Weber, Patrick (2012): Timing asset market peaks: the role of the liquidity risk cycle of the banking system. Unpublished.
Muhammad, Irfan (2012): Non-standardized form of CAPM and stock returns. Published in: International Journal of Business and Social Science , Vol. 3, No. 2 (January 2012): pp. 193-201.
Cayton, Peter Julian A. and Mapa, Dennis S. (2012): Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology. Unpublished.
ADESOYE, A. Bolaji and ATANDA, Akinwande Abdulmaliq (2012): Monetary Policy and Share Pricing Business in Nigeria. Forthcoming in: (2012): pp. 1-19.
Gabrielsen, Alexandros; Marzo, Massimiliano and Zagaglia, Paolo (2011): Measuring market liquidity: an introductory survey. Unpublished.
Massmiliano, Marzo; Daniele, Ritelli and Paolo, Zagaglia (2011): Optimal trading execution with nonlinear market impact: an alternative solution method. Unpublished.
Janda, Karel and Vylezik, Tomas (2011): Financial Management of Weather Risk with Energy Derivatives. Unpublished.
Bazdresch, Santiago (2011): Product differentiation and systematic risk: theory and empirical evidence. Unpublished.
Prono, Todd (2011): When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models. Unpublished.
Larson, Nathan (2011): Clustering on the same news sources in an asset market. Unpublished.
Yan, Isabel K.; Chong, Terence and Lam, Tau-Hing (2011): Is the Chinese Stock Market Really Efficient. Forthcoming in: China Economic Review
Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo and Ruiz-Porras, Antonio (2011): Valuación de acciones mexicanas mediante los modelos de Ohlson y Ohlson-Beta para firmas con ciclos de corto y largo plazos: Un análisis de cointegración. Unpublished.
Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo and Ruiz-Porras, Antonio (2011): Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data. Forthcoming in: Espinosa-Ramirez, R. (coord.), "Topics on International Economic Relations", Universidad de Guadalajara, México
Jakas, Vicente (2011): Theory and empirics of an affine term structure model applied to European data. Published in: Aestimatio. The IEB International Journal of Finance No. 2 (July 2011): pp. 1-18.
Khalfaoui Rabeh, K and Boutahar Mohamed, B (2011): A time-scale analysis of systematic risk: wavelet-based approach. Unpublished.
Syed ali, Raza; Syed tehseen, jawaid; Imtiaz, arif and Fahim, qazi (2011): Validity of capital asset pricing model: evidence from Karachi stock exchange. Unpublished.
Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo and Ruiz-Porras, Antonio (2011): Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data. Forthcoming in: Espinosa-Ramirez, R. (coord.), "Topics on International Economic Relations", Universidad de Guadalajara, México
Siddiqi, Hammad (2011): Thinking by analogy, systematic risk, and option prices. Unpublished.
Leung, Charles Ka Yui; CHEUNG, W. Y. Patrick and TANG, C. H. Edward (2011): Financial Crisis and the Comovements of Housing Sub-markets: Do relationships change after a crisis? Unpublished.
Puah, Chin-Hong and Liew, Samuel Wei-Siew (2011): White-collar crime and stock return: Empirical study from announcement effect. Unpublished.
Cocozza, Rosa and De Simone, Antonio (2011): One numerical procedure for two risk factors modeling. Unpublished.
Pagliarani, Stefano and Pascucci, Andrea (2011): Analytical approximation of the transition density in a local volatility model. Unpublished.
Santos, Carlos (2011): The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis. Unpublished.
Shachat, Jason and Srivinasan, Anand (2011): Informational price cascades and non-aggregation of asymmetric information in experimental asset markets. Unpublished.
Lof, Matthijs (2011): Noncausality and Asset Pricing. Unpublished.
Efthymiou, Vassilis A. and Leledakis, George N. (2011): The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks. Unpublished.
Subhani, Dr. Muhammad Imtiaz; Hasan, Dr. Syed Akif; Mehar, Dr. Ayub and Osman, Ms. Amber (2011): Are the Major South Asian Equity Markets Co-Integrated? Published in: International Journal of Humanities and Social Science , Vol. 1, No. 12 (2011): pp. 117-121.
Hellström, Jörgen and Lönnbark, Carl (2011): Identi cation of jumps in financial price series. Unpublished.
Qayyum, Abdul and Anwar, Saba (2011): Impact of Monetary Policy on the Volatility of Stock Market in Pakistan. Published in: International Journal of Business and Social Science , Vol. 2, No. 11 (22. May 2011): pp. 18-24.
Cotter, John; Gabriel, Stuart and Roll, Richard (2011): Integration and contagion in US housing markets. Unpublished.
El-Khatib, Youssef and Abdulnasser, Hatemi-J (2011): On the calculation of price sensitivities with jump-diffusion structure. Unpublished.
