Munich Personal RePEc Archive

Items where Subject is "G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates"

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Number of items at this level: 499.

A

Abderrazik, Amal and Boutkardine, Mehdi and El Bahi, Nour El Houda and Kartoubi, Salah Eddine and El Bouhadi, Abdelhamid (2008): Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca.

Accinelli, Elvio and Covarrubias, Enrique (2014): Smooth economic analysis for general spaces of commodities.

Adesoye, A. Bolaji and Atanda, Akinwande AbdulMaliq (2012): Monetary Policy and Share Pricing Business in Nigeria. Forthcoming in: (2012): pp. 1-19.

Ahmad, Tanveer and Shahzad, Syed Jawad Hussain and Rehman, Mobeen ur (2014): Risk or Sentiment: Value and Size Premium under Terrorism.

Albanese, Claudio (2007): CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES.

Albulescu, Claudiu Tiberiu (2008): Central banks and asset prices: the role of the interest rate in volatility correction in the Romanian case.

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.

Alexandru, Ciprian Antoniade (2007): Local financing through capital markets. Published in: Economics of sustainable development - Financing the regional sustainable development (2008): pp. 115-119.

Alexandru, Ciprian Antoniade (2008): Trust and Loss Aversion in Romanian Capital Market.

Alfarano, Simone and Lux, Thomas and Wagner, Friedrich (2010): Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation.

Alfaro, Rodrigo (2009): Estimación de la Curva de Rendimiento.

Alfaro, Rodrigo and Becerra, Juan Sebastian and Sagner, Andres (2010): Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU.

Alfaro, Rodrigo and Silva, Carmen Gloria (2010): Stock Index Volatility: the case of IPSA.

Alghalith, Moawia (2010): New methods of estimating stochastic volatility and the stock return.

Alghalith, Moawia (2009): Optimal option pricing and trading: a new theory.

Alghalith, Moawia (2009): A new stopping time and American option model: a solution to the free-boundary problem.

Alpanda, Sami (2007): The Boom-Bust Cycle in Japanese Asset Prices.

Alpanda, Sami and Peralta-Alva, Adrian (2007): Oil Crisis, Energy-Saving Technological Change and the Stock Market Crash of 1973-74.

Alves, Paulo (2013): The Fama French Model or the capital asset pricing model: international evidence. Published in: International Journal of Business and Finance Research , Vol. 7, No. 2 (2013): pp. 79-89.

Alves, Paulo and Ferreira, Miguel (2008): Centre Rules the Markets. Published in: IUP Journal of Applied Finance , Vol. 15, (2008): pp. 489-498.

Amaro de Matos, Joao and Dilao, Rui and Ferreira, Bruno (2006): The exact value for European options on a stock paying a discrete dividend.

Amihud, Yakov and 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.

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.

Anginer, Deniz and Yildizhan, Celim (2009): Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns.

Antonakakis, Nikolaos (2012): Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies' Downgrades.

Antonakakis, Nikolaos and Kizys, Renatas and Floros, Christos (2014): Dynamic Spillover Effects in Futures Markets.

Antonakakis, Nikolaos and Vergos, Konstantinos (2012): Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis.

Arash, Aloosh (2011): Variance Risk Premium Differentials and Foreign Exchange Returns. Published in: EFA Doctoral Tutorial 2012 (18. August 2012)

Aretz, Kevin and Bartram, Söhnke M. and Pope, Peter F. (2011): Asymmetric Loss Functions and the Rationality of Expected Stock Returns. Published in: International Journal of Forecasting , Vol. 27, No. 2 (April 2011): pp. 413-437.

Aretz, Kevin and Bartram, Söhnke M. and Pope, Peter F. (2010): Macroeconomic Risks and Characteristic-Based Factor Models. Published in: Journal of Banking and Finance , Vol. 34, No. 6 (June 2010): pp. 1383-1399.

Arif, Imtiaz and Suleman, Tahir (2014): Terrorism and Stock Market Linkages: An Empirical Study from Pakistan.

Arru, Daniela and Iacovoni, Davide and Monteforte, Libero and Pericoli, Filippo Maria (2012): EMU sovereign spreads and macroeconomic news.

Asonuma, Tamon (2012): Serial default and debt renegotiation.

Asonuma, Tamon (2014): Sovereign defaults, external debt and real exchange rate dynamics.

Avino, Davide and Cotter, John (2013): Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?

Avino, Davide and Cotter, John (2014): Sovereign and bank CDS spreads: two sides of the same coin?

Avino, Davide and Lazar, Emese and Varotto, Simone (2012): Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options.

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.

B

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.

Bai, Jushan and Ando, Tomohiro (2013): Multifactor asset pricing with a large number of observable risk factors and unobservable common and group-specific factors.

Balakrishna, B S (2010): Levy Subordinator Model of Default Dependency.

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

Balli, Faruk and Basher, Syed Abul and Jean Louis, Rosmy (2013): Sectoral equity returns and portfolio diversification opportunities across the GCC region.

Balli, Faruk and 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

Balli, Faruk and Ozer-Balli, Hatice (2009): Sectoral Equity Returns in the Euro Region: Is There any Room for Reducing the Portfolio Risk?

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion Model_with Volatilities and Correlation of Spread and Interest.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest.

Bao, Qunfang and Chen, Si and Liu, Guimei and Li, Shenghong (2010): Unilateral CVA for CDS in contagion model: with volatilities and correlation of spread and interest.

Bao, Qunfang and Li, Shenghong and Liu, Guimei (2010): Survival Measures and Interacting Intensity Model: with Applications in Guaranteed Debt Pricing.

Bardong, Florian and Bartram, Söhnke M. and Yadav, Pradeep K. (2005): Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE.

Barinov, Alexander and Park, Shawn Saeyeul and Yildizhan, Celim (2014): Firm Complexity and Post-Earnings-Announcement Drift.

Barnett, William A. (2006): Divisia Monetary Index.

Barnett, William A. (2006): Supply of Money.

Bartram, Söhnke M. and Brown, Gregory W. and Stulz, René M. (2012): Why are U.S. Stocks More Volatile? Published in: Journal of Finance , Vol. 67, No. 4 (August 2012): pp. 1329-1370.

Bazdresch, Santiago (2011): Product differentiation and systematic risk: theory and empirical evidence.

Bejan, Camelia and Bidian, Florin (2010): Limited enforcement, bubbles and trading in incomplete markets.

Bennani, Norddine and Maetz, Jerome (2009): A Spot Stochastic Recovery Extension of the Gaussian Copula.

Bhattacharyya, Surajit and Saxena, Arunima (2008): Stock Futures Introduction & Its Impact on Indian Spot Market. Published in: Prerana , Vol. 1, No. 1 (March 2009)

Bialkowski, Jedrzej and Gottschalk, Katrin and Wisniewski, Tomasz (2006): Stock market volatiltity around national elections.

Bianchetti, Marco (2008): Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves.

Bianchetti, Marco and Carlicchi, Mattia (2012): Markets Evolution After the Credit Crunch.

