad, 2012, "The efficiency of the buy-write strategy: Evidence from Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 305-328, DOI: 10.1016/j.intfin.2011.10.001.
• Toyoshima, Yuki & Tamakoshi, Go & Hamori, Shigeyuki, 2012, "Asymmetric dynamics in correlations of treasury and swap markets: Evidence from the US market," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 2, pages 381-394, DOI: 10.1016/j.intfin.2011.12.002.
• Truong, Cameron & Corrado, Charles & Chen, Yangyang, 2012, "The options market response to accounting earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 423-450, DOI: 10.1016/j.intfin.2012.01.006.
• Watson, John & Wickramanayake, J., 2012, "The relationship between aggregate managed fund flows and share market returns in Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 451-472, DOI: 10.1016/j.intfin.2012.02.001.
• Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012, "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 487-507, DOI: 10.1016/j.intfin.2012.02.003.
• Tajaddini, Reza & Crack, Timothy Falcon, 2012, "Do momentum-based trading strategies work in emerging currency markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 521-537, DOI: 10.1016/j.intfin.2012.02.002.
• Badreddine, Sina & Galariotis, Emilios C. & Holmes, Phil, 2012, "The relevance of information and trading costs in explaining momentum profits: Evidence from optioned and non-optioned stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 3, pages 589-608, DOI: 10.1016/j.intfin.2012.03.001.
• Smales, Lee A., 2012, "30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 1006-1023, DOI: 10.1016/j.intfin.2011.12.004.
• Christopher, Rachel & Kim, Suk-Joong & Wu, Eliza, 2012, "Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 4, pages 1070-1089, DOI: 10.1016/j.intfin.2012.01.003.
• Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012, "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1149-1175, DOI: 10.1016/j.intfin.2012.06.001.
• Doyle, John R. & Chen, Catherine Huirong, 2012, "A multidimensional classification of market anomalies: Evidence from 76 price indices," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1237-1257, DOI: 10.1016/j.intfin.2012.07.003.
• Alsayed, Hamad & McGroarty, Frank, 2012, "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 22, issue 5, pages 1258-1276, DOI: 10.1016/j.intfin.2012.07.002.
• Jorgensen, Bjorn & Li, Jing & Sadka, Gil, 2012, "Earnings dispersion and aggregate stock returns," Journal of Accounting and Economics, Elsevier, volume 53, issue 1, pages 1-20, DOI: 10.1016/j.jacceco.2011.06.001.
• Armstrong, Christopher S. & Balakrishnan, Karthik & Cohen, Daniel, 2012, "Corporate governance and the information environment: Evidence from state antitakeover laws," Journal of Accounting and Economics, Elsevier, volume 53, issue 1, pages 185-204, DOI: 10.1016/j.jacceco.2011.06.005.
• Battalio, Robert H. & Lerman, Alina & Livnat, Joshua & Mendenhall, Richard R., 2012, "Who, if anyone, reacts to accrual information?," Journal of Accounting and Economics, Elsevier, volume 53, issue 1, pages 205-224, DOI: 10.1016/j.jacceco.2011.06.007.
• Kross, William J. & Suk, Inho, 2012, "Does Regulation FD work? Evidence from analysts' reliance on public disclosure," Journal of Accounting and Economics, Elsevier, volume 53, issue 1, pages 225-248, DOI: 10.1016/j.jacceco.2011.11.004.
• Johnston, Rick & Leone, Andrew J. & Ramnath, Sundaresh & Yang, Ya-wen, 2012, "14-Week quarters," Journal of Accounting and Economics, Elsevier, volume 53, issue 1, pages 271-289, DOI: 10.1016/j.jacceco.2011.06.003.
• Landsman, Wayne R. & Maydew, Edward L. & Thornock, Jacob R., 2012, "The information content of annual earnings announcements and mandatory adoption of IFRS," Journal of Accounting and Economics, Elsevier, volume 53, issue 1, pages 34-54, DOI: 10.1016/j.jacceco.2011.04.002.
