#MarchésFinanciers – Working papers #RePEc (11/06/2014)

research1

Source: RePEc – EconPapers

Sélection de documents de travail sur les marchés financiers:

Stock return comovements and integration within the Latin American integrated market
Carlos Castro and Nini Johana Marin 
UNIVERSIDAD DEL ROSARIO
Keywords: Comovements, correlation, market integration

Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market
Li-Xin Wang 
arXiv.org

A Multi-factor Adaptive Statistical Arbitrage Model
Wenbin Zhang, Zhen Dai, Bindu Pan and Milan Djabirov 
arXiv.org

The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
Bernard Herskovic, Bryan T. Kelly, Hanno Lustig and Stijn Van Nieuwerburgh 
National Bureau of Economic Research, Inc
JEL-code: E44 G12

 

Image: NYPL

#FinanceEntreprise – Working papers #RePEc (07/06/2014)

divers

Source: RePEc – EconPapers

Sélection de documents de travail sur la finance d’entreprise:

Finance and industrial strategy
Malcolm Sawyer 
Financialisation, Economy, Society & Sustainable D…
Keywords: industrial strategy, finance
JEL-code: G20 L52

Money management with optimal stopping of losses for maximizing the returns of futures trading
Christian Lundström 
Umeå University, Department of Economics
Keywords: Kelly criterion; Vince optimal f; Leverage; Position size; Commodity trading advisor; Managed future…
JEL-code: G11 G14 G17 G19

Friendship between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations
Karl Finger and Thomas Lux 
Kiel Institute for the World Economy
Keywords: interbank market, network formation, financial crisis
JEL-code: G21 G01 C35

Do ETFs Increase Volatility?
Itzhak Ben-David, Francesco Franzoni and Rabih Moussawi 
National Bureau of Economic Research, Inc
JEL-code: G12 G14 G15

Investment Noise and Trends
Robert F. Stambaugh 
National Bureau of Economic Research, Inc
JEL-code: G10 G11 G12 G23

 

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#Comptabilité – Working papers #RePEc (05/06/2014)

compta

Source: RePEc – EconPapers

Sélection de documents de travail en comptabilité:

The process of financial integration of EU economies
Marco Veronese Passarella 
Financialisation, Economy, Society & Sustainable D…
Keywords: Financial Crises, Govern Policy and Regulation of Financial Markets, Financial Institutions, Varieti…
JEL-code: G01 G18 G21 N20

 

Exploring Policy Options to include Petroleum, Natural Gas and Electricity under the Proposed Goods and Services Tax (GST)Regime in India
Sacchidananda Mukherjee and R. Kavita Rao 
National Institute of Public Finance and Policy
Keywords: Goods and services tax, Value added tax, Tax cascading, Tax incidence analysis, Ad valorem tax, Inpu…

 

Tax Enforcement, Technology, and the Informal Sector
Ceyhun Elgin and Mario Solis-Garcia 
Bogazici University, Department of Economics

 

Sulla composizione dell’accisa sui tabacchi: un’ipotesi di modifica del sistema di tassazione in Italia
Paolo Liberati and Massimo Paradiso 
University Library of Munich, Germany
Keywords: Taxation, Excise taxes, Tobacco
JEL-code: H22 H23 H31 H32

 

Mansion Tax: The Effect of Transfer Taxes on the Residential Real Estate Market
Wojciech Kopczuk and David J. Munroe 
National Bureau of Economic Research, Inc
JEL-code: H2 H7 R3

 

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#CorporateFinance – Working papers (#RePEc, 23/05/2014)

divers

Source: RePEc – EconPapers

Sélection de working papers dans le domaine de la finance d’entreprise:

Finance and industrial strategy
Malcolm Sawyer 
Financialisation, Economy, Society & Sustainable D…
Keywords: industrial strategy, finance
JEL-code: G20 L52

 