Hasan, Dr. Syed Akif and Subhani, Dr. Muhammad Imtiaz (2011): Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions). Published in: International Research Journal of Finance and Economics No. 72 (2011): pp. 46-51.
Kontek, Krzysztof (2010): Linking Decision and Time Utilities. Unpublished.
Théoret, Raymond and Racicot, François-Éric (2010): "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio". Published in: Aestimatio. The IEB International Journal of Finance No. 1 (December 2010): pp. 1-20.
Douch, Mohamed and Bouaddi, Mohammed (2010): EQUITY Premium Puzzle in a Data-Rich Environment. Forthcoming in:
Salazar, Juan and Lambert, Annick (2010): fama and macbeth revisited: A Critique. Published in: Aestimatio. The IEB International Journal of Finance No. 1 (December 2010): pp. 1-24.
Lerner, Peter (2010): Theoretical analysis of the bid-ask bounce and Related Phenomena. Published in: Aestimatio No. 1 (December 2010): pp. 1-20.
Pascalau, Razvan; Thomann, Christian and Gregoriou, Greg N. (2010): Unconditional mean, Volatility and the Fourier-Garch representation. Published in: Aestimatio No. 1 (December 2010): pp. 1-20.
Song, In Ho (2010): House Prices and Consumption. Unpublished.
Nicolau, Mihaela (2010): Financial Markets Interactions between Economic Theory and Practice. Published in: The Annals of Dunărea de Jos University Fascicle I. Economics and Applied Informatics , Vol. 16, No. 2 (30. November 2010): pp. 27-36.
Bao, Qunfang; Chen, Si; Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest. Unpublished.
Bao, Qunfang; Chen, Si; Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in contagion model: with volatilities and correlation of spread and interest. Unpublished.
Bao, Qunfang; Chen, Si; Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest. Unpublished.
Delis, Manthos D and Mylonidis, Nikolaos (2010): The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps. Unpublished.
Bao, Qunfang; Li, Shenghong and Liu, Guimei (2010): Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing. Unpublished.
Maryatmo, Rogatianus (2010): Pengaruh Jangka Pendek dan Jangka Panjang Perubahan Suku Bunga dan Kurs Rupiah Terhadap Harga Saham : Studi Empiris di Indonesia (2000:1 – 2010:4). Unpublished.
Siddiqi, Hammad (2010): The relevance of coarse thinking for investors' willingness to pay: An experimental study. Unpublished.
Lof, Matthijs (2010): Heterogeneity in stock prices: A STAR model with multivariate transition function. Unpublished.
Campbell, Gareth (2010): Bubbles and Leverage. Unpublished.
Campbell, Gareth (2010): Bubbling Dividends. Unpublished.
Alfaro, Rodrigo; Becerra, Juan Sebastian and Sagner, Andres (2010): Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU. Unpublished.
Cadogan, Godfrey (2010): Canonical Representation Of Option Prices and Greeks with Implications for Market Timing. Unpublished.
Onour, Ibrahim (2010): The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries. Unpublished.
Rambaccussing, Dooruj (2010): A real-time trading rule. Unpublished.
Lin, William; Sun, David and Tsai, Shih-Chuan (2010): Searching out of Trading Noise: A Study of Intraday Transactions Cost. Unpublished.
Waśniewski, Krzysztof (2010): Corporate strategies – the institutional approach. Unpublished.
Fries, Christian P. (2010): Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization. Unpublished.
Kucuk, Ugur N. (2010): Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market. Published in: The Journal of Fixed Income , Vol. 19, No. Spring 2010 (04. April 2010): pp. 44-66.
Balli, Faruk; Basher, Syed Abul and Ozer-Balli, Hatice (2010): From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets. Forthcoming in: Journal of Economics and Business
Campbell, Gareth (2010): Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania. Unpublished.
Malhotra, Karan (2010): Autoregressive multifactor APT model for U.S. Equity Markets. Unpublished.
Hasan, M.Emrul (2010): Behavioral approach to Arbitrage Pricing Theory. Unpublished.
Nyberg, Henri (2010): QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles. Unpublished.
Campbell, Gareth and Turner, John (2010): ‘The Greatest Bubble in History’: Stock Prices during the British Railway Mania. Unpublished.
Alfaro, Rodrigo and Silva, Carmen Gloria (2010): Stock Index Volatility: the case of IPSA. Unpublished.
Balakrishna, B S (2010): Levy Subordinator Model of Default Dependency. Unpublished.
Nawar, Hashem (2010): Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK. Unpublished.
Vo, Xuan Vinh (2010): Foreign ownership in Vietnam stock markets - an empirical analysis. Unpublished.
Alghalith, Moawia (2010): New methods of estimating stochastic volatility and the stock return. Unpublished.
