Research classified by Journal of Economic Literature (JEL) codes

2012

• Fabrice Riva, 2012, "Production de liquidité par les marchés boursiers, valorisation des actifs et coût de financement," Revue d'Économie Financière, Programme National Persée, volume 106, issue 2, pages 37-48.
• Anastasios KONSTANTINIDIS & Androniki KATARACHIA & George BOROVAS & Maria Eleni VOUTSA, 2012, "From Efficient Market Hypothesis To Behavioural Finance: Can Behavioural Finance Be The New Dominant Model For Investing?," Scientific Bulletin - Economic Sciences, University of Pitesti, volume 11, issue 2, pages 16-26.
• Emmanuel Farhi & Jean Tirole, , "Liquid Bundles," Working Paper, Harvard University OpenScholar, number 70971.
• Jean Cordier & Alexandre Gohin, 2012, "Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement," Working Papers SMART, INRAE UMR SMART, number 12-06.
• Konstantina Kappou & Ioannis Oikonomou, 2012, "Is there a Gold Social Seal? The Financial Effects of Additions to and Deletions from Social Stock Indices," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2012-10, Oct.
• Chris Brooks & Keith Anderson, 2012, "Speculative Bubbles and the Cross-Sectional Variation in Stock Returns," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2013-01, Nov, revised Nov 2013.
• Borghan Nezami Narajabad, 2012, "Code and data files for "Information Technology and the Rise of Household Bankruptcy"," Computer Codes, Review of Economic Dynamics, number 10-43, revised .
• Borghan Nezami Narajabad, 2012, "Information Technology and the Rise of Household Bankruptcy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 15, issue 4, pages 526-550, October, DOI: 10.1016/j.red.2012.06.002.
• Christian Hellwig & Aleh Tsyvinski & Elias Albagli, 2012, "A theory of asset prices based on heterogeneous information," 2012 Meeting Papers, Society for Economic Dynamics, number 394.
• Panayiotis Papakyriacou & George Nishiotis & Andreas Milidonis & Alex Michaelides, 2012, "Sovereign Debt Rating Changes and the Stock Market," 2012 Meeting Papers, Society for Economic Dynamics, number 522.
• Alexandru Constantinescu, 2012, "The business cycles and the influence of economic confidence indicators in the European region," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 15, issue 44, pages 201-224, June.
• Mejra Festic & Alenka Kavkler & Silvo Dajcman, 2012, "Long memory in the Croatian and Hungarian stock market returns," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, volume 30, issue 1, pages 115-139.
• Smith, James L. & Thompson, Rex, 2012, "The Informational Role of Spot Prices and Inventories," RFF Working Paper Series, Resources for the Future, number dp-12-45, Sep.
• Nikola Gradojevic & Camillo Lento, 2012, "Multiscale Analysis of Foreign Exchange Order Flows and Technical Trading Profitability," Working Paper series, Rimini Centre for Economic Analysis, number 31_12, Jun.
• Riccardo Cesari & Massimiliano Marzo & Paolo Zagaglia, 2012, "Effective Trade Execution," Working Paper series, Rimini Centre for Economic Analysis, number 41_12, Jun.
• Kee-Hong Bae, 2012, "Determinants of Local Currency Bonds and Foreign Holdings: Implications for Bond Market Development in the People’s Republic of China," Working Papers on Regional Economic Integration, Asian Development Bank, number 97, May.
• Heather Eckert & Henry van Egteren & Troy Hannweber, 2012, "The Overpricing Problem: Moral Hazard and Franchises," Working Papers, University of Alberta, Department of Economics, number 2012-02, Jan.
• Eric Stephens & James Thompson, 2012, "Who Participates in Risk Transfer Markets? The Role of Transaction Costs and Counterparty Risk," Working Papers, University of Alberta, Department of Economics, number 2012-12, Jun.
• Dina Tsytsulina, 2012, "The expected influence of Russian and foreign mergers on competition in metal industry 1999–2011," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), volume 27, issue 3, pages 70-85.
• Harun Guzeldere, & Serra Eren Sarioglu, 2012, "Validity of Fama-French Three-Factor Model In Asset Pricing: An Application In Istanbul Stock Exchange," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 3, issue 2, pages 1-1.
• Mustafa Akal & Erhan Birgili & Sedat Durmuskaya, 2012, "Testing Efficiency of Derivative Markets: ISE30, ISE100, USD and EURO," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 3, issue 4, pages 1-1.