• Hou, Kewei & van Dijk, Mathijs A. & Zhang, Yinglei, 2012, "The implied cost of capital: A new approach," Journal of Accounting and Economics, Elsevier, volume 53, issue 3, pages 504-526, DOI: 10.1016/j.jacceco.2011.12.001.
• Chakrabarty, Bidisha & Moulton, Pamela C., 2012, "Earnings announcements and attention constraints: The role of market design," Journal of Accounting and Economics, Elsevier, volume 53, issue 3, pages 612-634, DOI: 10.1016/j.jacceco.2012.01.001.
• Fu, Renhui & Kraft, Arthur & Zhang, Huai, 2012, "Financial reporting frequency, information asymmetry, and the cost of equity," Journal of Accounting and Economics, Elsevier, volume 54, issue 2, pages 132-149, DOI: 10.1016/j.jacceco.2012.07.003.
• Baur, Dirk G., 2012, "Financial contagion and the real economy," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2680-2692, DOI: 10.1016/j.jbankfin.2011.05.019.
• Yao, Yaqiong, 2012, "Momentum, contrarian, and the January seasonality," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2757-2769, DOI: 10.1016/j.jbankfin.2011.12.004.
• Fender, Ingo & Hayo, Bernd & Neuenkirch, Matthias, 2012, "Daily pricing of emerging market sovereign CDS before and during the global financial crisis," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2786-2794, DOI: 10.1016/j.jbankfin.2012.06.017.
• He, Hui & Yang, Jiawen, 2012, "Day and night returns of Chinese ADRs," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2795-2803, DOI: 10.1016/j.jbankfin.2012.06.016.
• Moshirian, Fariborz & Nguyen, Huong Giang (Lily) & Pham, Peter Kien, 2012, "Overnight public information, order placement, and price discovery during the pre-opening period," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2837-2851, DOI: 10.1016/j.jbankfin.2012.06.012.
• Cenesizoglu, Tolga & Timmermann, Allan, 2012, "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 2974-2987, DOI: 10.1016/j.jbankfin.2012.06.008.
• Yamamoto, Ryuichi, 2012, "Intraday technical analysis of individual stocks on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3033-3047, DOI: 10.1016/j.jbankfin.2012.07.006.
• Jank, Stephan, 2012, "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3060-3070, DOI: 10.1016/j.jbankfin.2012.07.004.
• Armitage, Seth & Chakravarty, Shanti P. & Hodgkinson, Lynn & Wells, Jo, 2012, "Are there arbitrage gaps in the UK gilt strips market?," Journal of Banking & Finance, Elsevier, volume 36, issue 11, pages 3080-3090, DOI: 10.1016/j.jbankfin.2012.07.001.
• Akhtar, Shumi & Faff, Robert & Oliver, Barry & Subrahmanyam, Avanidhar, 2012, "Stock salience and the asymmetric market effect of consumer sentiment news," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3289-3301, DOI: 10.1016/j.jbankfin.2012.07.019.
• Bönte, Werner & Filipiak, Ute, 2012, "Financial literacy, information flows, and caste affiliation: Empirical evidence from India," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3399-3414, DOI: 10.1016/j.jbankfin.2012.07.028.
• Wu, Xueping & Au Yeung, Chau Kin, 2012, "Firm growth type and capital structure persistence," Journal of Banking & Finance, Elsevier, volume 36, issue 12, pages 3427-3443, DOI: 10.1016/j.jbankfin.2012.08.008.
• Szafarz, Ariane, 2012, "Financial crises in efficient markets: How fundamentalists fuel volatility," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 105-111, DOI: 10.1016/j.jbankfin.2011.06.008.
• Abrantes-Metz, Rosa M. & Kraten, Michael & Metz, Albert D. & Seow, Gim S., 2012, "Libor manipulation?," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 136-150, DOI: 10.1016/j.jbankfin.2011.06.014.
• Blau, Benjamin M. & Wade, Chip, 2012, "Informed or speculative: Short selling analyst recommendations," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 14-25, DOI: 10.1016/j.jbankfin.2011.06.001.