Siddiqi, Hammad (2010): Coarse thinking, implied volatility, and the valuation of call and put options. Unpublished.
Vo, Xuan Vinh and Batten, Jonathan (2010): An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis. Unpublished.
Gavazza, Alessandro (2010): The role of trading frictions in real asset markets. Unpublished.
Li, Minqiang (2010): Asset Pricing - A Brief Review. Unpublished.
cole, Chip and Edwards, Jeffrey A. (2010): Competition on MARS? A study of broker-dealer competition in the U.S. municipal auction rate securities market. Unpublished.
Alfarano, Simone; Lux, Thomas and Wagner, Friedrich (2010): Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation. Unpublished.
Goyenko, Ruslan and Sarkissian, Sergei (2010): Flight to Liquidity and Global Equity Returns. Unpublished.
Michailova, Julija (2010): Overconfidence and bubbles in experimental asset markets. Unpublished.
Guidi, Francesco; Gupta, Rakesh and Maheshwari, Suneel (2010): Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets. Unpublished.
Cadogan, Godfrey (2009): On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control. Unpublished.
Siddiqi, Hammad (2009): Coarse Thinking and Pricing a Financial Option. Unpublished.
Alghalith, Moawia (2009): A new stopping time and American option model: a solution to the free-boundary problem. Unpublished.
Alghalith, Moawia (2009): Optimal option pricing and trading: a new theory. Unpublished.
Moawia, Alghalith (2009): Optimal option pricing and trading: a new theory. Unpublished.
Gonzalez-Astudillo, Manuel (2009): An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play. Unpublished.
John, Tatom (2009): U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices? Unpublished.
Mapa, Dennis S.; Cayton, Peter Julian and Lising, Mary Therese (2009): Estimating Value-at-Risk (VaR) using TiVEx-POT Models. Unpublished.
Mapa, Dennis S. and Suaiso, Oliver Q. (2009): Measuring market risk using extreme value theory. Unpublished.
Puah, Chin-Hong; Tan, Lay-Phin and Md Isa, Abu Hassan (2009): Nexus between Oil Price and Stock Performance of Power Industry in Malaysia. Unpublished.
Cifarelli, Giulio and Paladino, Giovanna (2009): Oil and portfolio risk diversification. Unpublished.
Hanif, M. Nadim and Sheikh, Salman (2009): Central banking and monetary management in islamic financial environment. Forthcoming in: Journal of Independent Studies and Research , Vol. 8, No. 2 (July 2010)
García de la Vega, Victor Manuel and Ruiz-Porras, Antonio (2009): Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media. Forthcoming in: Revista de Administración, Finanzas y Economía
Dewachter, Hans and Iania, Leonardo (2009): An Extended Macro-Finance Model with Financial Factors. Unpublished.
Dewachter, Hans and Iania, Leonardo (2009): An Extended Macro-Finance Model with Financial Factors. Unpublished.
Jahan-Parvar, Mohammad and Waters, George (2009): Equity Price Bubbles in the Middle Eastern and North African Financial Markets. Unpublished.
Maku, Olukayode E. and Atanda, Akinwande A. (2009): Does Macroeconomic Indicators exert shock on the Nigerian Capital Market? Unpublished.
Rambaccussing, Dooruj (2009): Exploiting price misalignements. Unpublished.
Rubio, Gonzalo and Lozano, Martin (2009): Evaluating alternative methods for testing asset pricing models with historical data. Forthcoming in: Journal of Empirical Finance
Todd, Prono (2009): Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique. Unpublished.
Alfaro, Rodrigo (2009): Estimación de la Curva de Rendimiento. Unpublished.
Peroni, Chiara (2009): Testing Linearity in Term Structures. Unpublished.
Bennani, Norddine and Maetz, Jerome (2009): A Spot Stochastic Recovery Extension of the Gaussian Copula. Unpublished.
Jahan-Parvar, Mohammad R.; Liu, Xuan and Rothman, Philip (2009): Equity Returns and Business Cycles in Small Open Economies. Unpublished.
Cosemans, M.; Frehen, R.G.P.; Schotman, P.C. and Bauer, R.M.M.J. (2009): Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice. Unpublished.
Gan, Jumwu (2009): Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process. Unpublished.
Fan, Qinbin and Jahan-Parvar, Mohammad R. (2009): US Industry-Level Returns and Oil Prices. Unpublished.
Cartea, Álvaro and Meyer-Brandis, Thilo (2009): How Duration Between Trades of Underlying Securities Affects Option Prices. Forthcoming in: Review of Finance
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik and Schrimpf, Andreas (2009): Carry Trades and Global FX Volatility. Unpublished.
Ghiselli Ricci, Roberto and Magni, Carlo Alberto (2009): Axiomatization of residual income and generation of financial securities. Unpublished.
Ju, Nengjiu and Miao, Jianjun (2009): Ambiguity, Learning, and Asset Returns. Unpublished.