• Christian Growitsch & Marcus Stronzik & Rabindra Nepal, 2012, "Price convergence and information efficiency in German natural gas markets," EWI Working Papers, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI), number 2012-5, Mar.
• Theologos Dergiades & Reinhard Madlener & Georgia Christofidou, 2012, "The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?," FCN Working Papers, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), number 17/2012, Dec.
• Elizabeth T. Arroyave C. & Diego A. Agudelo R., 2012, "Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente:caso colombiano 1999-2007," Journal of Economics, Finance and Administrative Science, Universidad ESAN, volume 17, issue 33, pages 38-47.
• Tim Friederich & Carolin Kraus & Rudi Zagst, 2012, "ILLIX - A New Index for Quantifying Illiquidity," Journal of Financial Transformation, Capco Institute, volume 34, pages 183-193.
• Malek AL-Majali, 2012, "No More Traditional Stock Market Exchange: A Study Of Internet Trading Service (Its) In Jordan," Journal of Internet Banking and Commerce, Nahum Goldmann, volume 17, issue 1, pages 01-19.
• Jiyoun An & Cheolbeom Park, 2012, "Election Cycles and Stock Market Reaction: International Evidence," Working Papers, Korea Institute for International Economic Policy, number 12-4, Dec, DOI: 10.2139/ssrn.2319727.
• Camelia Oprean, 2012, "Testing the financial market informational efficiency in emerging states," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 4, issue 2, pages 181-190, Decembre.
• Gabriela-Victoria ANGHELACHE & Andreea NEGRU (CIOBANU) & Catalina Claudia SAVA, 2012, "The Analysis of the Capital Market Efficiency," Romanian Statistical Review Supplement, Romanian Statistical Review, volume 60, issue 4, pages 60-63, November.
• Katarzyna Anna Czech, & Adam Waszkowski, 2012, "Foreign Exchange Market Efficiency. Empirical Results For The Usd/Eur Market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 8, issue 3, pages 1-9, October.
• Mateusz Polak, 2012, "The Misinformation Effect In Financial Markets – An Emerging Issue In Behavioural Finance," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 8, issue 3, pages 55-61, October.
• Heather Anderson & Howard Chan & Robert Faff & Yew Kee Ho, 2012, "Reported earnings and analyst forecasts as competing sources of information: A new approach," Australian Journal of Management, Australian School of Business, volume 37, issue 3, pages 333-359, December, DOI: 10.1177/0312896211434574.
• Cameron Truong, 2013, "The January effect, does options trading matter?," Australian Journal of Management, Australian School of Business, volume 38, issue 1, pages 31-48, April, DOI: 10.1177/0312896212440267.
• Thushari Vidanage & O.G. Dayaratna-Banda, 2012, "Does Past Information Help Predict Future Price Movements in Emerging Capital Markets? Evidence from the Colombo Securities Exchange," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, volume 13, issue 2, pages 241-264, September, DOI: 10.1177/1391561412457236.
• Tomasz Potocki & Tomasz Swist, 2012, "Empirical Test of the Strong Form Efficiency of the Warsaw Stock Exchange: The Analysis of WIG 20 Index Shares," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 10, issue 2, pages 155-172.
• Alex Frino & Vito Mollica & Maria Grazia Romano, 2012, "Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence," Working Papers, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno, number 3_225, Nov.
• Amarjit Saini & Ravi Singla, 2012, "Impact Of Mergers On Corporate Performance: A Sample Study Of Indian Textile Industry," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 4, issue 3 (Decemb, pages 284-292.
• Raphael A. Auer, 2012, "What Drives Target2 Balances? Evidence From a Panel Analysis," Working Papers, Swiss National Bank, number 2012-15.
• Astrid Herinckx & Ariane Szafarz, 2012, "Which Short-Selling Regulation is the Least Damaging to Market Efficiency? Evidence from Europe," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 12-002, Jan.
• Knut Aastveit & Tørres Trovik, 2012, "Nowcasting norwegian GDP: the role of asset prices in a small open economy," Empirical Economics, Springer, volume 42, issue 1, pages 95-119, February, DOI: 10.1007/s00181-010-0429-9.
• Delia Coculescu & Monique Jeanblanc & Ashkan Nikeghbali, 2012, "Default times, no-arbitrage conditions and changes of probability measures," Finance and Stochastics, Springer, volume 16, issue 3, pages 513-535, July, DOI: 10.1007/s00780-011-0170-z.
• Vladimir Vovk, 2012, "Continuous-time trading and the emergence of probability," Finance and Stochastics, Springer, volume 16, issue 4, pages 561-609, October, DOI: 10.1007/s00780-012-0180-5.