• Shynkevich, Andrei, 2012, "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 193-208, DOI: 10.1016/j.jbankfin.2011.07.001.
• Zhang, Andrew Jianzhong, 2012, "Distress risk premia in expected stock and bond returns," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 225-238, DOI: 10.1016/j.jbankfin.2011.07.007.
• Elder, John & Miao, Hong & Ramchander, Sanjay, 2012, "Impact of macroeconomic news on metal futures," Journal of Banking & Finance, Elsevier, volume 36, issue 1, pages 51-65, DOI: 10.1016/j.jbankfin.2011.06.007.
• de Groot, Wilma & Huij, Joop & Zhou, Weili, 2012, "Another look at trading costs and short-term reversal profits," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 371-382, DOI: 10.1016/j.jbankfin.2011.07.015.
• Yan, Yuxing & Zhang, Shaojun, 2012, "An improved estimation method and empirical properties of the probability of informed trading," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 454-467, DOI: 10.1016/j.jbankfin.2011.08.003.
• Bajo, Emanuele & Barbi, Massimiliano, 2012, "The role of time value in convertible bond call policy," Journal of Banking & Finance, Elsevier, volume 36, issue 2, pages 550-563, DOI: 10.1016/j.jbankfin.2011.09.004.
• Rittler, Daniel, 2012, "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 774-785, DOI: 10.1016/j.jbankfin.2011.09.009.
• Białkowski, Jędrzej & Etebari, Ahmad & Wisniewski, Tomasz Piotr, 2012, "Fast profits: Investor sentiment and stock returns during Ramadan," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 835-845, DOI: 10.1016/j.jbankfin.2011.09.014.
• Iannotta, Giuliano & Navone, Marco, 2012, "The cross-section of mutual fund fee dispersion," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 846-856, DOI: 10.1016/j.jbankfin.2011.09.013.
• Chalamandaris, Georgios & Rompolis, Leonidas S., 2012, "Exploring the role of the realized return distribution in the formation of the implied volatility smile," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1028-1044, DOI: 10.1016/j.jbankfin.2011.10.016.
• Berger, Dave & Turtle, H.J., 2012, "Cross-sectional performance and investor sentiment in a multiple risk factor model," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1107-1121, DOI: 10.1016/j.jbankfin.2011.11.001.
• Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012, "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1152-1163, DOI: 10.1016/j.jbankfin.2011.11.005.
• Attig, Najah & Cleary, Sean & El Ghoul, Sadok & Guedhami, Omrane, 2012, "Institutional investment horizon and investment–cash flow sensitivity," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 1164-1180, DOI: 10.1016/j.jbankfin.2011.11.015.
• Price, S. McKay & Doran, James S. & Peterson, David R. & Bliss, Barbara A., 2012, "Earnings conference calls and stock returns: The incremental informativeness of textual tone," Journal of Banking & Finance, Elsevier, volume 36, issue 4, pages 992-1011, DOI: 10.1016/j.jbankfin.2011.10.013.
• Lian, Qin & Wang, Qiming, 2012, "Acquisition valuations of withdrawn IPOs: When IPO plans turn into mergers," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1424-1436, DOI: 10.1016/j.jbankfin.2011.12.008.
• Jordan, Bradford D. & Liu, Mark H. & Wu, Qun, 2012, "Do investment banks listen to their own analysts?," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1452-1463, DOI: 10.1016/j.jbankfin.2011.12.010.
• Min, Byoung-Kyu & Kim, Tong Suk, 2012, "Are good-news firms riskier than bad-news firms?," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1528-1535, DOI: 10.1016/j.jbankfin.2011.12.017.
• Dungey, Mardi & Hvozdyk, Lyudmyla, 2012, "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1563-1575, DOI: 10.1016/j.jbankfin.2012.01.005.
• McQueen, Grant & Stenkrona, Anders, 2012, "The home-institution bias," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1627-1638, DOI: 10.1016/j.jbankfin.2012.01.011.