Fernandez, Pablo (2009): Prima de Riesgo del Mercado: Histórica, Esperada, Exigida e Implícita. Published in: Universia Business Review No. 21 (March 2009): pp. 56-65.
Landon, Stuart (2009): The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds. Unpublished.
Fu, Shihe and Shan, Liwei (2009): Corporate equality and equity prices: Doing well while doing good? Unpublished.
Magni, Carlo Alberto and Vélez-Pareja, Ignacio (2009): Potential dividends versus actual cash flows in firm valuation. Forthcoming in: ICFAI Journal of Applied Finance
Kitov, Ivan (2009): Apples and oranges: relative growth rate of consumer price indices. Unpublished.
Siddiqi, Hammad (2009): Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment. Unpublished.
Schmidt, Frederik (2009): The Undervaluation of Distressed Company's Equity. Unpublished.
Cheng, Ai-ru; Jahan-Parvar, Mohammad R. and Rothman, Philip (2009): An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa. Unpublished.
Lin, William; Tsai, Shih-Chuan and Sun, David (2009): What Causes Herding:Information Cascade or Search Cost ? Unpublished.
Deaconu, Adela; Nistor, Cristina Silvia and Filip, Crina (2009): Legitimacy to develop fair value measurement standards: The Case of the IVSC Discussion Paper – Determination of fair value of intangible assets for IFRS reporting purposes. Forthcoming in: Research Business Review , Vol. 3, No. 9 (2009)
Erdemlioglu, Deniz (2009): Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach. Unpublished.
Balli, Faruk and Ozer-Balli, Hatice (2009): Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk? Unpublished.
Varga, Gyorgy (2009): Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil. Published in: Revista Brasileira de Economia , Vol. 63, No. 4 : pp. 361-394.
Gray, Wesley (2008): Information Exchange and the Limits of Arbitrage. Unpublished.
Kaizoji, Taisei and Sornette, Didier (2008): Market Bubbles and Chrashes. Unpublished.
de Farias Neto, Joao Jose (2008): S-shaped utility, subprime crash and the black swan. Unpublished.
Orlowski, Lucjan T (2008): Stages of the 2007/2008 Global Financial Crisis: Is There a Wandering Asset-Price Bubble? Published in: Economics E-Journal , Vol. 43, (18. December 2008)
Alexandru, Ciprian Antoniade (2008): Trust and Loss Aversion in Romanian Capital Market. Unpublished.
Gray, Wesley (2008): Information Exchange and the Limits of Arbitrage. Forthcoming in:
Taboga, Marco (2008): Macro-finance VARs and bond risk premia: a caveat. Unpublished.
Bianchetti, Marco (2008): Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves. Unpublished.
Lau, Chi-Lei Oscar (2008): Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem. Unpublished.
Yu, Tongkui and Li, Honggang (2008): Dynamic Regimes of a Multi-agent Stock Market Model. Unpublished.
Cannon, Susanne E. and Cole, Rebel A. (2008): Changes in REIT liquidity 1988 - 2007: Evidence from daily data. Forthcoming in: Journal of Real Estate Finance and Economics (2011)
Brito, Paulo (2008): Equilibrium asset prices and bubbles in a continuous time OLG model. Unpublished.
Penasse, Julien (2008): Cash Flow-Wise ABCDS pricing. Unpublished.
Grabowski, Szymon (2008): What does a financial system say about future economic growth? Unpublished.
Carlo Alberto, Magni (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research , Vol. 3, No. 192 (March 2009)
Magni, Carlo Alberto (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research
Carlo Alberto, Magni (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research
Canegrati, Emanuele (2008): A Non-Random Walk down Canary Wharf. Unpublished.
Li, Minqiang (2008): A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation. Unpublished.
Modena, Matteo (2008): The term structure and the expectations hypothesis: a threshold model. Unpublished.
Klein, Achim; Urbig, Diemo and Kirn, Stefan (2008): Who drives the Market? Estimating a heterogeneous Agent-based Financial Market Model using a Neural Network Approach. Unpublished.
Lenz, Rainer (2008): The Logic of Merger and Acquisition Pricing. Forthcoming in:
Los, Cornelis A. and Tungsong, Satjaporn (2008): Investment Model Uncertainty and Fair Pricing. Unpublished.
El Bouhadi, A.; Ounir, A. and El Maguiri, M. (2008): Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca. Unpublished.
ABDERRAZIK, Amal; BOUTKARDINE, Mehdi; EL BAHI, Nour El Houda; KARTOUBI, Salah Eddine and EL BOUHADI, Abdelhamid (2008): Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca. Unpublished.