• Christopher Lorenz & Alexander Schied, 2013, "Drift dependence of optimal trade execution strategies under transient price impact," Finance and Stochastics, Springer, volume 17, issue 4, pages 743-770, October, DOI: 10.1007/s00780-013-0211-x.
• Gregor Weiß, 2012, "Analysing contagion and bailout effects with copulae," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 1-32, January, DOI: 10.1007/s12197-009-9099-x.
• Tomasz Wisniewski & Geoffrey Lightfoot & Simon Lilley, 2012, "Speculating on presidential success: exploring the link between the price–earnings ratio and approval ratings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 106-122, January, DOI: 10.1007/s12197-009-9116-0.
• Guan Wang & Pierre Yourougou & Yue Wang, 2012, "Which implied volatility provides the best measure of future volatility?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 1, pages 93-105, January, DOI: 10.1007/s12197-009-9114-2.
• Jeff Madura & Thanh Ngo, 2012, "Determinants of the medium of payment used to acquire privately-held targets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 424-442, April, DOI: 10.1007/s12197-010-9130-2.
• Richard Fu & Marco Pagani, 2012, "On the cointegration of international stock indices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 463-480, April, DOI: 10.1007/s12197-010-9136-9.
• A. Inci & H. Seyhun, 2012, "How do quotes and prices evolve around isolated informed trades?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 2, pages 499-519, April, DOI: 10.1007/s12197-010-9146-7.
• Jeff Madura & Thanh Ngo, 2012, "Re-examination of industry effects due to withdrawn mergers," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 613-633, July, DOI: 10.1007/s12197-010-9133-z.
• Robert Hull & Sungkyu Kwak & Rosemary Walker, 2012, "Explanation for market response to seasoned equity offerings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 634-661, July, DOI: 10.1007/s12197-010-9139-6.
• Ralf Becker & Junsoo Lee & Benton Gup, 2012, "An empirical analysis of mean reversion of the S&P 500’s P/E ratios," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 675-690, July, DOI: 10.1007/s12197-010-9145-8.
• Omar Esqueda & Dave Jackson, 2012, "Currency depreciation effects on ADR returns: evidence from Latin America," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 3, pages 691-711, July, DOI: 10.1007/s12197-010-9144-9.
• Deniz Igan & Marcelo Pinheiro, 2012, "Incentive to manipulate earnings and its connection to analysts’ forecasts, trading, and corporate governance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 4, pages 781-821, October, DOI: 10.1007/s12197-010-9131-1.
• Marek Marciniak, 2012, "Information effects of announced stock index additions: evidence from S&P 400," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 4, pages 822-849, October, DOI: 10.1007/s12197-010-9153-8.
• Zsuzsa Huszár & George Lentz & Wei Yu, 2012, "Does mandatory disclosure affect subprime lending to minority neighborhoods?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 36, issue 4, pages 900-924, October, DOI: 10.1007/s12197-010-9163-6.
• Eleftherios Thalassinos & Dimitrios Maditinos & Athanasios Paschalidis, 2012, "Observing evidence of insider trading in the Athens Stock Exchange," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), volume 1, issue 1, pages 1-26, December, DOI: 10.1186/2193-2409-1-8.
• Roberto Dieci & Frank Westerhoff, 2012, "A simple model of a speculative housing market," Journal of Evolutionary Economics, Springer, volume 22, issue 2, pages 303-329, April, DOI: 10.1007/s00191-011-0259-8.
• Ewa Sletten, 2012, "The effect of stock price on discretionary disclosure," Review of Accounting Studies, Springer, volume 17, issue 1, pages 96-133, March, DOI: 10.1007/s11142-011-9165-4.
• Joost Impink & Martien Lubberink & Bart Praag & David Veenman, 2012, "Did accelerated filing requirements and SOX Section 404 affect the timeliness of 10-K filings?," Review of Accounting Studies, Springer, volume 17, issue 2, pages 227-253, June, DOI: 10.1007/s11142-011-9172-5.
• Judson Caskey & John Hughes & Jing Liu, 2012, "Leverage, excess leverage, and future returns," Review of Accounting Studies, Springer, volume 17, issue 2, pages 443-471, June, DOI: 10.1007/s11142-011-9176-1.
• Eti Einhorn & Amir Ziv, 2012, "Biased voluntary disclosure," Review of Accounting Studies, Springer, volume 17, issue 2, pages 420-442, June, DOI: 10.1007/s11142-011-9177-0.