• Vlastakis, Nikolaos & Markellos, Raphael N., 2012, "Information demand and stock market volatility," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1808-1821, DOI: 10.1016/j.jbankfin.2012.02.007.
• Huang, Alex YiHou, 2012, "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, volume 36, issue 6, pages 1839-1855, DOI: 10.1016/j.jbankfin.2012.02.005.
• Ammann, Manuel & Odoni, Sandro & Oesch, David, 2012, "An alternative three-factor model for international markets: Evidence from the European Monetary Union," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1857-1864, DOI: 10.1016/j.jbankfin.2012.02.001.
• Levy, Tamir & Yagil, Joseph, 2012, "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1963-1974, DOI: 10.1016/j.jbankfin.2012.03.004.
• Marsh, Ian W. & Payne, Richard, 2012, "Banning short sales and market quality: The UK’s experience," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 1975-1986, DOI: 10.1016/j.jbankfin.2012.03.005.
• Chen, Yifan & Zhao, Huainan, 2012, "Informed trading, information uncertainty, and price momentum," Journal of Banking & Finance, Elsevier, volume 36, issue 7, pages 2095-2109, DOI: 10.1016/j.jbankfin.2012.03.016.
• Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012, "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2216-2232, DOI: 10.1016/j.jbankfin.2012.04.001.
• Jiang, George J. & Konstantinidi, Eirini & Skiadopoulos, George, 2012, "Volatility spillovers and the effect of news announcements," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2260-2273, DOI: 10.1016/j.jbankfin.2012.04.006.
• Choy, Siu Kai & Wei, Jason, 2012, "Option trading: Information or differences of opinion?," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2299-2322, DOI: 10.1016/j.jbankfin.2012.04.010.
• Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi, 2012, "Derivatives traders’ reaction to mispricing in the underlying equity," Journal of Banking & Finance, Elsevier, volume 36, issue 9, pages 2438-2454, DOI: 10.1016/j.jbankfin.2012.04.018.
• Kelly, David L. & Letson, David & Nelson, Forrest & Nolan, David S. & Solís, Daniel, 2012, "Evolution of subjective hurricane risk perceptions: A Bayesian approach," Journal of Economic Behavior & Organization, Elsevier, volume 81, issue 2, pages 644-663, DOI: 10.1016/j.jebo.2011.10.004.
• Blackburn, Keith & Bose, Niloy & Capasso, Salvatore, 2012, "Tax evasion, the underground economy and financial development," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 2, pages 243-253, DOI: 10.1016/j.jebo.2012.05.019.
• LeBaron, Blake, 2012, "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 424-445, DOI: 10.1016/j.jebo.2012.03.003.
• Lin, Shengle & Rassenti, Stephen, 2012, "Are under- and over-reaction the same matter? Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, volume 84, issue 1, pages 39-61, DOI: 10.1016/j.jebo.2012.07.004.
• Elshahat, A. & Parhizgari, Ali & Hong, Liang, 2012, "The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions," Journal of Economics and Business, Elsevier, volume 64, issue 1, pages 90-104, DOI: 10.1016/j.jeconbus.2011.06.003.
• Ding, Liang & Pu, Xiaoling, 2012, "Market linkage and information spillover: Evidence from pre-crisis, crisis, and recovery periods," Journal of Economics and Business, Elsevier, volume 64, issue 2, pages 145-159, DOI: 10.1016/j.jeconbus.2011.11.001.
• Du, Ding & Denning, Karen & Zhao, Xiaobing, 2012, "Real aggregate activity and stock returns," Journal of Economics and Business, Elsevier, volume 64, issue 5, pages 323-337, DOI: 10.1016/j.jeconbus.2012.06.002.
• Luo, Guo Ying, 2012, "Conservative traders, natural selection and market efficiency," Journal of Economic Theory, Elsevier, volume 147, issue 1, pages 310-335, DOI: 10.1016/j.jet.2011.10.016.