Balli, Faruk (2008): Spillover Effects on Government Bond Yields in Euro Zone. Does Full Financial Integration Exist in European Government Bond Markets? Forthcoming in: Journal of Economics and Finance
Landon, Stuart and Smith, Constance (2008): Taxation and bond market investment strategies: Evidence from the market for Government of Canada bonds. Unpublished.
Jiang, Danling (2008): Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns. Unpublished.
Doran, James; Jiang, Danling and Peterson, David (2008): Gambling Preference and the New Year Effect of Assets with Lottery Features. Unpublished.
Dell'Era Mario, M.D. (2008): Pricing of Double Barrier Options by Spectral Theory. Unpublished.
Dell'Era Mario, M.D. (2008): Pricing of the European Options by Spectral Theory. Unpublished.
Foschi, Paolo; Pieressa, Luca and Polidoro, Sergio (2008): Parametrix approximations for non constant coefficient parabolic PDEs. Unpublished.
Trabelsi, Mohamed Ali (2008): Sur-réaction sur le marché tunisien des actions : une investigation empirique. Published in: La Revue des Sciences de Gestion No. 236 (March 2009): pp. 51-58.
Albulescu, Claudiu Tiberiu (2008): Central banks and asset prices: the role of the interest rate in volatility correction in the Romanian case. Unpublished.
Vélez-Pareja, Ignacio and Magni, Carlo Alberto (2008): Potential dividends and actual cash flows. Theoretical and empirical reasons for using ‘actual’ and dismissing ‘potential’, Or: How not to pull potential rabbits out of actual hats. Unpublished.
Alexandru, Ciprian Antoniade (2008): Indicators for the analysis of the evolution of the stock exchange. Published in: European union’s history, culture and citizenship (2008): pp. 103-109.
Peroni, Chiara (2008): A non-parametric investigation of risk premia. Unpublished.
Schied, Alexander and Schoeneborn, Torsten (2008): Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Unpublished.
Termos, Ali (2008): Capital Investment as Real Options: A Note on Dixit-Pindyck Model. Unpublished.
Bianchi, Francesco (2008): Rare Events, Financial Crises, and the Cross-Section of Asset Returns. Unpublished.
Li, Minqiang (2008): Closed-Form Approximations for Spread Option Prices and Greeks. Unpublished.
Trabelsi, Mohamed Ali (2008): Peut-on encore parler des mesures de performance ? Published in: Revue Tunisienne d'Economie et de Gestion , Vol. Volume 25, (2008): pp. 265-295.
Md Isa, Abu Hassan; Puah, Chin-Hong and Yong, Ying-Kiu (2008): Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM. Unpublished.
Bhattacharyya, Surajit and Saxena, Arunima (2008): Stock Futures Introduction & Its Impact on Indian Spot Market. Published in: Prerana , Vol. 1, No. 1 (March 2009)
Reis, Luciana; Meurer, Roberto and Da Silva, Sergio (2008): Stock returns and foreign investment in Brazil. Unpublished.
Yoshida, Jiro (2007): Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium. Unpublished.
Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm. Unpublished.
Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm. Unpublished.
Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm. Unpublished.
Magni, Carlo Alberto (2007): A Sum&Discount method for appraising firms:An illustrative example. Unpublished.
Alpanda, Sami (2007): The Boom-Bust Cycle in Japanese Asset Prices. Unpublished.
Hirshleifer, David and Jiang, Danling (2007): A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns. Unpublished.
Hirshleifer, David and Jiang, Danling (2007): Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns. Unpublished.
Iqbal, Javed; Brooks, Robert and Galagedera, Don UA (2007): Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models. Published in: Proceedings 12 Doctoral Reseach Conference, Faculty of Business and Economics Monash University , Vol. 12, (October 2007): pp. 109-120.
Alexandru, Ciprian Antoniade (2007): Local financing through capital markets. Published in: Economics of sustainable development - Financing the regional sustainable development (2008): pp. 115-119.
Saleem, Kashif and Vaihekoski, Mika (2007): Time-varying global and local sources of risk in Russian stock market. Unpublished.
Magni, Carlo Alberto (2007): In search of the "lost capital". A theory for valuation, investment decisions, performance measurement. Unpublished.
Magni, Carlo Alberto (2007): Measuring performance and valuing firms: In search of the lost capital. Unpublished.
Magni, Carlo Alberto (2007): Measuring performance and valuing firms: In search of the lost capital. Unpublished.
Vink, Dennis (2007): ABS, MBS and CDO compared: an empirical analysis. Published in: The Journal of Structured Finance , Vol. 14, No. 2 (08. August 2008): pp. 27-45.
Venier, Guido (2007): A new Model for Stock Price Movements. Published in: Journal of Applied Economic Sciences , Vol. 3, No. 3 (November 2008): pp. 327-347.
Doran, James; Jiang, Danling and Peterson, David (2007): Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach. Unpublished.
Magni, Carlo Alberto (2007): CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation. Unpublished.