Bianchi, Francesco (2008): Rare Events, Financial Crises, and the Cross-Section of Asset Returns.

Bicchetti, David and Maystre, Nicolas (2012): The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data. Forthcoming in:

Borenstein, Eliezer and Elkayam, David (2013): The equity premium in a small open economy, and an application to Israel.

Brito, Paulo (2008): Equilibrium asset prices and bubbles in a continuous time OLG model.

Brito, Paulo and Dilao, Rui (2006): Equilibrium price dynamics in an overlapping-generations exchange economy.

Buła, Rafał (2012): Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych. Published in: Młodzi Naukowcy dla Polskiej Nauki , Vol. 2, No. 9 (2012): pp. 192-200.

C

Cadogan, Godfrey (2010): Canonical Representation Of Option Prices and Greeks with Implications for Market Timing.

Cadogan, Godfrey (2009): On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control.

Cakir, Murat (2001): Credit Derivatives in Managing Off Balance Sheet Risks by Banks.

Campbell, Gareth (2010): Bubbles and Leverage.

Campbell, Gareth (2010): Bubbling Dividends.

Campbell, Gareth (2010): Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania.

Campbell, Gareth and Turner, John (2010): ‘The Greatest Bubble in History’: Stock Prices during the British Railway Mania.

Canegrati, Emanuele (2008): A Non-Random Walk down Canary Wharf.

Cannon, Susanne E. and Cole, Rebel A. (2008): Changes in REIT liquidity 1988 - 2007: Evidence from daily data. Published in: Journal of Real Estate Finance and Economics , Vol. 43, (29. May 2011): pp. 258-280.

Cantillo, Andres (2013): Survey of Literature on Portfolio Theory.

Cao, Henry and Han, Bing and Hirshleifer, David and Zhang, Harold (2007): Fear of the Unknown: Familiarity and Economic Decisions.

Carey, Alexander (2005): Higher-order volatility.

Carey, Alexander (2006): Higher-order volatility: dynamics and sensitivities.

Carey, Alexander (2006): Path-conditional forward volatility.

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)

Carlo Alberto, Magni (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research

Cartea, Álvaro and Meyer-Brandis, Thilo (2009): How Duration Between Trades of Underlying Securities Affects Option Prices. Forthcoming in: Review of Finance

Caspi, Itamar (2013): Rtadf: Testing for Bubbles with EViews.

Cayton, Peter Julian A. and Mapa, Dennis S. (2012): Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology.

Cebula, Richard (1987): Crowding Out, Deficits, and Interest Rates: Reply. Published in: Public Choice , Vol. 58, No. 1 (21. July 1988): pp. 95-97.

Cebula, Richard (1977): Crowding Out: An Empirical Note. Published in: The Quarterly Review of Economics & Business , Vol. 18, No. 3 (15. November 1978): pp. 119-123.

Cebula, Richard (1986): Federal Deficits and the Real Rate of Interest in the United States: A Note. Published in: Public Choice , Vol. 53, No. 1 : pp. 97-100.

Cebula, Richard (1996): The Rate of Return on Savings and Loan Assets. Published in: Studies in Economics and Finance , Vol. 17, No. 2 (25. April 1997): pp. 3-24.

Cebula, Richard and Foley, Maggie (2012): Recent Evidence on the Impact of Federal Government Budget Deficits on the Nominal Long Term Mortgage Interest Rate in the U.S. Published in: International Journal of Finance & Accounting Studies , Vol. 1, No. 1 (30. April 2013): pp. 28-33.

Cebula, Richard and Scott, Gerald (1990): Deficits and Real Interest Rates: A Note Extending the Hoelscher Model. Published in: The Indian Journal of Economics , Vol. 71, No. 4 (30. April 1991): pp. 519-522.

Cebula, Richard and Yang, Bill (2008): Yield to Maturity Is Always Realized as Promised: A Reply. Published in: Journal of Economics and Finance Education , Vol. 8, No. 2 (28. February 2009): pp. 38-41.

Cebula, Richard and Yang, Bill (2008): Yield to Maturity Is Always Received as Promised: A Reply. Published in: Journal of Economics and Finance Education , Vol. 8, No. 2 (14. January 2009): pp. 38-41.

Cesari, Riccardo and Marzo, Massimiliano and Zagaglia, Paolo (2012): Effective Trade Execution. Forthcoming in:

Chang, Chia-Lin and Hu, Shing-Yang and Yu, Shih-Ti (2014): Recent Developments in Quantitative Finance: An Overview.

Chang, Yanqin (2006): How a small open economy's asset are priced by heterogeneous international investors.

Charlin, Ventura and Cifuentes, Arturo (2013): A new financial metric for the art market.

Cheng, Ai-ru and Jahan-Parvar, Mohammad R. and Rothman, Philip (2009): An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa.

Chia, Ricky Chee-Jiun and Liew, Venus Khim-Sen and Syed Khalid Wafa, Syed Azizi Wafa (2007): Day-of-the-week effects in selected East Asian stock markets.

Choo, Lawrence C.Y (2014): Trading Participation Rights to the “Red Hat Puzzle”. An Experiment.

Christophe, Faugere (2003): A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination. Forthcoming in:

Cifarelli, Giulio and Paladino, Giovanna (2009): Oil and portfolio risk diversification.

Claudio, Ferrarese (2006): A comparative analysis of correlation skew modeling techniques for CDO index tranches.

Cocozza, Rosa and De Simone, Antonio (2011): One numerical procedure for two risk factors modeling.

Cosemans, M. and Frehen, R.G.P. and 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.

Costa Junior, Celso Jose (2011): Avaliação de Bancos: Projeção das Demonstrações de Resultado do Exercício (DRE) com Enfoque em Modelos Econométricos. Published in: Revista Eletrônica de Economia da Universidade Estadual de Goiás – UEG , Vol. 7, (December 2011): pp. 87-103.

Cotter, John and Gabriel, Stuart and Roll, Richard (2011): Integration and contagion in US housing markets.

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.

D

Dale, Charles and Workman, Rosemarie (1981): Measuring patterns of price movements in the Treasury bill futures market. Published in: Journal of Economics and Business , Vol. 33(2), No. Winter (1981): pp. 81-87.

Dale, Charles and Workman, Rosemarie (1980): The arc sine law and the treasury bill futures market. Published in: Financial Analysts Journal , Vol. 36, No. No. 6 (November 1980): pp. 71-74.

De Koning, Kees (2012): The savings paradox or managing financial, economic or financial risks.

Deaconu, Adela and 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)

Deev, Oleg and Kajurova, Veronika and Stavarek, Daniel (2013): Testing rational speculative bubbles in Central European stock markets.

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.

Delisle, R. Jared and Lee, Bong Soo and Mauck, Nathan (2012): The dynamic relation between short sellers, option traders, and aggregate returns.

Dell'Era Mario, M.D. (2008): Pricing of Double Barrier Options by Spectral Theory.

Dell'Era Mario, M.D. (2008): Pricing of the European Options by Spectral Theory.

Demir, Ishak (2012): ECB Policy Response to the Euro/US Dollar Exchange Rate.

