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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.
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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.
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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 Kaszas, Micha (2017): Indirect Firm Valuation and Earnings Stability.
Janda, Karel and Vylezik, Tomas (2011): Financial Management of Weather Risk with Energy Derivatives.
Jaramba, Toddy and Fadiran, Gideon (2009): Analysis of Volatility transmission across South African Financial Markets.
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.
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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.
Jin, Muzhao and Kearney, Fearghal and Li, Youwei and Yang, Yung Chiang (2019): Intraday Time-series Momentum: Evidence from China.
Jiranyakul, Komain (2016): Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?
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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)
Julian, Inchauspe and Helen, Cabalu (2013): What Drives the Shanghai Stock Market? An Examination of its Linkage to Macroeconomic Fundamentals.
Jung, Kuk Mo (2015): Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns.
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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.
Kamal, Javed Bin (2012): Optimal portfolio selection in ex ante stock price bubble and furthermore bubble burst scenario from Dhaka stock exchange with relevance to sharpe’s single index model. Published in: Journal of Financial Assets and Investing No. Issue 3/2012 (30 September 2012): pp. 29-42.
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Kitov, Ivan and Kitov, Oleg (2012): Sustainable trends and periodicity in consumer price indices indicate that the era of low energy prices is approaching.
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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.
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Lakdawala, Aeimit and Wu, Shu (2017): Federal Reserve Credibility and the Term Structure of Interest Rates.
Lam, Kin and Lean, Hooi Hooi and Wong, Wing-Keung (2016): Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets. Forthcoming in: International Journal of Finance
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.
Langedijk, Sven and Monokroussos, George and Papanagiotou, Evangelia (2015): Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues.
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)
Le Van, Cuong and Pham, Ngoc-Sang and Bosi, Stefano (2019): Real indeterminacy and dynamics of asset price bubbles in general equilibrium.
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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.
Lee, David (2023): An Analytic Solution for Valuing Guaranteed Equity Securities.
Lee, David (2023): Default Forecasting and Credit Valuation Adjustment.
Lee, David (2024): Hedge Fund Investment Returns and Performance.
Lee, David (2023): Modeling Collateralization and Its Economic Significance.
Lee, King Fuei (2023): Chasing Winners in the Gray Wave: Aging Population and its Effects on Long-Horizon Momentum Profits. Forthcoming in: Journal of Behavioral Finance
Lee, King Fuei (2024): Evaluating Stock Selection in the SaaS Industry: The Effectiveness of the Rule of 40. Forthcoming in: Applied Finance Letters , Vol. 13, (July 2024): pp. 168-185.
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, David (2022): Generic Price Model for Commodity Derivatives.
Lee, David (2022): Pricing Cancellation Product.
Lee, David (2018): Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment.
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, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
Lee, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
Lee, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
Lee, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
Lee, Seungduck (2016): Money, Asset Prices and the Liquidity Premium.
Lee, Sukjoon (2020): Liquidity Premium, Credit Costs, and Optimal Monetary Policy.
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.
Lettau, Martin (2021): High Dimensional Factor Models with an Application to Mutual Fund Characteristics.
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?
Leung, Charles Ka Yui and Tse, Chung-Yi (2017): Flipping in the Housing Market.
Levy, Daniel and Mayer, Tamir and Raviv, Alon (2020): Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers.
Li, Mengling and Zheng, Huanhuan and Chong, Terence Tai Leung and Zhang, Yang (2016): The Stock-Bond Comovements and Cross-Market Trading. Published in: Journal of Economic Dynamics and Control , Vol. 73, (1 December 2016): pp. 417-438.
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.
Lim, Kian-Ping and Thian, Tze-Chung and Hooy, Chee-Wooi (2015): Corporate Shareholdings and the Liquidity of Malaysian Stocks: Investor Heterogeneity, Trading Account Types and the Underlying Channels.
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 ?
Lindblad, Annika (2017): Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility.
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.
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.
MESTRE, Roman and TERRAZA, Michel (2017): Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-.
MESTRE, Roman and Terraza, Michel (2017): Analyse Temps-fréquence du MEDAF –Application au CAC 40 –.
MESTRE, Roman and Terraza, Michel (2018): Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché -.
MODENA, MATTEO and LINCIANO, NADIA and GENTILE, MONICA and FANCELLO, FRANCESCO (2014): The liquidity of dual-listed corporate bonds: empirical evidence from Italian markets.
Maclachlan, Iain C (2007): An empirical study of corporate bond pricing with unobserved capital structure dynamics.
Magnani, Jacopo and Wang, Yabin (2020): Bond Lending and the Law of One Price in China's Treasury Markets.
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 Marchioni, Andrea (2020): Average rates of return, working capital, and NPV-consistency in project appraisal: A sensitivity analysis approach. Forthcoming in: International Journal of Production Economics (forthcoming)
Magni, Carlo Alberto and Veronese, Piero and Graziani, Rebecca (2017): Chisini means and rational decision making: Equivalence of investment criteria. Forthcoming in: Mathematics and Financial Economics
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?
Malefaki, Valia (2015): On Flexible Linear Factor Stochastic Volatility Models.
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.
Mandal, Nivedita and Das, Rituparna (2022): Price Discovery Efficiency and Resilience of Financial Futures - A Case Study of Indian Banking Sector.
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.
Matic, Jovanka Lili and Packham, Natalie and Härdle, Wolfgang Karl (2021): Hedging Cryptocurrency Options.
Matic, Jovanka Lili and Packham, Natalie and Härdle, Wolfgang Karl (2021): Hedging Cryptocurrency Options.
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.
Mehta, Deepshikha (2015): Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices.
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.
Michailova, Julija and Schmidt, Ulrich (2011): Overconfidence and bubbles in experimental asset markets. Forthcoming in: Journal of Behavioral Finance
Mikkelsen, Jakob and Poeschl, Johannes (2019): Banking Panic Risk and Macroeconomic Uncertainty.
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.
Miyakoshi, Tatsuyoshi and Shimada, Junji and Li, Kui-Wai (2016): The Impacts of the 2008 and 2011 Crises on the Japan REIT Market. Published in: Journal of the Japanese and International Economies , Vol. 41, (2016): pp. 30-40.
Moawia, Alghalith (2009): Optimal option pricing and trading: a new theory.
Modena, Matteo (2008): The term structure and the expectations hypothesis: a threshold model.
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