Finance Research Letters

2004 - 2008

Edited by R. Gençay

from Elsevier
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Volume 5, issue 2, 2008

Mutual fund theorems when minimizing the probability of lifetime ruin pp. 69-78

Erhan Bayraktar and Virginia R. Young

Option prices as probabilities pp. 79-87

D. Madan, B. Roynette and Marc Yor

Positivity constraints on the conditional variances in the family of conditional correlation GARCH models pp. 88-95

Tomoaki Nakatani and Teräsvirta, Timo

Modeling duration clusters with dynamic copulas pp. 96-103

Wing Lon Ng

Interpreting long-horizon estimates in predictive regressions pp. 104-117

Erik Hjalmarsson

Robustness of the risk-return relationship in the U.S. stock market pp. 118-127

Markku Lanne and Jani Luoto

Volume 5, issue 1, 2008

Editorial for "Challenge" pp. 1-1

Gençay, Ramo, Sugato Bhattacharyya, Toni Whited and Amir Yaron

Patterns in cross market liquidity pp. 2-10

Matthew Spiegel

Modeling loan commitments pp. 11-20

Sudheer Chava and Robert Jarrow

On the predictive power of the surplus consumption ratio pp. 21-31

Imen Ghattassi

Implementing likelihood-based inference for fat-tailed distributions pp. 32-46

M. Rekkas and A. Wong

The Stambaugh bias in panel predictive regressions pp. 47-58

Erik Hjalmarsson

On measuring concentration in banking systems pp. 59-67

Carlos Alegria and Klaus Schaeck

Volume 4, issue 4, 2007

Why inexperienced investors do not learn: They do not know their past portfolio performance pp. 203-216

Markus Glaser and Martin Weber

Time series patterns in credit ratings pp. 217-226

Dror Parnes

S&P 500 implied volatility and monetary policy announcements pp. 227-232

En-Te Chen and Adam Clements

Equity duration and convexity when firms can fail or stagnate pp. 233-241

Sherrill Shaffer

Investment option under CIR interest rates pp. 242-253

Julio Carmona and Angel Leon

The MOSUM of squares test for monitoring variance changes pp. 254-260

Hsu, Chih-Chiang

Volume 4, issue 3, 2007

Optimality of the RiskMetrics VaR model pp. 137-145

Gonzalez-Rivera, Gloria, Lee, Tae-Hwy and Emre Yoldas

The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders pp. 146-154

John Cotter and Kevin Dowd

Learning, price formation and the early season bias in the NBA pp. 155-164

Edward A. Baryla , Richard A. Borghesi, William H. Dare and Steven A. Dennis

A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables pp. 165-171

Francis In and Sangbae Kim

The creation of wealth pp. 172-178

Klaus Hellwig

What is the correct meaning of implied volatility? pp. 179-185

In Joon Kim, Gun Youb Park and Hyun, Jung-Soon

Putting the dividend-price ratio under the microscope pp. 186-195

Jun Nagayasu

Comments on and corrigendum to "Hedging errors with Leland's option model in the presence of transaction costs" [Finance Research Letters 4 (2007) 49-58] pp. 196-199

Yonggan Zhao and William T. Ziemba

Comments on "Hedging errors with Leland's option model in the presence of transactions costs" pp. 200-202

Hayne Ellis Leland

Volume 4, issue 2, 2007

The navigation of an iceberg: The optimal use of hidden orders pp. 68-81

Angelika Esser and Burkart Monch

Rare events and annuity market participation pp. 82-91

Paula Lopes and Alexander Michaelides

Fully modified estimation with nearly integrated regressors pp. 92-94

Erik Hjalmarsson

The impact of keeping up with the Joneses behavior on asset prices and portfolio choice pp. 95-103