Dewachter, Hans and Iania, Leonardo (2009): An Extended Macro-Finance Model with Financial Factors.

Dewachter, Hans and Iania, Leonardo (2009): An Extended Macro-Finance Model with Financial Factors.

Dewandaru, Ginanjar and Masih, Rumi and Bacha, Obiyathulla and Masih, A. Mansur M. (2014): Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model.

Diaw, Abdou and Bacha, Obiyathulla Ismath and Lahsasna, Ahcene (2012): Incentive-Compatible Sukuk Musharakah for Private Sector Funding. Published in: ISRA International Journal of Islamic Finance , Vol. 4, No. 1 (June 2012): pp. 39-80.

Diaw, Abdou and Bacha, Obiyathulla Ismath and Lahsasna, Ahcene (2011): Public Sector Funding and Debt Management: A Case for GDP-Linked Sukuk. Published in: Internationa conference on Islamic economics and finance No. 8th (2011)

Doran, James and Jiang, Danling and Peterson, David (2008): Gambling Preference and the New Year Effect of Assets with Lottery Features.

Doran, James and Jiang, Danling and Peterson, David (2007): Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach.

Douch, Mohamed (2004): Equity Premiums In Small Open Economy.

Douch, Mohamed and Bouaddi, Mohammed (2010): EQUITY Premium Puzzle in a Data-Rich Environment. Forthcoming in:

Dubra, Juan (2005): Interview with Kenneth Arrow.

Duran-Vazquez, Rocio and 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.

Duran-Vazquez, Rocio and 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

Duran-Vazquez, Rocio and 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

de Farias Neto, Joao Jose (2008): S-shaped utility, subprime crash and the black swan.

E

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.

El Bouhadi, A. and 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.

El-khatib, Youssef and Hatemi-J, Abdulnasser (2013): On option pricing in illiquid markets with random jumps.

Ellouz, Siwar and Bellalah, Mondher (2007): Asset pricing and predictability of stock returns in the french market.

Erdemlioglu, Deniz (2009): Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach.

Erten, Irem and Okay, Nesrin (2012): Deciphering Liquidity Risk on the Istanbul Stock Exchange.

el Alaoui, AbdelKader and Masih, Mansur and Bacha, Obiyathulla and Asutay, Mehmet (2014): Leverage, return, volatility and contagion: Evidence from the portfolio framework.

F

FARUQUE, MUHAMMAD U (2011): An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh. Published in: Indian Journal of Economics and Business , Vol. 10, No. 04 (1. December 2011): pp. 443-465.

Fan, Qinbin and Jahan-Parvar, Mohammad R. (2009): US Industry-Level Returns and Oil Prices.

Farouk, Faizal and Masih, Mansur (2014): Are There Profit (Returns) in Shariah-Compliant Exchange Traded Funds? The Multiscale Propensity.

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.

Ferreira Filipe, Sara and Grammatikos, Theoharry and Michala, Dimitra (2014): Pricing Default Risk: The Good, The Bad, and The Anomaly.

Fiorani, Filo (2004): Option Pricing Under the Variance Gamma Process.

Fleten, Stein-Erik and Näsäkkälä, Erkka (2003): Gas fired power plants: Investment timing, operating flexibility and CO2 capture.

Foschi, Paolo and Pieressa, Luca and Polidoro, Sergio (2008): Parametrix approximations for non constant coefficient parabolic PDEs.

François-Heude, Alain and Yousfi, Ouidad (2013): A Generalization of Gray and Whaley's Option.

François-Heude, Alain and Yousfi, Ouidad (2013): On the liquidity of CAC 40 index options Market.

Fries, Christian P. (2010): Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.

Fu, Shihe and Shan, Liwei (2009): Corporate equality and equity prices: Doing well while doing good?

Fung, Ka Wai Terence and Demir, Ender and Zhou, Lu (2014): Capital Asset Pricing Model and Stochastic Volatility: A Case study of India.

Füllbrunn, Sascha and Rau, Holger and Weitzel, Utz (2013): Do ambiguity effects survive in experimental asset markets?

G

Gabrielsen, Alexandros and Marzo, Massimiliano and Zagaglia, Paolo (2011): Measuring market liquidity: an introductory survey.

Gan, Jumwu (2009): Burnout from pools to loans: Modeling refinancing prepayments as a self-selection process.

García Muñoz, Luis Manuel (2013): CVA, FVA (and DVA?) with stochastic spreads. A feasible replication approach under realistic assumptions.

García Muñoz, Luis Manuel (2013): Interest rate modeling under multiple discounting curves.

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

Gavazza, Alessandro (2010): The role of trading frictions in real asset markets.

Ghiselli Ricci, Roberto and Magni, Carlo Alberto (2009): Axiomatization of residual income and generation of financial securities.

Gonzalez-Astudillo, Manuel (2009): An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play.

Goyenko, Ruslan and Sarkissian, Sergei (2010): Flight to Liquidity and Global Equity Returns.

Grabowski, Szymon (2008): What does a financial system say about future economic growth?

Gray, W (2005): Two Essays on Self-Tender Offers.

Gray, Wesley (2008): Information Exchange and the Limits of Arbitrage. Forthcoming in:

Gray, Wesley (2008): Information Exchange and the Limits of Arbitrage.

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.

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.

Guidi, Francesco and Gupta, Rakesh and Maheshwari, Suneel (2010): Weak-form market efficiency and calendar anomalies for Eastern Europe equity markets.

Guler, Halil and Talasli, Anil (2012): Determinants Of Sovereign Bond Spreads A Comparative Analysis During The Global Financial Crisis.

Guzman, Giselle C. (2007): Using sentiment to predict GDP growth and stock returns. Published in: The Making of National Economic Forecasts No. Edward Elgar Publishing LTD (2009): pp. 319-351.

Gyoshev, Stanley and Kaplan, Todd R. and Szewczyk, Samuel and Tsetsekos, George (2013): Why Do Financial Intermediaries Buy Put Options from Companies?

H

HUNG, MAO-WEI and SO, LEH-CHYAN (2009): New insights into India’s single stock futures markets. Published in: Review of Futures Markets , Vol. 17, (2009): pp. 335-355.

Han, Bing and Hirshleifer, David and Wang, Tracy (2005): Investor Overconfidence and the Forward Discount Puzzle.

Han, Heejoon and Park, Joon Y. (2006): Time series properties of ARCH processes with persistent covariates.

Han, Meng and He, Yeqi and Zhang, Hu (2013): A Note on Discounting and Funding Value Adjustments for Derivatives.

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)

Hannah, Lincoln (2013): Funding Cost and a New Capital Model.

Hasan, Syed Akif and Subhani, 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.

Hasan, M.Emrul (2010): Behavioral approach to Arbitrage Pricing Theory.

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.

Hawawini, Gabriel and Cohen, Kalman and Maier, Steven and 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 and Vora, Ashok (1980): On the theoretic and numeric problems of approximating the bond yield to maturity. Published in: Engineering Economist , Vol. 25, (1980): pp. 301-325.