• Jeong-Bon Kim & Haina Shi, 2012, "IFRS reporting, firm-specific information flows, and institutional environments: international evidence," Review of Accounting Studies, Springer, volume 17, issue 3, pages 474-517, September, DOI: 10.1007/s11142-012-9190-y.
• Maria Correia & Scott Richardson & İrem Tuna, 2012, "Value investing in credit markets," Review of Accounting Studies, Springer, volume 17, issue 3, pages 572-609, September, DOI: 10.1007/s11142-012-9191-x.
• Joshua Livnat & Yuan Zhang, 2012, "Information interpretation or information discovery: which role of analysts do investors value more?," Review of Accounting Studies, Springer, volume 17, issue 3, pages 612-641, September, DOI: 10.1007/s11142-012-9193-8.
• Kin Lo, 2012, "What do analysts do? Discussion of “Information interpretation or information discovery: which role of analysts do investors value more?”," Review of Accounting Studies, Springer, volume 17, issue 3, pages 642-648, September, DOI: 10.1007/s11142-012-9195-6.
• Theodore E. Christensen, 2012, "Discussion of “Why do pro forma and street earnings not reflect changes in GAAP? Evidence from SFAS 123R”," Review of Accounting Studies, Springer, volume 17, issue 3, pages 563-571, September, DOI: 10.1007/s11142-012-9197-4.
• Hans B. Christensen, 2012, "Why do firms rarely adopt IFRS voluntarily? Academics find significant benefits and the costs appear to be low," Review of Accounting Studies, Springer, volume 17, issue 3, pages 518-525, September, DOI: 10.1007/s11142-012-9202-y.
• William H. Beaver & Wayne R. Landsman & Edward L. Owens, 2012, "Asymmetry in earnings timeliness and persistence: a simultaneous equations approach," Review of Accounting Studies, Springer, volume 17, issue 4, pages 781-806, December, DOI: 10.1007/s11142-011-9174-3.
• Dain C. Donelson & Robert J. Resutek, 2012, "The effect of R&D on future returns and earnings forecasts," Review of Accounting Studies, Springer, volume 17, issue 4, pages 848-876, December, DOI: 10.1007/s11142-011-9179-y.
• Merle Erickson & Shiing-Wu Wang & X. Frank Zhang, 2012, "The change in information uncertainty and acquirer wealth losses," Review of Accounting Studies, Springer, volume 17, issue 4, pages 913-943, December, DOI: 10.1007/s11142-012-9184-9.
• William H. Beaver & Maria Correia & Maureen F. McNichols, 2012, "Do differences in financial reporting attributes impair the predictive ability of financial ratios for bankruptcy?," Review of Accounting Studies, Springer, volume 17, issue 4, pages 969-1010, December, DOI: 10.1007/s11142-012-9186-7.
• Marco Cipriani & Riccardo Costantini & Antonio Guarino, 2012, "A Bayesian approach to experimental analysis: trading in a laboratory financial market," Review of Economic Design, Springer;Society for Economic Design, volume 16, issue 2, pages 175-191, September, DOI: 10.1007/s10058-012-0124-8.
• Klaus Schredelseker, 2012, "Finanzkrise — Mitschuld der Theorie?," Schmalenbach Journal of Business Research, Springer, volume 64, issue 8, pages 833-845, December, DOI: 10.1007/BF03372871.
• Lu s Pacheco, 2012, "Moody S Credit Ratings And The Stock Market Performance Of Portuguese Rated Firms," Journal of Advanced Studies in Finance, ASERS Publishing, volume 3, issue 1, pages 58-83.
• Massimiliano Marzo & Paolo Zagaglia, 2012, "Trading directions and the pricing of Euro interbank deposits in the long run," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 18, pages 1827-1839, December, DOI: 10.1080/13504851.2012.663467.
• Erik Theissen, 2012, "Price discovery in spot and futures markets: a reconsideration," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 10, pages 969-987, November, DOI: 10.1080/1351847X.2011.601643.
• Paolo Vitale, 2012, "Optimal informed trading in the foreign exchange market," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 10, pages 989-1013, November, DOI: 10.1080/1351847X.2011.601650.
• H�lena Beltran-Lopez & Joachim Grammig & Albert J. Menkveld, 2012, "Limit order books and trade informativeness," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 9, pages 737-759, October, DOI: 10.1080/1351847X.2011.601651.
• Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2012, "Leverage causes fat tails and clustered volatility," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 5, pages 695-707, February, DOI: 10.1080/14697688.2012.674301.
• Murat Duran & Doruk Kucuksarac, 2012, "Are Swap and Bond Markets Alternatives to Each Other in Turkey?," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1223.