• Makarov, Igor & Rytchkov, Oleg, 2012, "Forecasting the forecasts of others: Implications for asset pricing," Journal of Economic Theory, Elsevier, volume 147, issue 3, pages 941-966, DOI: 10.1016/j.jet.2012.01.020.
• Koeppl, Thorsten & Monnet, Cyril & Temzelides, Ted, 2012, "Optimal clearing arrangements for financial trades," Journal of Financial Economics, Elsevier, volume 103, issue 1, pages 189-203, DOI: 10.1016/j.jfineco.2011.08.008.
• Kaniel, Ron & Ozoguz, Arzu & Starks, Laura, 2012, "The high volume return premium: Cross-country evidence," Journal of Financial Economics, Elsevier, volume 103, issue 2, pages 255-279, DOI: 10.1016/j.jfineco.2011.08.012.
• Edelen, Roger M. & Kadlec, Gregory B., 2012, "Delegated trading and the speed of adjustment in security prices," Journal of Financial Economics, Elsevier, volume 103, issue 2, pages 294-307, DOI: 10.1016/j.jfineco.2010.11.008.
• Hong, Harrison & Kubik, Jeffrey D. & Fishman, Tal, 2012, "Do arbitrageurs amplify economic shocks?," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 454-470, DOI: 10.1016/j.jfineco.2011.10.007.
• Qiu, Jiaping & Yu, Fan, 2012, "Endogenous liquidity in credit derivatives," Journal of Financial Economics, Elsevier, volume 103, issue 3, pages 611-631, DOI: 10.1016/j.jfineco.2011.10.010.
• Shive, Sophie, 2012, "Local investors, price discovery, and market efficiency," Journal of Financial Economics, Elsevier, volume 104, issue 1, pages 145-161, DOI: 10.1016/j.jfineco.2011.12.003.
• Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012, "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 272-287, DOI: 10.1016/j.jfineco.2011.11.002.
• Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2012, "The short of it: Investor sentiment and anomalies," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 288-302, DOI: 10.1016/j.jfineco.2011.12.001.
• Mendel, Brock & Shleifer, Andrei, 2012, "Chasing noise," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 303-320, DOI: 10.1016/j.jfineco.2011.02.018.
• Grinblatt, Mark & Keloharju, Matti & Linnainmaa, Juhani T., 2012, "IQ, trading behavior, and performance," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 339-362, DOI: 10.1016/j.jfineco.2011.05.016.
• Ben-Rephael, Azi & Kandel, Shmuel & Wohl, Avi, 2012, "Measuring investor sentiment with mutual fund flows," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 363-382, DOI: 10.1016/j.jfineco.2010.08.018.
• Cohen, Lauren & Lou, Dong, 2012, "Complicated firms," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 383-400, DOI: 10.1016/j.jfineco.2011.08.006.
• Li, Jun & Yu, Jianfeng, 2012, "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 401-419, DOI: 10.1016/j.jfineco.2011.04.003.
• Friewald, Nils & Jankowitsch, Rainer & Subrahmanyam, Marti G., 2012, "Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 18-36, DOI: 10.1016/j.jfineco.2012.02.001.
• Bae, Kee-Hong & Ozoguz, Arzu & Tan, Hongping & Wirjanto, Tony S., 2012, "Do foreigners facilitate information transmission in emerging markets?," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 209-227, DOI: 10.1016/j.jfineco.2012.01.001.
• Driessen, Joost & Van Hemert, Otto, 2012, "Pricing of commercial real estate securities during the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 37-61, DOI: 10.1016/j.jfineco.2012.02.006.
• Karolyi, G. Andrew & Lee, Kuan-Hui & van Dijk, Mathijs A., 2012, "Understanding commonality in liquidity around the world," Journal of Financial Economics, Elsevier, volume 105, issue 1, pages 82-112, DOI: 10.1016/j.jfineco.2011.12.008.
• Engelberg, Joseph E. & Reed, Adam V. & Ringgenberg, Matthew C., 2012, "How are shorts informed?," Journal of Financial Economics, Elsevier, volume 105, issue 2, pages 260-278, DOI: 10.1016/j.jfineco.2012.03.001.
• Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012, "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, volume 105, issue 3, pages 523-541, DOI: 10.1016/j.jfineco.2012.04.006.
• Kim, Chansog (Francis) & Pantzalis, Christos & Chul Park, Jung, 2012, "Political geography and stock returns: The value and risk implications of proximity to political power," Journal of Financial Economics, Elsevier, volume 106, issue 1, pages 196-228, DOI: 10.1016/j.jfineco.2012.05.007.
• Johnson, Travis L. & So, Eric C., 2012, "The option to stock volume ratio and future returns," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 262-286, DOI: 10.1016/j.jfineco.2012.05.008.
• Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012, "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, volume 106, issue 2, pages 331-348, DOI: 10.1016/j.jfineco.2012.05.013.
• Bajgrowicz, Pierre & Scaillet, Olivier, 2012, "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 473-491, DOI: 10.1016/j.jfineco.2012.06.001.
• García, Diego & Norli, Øyvind, 2012, "Geographic dispersion and stock returns," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 547-565, DOI: 10.1016/j.jfineco.2012.06.007.
• Maio, Paulo & Santa-Clara, Pedro, 2012, "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 586-613, DOI: 10.1016/j.jfineco.2012.07.001.
• Savor, Pavel G., 2012, "Stock returns after major price shocks: The impact of information," Journal of Financial Economics, Elsevier, volume 106, issue 3, pages 635-659, DOI: 10.1016/j.jfineco.2012.06.011.
• Kandel, Eugene & Rindi, Barbara & Bosetti, Luisella, 2012, "The effect of a closing call auction on market quality and trading strategies," Journal of Financial Intermediation, Elsevier, volume 21, issue 1, pages 23-49, DOI: 10.1016/j.jfi.2011.03.002.
• Allen, Linda & Gottesman, Aron A. & Peng, Lin, 2012, "The impact of joint participation on liquidity in equity and syndicated bank loan markets," Journal of Financial Intermediation, Elsevier, volume 21, issue 1, pages 50-78, DOI: 10.1016/j.jfi.2011.04.002.
• Laeven, Luc & Tong, Hui, 2012, "US monetary shocks and global stock prices," Journal of Financial Intermediation, Elsevier, volume 21, issue 3, pages 530-547, DOI: 10.1016/j.jfi.2012.02.002.
• Liu, Peng & Lu, Xiaomeng & Tang, Ke, 2012, "The determinants of homebuilder stock price exposure to lumber: Production cost versus housing demand," Journal of Housing Economics, Elsevier, volume 21, issue 3, pages 211-222, DOI: 10.1016/j.jhe.2012.05.003.
• Thapa, Chandra & Poshakwale, Sunil S., 2012, "Country-specific equity market characteristics and foreign equity portfolio allocation," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 189-211, DOI: 10.1016/j.jimonfin.2011.10.011.
• Spierdijk, Laura & Bikker, Jacob A. & van den Hoek, Pieter, 2012, "Mean reversion in international stock markets: An empirical analysis of the 20th century," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 228-249, DOI: 10.1016/j.jimonfin.2011.11.008.
• Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2012, "Price adjustment to news with uncertain precision," Journal of International Money and Finance, Elsevier, volume 31, issue 2, pages 337-355, DOI: 10.1016/j.jimonfin.2011.11.013.
• Chan, Kalok & Covrig, Vicentiu, 2012, "What determines mutual fund trading in foreign stocks?," Journal of International Money and Finance, Elsevier, volume 31, issue 4, pages 793-817, DOI: 10.1016/j.jimonfin.2012.01.003.
• In, Francis & Cui, Jin & Maharaj, Elizabeth Ann, 2012, "The impact of a new term auction facility on Libor–OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1106-1125, DOI: 10.1016/j.jimonfin.2011.12.013.