Hawawini, Gabriel and Vora, Ashok (1981): The capital asset pricing model and the investment horizon: Comment. Published in: The Review of Economics and Statistics , Vol. 64, (November 1981): pp. 633-647.

Hearn, Bruce (2013): Size and liquidity effects in Nigeria: an industrial sector study. Forthcoming in: Journal of Developing Areas

Hellström, Jörgen and Lönnbark, Carl (2011): Identi�cation of jumps in �financial price series.

Hiremath, Gourishankar S (2009): Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review. Published in: GITAM Review of International Business , Vol. 1, No. 2 (2009): pp. 100-121.

Hiremath, Gourishankar S and Bandi, Kamaiah (2010): Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test. Published in: Banking and Finance Letters , Vol. 2, No. 4 (2010): pp. 371-390.

Hiremath, Gourishankar S and Bandi, Kamaiah (2010): Long Memory in Stock Market Volatility:Evidence from India. Published in: Artha Vijnana , Vol. 52, No. 4 (2010): pp. 332-345.

Hiremath, Gourishankar S and Bandi, Kamaiah (2009): On the random walk characteristics of stock returns in India. Published in: Artha Vijnana , Vol. 51, No. 1 (2009): pp. 85-96.

Hiremath, Gourishankar S and Bandi, Kamaiah (2011): Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence. Published in: Economics, Management, and Financial Markets , Vol. 6, No. 3 (2011): pp. 136-147.

Hiremath, Gourishankar S and Kumari, Jyoti (2013): Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India.

Hiremath, Gourishankar S and Kumari, Jyoti (2014): Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India. Published in: SpringPlus , Vol. 428, No. 3 (2014): pp. 1-14.

Hirshleifer, David (2001): Investor Psychology and Asset Pricing. Published in: Journal of Finance , Vol. 56, No. 4 (August 2001): pp. 1533-1597.

Hirshleifer, David and Hou, Kewei and Teoh, Siew Hong (2007): Accruals and Aggregate Stock Market Returns.

Hirshleifer, David and Jian, Ming and Zhang, Huai (2014): Superstition and financial decision making.

Hirshleifer, David and Jiang, Danling (2007): Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns.

Hirshleifer, David and Jiang, Danling (2007): A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns.

Hirshleifer, David and Lim, Sonya Seongyeon and Teoh, Siew Hong (2006): Driven to distraction: Extraneous events and underreaction to earnings news.

Hirshleifer, David and hsu, po-hsuan and li, dongmei (2014): Don’t Hide Your Light Under a Bushel: Innovative Originality and Stock Returns.

Hou, Kewei and Hirshleifer, David and Teoh, Siew Hong (2007): The Accrual Anomaly: Risk or Mispricing?

Huang, Huichou and MacDonald, Ronald (2012): Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia.

Huang, Huichou and MacDonald, Ronald and Zhao, Yang (2012): Global Currency Misalignments, Crash Sensitivity, and Moment Risk Premia.

Hung, Mao-wei and Lee, Cheng-few and So, Leh-chyan (2005): Hedging with Foreign-listed Single Stock Futures. Published in: Advances in Quantitative Analysis of Finance and Accounting , Vol. 2, (2005): pp. 129-151.

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.

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Häseler, Sönke (2012): Individual versus Collective Enforcement Rights in Sovereign Bonds. Forthcoming in: Eugenio A Bruno (ed.) “Sovereign Debt and Debt Restructuring”, Globe Business Publishing

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Ielpo, Florian and Guégan, Dominique (2006): Further evidence on the impact of economic news on interest rates.

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

Ilya, Gikhman (2007): Corporate debt pricing I.

Iqbal, Javed and Brooks, Robert and Galagedera, Don UA (2007): Robust Tests of the Lower Partial Moment Asset Pricing Model in Emerging Markets.

Iqbal, Javed and 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.

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.

Ivanov, Sergei (2014): Альтернативный подход к определению условий отсутствия арбитража.

Ivanov, Sergei (2014): Exploiting of interest rates fundamental inefficiency.

Ivanov, Sergei (2013): Implied-in-prices expectations: Their role in arbitrage. Published in: Atti della Accademia Peloritana dei Pericolanti. Classe di Scienze Fisiche, Matematiche e Naturali , Vol. S1, No. 92 (24. February 2014): B1-B1.

ilya, gikhman (2006): Fixed-income instrument pricing.

ilya, gikhman (2005): Options valuation.

ilya, gikhman (2006): Some critical comments on credit risk modeling.

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Jahan-Parvar, Mohammad and Waters, George (2009): Equity Price Bubbles in the Middle Eastern and North African Financial Markets.

Jahan-Parvar, Mohammad R. and Liu, Xuan and Rothman, Philip (2009): Equity Returns and Business Cycles in Small Open Economies.

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.

Janda, Karel and Vylezik, Tomas (2011): Financial Management of Weather Risk with Energy Derivatives.

Jarraya, Bilel (2013): Asset allocation and portfolio optimization problems with metaheuristics: a literature survey. Published in: Business Excellence and Management , Vol. 3, No. 4 (2013): pp. 38-56.

Jarraya, Bilel and Bouri, Abdelfettah (2013): Multiobjective optimization for the asset allocation of European nonlife insurance companies. Published in: Journal of Multi-Criteria Decision Analysis , Vol. 20, No. 3-4 (2013): pp. 97-108.

Javed, Attiya Y. and Iqbal, Robina (2007): Relationship between Corporate Governance Indicators and Firm Value: A Case Study of Karachi Stock Exchange. Published in:

Javid, Attiya Yasmin (2009): Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market. Published in: European Journal of Economics, Finance and Administrative Studies No. 15 (2009)

Jensen, Mark J and Maheu, John M (2013): Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis.

Jiang, Danling (2008): Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns.

Jiranyakul, Komain (2011): On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence. Published in: Asian Social Science , Vol. 7, No. 7 (July 2011): pp. 115-123.

John, Tatom (2009): U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?

Ju, Nengjiu and Miao, Jianjun (2009): Ambiguity, Learning, and Asset Returns.

Juan Marcelo, Ochoa (2006): An Interpretation of An Affine Term Structure Model for Chile. Forthcoming in: Revista de Estudios de Economia (2006)

Jäckel, Christoph (2013): Model uncertainty and expected return proxies.

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Kaizoji, Taisei and Sornette, Didier (2008): Market Bubbles and Crashes. Published in: Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. (2009)

Kaizoji, Taisei (kaizoji@icu.ac.jp) (2010): A behavioral model of bubbles and crashes.

Kal, Süleyman Hilmi and Arslaner, Ferhat and Arslaner, Nuran (2013): Gold, Stock Price, Interest Rate and Exchange Rate Dynamics: An MS VAR Approach. Published in: International Research Journal of Finance and Economics No. 107 (5. April 2013): pp. 8-16.

Kal, Süleyman Hilmi and Arslaner, Ferhat and Arslaner, Nuran (2013): Transitional Dynamics of Oil Prices. Published in: International Research Journal of Finance and Economics No. 106 (5. May 2013): pp. 24-30.