• Felicia Ramona Birău, 2012, "Stochastic Volatility Models For Financial Time Series Analysis," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 472-475, November.
• Felicia Ramona BIRAU, 2012, "The implications of chaos theory on Bucharest stock exchange," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, volume 0, pages 36-41, May.
• Andrey Kudryavtsev, 2012, "Short-Term Stock Price Reversals May Be Reversed," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 5, issue 3, pages 129-146, December.
• P. Srinivasan & P. Ibrahim, 2012, "Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 5, issue 3, pages 65-80, December.
• Te Bao & Cars Hommes & Joep Sonnemans & Jan Tuinstra, 2012, "Individual Expectations, Limited Rationality and Aggregate Outcomes," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-016/1, Feb.
• Martin Scholtus & Dick van Dijk, 2012, "High-Frequency Technical Trading: The Importance of Speed," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-018/4, Mar.
• Ian W. Marsh & Wolf Wagner, 2012, "Why is Price Discovery in Credit Default Swap Markets News-Specific?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-033/IV/DSF33, Apr.
• Martin L. Scholtus & Dick van Dijk & Bart Frijns, 2012, "Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-121/III, Nov.
• Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012, "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-140/IV/DSF46, Dec.
• Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2012, "Sunshine Trading: Flashes of Trading Intent at the NASDAQ," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 12-141/IV/DSF47, Dec.
• Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2012, "Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072)," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-012.
• Marsch, I. & Wagner, W.B., 2012, "Why is Price Discovery in Credit Default Swap Markets News-Specific?," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-006.
• Braggion, F. & Moore, L., 2012, "How Insiders Traded before Rules," Discussion Paper, Tilburg University, Center for Economic Research, number 2012-007.
• Braggion, F. & Moore, L., 2012, "How Insiders Traded before Rules," Other publications TiSEM, Tilburg University, School of Economics and Management, number f4f6a08a-280d-41f3-adc5-a.
• Hitoshi Matsushima, 2012, "Behavioral Aspects of Arbitrageurs in Timing Games of Bubbles and Crashes," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-857, Aug.
• Testa, Alessia, 2012, "Path-Dependent Behavior with Asymmetric Information about Traders' Types," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich, number 388, Jul.
• Farhi, Emmanuel & Tirole, Jean, 2012, "Liquid Bundles," TSE Working Papers, Toulouse School of Economics (TSE), number 12-328, Jul, revised Oct 2013.
• He, Yinghua & Nielsson, Ulf & Guo, Hong & Yang, Jiong, 2012, "Subscribing to Transparency," TSE Working Papers, Toulouse School of Economics (TSE), number 12-351, Jul, revised Nov 2013.
• John Cotter & Stuart Gabriel & Richard Roll, 2012, "Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust," Working Papers, Geary Institute, University College Dublin, number 201217, Aug.
• Pilar Abad Romero & María Dolores Robles Fernández, 2012, "Credit rating agencies and unsystematic risk: Is there a linkage?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2012-17, Jul.
• Philippe Lambert & Sébastien Laurent & David Veredas, 2012, "Testing conditional asymmetry. A residual based approach," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/136195.
• Óscar Arce & Sergio Mayordomo & Juan Ignacio Peña, 2012, "Credit-Risk Valuation in the Sovereign CDS and Bonds Markets: Evidence from the Euro Area Crisis," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 22/12, Dec.
• Óscar Arce & Sergio Mayordomo, 2012, "Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 25/12, Dec.
• David Bicchetti & Nicolas Maystre, 2012, "The Synchronized And Long-Lasting Structural Change On Commodity Markets: Evidence From High Frequency Data," UNCTAD Discussion Papers, United Nations Conference on Trade and Development, number 208.
• Grigory V. Kalyagin & Vladimir A. Kozlov, 2012, "Coordination in Political Machinery under Dictatorship: Signals, Shirking and Repression," Working Papers, Moscow State University, Faculty of Economics, number 0001, May.
• Francisco Barillas & Kristoffer Nimark, 2012, "Speculation, risk premia and expectations in the yield curve," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1337, Aug, revised Nov 2013.
• Ammann, Manuel & Odoni, Sandro & Oesch, David, 2012, "An Alternative Three-Factor Model for International Markets: Evidence from the European Monetary Union," Working Papers on Finance, University of St. Gallen, School of Finance, number 1202, Aug.
• Kohler, Alexander & von Wyss, Rico, 2012, "Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID," Working Papers on Finance, University of St. Gallen, School of Finance, number 1209, Jun.