• Hauser, Florian & Huber, Jürgen, 2012, "Short-selling constraints as cause for price distortions: An experimental study," Journal of International Money and Finance, Elsevier, volume 31, issue 5, pages 1279-1298, DOI: 10.1016/j.jimonfin.2012.02.001.
• Ahmad, Rubi & Rhee, S. Ghon & Wong, Yuen Meng, 2012, "Foreign exchange market efficiency under recent crises: Asia-Pacific focus," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1574-1592, DOI: 10.1016/j.jimonfin.2012.02.016.
• Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012, "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Journal of International Money and Finance, Elsevier, volume 31, issue 6, pages 1607-1626, DOI: 10.1016/j.jimonfin.2012.03.003.
• Bowden, Mark P., 2012, "Information contagion within small worlds and changes in kurtosis and volatility in financial prices," Journal of Macroeconomics, Elsevier, volume 34, issue 2, pages 553-566, DOI: 10.1016/j.jmacro.2012.01.003.
• Giannikos, Christos I., 2012, "Information Acquisition in the Presence of Asymmetries in Risk Aversion," The Journal of Economic Asymmetries, Elsevier, volume 9, issue 2, pages 1-9, DOI: 10.1016/j.jeca.2012.02.001.
• Choi, Jin W., 2012, "The Effectiveness of the Small Business Lending Fund (SBLF) Program During the 2007–2010 Financial Crisis," The Journal of Economic Asymmetries, Elsevier, volume 9, issue 2, pages 59-76, DOI: 10.1016/j.jeca.2012.02.004.
• Abreu, Margarida & Mendes, Victor, 2012, "Information, overconfidence and trading: Do the sources of information matter?," Journal of Economic Psychology, Elsevier, volume 33, issue 4, pages 868-881, DOI: 10.1016/j.joep.2012.04.003.
• Theofilakou, Nancy & Stournaras, Yannis, 2012, "Current account adjustments in OECD countries revisited: The role of the fiscal stance," Journal of Policy Modeling, Elsevier, volume 34, issue 5, pages 719-734, DOI: 10.1016/j.jpolmod.2011.12.001.
• Subadar Agathee, Ushad & Brooks, Chris & Sannassee, Raja Vinesh, 2012, "Hot and cold IPO markets: The case of the Stock Exchange of Mauritius," Journal of Multinational Financial Management, Elsevier, volume 22, issue 4, pages 168-192, DOI: 10.1016/j.mulfin.2012.06.004.
• Hakim, Tatiana & Lypny, Gregory & Bhabra, Harjeet S., 2012, "IPO lockup expiration in the Middle East and North Africa," Journal of Multinational Financial Management, Elsevier, volume 22, issue 5, pages 252-262, DOI: 10.1016/j.mulfin.2012.06.005.
• Kim, Soon-Ho & Kim, Dongcheol & Shin, Hyun-Soo, 2012, "Evaluating asset pricing models in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 198-227, DOI: 10.1016/j.pacfin.2011.09.001.
• Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012, "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 271-291, DOI: 10.1016/j.pacfin.2011.09.003.
• Bird, Ron & Yeung, Danny, 2012, "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 310-327, DOI: 10.1016/j.pacfin.2011.10.001.
• Gao, Fox & Faff, Robert & Navissi, Farshid, 2012, "Corporate philanthropy: Insights from the 2008 Wenchuan Earthquake in China," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 363-377, DOI: 10.1016/j.pacfin.2011.11.002.
• Fan, Longzhen & Hu, Bill & Jiang, Christine, 2012, "Pricing and information content of block trades on the Shanghai Stock Exchange," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 378-397, DOI: 10.1016/j.pacfin.2011.11.004.
• Brailsford, Tim & Gaunt, Clive & O'Brien, Michael A., 2012, "The investment value of the value premium," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 416-437, DOI: 10.1016/j.pacfin.2011.12.008.
• Liu, Yong-Chin & Chen, Hsiang-Ju, 2012, "Economic conditions, lending competition, and evaluation effect of credit line announcements on borrowers," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 3, pages 438-458, DOI: 10.1016/j.pacfin.2011.12.006.