Kalogeropoulos, Konstantinos and Dellaportas, Petros and Roberts, Gareth O. (2007): Likelihood-based inference for correlated diffusions.

Kalogeropoulos, Konstantinos and Roberts, Gareth O. and Dellaportas, Petros (2007): Inference for stochastic volatility model using time change transformations.

Karkowska, Renata (2013): The empirical analysis of dynamic relationship between financial intermediary connections and market return volatility. Published in: Faculty of Management Working Paper Series , Vol. No 3, No. No 3/ 2013 (October 2013): pp. 1-13.

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Khan, Mashrur Mustaque and Yousuf, Ahmed Sadek (2013): Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market.

Khan, Muhammad Irfan Khan and Meher, Muhammad Ayub Khan Mehar and Syed, Syed Muhammad Kashif (2013): Impact of Inflation on Dividend Policy: Synchronization of Capital Gain and Interest Rate. Published in: Pensee Journal , Vol. 75, No. 11 (20. November 2013): pp. 384-393.

Kitov, Ivan (2009): Apples and oranges: relative growth rate of consumer price indices.

Kitov, Ivan and Kitov, Oleg (2012): Sustainable trends and periodicity in consumer price indices indicate that the era of low energy prices is approaching.

Klein, Achim and Urbig, Diemo and Kirn, Stefan (2008): Who drives the Market? Estimating a heterogeneous Agent-based Financial Market Model using a Neural Network Approach.

Kodongo, Odongo and Ojah, Kalu (2014): The conditional pricing of currency and inflation risks in Africa's equity markets.

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Kovačić, Zlatko (2007): Forecasting volatility: Evidence from the Macedonian stock exchange.

Kozmenko, Serhiy and Plastun, Oleksiy (2011): Mutual influence of exchange assets: analysis and estimation. Published in: Banks and Bank Systems , Vol. 6, No. 2 (30. June 2011): pp. 53-58.

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Kurz, Mordecai (2006): Beauty contests under private information and diverse beliefs: how different? Forthcoming in: Journal of Mathematical Economics , Vol. forthc, No. forthcoming

Kurz, Mordecai and Motolese, Maurizio (2006): Risk Premia, diverse belief and beauty contests.

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Lamé, Gildas (2013): Was there a "Greenspan conundrum" in the Euro area ? Published in: INSEE Working Papers (September 2013)

Landon, Stuart (2009): The capitalization of taxes in bond prices: Evidence from the market for Government of Canada bonds.

Landon, Stuart and Smith, Constance (2008): Taxation and bond market investment strategies: Evidence from the market for Government of Canada bonds.

Lanne, Markku and Luoto, Jani (2007): Robustness of the Risk-Return Relationship in the U.S. Stock Market.

Lanne, Markku and Meitz, Mika and Saikkonen, Pentti (2012): Testing for predictability in a noninvertible ARMA model.

Larson, Nathan (2011): Clustering on the same news sources in an asset market.

Lau, Chi-Lei Oscar (2008): Disentangling Intertemporal Substitution and Risk Aversion under the Expected Utility Theorem.

Lazarevski, Dimche (2011): Foreign investors’ influence towards small stock exchanges boom and bust: Macedonian stock exchange case. Published in: Capital Markets: Market Efficiency eJournal (29. August 2012)

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

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2013): Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets.

Lee, Chin and Lee, Weng Hong (2008): Can financial ratios predict the Malaysian stock return? Published in: Integration & Dissemination , Vol. 2, (2008): pp. 7-8.

Lee, King Fuei (2011): Demographics and the Long-Horizon Returns of Dividend-Yield Strategies in the US. Forthcoming in: Quarterly Review of Economics and Finance

Lee, Y. and So, Leh-chyan (2013): Enemies or Allies: Pricing counterparty credit risk for synthetic CDO tranches.

Lenz, Rainer (2008): The Logic of Merger and Acquisition Pricing. Forthcoming in:

Lerner, Peter (2010): Theoretical analysis of the bid-ask bounce and Related Phenomena. Published in: Aestimatio No. 1 (December 2010): pp. 1-20.

Leung, Charles Ka Yui and 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?

Li, Minqiang (2014): Analytic Approximation of Finite-Maturity Timer Option Prices.

Li, Minqiang (2010): Asset Pricing - A Brief Review.

Li, Minqiang (2008): Closed-Form Approximations for Spread Option Prices and Greeks.

Li, Minqiang (2008): A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation.

Li, Minqiang (2014): Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach.

Li, Minqiang and Mercurio, Fabio (2013): Closed-Form Approximation of Timer Option Prices under General Stochastic Volatility Models.

Li, Nan (2004): The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds.

Lin, William and Sun, David (2007): Liquidity-adjusted benchmark yield curves: a look at trading concentration and information. Published in: Review of Pacific Basin Financial Markets and Policies , Vol. 4, No. 10 (December 2007): pp. 491-518.

Lin, William and Sun, David and Tsai, Shih-Chuan (2010): Does trading remove or bring frictions?

Lin, William and Sun, David and Tsai, Shih-Chuan (2010): Searching out of Trading Noise: A Study of Intraday Transactions Cost.

Lin, William and Tsai, Shih-Chuan and Sun, David (2008): Price informativeness and predictability: how liquidity can help. Published in: Applied Economics , Vol. 17, No. 43 (July 2011): pp. 2199-2217.

Lin, William and Tsai, Shih-Chuan and Sun, David (2010): Search costs and investor trading activity: evidences from limit order book. Forthcoming in: Emerging Markets Finance and Trade

Lin, William and Tsai, Shih-Chuan and Sun, David (2009): What Causes Herding:Information Cascade or Search Cost ?

Liu, Xiaochun (2013): Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach.

Lof, Matthijs (2013): Essays on Expectations and the Econometrics of Asset Pricing.

Lof, Matthijs (2010): Heterogeneity in stock prices: A STAR model with multivariate transition function.

Lof, Matthijs (2011): Noncausality and Asset Pricing.

Los, Cornelis A. and Tungsong, Satjaporn (2008): Investment Model Uncertainty and Fair Pricing.

Luis Manuel, García Muñoz (2012): Collateral choice and the fundamental theorem of asset pricing.

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MAKU, Olukayode E. and ATANDA, Akinwande Abdulmaliq (2010): Determinants of stock market performance in Nigeria: long-run analysis. Published in: Journal of Management and Organizational Behaviour , Vol. 1, No. 3 (2010): pp. 1-16.

Maclachlan, Iain C (2007): An empirical study of corporate bond pricing with unobserved capital structure dynamics.

Magni, Carlo Alberto (2007): CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation.

Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity.

Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity.

Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity. Forthcoming in: Journal of Property Finance and Investment , Vol. 5, No. 26 (2008)

Magni, Carlo Alberto (2007): Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM? Forthcoming in: European Journal of Operational Research

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 (6. 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 (6. September 2000): pp. 163-170.

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): Firm Value and the mis-use of the CAPM for valuation and decision making.

Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making.

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)

Magni, Carlo Alberto (2007): In search of the "lost capital". A theory for valuation, investment decisions, performance measurement.