• Kohler, Alexander & von Wyss, Rico, 2012, "Fragmentation in European Equity Markets and Market Quality – Evidence from the Analysis of Trade-Throughs," Working Papers on Finance, University of St. Gallen, School of Finance, number 1210, Oct.
• Mancini Griffoli, Tommaso & Ranaldo, Angelo, 2012, "Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity," Working Papers on Finance, University of St. Gallen, School of Finance, number 1212, Nov.
• Hoechle, Daniel & Schaub, nic & Schmid, Markus, 2012, "Time Stamp Errors and the Stock Price Reaction to Analyst Recommendation and Forecast Revisions," Working Papers on Finance, University of St. Gallen, School of Finance, number 1215, Feb, revised Sep 2015.
• Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz, 2012, "Decomposing Performance," Working Papers on Finance, University of St. Gallen, School of Finance, number 1216, Jun, revised Nov 2015.
• Rajmund MIRDALA, 2012, "Financial Deepening And Economic Growth In The European Transition Economies," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 6, issue 6(18)/ Su, pages 177-194.
• Ece C. KARADAGLI & Nazlı C. OMAY, 2012, "Testing Weak Form Market Efficiency Of Emerging Markets: A Nonlinear Approach," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 7, issue 3(21)/ Fa, pages 235-245.
• Amporn SOONGSWANG, 2012, "Do M&A Enhance Values? Mixed Methods And Evidence," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, volume 7, issue 3(21)/ Fa, pages 312-325.
• Leonardo Fernandez, 2012, "Price Discovery, Investor Distraction and Analyst Recommendations Under Continuous Disclosure Requirements in Australia," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2012, January-A.
• Xue-Zhong He, 2012, "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 316, Oct.
• Dirk G Baur, 2012, "The Structure and Degree of Dependence - A Quantile Regression Approach," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 170, Aug.
• Roberto Casarin & Flaminio Squazzoni, 2012, "Financial press and stock markets in times of crisis," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2012_04.
• Stefana Maria Dima & Chiara Saccon, 2012, "Financial Reporting for Joint ventures and Capital Markets Reactions," Working Papers, Venice School of Management - Department of Management, Università Ca' Foscari Venezia, number 23, Dec.
• Piotr Arendarski, 2012, "Tactical allocation in falling stocks: Combining momentum and solvency ratio signals," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2012-01.
• Robert Ślepaczuk & Grzegorz Zakrzewski & Paweł Sakowski, 2012, "Investment strategies beating the market. What can we squeeze from the market?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2012-04.
• Cécile Carpentier & Douglas Cumming & Jean‐Marc Suret, 2012, "The Value of Capital Market Regulation: IPOs Versus Reverse Mergers," Journal of Empirical Legal Studies, John Wiley & Sons, volume 9, issue 1, pages 56-91, March, DOI: 10.1111/j.1740-1461.2011.01247.x.
• Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi, 2012, "Variance risk premiums and predictive power of alternative forward variances in the corn market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 32, issue 6, pages 587-608, June.
• Reint Gropp & Arjan Kadareja, 2012, "Stale Information, Shocks, and Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue 6, pages 1117-1149, September, DOI: 10.1111/j.1538-4616.2012.00525.x.
• Kin‐Yip Ho & Lin Zheng & Zhaoyong Zhang, 2012, "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, John Wiley & Sons, volume 21, issue 4, pages 168-174, November, DOI: 10.1016/j.rfe.2012.06.001.
• Alexander Kurov, 2012, "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, John Wiley & Sons, volume 21, issue 4, pages 175-187, November, DOI: 10.1016/j.rfe.2012.06.010.
• Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2012, "Federal Reserve Communications and Emerging Equity Markets," Southern Economic Journal, John Wiley & Sons, volume 78, issue 3, pages 1041-1056, January, DOI: 10.4284/0038-4038-78.3.1041.
• Robert Jarrow, 2012, "The Third Fundamental Theorem Of Asset Pricing," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 02, pages 1-11, DOI: 10.1142/S2010495212500078.
• Álvaro Cartea & José Penalva, 2012, "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 03, pages 1-46, DOI: 10.1142/S2010139212500140.
• Martin D. D. Evans & Richard K. Lyons, 2012, "Exchange Rate Fundamentals and Order Flow," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 2, issue 04, pages 1-63, DOI: 10.1142/S2010139212500188.
• Tatsuyoshi Miyakoshi & Yoshihiko Tsukuda & Junji Shimada, 2012, "The Impacts Of The Imf-Supported Structural Reform Program On Asian Stock Market Efficiency," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 57, issue 04, pages 1-21, DOI: 10.1142/S0217590812500294.