Alpanda, Sami and Peralta-Alva, Adrian (2007): Oil Crisis, Energy-Saving Technological Change and the Stock Market Crash of 1973-74. Unpublished.
Onour, Ibrahim (2007): Testing Efficiency Performance of an Underdeveloped Stock Market. Unpublished.
Peroni, Chiara (2007): A non-parametric investigation of risk premia. Unpublished.
Maclachlan, Iain C (2007): An empirical study of corporate bond pricing with unobserved capital structure dynamics. Unpublished.
Iqbal, Javed; Brooks, Robert and Galagedera, Don UA (2007): Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets. Unpublished.
Ellouz, Siwar and Bellalah, Mondher (2007): Asset pricing and predictability of stock returns in the french market. Unpublished.
Meng, Ginger; Hu, Gang and Bai, Jushan (2007): Olive: a simple method for estimating betas when factors are measured with error. Published in: The Journal of Financial Research , Vol. XXXIV, No. 1 (2011): pp. 27-60.
Magni, Carlo Alberto (2007): Project valuation and investment decisions: CAPM versus arbitrage. Published in: Applied Financial Economics Letters , Vol. 3, No. 1 (March 2007): pp. 137-140.
Magni, Carlo Alberto (2007): Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM? Forthcoming in: European Journal of Operational Research
Chia, Ricky Chee-Jiun; Liew, Venus Khim-Sen and Syed Khalid Wafa, Syed Azizi Wafa (2007): Day-of-the-week effects in selected East Asian stock markets. Unpublished.
Cao, Henry; Han, Bing; Hirshleifer, David and Zhang, Harold (2007): Fear of the Unknown: Familiarity and Economic Decisions. Unpublished.
Olafsdottir, Katrin and Sigurdsson, Kari (2007): Hversu vel tekst til með verðbólguspár greiningardeilda? Unpublished.
Kalogeropoulos, Konstantinos; Roberts, Gareth O. and Dellaportas, Petros (2007): Inference for stochastic volatility model using time change transformations. Unpublished.
Kalogeropoulos, Konstantinos; Dellaportas, Petros and Roberts, Gareth O. (2007): Likelihood-based inference for correlated diffusions. Unpublished.
Zhang, Aihua; Korn, Ralf and Ewald, Christian-Oliver (2007): Optimal management and inflation protection for defined contribution pension plans. Unpublished.
Javed, Attiya Y. and Iqbal, Robina (2007): Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange. Published in:
Hyde, Stuart J (2007): The response of industry stock returns to market, exchange rate and interest rate risks. Published in: Managerial Finance , Vol. 33, (2007): pp. 693-709.
Ielpo, Florian and Guégan, Dominique (2006): Further evidence on the impact of economic news on interest rates. Unpublished.
Brito, Paulo and Dilao, Rui (2006): Equilibrium price dynamics in an overlapping-generations exchange economy. Unpublished.
ilya, gikhman (2006): Fixed-income instrument pricing. Unpublished.
Kurz, Mordecai and Motolese, Maurizio (2006): Risk Premia, diverse belief and beauty contests. Unpublished.
Claudio, Ferrarese (2006): A comparative analysis of correlation skew modeling techniques for CDO index tranches. Unpublished.
Kurz, Mordecai (2006): Beauty contests under private information and diverse beliefs: how different? Forthcoming in: Journal of Mathematical Economics , Vol. forthcoming, No. forthcoming
Chang, Yanqin (2006): How a small open economy's asset are priced by heterogeneous international investors. Unpublished.
Barnett, William A. (2006): Supply of Money. Unpublished.
ilya, gikhman (2006): Some critical comments on credit risk modeling. Unpublished.
magni, Carlo Alberto (2006): Zelig and the Art of Measuring Excess Profit. Published in: Frontiers in Finance and Economics , Vol. 1, No. 3 (June 2006): pp. 103-129.
Whelan, Karl (2006): Consumption and Expected Asset Returns without Assumptions About Unobservables. Unpublished.
Barnett, William A. (2006): Divisia Monetary Index. Unpublished.
Hirshleifer, David; Lim, Sonya Seongyeon and Teoh, Siew Hong (2006): Driven to distraction: Extraneous events and underreaction to earnings news. Unpublished.
Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity. Unpublished.
Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity. Unpublished.
Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity. Forthcoming in: Journal of Property Finance and Investment , Vol. 5, No. 26 (2008)
Amaro de Matos, Joao; Dilao, Rui and Ferreira, Bruno (2006): The exact value for European options on a stock paying a discrete dividend. Unpublished.
Bialkowski, Jedrzej; Gottschalk, Katrin and Wisniewski, Tomasz (2006): Stock market volatiltity around national elections. Unpublished.