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 (2007): Measuring performance and valuing firms: In search of the lost capital.

Magni, Carlo Alberto (2007): Measuring performance and valuing firms: In search of the lost capital.

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.

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): Residual income and value creation: An investigation into the lost-capital paradigm.

Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm.

Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm.

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.

Magni, Carlo Alberto (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research

Magni, Carlo Alberto (2007): A Sum&Discount method for appraising firms:An illustrative example.

Magni, Carlo Alberto (2000): Systemic Value Added, Residual Income and Decomposition of a Cash Flow Stream.

Magni, Carlo Alberto (2005): THEORETICAL FLAWS IN THE USE OF THE CAPM FOR INVESTMENT DECISIONS.

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 (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.

Magni, Carlo Alberto and Vélez-Pareja, Ignacio (2009): Potential dividends versus actual cash flows in firm valuation. Forthcoming in: ICFAI Journal of Applied Finance

Maku, Olukayode E. and Atanda, Akinwande A. (2009): Does Macroeconomic Indicators exert shock on the Nigerian Capital Market?

Malhotra, Karan (2010): Autoregressive multifactor APT model for U.S. Equity Markets.

Malhotra, Madhuri Malhotra and M., Thenmozhi and Gopalaswamy, Arun Kumar (2012): Liquidity changes around bonus and rights issue announcements: Evidence from manufacturing and service sectors in India. Published in: Wealth-International Journal of Money banking and Finance , Vol. Volume, No. Issue 1 (June 2012): pp. 28-34.

Malik, Saif Ullah (2012): Relationship between Corporate Governance Score and Stock Prices: Evidence from KSE- 30 Index Companies. Published in: International Journal of Business and Social Science , Vol. 4, No. Vol. 3 No. 4 [Special Issue - February 2012] (1. February 2012): pp. 239-249.

Mapa, Dennis S. and Cayton, Peter Julian and Lising, Mary Therese (2009): Estimating Value-at-Risk (VaR) using TiVEx-POT Models.

Mapa, Dennis S. and Suaiso, Oliver Q. (2009): Measuring market risk using extreme value theory.

Marcello, Pericoli and Marco, Taboga (2005): A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors.

Marco, Bianchetti (2011): The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management.

Marco, Bianchetti and Mattia, Carlicchi (2012): Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR.

Maria Caporale, Guglielmo and Gil-Alana, Luis and Plastun, Alex and Makarenko, Inna (2013): Long memory in the ukrainian stock market and financial crises. Forthcoming in: Working Paper No. 13-27. – Brunel University, London

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).

Massmiliano, Marzo and Daniele, Ritelli and Paolo, Zagaglia (2011): Optimal trading execution with nonlinear market impact: an alternative solution method.

Mattarocci, Gianluca (2006): Market characteristics and chaos dynamics in stock markets: an international comparison.

Md Isa, Abu Hassan and Puah, Chin-Hong and Yong, Ying-Kiu (2008): Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM.

Meng, Ginger and 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.

Menkhoff, Lukas and Sarno, Lucio and Schmeling, Maik and Schrimpf, Andreas (2009): Carry Trades and Global FX Volatility.

Michailova, Julija (2010): Overconfidence and bubbles in experimental asset markets.

Miyakoshi, Tatsuyoshi and Li, Kui-Wai and Shimada, Junji (2014): Rational Expectation Bubbles: Evidence from Hong Kong’s Sub-Indices. Published in: Applied Economics , Vol. 46, No. 20 (1. July 2014): pp. 2429-2440.

Moawia, Alghalith (2009): Optimal option pricing and trading: a new theory.

Modena, Matteo (2008): The term structure and the expectations hypothesis: a threshold model.

Mohanty, Roshni and P, Srinivasan (2014): The Time-Varying Risk and Return Trade Off in Indian Stock Markets.

Monostori, Zoltan (2012): Magyar szuverén fix kamatozású forintkötvények hozamdekompozíciója. Published in: Hitelintézeti Szemle , Vol. 5, No. 11 (December 2012): pp. 462-475.

Moore, Kyle and Sun, Pengei and de Vries, Casper G. and Zhou, Chen (2013): The drivers of downside equity tail risk.

Moore, Kyle and Sun, Pengfei and de Vries, Casper G. and Zhou, Chen (2013): The cross-section of tail risks in stock returns.

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.

Muradoglu, Gulnur and 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.

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.

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Najeeb, Syed Faiq and Bacha, Obiyathulla and Masih, Mansur (2014): Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis.

Nath, Golaka (2012): Estimating term structure changes using principal component analysis in Indian sovereign bond market.

Nath, Golaka (2013): Liquidity Issues in Indian Sovereign Bond Market.

Nath, Golaka (2013): Repo Market – A Tool to Manage Liquidity in Financial Institutions.

Nath, Golaka (2013): The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis.

Nauta, Bert-Jan (2013): Valuation of Illiquid Assets on Bank Balance Sheets.

Nawar, Hashem (2010): Industry Concentration and the Cross-section of Stock Returns: Evidence from the UK.

Ndako, Umar Bida (2013): The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa.

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.

Ntim, Collins G (2012): Why African Stock Markets Should Formally Harmonise and Integrate their Operations. Published in: African Review of Economics and Finance , Vol. 4, No. 1 (29. December 2012): pp. 53-72.

Nunes, Mauricio and Da Silva, Sergio (2007): Rational bubbles in emerging stockmarkets.

Nuttall, John (2006): Asset allocation approach to understanding stock market dynamics.

Nyberg, Henri (2010): QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles.

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Ogundipe, Adeyemi and Ogundipe, Oluwatomisin (2013): Oil Price and Exchange Rate Volatility in Nigeria.

Olafsdottir, Katrin and Sigurdsson, Kari (2007): Hversu vel tekst til með verðbólguspár greiningardeilda?

Omer, Muhammad and de Haan, Jakob and Scholtens, Bert (2013): Does Uncovered Interest rate Parity Hold After All?

Onour, Ibrahim (2010): The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries.

Onour, Ibrahim (2013): Pricing the Cost of Deposit Insurance and Assessing Moral Hazard Effect: Evidence from Banking Sector in Sudan.

Onour, Ibrahim (2007): Testing Efficiency Performance of an Underdeveloped Stock Market.

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)

Otrok, Christopher and Ravikumar, B and Whiteman, Charles (2001): Stochastic Discount Factor Models and the Equity Premium Puzzle.

Ozun, Alper and Cifter, Atilla (2007): Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets.

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Pagel, Michaela (2012): Expectations-Based Reference-Dependent Preferences and Asset Pricing.

Pagliarani, Stefano and Pascucci, Andrea (2011): Analytical approximation of the transition density in a local volatility model.

Pakos, Michal (2004): Asset Pricing with Durable Goods and Nonhomothetic Preferences.

Pakos, Michal (2013): Long-Run Risk and Hidden Growth Persistence. Published in: Journal of Economic Dynamics and Control , Vol. 37, No. 9 (1. September 2013): 1911-1928.