Money management with optimal stopping of losses for maximizing the returns of futures trading
Christian Lundström 
Umeå University, Department of Economics
Keywords: Kelly criterion; Vince optimal f; Leverage; Position size; Commodity trading advisor; Managed future…
JEL-code: G11 G14 G17 G19

 

Friendship between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations
Karl Finger and Thomas Lux 
Kiel Institute for the World Economy
Keywords: interbank market, network formation, financial crisis
JEL-code: G21 G01 C35

 

Do ETFs Increase Volatility?
Itzhak Ben-David, Francesco Franzoni and Rabih Moussawi 
National Bureau of Economic Research, Inc
JEL-code: G12 G14 G15

 

Investment Noise and Trends
Robert F. Stambaugh 
National Bureau of Economic Research, Inc
JEL-code: G10 G11 G12 G23

 

#FinancialMarkets – Working papers (#RePEc, 22/05/2014)

compta

Source: RePEc – EconPapers

Sélection de working papers dans le domaine des marchés financiers:

The Time-Varying Risk and Return Trade Off in Indian Stock Markets
Roshni Mohanty and Srinivasan P 
University Library of Munich, Germany
Keywords: Stock Market Returns, Weak-From Efficiency, India, AR-EGARCH-M model
JEL-code: C58 G1 G12

Measurement and Internalization of Systemic Risk in a Global Banking Network
Xiaobing Feng and Haibo Hu 
arXiv.org

Impact of information cost and switching of trading strategies in an artificial stock market
Yi-Fang Liu, Wei Zhang, Chao Xu, Jørgen Vitting Andersen and Hai-Chuan Xu 
HAL
Keywords: Agent-based model; heterogeneity; switching behavior; market volatility

Agglomeration Economies and Local Comovement of Stock Returns
Shihe Fu and Liwei Shan 
Working Paper
Keywords: Stock returns; Local bias; Agglomeration economies
JEL-code: G1 R1 R3

Econometric Analysis of Stock Price Co-movement in the Economic Integration of East Asia
Gregory C Chow, Shicheng Huang and Linlin Niu 
Working Paper
Keywords: economic integration, time-varying regressions, East Asia, China, US, Japan, stock prices.
JEL-code: C22 G12

Granger Causality in Risk and Detection of Extreme Risk Spillover Between Financial Markets
Yongmiao Hong, Yanhui Liu and Shouyang Wang 
Working Paper
Keywords: Cross-spectrum, Extreme downside risk, Financial contagion, Granger causality in risk,Nonlinear time…

Braided and Knotted Stocks in the Stock Market: Anticipating the flash crashes
Ovidiu Racorean 
arXiv.org

Credit Risk in the Euro area
Simon Gilchrist and Benoit Mojon 
Banque de France
Keywords: credit cycle, euro area, financial crisis.
JEL-code: E32 E43 E44

Bond Risk Premia and Gaussian Term Structure Models
Bruno Feunou and Jean-Sébastien Fontaine 
Bank of Canada
Keywords: Asset Pricing, Interest rates
JEL-code: E43 E47 G12

10 A multivariate model for financial indexes and an algorithm for detection of jumps in the volatility
Mario Bonino, Matteo Camelia and Paolo Pigato 
arXiv.org

11 The People’s Republic of China’s Financial Markets: Are They Deep and Liquid Enough for Renminbi Internationalization?
Prince Christian Cruz, Yuning Gao and Lei Lei Song 
Asian Development Bank Institute
Keywords: RMB internationalization; financial depth; bond markets; stock market; money markets
JEL-code: E40 E50

12 The Price of Euro: Evidence from Sovereign Debt Markets

Erik Makela 
Aboa Centre for Economics
Keywords: Synthetic Control Method, Monetary Union, Sovereign Risk, Government Bond Yield
JEL-code: F34 E42 G15

13 Stylized facts of price gaps in limit order books: Evidence from Chinese stocks
Gao-Feng Gu, Xiong Xiong, Yong-Jie Zhang, Wei Chen, Wei Zhang and Wei-Xing Zhou 
arXiv.org