Magni, Carlo Alberto (2005): Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I. Forthcoming in: The ICFAI Journal of Applied Finance
Magni, Carlo Alberto (2005): Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I. Published in: The ICFAI Journal of Applied Finance , Vol. 14, No. 10 (October 2008): pp. 59-72.
Magni, Carlo Alberto (2005): THEORETICAL FLAWS IN THE USE OF THE CAPM FOR INVESTMENT DECISIONS. Unpublished.
Gray, W (2005): Two Essays on Self-Tender Offers. Unpublished.
Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making. Unpublished.
Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making. Unpublished.
Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making. Forthcoming in: Applied Economics Research Bulletin (Peer-Reviewed Working Paper Series) (2009)
Bardong, Florian; Bartram, Söhnke M. and Yadav, Pradeep K. (2005): Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE. Unpublished.
Han, Bing; Hirshleifer, David and Wang, Tracy (2005): Investor Overconfidence and the Forward Discount Puzzle. Unpublished.
Iqbal, Javed and Haider, Aziz (2005): Arbitrage pricing theory: evidence from an emerging stock market. Published in: Lahore Journal of Economics , Vol. 10, No. 1 (15. June 2005): pp. 123-140.
Dubra, Juan (2005): Interview with Kenneth Arrow. Unpublished.
Vélez-Pareja, Ignacio (2005): Valoración de flujos de caja en inflación. El caso de la regulación en el Banco Mundial. Published in: Academia. Revista Latinoamericana de Administración, CLADEA No. 36 (2006): pp. 24-49.
Amihud, Yakov; Mendelson, Haim and Pedersen, Lasse Heje (2005): Liquidity and Asset Prices. Published in: Foundations and Trends in Finance , Vol. 1, No. 4 (2005): pp. 269-364.
Magni, Carlo Alberto (2005): On decomposing net final values: EVA, SVA, and shadow project. Published in: Theory and Decision , Vol. 59, (2005): pp. 51-95.
Pakos, Michal (2004): Asset Pricing with Durable Goods and Nonhomothetic Preferences. Unpublished.
Douch, Mohamed (2004): Equity Premiums In Small Open Economy. Unpublished.
Magni, Carlo Alberto (2004): An alternative approach to firms’ evaluation: expert systems and fuzzy logic. Published in: International Journal of Information Technology and Decision Making , Vol. 1, No. 5 (March 2006): pp. 195-225.
Fiorani, Filo (2004): Option Pricing Under the Variance Gamma Process. Unpublished.
Ulibarri, Carlos A. (2004): Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade. Published in: Asia Pacific Management Review , Vol. 9, No. 5 (2004)
Bacha, Obiyathulla I. (2004): Pricing Hybrid Securities: The Case of Malaysian ICULS. Published in: The Journal of International Finance , Vol. 16, No. 3 (2004): pp. 3154-3172.
Li, Nan (2004): The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds. Unpublished.
Christophe, Faugere (2003): A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination. Forthcoming in:
Fleten, Stein-Erik and Näsäkkälä, Erkka (2003): Gas fired power plants: Investment timing, operating flexibility and CO2 capture. Unpublished.
Muradoglu, Gulnur; Zaman, Asad and Orhan, Mehmet (2003): Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange. Published in: International Journal of Business , Vol. 3, No. 8 (2003): pp. 315-334.
Otrok, Christopher; Ravikumar, B and Whiteman, Charles (2001): Stochastic Discount Factor Models and the Equity Premium Puzzle. Unpublished.
Grum, Andraž and Dolenc, Primož (2001): The analysis of factors that determine the level of interest rates paid on treasury bills in Slovenia. Published in: Economic Trends and Economic Policy , Vol. 11, No. 88 (11. October 2001): pp. 52-76.
Magni, Carlo Alberto (2001): Valore Aggiunto Sistemico: un'alternativa all'EVA quale indice di sovraprofitto periodale. Published in: Budget , Vol. 1, No. 25 (January 2001): pp. 63-71.
Magni, Carlo Alberto (2000): Irr, Roe and Npv: Formal and Conceptual Convergences in a Systemic Approach. Published in: Finanza marketing e produzione , Vol. 4, No. 18 (December 2000): pp. 31-59.
Magni, Carlo Alberto (2000): Systemic Value Added, Residual Income and Decomposition of a Cash Flow Stream. Unpublished.
Magni, Carlo Alberto (2000): Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value. Published in: Proceedings of the XXIV Annual AMASES Conference No. September 6-9th (06. September 2000): pp. 163-170.
Magni, Carlo Alberto (2000): Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value. Published in: Proceedings of the XXIV Annual AMASES Conference No. September 6-9th (06. September 2000): pp. 163-170.
Magni, Carlo Alberto (2000): Scomposizione di sovraprofitti: Economic Value Added e Valore Aggiunto Sistemico. Published in: Finanza Marketing e Produzione , Vol. 4, No. 19 (December 2001): pp. 94-119.