Panait, Iulian and Slavescu, Ecaterina Oana (2012): Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011. Published in: CKS – eBook 2012 (2012): pp. 1592-1600.

Pasaribu, Rowland Bismark Fernando (2010): Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45. Published in: Jurnal Ekonomi dan Bisnis , Vol. 5, No. 2 (July 2011): pp. 87-115.

Pasaribu, Rowland Bismark Fernando (2009): Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham. Published in: Jurnal Ekonomi dan Bisnis , Vol. 3, No. 3 (November 2009): pp. 203-223.

Pasaribu, Rowland Bismark Fernando (2009): Koreksi Bias Koefisien Beta. Published in: Jurnal Ekonomi dan Bisnis , Vol. 3, No. 3 (July 2009): pp. 81-89.

Pasaribu, Rowland Bismark Fernando (2009): Koreksi Bias Koefisien Beta. Published in: Jurnal Ekonomi dan Bisnis , Vol. 3, No. 3 (July 2009): pp. 81-89.

Pasaribu, Rowland Bismark Fernando (2010): Pemilihan Model Asset Pricing. Published in: Jurnal Akuntansi dan Manajemen , Vol. 21, No. 3 (December 2010): pp. 217-230.

Pasaribu, Rowland Bismark Fernando (2008): Pengaruh Variabel Fundamental terhadap Harga Saham Perusahaan Go-public di Bursa Efek Indonesia periode 2003-2006. Published in: Jurnal Ekonomi dan Bisnis , Vol. 2, No. 2 (July 2008): pp. 101-113.

Pascalau, Razvan and 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.

Penasse, Julien (2008): Cash Flow-Wise ABCDS pricing.

Pereira Reichhardt, Joaquín and Iqbal, Tabassum (2014): Investment Decisions: Are we fully-Rational?

Perez, Marcos and Ahn, Seung Chan (2007): GMM Estimation of the Number of Latent Factors.

Peroni, Chiara (2009): Testing Linearity in Term Structures.

Peroni, Chiara (2007): A non-parametric investigation of risk premia.

Peroni, Chiara (2008): A non-parametric investigation of risk premia.

Piasecki, Krzysztof (2011): Effectiveness of securities with fuzzy probabilistic return. Published in: Operations Research and Decisions No. 2 (2011): pp. 65-78.

Piasecki, Krzysztof (2011): Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych. Published in: (November 2011): pp. 1-132.

Prono, Todd (2011): When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models.

Puah, Chin-Hong and Liew, Samuel Wei-Siew (2011): White-collar crime and stock return: Empirical study from announcement effect.

Puah, Chin-Hong and Tan, Lay-Phin and Md Isa, Abu Hassan (2009): Nexus between Oil Price and Stock Performance of Power Industry in Malaysia.

Q

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.

R

Radkov, Petar (2010): The Mean Reversion Stochastic Processes Applications in Risk Management.

Rambaccussing, Dooruj (2009): Exploiting price misalignements.

Rambaccussing, Dooruj (2010): A real-time trading rule.

Reis, Luciana and Meurer, Roberto and Da Silva, Sergio (2008): Stock returns and foreign investment in Brazil.

Rizvi, Syed Aun and Masih, Mansur (2013): Do Shariah (Islamic) Indices Provide a Safer Avenue in Crisis? Empirical Evidence from Dow Jones Indices using Multivariate GARCH-DCC.

Rosenthal, Dale W.R. (2012): Approximating correlated defaults.

Rosenthal, Dale W.R. (2012): Performance metrics for algorithmic traders.

Rossi, Francesco (2011): Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates.

Rossi, Francesco (2012): U.K. cross-sectional equity data: The case for robust investability filters. Published in: European Economics Letters , Vol. 1, No. 1 (December 2012): pp. 6-13.

Rossi, Francesco (2011): U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters.

Rubio, Gonzalo and Lozano, Martin (2009): Evaluating alternative methods for testing asset pricing models with historical data. Forthcoming in: Journal of Empirical Finance

S

SHAH, Syed Muhammad Noaman Ahmed and KEBEWAR, mazen (2013): US Corporate Bond Yield Spread: A default risk debate.

Sakagami, Yoshitaka (2012): A note on the pricing of the perpetual American capped power put option.

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.

Saleem, Kashif and Vaihekoski, Mika (2007): Time-varying global and local sources of risk in Russian stock market.

Santos, Carlos (2011): The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis.

Saturnino, Odilon and Saturnino, Valéria and Lucena, Pierre and Caetano, Marcelino and Florencio dos Santos, Josete (2012): Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L).

Saumitra, Bhaduri (2012): A note on the empirical test of herding: a threshold regression approach.

Schied, Alexander and Schoeneborn, Torsten (2008): Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets.

Schmidt, Frederik (2009): The Undervaluation of Distressed Company's Equity.

Schoeneborn, Torsten and Schied, Alexander (2007): Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision.

Shachat, Jason and Srivinasan, Anand (2011): Informational price cascades and non-aggregation of asymmetric information in experimental asset markets.

Shachat, Jason and Wang, Hang (2014): Are You Experienced?

Shahzad, Syed Jawad Hussain and Zakaria, Muhammad and Raza, Naveed (2014): Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame.

Shaikh, Salman (2013): Investment Decisions by Analysts: A Case Study of KSE. Forthcoming in: 3rd IRC Proceedings, Szabist Karachi , Vol. 1, No. 1 (1. December 2013)

Siddiqi, Hammad (2013): Analogy Making, Option Prices, and Implied Volatility.

Siddiqi, Hammad (2009): Coarse Thinking and Pricing a Financial Option.

Siddiqi, Hammad (2010): Coarse thinking, implied volatility, and the valuation of call and put options.

Siddiqi, Hammad (2009): Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment.

Siddiqi, Hammad (2013): Mental Accounting: A Closed-Form Alternative to the Black Scholes Model.

Siddiqi, Hammad (2007): Rational Interacting Agents and Volatility Clustering: A New Approach.

Siddiqi, Hammad (2011): Thinking by analogy, systematic risk, and option prices.

Siddiqi, Hammad (2010): The relevance of coarse thinking for investors' willingness to pay: An experimental study.

Simarmata, Djamester A. (2005): Institutions for Healthy Assets Market and Economy: A Retrospect for Indonesia before 1997. Published in: Economic Jounal. Journal of Faculty of Economics Padjadjaran Universty , Vol. Volume, No. No. 2 (September 2005): pp. 149-180.

Singh, Saurabh and Saharawat, Swati (2011): Hedging dynamics with gold futures. Published in: Pantnagar Journal of Research , Vol. 10, No. 1 (2012): pp. 71-77.

Sinha, Pankaj and Agnihotri, Shalini (2014): Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH.

Sinha, Pankaj and Goyal, Lavleen (2012): Algorithm for construction of portfolio of stocks using Treynor’s ratio.

Sinha, Pankaj and Jayaraman, Prabha (2012): Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques.

Sinha, Pankaj and Mathur, Kritika (2012): Evolution of security transaction tax in India.

Sinha, Pankaj and Mathur, Kritika (2013): Price, Return and Volatility Linkages of Base Metal Futures traded in India.