• Marianna BOTIKA, 2012, "Evolution of Shares Market Price During the Company’s Financial Results Announcement. Event Study Approach," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 5, issue 17, pages 96-118.
• Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2012, "The bull and bear market model of Huang and Day : Some extensions and new results," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 89.
• Francis, Bill & Hasan, Iftekhar & Song, Liang & Yeung, Bernard, 2012, "What determines bank stock price synchronicity? Global evidence," Bank of Finland Research Discussion Papers, Bank of Finland, number 16/2012.
• Korkeamäki, Timo & Takalo, Tuomas, 2012, "Valuation of innovation: the case of iPhone," Bank of Finland Research Discussion Papers, Bank of Finland, number 24/2012.
• Francis, Bill B. & Hasan, Iftekhar & Sun, Xian, 2012, "Does relationship matter? The choice of financial advisors," Bank of Finland Research Discussion Papers, Bank of Finland, number 28/2012.
• Bosma, Jakob & Koetter, Michael & Wedow, Michael, 2012, "Credit risk connectivity in the financial industry and stabilization effects of government bailouts," Discussion Papers, Deutsche Bundesbank, number 16/2012.
• Jank, Stephan, 2012, "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-08.
• Gündüz, Yalin & Nasev, Julia & Trapp, Monika, 2012, "The price impact of CDS trading," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 12-12.
• Gaul, Jürgen & Theissen, Erik, 2012, "A partially linear approach to modelling the dynamics of spot and futures prices," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 13-01.
• Hautsch, Nikolaus & Huang, Ruihong, 2012, "On the dark side of the market: Identifying and analyzing hidden order placements," CFS Working Paper Series, Center for Financial Studies (CFS), number 2012/04.
• Kraemer-Eis, Helmut & Lang, Frank, 2012, "The importance of leasing for SME finance," EIF Working Paper Series, European Investment Fund (EIF), number 2012/15.
• Jørgensen, Casper W. & Moritzen, Mark R. & Stadtmann, Georg, 2012, "The news model of asset price determination: An empirical examination of the Danish football club Brøndby IF," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 313.
• Croonenbroeck, Carsten & Monaco, Fabrizio Leonardo & Christensen, Mads Julius, 2012, "Does Danish football club Brøndby swim with the fishes? An application of the reversed news model," Discussion Papers, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics, number 330.
• Lehmann, Sibylle H. & Hauber, Philipp & Opitz, Alexander, 2012, "Political rights, taxation, and firm valuation: Evidence from Saxony around 1900," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 59-2012.
• Gracia, Eduard, 2012, "On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-27.
• Toke, Ioane Muni & Pomponio, Fabrizio, 2012, "Modelling trades-through in a limit order book using hawkes processes," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-23, DOI: 10.5018/economics-ejournal.ja.2012-.
• Gracia, Eduard, 2012, "Predicting the unpredictable: Forecastable bubbles and business cycles under rational expectations," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-43, DOI: 10.5018/economics-ejournal.ja.2012-.
• Rickels, Wilfried & Görlich, Dennis & Oberst, Gerrit & Peterson, Sonja, 2012, "Carbon price dynamics: Evidence from Phase II of the European Emission Trading Scheme," Kiel Working Papers, Kiel Institute for the World Economy, number 1804.
• Agiakloglou, Christos & Gkouvakis, Michalis, 2012, "Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector," 23rd European Regional ITS Conference, Vienna 2012, International Telecommunications Society (ITS), number 60387.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012, "Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2012-26.
• Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012, "Is financial speculation with agricultural commodities harmful or helpful? A literature review of current empirical research," Discussion Papers, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics, number 2012-27.
• Cascino, Stefano & Gassen, Joachim, 2012, "Comparability effects of mandatory IFRS adoption," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-009.
• Bischof, Jannis & Brüggemann, Ulf & Daske, Holger, 2012, "Fair value reclassifications of financial assets during the financial crisis," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-010.
• Hautsch, Nikolaus & Huang, Ruihong, 2012, "On the dark side of the market: Identifying and analyzing hidden order placements," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-014.
• Adam, Tim R. & Fernando, Chitru S. & Golubeva, Evgenia, 2012, "Managerial overconfidence and corporate risk management," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-018.
• Adam, Tim R. & Fernando, Chitru S. & Salas, Jesus M., 2012, "Why do firms engage in selective hedging?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-019.