Ayub, Mehar (2000): Stock market consequences of macro economic fundamentals. Published in: Conference Proceedings, Montreal: McGill University, (Canadian Economic Association) , Vol. 1, No. 2001 (2002): pp. 1-17.
Ulibarri, Carlos A. (1998): Is after-hours trading informative? Published in: Journal of Futures Markets , Vol. 18, No. 5 (1998): pp. 563-579.
Vaihekoski, Mika (1998): Short-term returns and the predictability of Finnish stock returns. Published in: Finnish Economic Papers , Vol. 11, No. 1 (1998): pp. 19-36.
Hawawini, Gabriel; Cohen, Kalman; Maier, Steven; Schwartz, Robert and Whitcomb, David (1980): Implications of microstructure theory for empirical research in stock price behavior. Published in: Journal of Finance , Vol. 35, No. May 1980 (1980): pp. 249-257.
Hawawini, Gabriel (1979): An assessment of risk in thinner markets: the Belgian case. Published in: Journal of Economics and Business , Vol. 31, No. Spring/Summer (1979): pp. 196-201.
Husain, Fazal (1998): A Seasonality in the Pakistani Equity Market: The Ramadhan Effect. Published in: The Pakistan Development Review , Vol. 37, No. 1 (1998): pp. 77-81.
Marcello, Pericoli and Marco, Taboga (2005): A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors. Unpublished.
Hirshleifer, David; Hou, Kewei and Teoh, Siew Hong (2007): Accruals and Aggregate Stock Market Returns. Unpublished.
Juan Marcelo, Ochoa (2006): An Interpretation of An Affine Term Structure Model for Chile. Forthcoming in: Revista de Estudios de Economia (2006)
Nuttall, John (2006): Asset allocation approach to understanding stock market dynamics. Unpublished.
Albanese, Claudio (2007): CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES. Unpublished.
Ilya, Gikhman (2007): Corporate debt pricing I. Unpublished.
Kovačić, Zlatko (2007): Forecasting volatility: Evidence from the Macedonian stock exchange. Unpublished.
Perez, Marcos and Ahn, Seung Chan (2007): GMM Estimation of the Number of Latent Factors. Unpublished.
Carey, Alexander (2005): Higher-order volatility. Unpublished.
Carey, Alexander (2006): Higher-order volatility: dynamics and sensitivities. Unpublished.
Hirshleifer, David (2001): Investor Psychology and Asset Pricing. Published in: Journal of Finance , Vol. 56, No. 4 (August 2001): pp. 1533-1597.
Tatom, John (2005): Is Your Bubble About to Burst? Unpublished.
Schoeneborn, Torsten and Schied, Alexander (2007): Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision. Unpublished.
Mattarocci, Gianluca (2006): Market characteristics and chaos dynamics in stock markets: an international comparison. Unpublished.
Verbic, Miroslav (2006): Memory and Asset Pricing Models with Heterogeneous Beliefs. Unpublished.
Ozun, Alper and Cifter, Atilla (2007): Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets. Unpublished.
ilya, gikhman (2005): Options valuation. Unpublished.
Carey, Alexander (2006): Path-conditional forward volatility. Unpublished.
Nunes, Mauricio and Da Silva, Sergio (2007): Rational bubbles in emerging stockmarkets. Unpublished.
Siddiqi, Hammad (2007): Rational Interacting Agents and Volatility Clustering: A New Approach. Unpublished.
Lanne, Markku and Luoto, Jani (2007): Robustness of the Risk-Return Relationship in the U.S. Stock Market. Unpublished.
Taboga, Marco (2007): Structural change and the bond yield conundrum. Unpublished.
Hou, Kewei; Hirshleifer, David and Teoh, Siew Hong (2007): The Accrual Anomaly: Risk or Mispricing? Unpublished.
Ilmolelian, Peter (2005): The determinants of the Harare Stock Exchange (HSE) market capitalisation. Published in: EconPapers No. http://econpapers.repec.org/paper/wpawuwpem/0511016.htm
Andraž, Grum (2006): Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti. Published in: Financial stability report: Expert papers on financial stability No. Bank of Slovenia (May 2006): pp. 1-86.
Grum, Andraž (2006): The effect of parallel OTC-DVP bond market introduction on yield curve volatility. Published in: The Proceedings of Rijeka Faculty of Economics – Journal of Economics and Business , Vol. 24, No. 1 (June 2006): pp. 123-140.
Husain, Fazal (1997): The Random Walk Model in the Pakistani Equity market: An Examination. Published in: The Pakistan Development Review , Vol. 36, No. 3 (1997): pp. 221-240.
Han, Heejoon and Park, Joon Y. (2006): Time series properties of ARCH processes with persistent covariates. Unpublished.