#Accounting – Working papers (#RePEc, 20/05/2014)

compta

Source: RePEc – EconPapers

Sélection de working papers dans le domaine de la comptabilité:

Organizacijski aspekti računovodstvenih informacijskih sustava i njihova važnost
Bojan Tomić and Sandra Strancarić 
University Library of Munich, Germany
Keywords: RIS, ERP sustavi, informacijski sustavi, modul kupaca i dobavljača
JEL-code: M4 M41

Tax Obstacles for the Development of an Effective Euro-Mediterranean Free-Trade Area. An IFTA model for the European Union?
José Miguel Martín Rodríguez 
Instituto Universitario de Análisis Económico y So…
Keywords: excise duties, diesel, fuel tourism, IFTA, tax harmonization

Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?
KiHoon Jimmy Hong and Eliza Wu 
Quantitative Finance Research Centre, University o…
Keywords: Stock Returns; Fundamental Analysis; Momentum; State Space Model
JEL-code: G12 G14

The effect of tax preparation expenses for employees: Evidence from Germany
Kay Blaufus, Frank Hechtner and Axel Möhlmann 
arqus – Arbeitskreis Quantitative Steuerlehre
Keywords: response to taxation,tax advisors,tax return preparation,tax preparation expenses
JEL-code: H24 H31

Mean Reversion of the Current Account and Sustainability: Evidence from European Countries
Kurmaş Akdoğan 
Research and Monetary Policy Department, Central B…
Keywords: Current account sustainability, stationarity, non-linear adjustment, non-linear models
JEL-code: C22 F32

Do Corporate Tax Cuts Reduce International Profit Shifting?
Laura Brandstetter 
Free University Berlin, School of Business & Econo…
Keywords: corporate taxation,international profit shifting
JEL-code: F23 H25 H26

Property Tax and Fiscal Discipline in OECD Countries
Andrea Filippo Presbitero, Agnese Sacchi and Alberto Zazzaro 
Money and Finance Research group (Mo.Fi.R.) – Univ…
Keywords: Fiscal imbalance, Property tax, Sub-national governments, Tax decentralization
JEL-code: E62 H62 H71 H77

Image: NYPL

#PublicFinance – Working papers (#RePEc, 17/05/2014)

compta

Source: RePEc – EconPapers

Sélection de working papers dans le domaine des finances publiques:

Saving behavior and risk taking: Evidence from the Dutch Tax Reform in 2001
Erik Floor and Arjan Lejour 
CPB Netherlands Bureau for Economic Policy Analysi…
JEL-code: G11 H24 H31

Tax Incidence in the Presence of Tax Evasion
Philipp Doerrenberg and Denvil Duncan 
Institute for the Study of Labor (IZA)
Keywords: tax evasion, tax incidence, double auction
JEL-code: H21 H22 H26 H3 D44

How to Improve Taxes and Transfers in Israel
Philip Hemmings 
OECD Publishing
Keywords: subsidies, tax administration, welfare, taxes, transfers, Israel, environmental taxation, company ta…
JEL-code: H23 H24 H25 H26 H53 I38

Indirect taxes in oligopoly in presence of licensing opportunities
Neelanjan Sen and Rajit Biswas 
University Library of Munich, Germany
Keywords: Unit tax, Ad valorem tax, Cournot Competition, Licensing
JEL-code: D43 L13 L24

An Analysis of the President’s 2015 Budget
Congressional Budget Office 
Congressional Budget Office
JEL-code: H20 H30 H50 H51 H55 H60 H61 H62 H63 H68

Updated Budget Projections: 2014 to 2024
Congressional Budget Office 
Congressional Budget Office
JEL-code: H20 H30 H50 H51 H55 H60 H61 H62 H63 H68

Time preference and perceptions about government spending and tax: Smokers’ dependence on government support
Eiji Yamamura 
University Library of Munich, Germany
Keywords: smoker; government spending; perceived tax burden; free rider.
JEL-code: D31 H51 H55