• Cebiroğlu, Gökhan & Horst, Ulrich, 2012, "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-023.
• Hecker, Renate & Wild, Andreas, 2012, "The market effects of the German two-tier enforcement of financial reporting," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 334.
• Baur, Dirk G. & Dimpfl, Thomas & Jung, Robert C., 2012, "Stock return autocorrelations revisited: A quantile regression approach," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 24.
• Haji Ali Beigi, Maryam & Budzinski, Oliver, 2012, "On the use of event studies to evaluate economic policy decisions: A note of caution," Ilmenau Economics Discussion Papers, Ilmenau University of Technology, Institute of Economics, number 80.

2011

• Laurini, Márcio Poletti & Sanvicente, Antônio Zoratto & Monteiro, Rogério da Costa, 2011, "Generalized Tests of Investment Fund Performance," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, volume 31, issue 2, December.
• Mark Mietzner & Denis Schweizer & Marcel Tyrell, 2011, "Intra-Industry Effects of Shareholder Activism in Germany - Is there a Difference between Hedge Fund and Private Equity Investments?," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 63, issue 2, pages 151-185, April.
• Giovanni Cespa & Xavier Vives, 2011, "Higher Order Expectations, Illiquidity, and Short-term Trading," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 276, Mar.
• Giovanni Cespa & Thierry Focault, 2011, "Learning from Prices, Liquidity Spillovers, and Market Segmentation," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 284, Apr.
• Antonio Acconcia & Alfredo Del Monte & Luca Pennacchio & Germana Scepi, 2011, "IPO Underpricing and the Location of Firms," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 295, Nov, revised 04 Feb 2021.
• Sarah Draus, 2011, "The Certification Role of Listings," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 297, Nov.
• López Herrera, Francisco & Ortiz Calisto, Edgar & Gutiérrez, Raúl De Jesús, 2011, "Integración fraccionaria y valor en riesgo / Fractional Integration and Value at Risk," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 1, pages 29-53, enero-jun.
• Seongman Moon & Carlos Velasco, 2011, "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), number 1112, Jan.
• Quoc-Anh Do & Bang Dang Nguyen & Yen-Teik Lee & Kieu-Trang Nguyen, 2011, "Out of Sight, Out of Mind:The Value of Political Connections in Social Networks," Working Papers, Singapore Management University, School of Economics, number 19-2011, Dec.
• Sébastien P. Kraenzlin & Benedikt von Scarpatetti, 2011, "Bargaining Power in the Repo Market," Working Papers, Swiss National Bank, number 2011-14.
• ABOSEDE, A. J. & OSENI, Jimoh Ezekiel, 2011, "Theoretical Analysis Of Firm And Market-Specific Proxies Of Information Asymmetry On Equity Prices In The Stock Markets," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 1, issue 4, pages 1-10, June.
• Thomas Lux, 2011, "Sentiment dynamics and stock returns: the case of the German stock market," Empirical Economics, Springer, volume 41, issue 3, pages 663-679, December, DOI: 10.1007/s00181-010-0397-0.
• John Appleby & Markus Riedle & Catherine Swords, 2013, "Bubbles and crashes in a Black–Scholes model with delay," Finance and Stochastics, Springer, volume 17, issue 1, pages 1-30, January, DOI: 10.1007/s00780-012-0181-4.
• Robert Cressy & Hisham Farag, 2011, "Do size and unobservable company factors explain stock price reversals?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 1, pages 1-21, January, DOI: 10.1007/s12197-009-9076-4.
• Daniel Kuester & Shane Sanders, 2011, "Regional information and market efficiency: the case of spread betting in United States college football," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 1, pages 116-122, January, DOI: 10.1007/s12197-009-9113-3.
• Steve Johnson & Robert Stretcher, 2011, "News and noise: do investors react to stock split announcements differently during periods of high and low market volatility?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 1, pages 71-78, January, DOI: 10.1007/s12197-009-9115-1.
• Richard DeFusco & Stoyu Ivanov & Gordon Karels, 2011, "The exchange traded funds’ pricing deviation: analysis and forecasts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 2, pages 181-197, April, DOI: 10.1007/s12197-009-9090-6.
• Aigbe Akhigbe & Anna Martin & Melinda Newman, 2011, "Sarbanes-Oxley wealth effects: focus on technology firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 2, pages 211-237, April, DOI: 10.1007/s12197-009-9095-1.
• António Martins & Ana Serra, 2011, "Market impact of international sporting and cultural events," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 4, pages 382-416, October, DOI: 10.1007/s12197-009-9087-1.