Sirucek, Martin (2012): Macroeconomic variables and stock market: US review. Forthcoming in: International journal of computer science and management studies (2012)

So, Leh-chyan (2013): Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis. Forthcoming in: Annals of Financial Economics

Song, In Ho (2010): House Prices and Consumption.

Stefanescu, Razvan and Dumitriu, Ramona (2010): Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania. Published in: Proceedings of the International Conference on Economics and Administration, Bucharest, June 3 – 4, 2011 (15. May 2010): pp. 595-607.

Stravelakis, Nikos (2014): Financial Crisis and Economic Depression: 'Post Hoc Ego Propter Hoc'? Implications for Financial Asset Valuation and Financial Regulation. Forthcoming in:

Subhani, Muhammad Imtiaz and Hasan, Syed Akif and 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.

Sun, David and Chow, Da-Ching (2014): Forgive, or Award, Your Debtor? - A Barrier Option Approach.

Sun, David and Tsai, Shih-Chuan (2013): Diversifying Risks in Bond Portfolios: A Cross-border Approach.

Sun, David and Tsai, Shih-Chuan and Wang, Wei (2011): Behavioral investment strategy matters: a statistical arbitrage approach.

Swastika, Purti and Dewandaru, Ginanjar and Masih, Mansur (2013): The Impact of Debt on Economic Growth: A Case Study of Indonesia.

Syed ali, Raza and Syed tehseen, jawaid and Imtiaz, arif and Fahim, qazi (2011): Validity of capital asset pricing model: evidence from Karachi stock exchange.

Sylvain, Serginio (2014): Does Human Capital Risk Explain The Value Premium Puzzle?

T

Taboga, Marco (2008): Macro-finance VARs and bond risk premia: a caveat.

Taboga, Marco (2007): Structural change and the bond yield conundrum.

Tatom, John (2005): Is Your Bubble About to Burst?

Termos, Ali (2008): Capital Investment as Real Options: A Note on Dixit-Pindyck Model.

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.

Todd, Prono (2009): Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique.

Tola, Albi and Wälti, Sébastien (2012): Deciphering financial contagion in the euro area during the crisis.

Tomić, Bojan (2013): The application of the capital asset pricing model on the Croatian capital market. Published in: Financije i pravo , Vol. 1, No. 1 (2013): pp. 105-123.

Tomić, Bojan and Sesar, Andrijana and Džaja, Tomislav (2014): Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa. Published in: Accounting and Management No. 15th International Scientific and Professional Conference (June 2014): pp. 265-283.

Trabelsi, Mohamed Ali (2008): Peut-on encore parler des mesures de performance ? Published in: Revue Tunisienne d'Economie et de Gestion , Vol. Volume, (2008): pp. 265-295.

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.

U

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)

Ulibarri, Carlos A. (1998): Is after-hours trading informative? Published in: Journal of Futures Markets , Vol. 18, No. 5 (1998): pp. 563-579.

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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.

Vanini, Paolo (2012): Fiancial Innovation, Structuring and Risk Transfer.

Varadi, Vijay Kumar (2012): An evidence of speculation in Indian commodity markets.

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.

Venegas-Martínez, Francisco (2014): Caracterización del Precio de un Bono Cupón Cero en un Modelo de Equilibrio General.

Venegas-Martínez, Francisco (2014): Entendiendo los mercados de swaps: Un enfoque de equilibrio general.

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.

Verbic, Miroslav (2006): Memory and Asset Pricing Models with Heterogeneous Beliefs.

Vink, Dennis (2007): ABS, MBS and CDO compared: an empirical analysis. Published in: The Journal of Structured Finance , Vol. 14, No. 2 (8. August 2008): pp. 27-45.

Vo, Xuan Vinh (2010): Foreign ownership in Vietnam stock markets - an empirical analysis.

Vo, Xuan Vinh and Batten, Jonathan (2010): An Empirical Investigation of Liquidity and Stock Returns Relationship in Vietnam Stock Markets during Financial Crisis.

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.

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.

W

Wahyudi, Imam and Robbi, Abdu (2009): Exploring Determinant Factors of Bond Trading with Inventory Management Theory (Case Study of Indonesian Capital Market, January – March 2009). Published in: Indonesian Capital Market Review , Vol. 2, No. II (July 2010): pp. 87-108.

Waśniewski, Krzysztof (2010): Corporate strategies – the institutional approach.

Weber, Patrick (2012): Timing asset market peaks: the role of the liquidity risk cycle of the banking system.

Whelan, Karl (2006): Consumption and Expected Asset Returns without Assumptions About Unobservables.

Wisniewski, Tomasz Piotr and Yekini, Liafisu Sina (2014): Predicting Stock Market Returns Based on the Content of Annual Report Narrative: A New Anomaly.

X

Xiao, Tim (2013): An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk.

Xiao, Tim (2012): An Economic Examination of Collateralization in Different Financial Markets.

Xiao, Tim (2012): An Economic Examination of Collateralization in Different Financial Markets.

Xiao, Tim (2013): The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling.

Xiao, Tim (2013): Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds.

Xiao, Tim (2014): A Simple and Precise Method for Pricing Convertible Bond with Credit Risk. Forthcoming in: Journal of Derivatives and Hedge Funds , Vol. 19, No. 4 (8. February 2014): pp. 244-258.

Y

Yan, Isabel K. and Chong, Terence and Lam, Tau-Hing (2011): Is the Chinese Stock Market Really Efficient. Forthcoming in: China Economic Review

Yasmeen, and Masood, Sarwar and Saghir, Ghauri and Muhammad, Waqas (2012): The Capital Asset Pricing Model: Empirical Evidence from Pakistan. Forthcoming in:

Yoshida, Jiro (2007): Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium.

Youssef, El-Khatib and Hatemi-J, Abdulnasser (2011): On the calculation of price sensitivities with jump-diffusion structure. Published in: Journal of Statistics Applications & Probability , Vol. 3, No. 1 (2012): pp. 171-182.

Yu, Tongkui and Li, Honggang (2008): Dynamic Regimes of a Multi-agent Stock Market Model.

Yun, Tack and Kim, Jinsook and Ko, Eunmi (2012): The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models.

Z

Zaytsev, Alexander (2011): Эконометрический анализ динамики российских паевых инвестиционных фондов в кризисный и посткризисный периоды. Published in: collection of best papers of international conference "Lomonosov-2011" (October 2011): 06-40.

Zeballos, David (2011): Market Risk Measurement: Key Rate Duration as an asset allocation instrument.

Zhang, Aihua and Korn, Ralf and Ewald, Christian-Oliver (2007): Optimal management and inflation protection for defined contribution pension plans.

Zhang, Tongbin (2014): Stock Price, Real Riskless Interest Rate and Learning.

Á

Ács, Attila (2012): Liquidity and asset prices: a VECM approach. Published in: Crisis Aftermath: Economic policy changes in the EU and its Member States, Conference Proceedings, Szeged, University of Szeged , Vol. ISBN 9, (2012): pp. 13-26.

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