Gomez, Juan-Pedro

Temporal aggregation and risk-return relation pp. 104-115

Xing Jin, Leping Wang and Jun Yu

An analytic approximation formula for pricing zero-coupon bonds pp. 116-126

Youngsoo Choi and Tony S. Wirjanto

A note on myopic loss aversion and the equity premium puzzle pp. 127-136

Stefan Zeisberger, Thomas Langer and Mark Trede

Volume 4, issue 1, 2007

Pitfalls in static superhedging of barrier options pp. 2-9

Holger Kraft

Exploring the components of credit risk in credit default swaps pp. 10-18

Frank J. Fabozzi, Xiaolin Cheng and Chen, Ren-Raw

Asymmetric wealth gains in joint ventures: Theory and evidence pp. 19-27

M.V. Shyam Kumar

On the use of the Box-Cox transformation on conditional variance models pp. 28-32

G. Tsiotas

Closed-form valuation of American call options on stocks paying multiple dividends pp. 33-48

Danny Cassimon, P.J. Engelen, L. Thomassen and M. Van Wouwe

Hedging errors with Leland's option model in the presence of transaction costs pp. 49-58

Yonggan Zhao and William T. Ziemba

Underlying assets for which options complete the market pp. 59-66

Valentina Galvani

Volume 3, issue 4, 2006

Exchange rates and order flow in the long run pp. 235-243

M. Martin Boyer and Simon van Norden

The value, size, and momentum spread during distressed economic periods pp. 244-252

Bala Arshanapalli, Frank J. Fabozzi and William Nelson

On the relation between the market-to-book ratio, growth opportunity, and leverage ratio pp. 253-266

Long Chen and Xinlei Zhao

A note on generalized distortion risk measures pp. 267-272

Werner Hurlimann

The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class pp. 273-276

George A. Christodoulakis and David A. Peel

Quadratic term structure models in discrete time pp. 277-289

Marco Realdon

Volume 3, issue 3, 2006

Modeling default risk: A new structural approach pp. 165-172

Yildiray Yildirim

Tilting safety first and the Sharpe portfolio pp. 173-180

M. Ryan Haley and M. Kevin McGee

Disentangling risk aversion and intertemporal substitution through a reference level pp. 181-193

Rene Garcia, Eric Renault and Andrei Semenov

Expanding the frontier one asset at a time pp. 194-206

Andrey D. Ukhov

A note on a barrier exchange option: The world's simplest option formula? pp. 207-211

Snorre Lindset and Persson, Svein-Arne

The interaction between technical currency trading and exchange rate fluctuations pp. 212-233

Stephan Schulmeister

Volume 3, issue 2, 2006

From default probabilities to credit spreads: Credit risk models do explain market prices pp. 79-95

Stefan M. Denzler, Michel Dacorogna, Ulrich A. Muller and Alexander J. McNeil

Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment pp. 96-101

Peter L. Bossaerts and William R. Zame

Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment" pp. 102-105

Kenneth L. Judd, Felix Kubler and Karl Schmedders

Markowitz meets Kahneman: Portfolio selection under divided attention pp. 106-113

Diego Nocetti

Modeling dynamic conditional correlations in WTI oil forward and futures returns pp. 114-132

Alessandro Lanza, Matteo Manera and Michael McAleer

The robustness of asset pricing models: Coskewness and cokurtosis pp. 133-146

Masakazu Ando and Jiro Hodoshima

Explaining inertia in closed-end fund prices pp. 147-153

Michael Bleaney and Richard Todd Smith

Explosive bubbles in the cointegrated VAR model pp. 154-162

Tom Engsted

Volume 3, issue 1, 2006

Revisiting cumulative preferred stock valuation pp. 2-13

Marco Realdon

The Fed model: A note pp. 14-22

Javier Estrada

On the sequencing of projects, reputation building, and relationship finance pp. 23-39

Dominik Egli, Steven Ongena and David C. Smith

Do insiders crowd out analysts? pp. 40-48

Aaron Gilbert, Tourani-Rad, Alireza and Tomasz Piotr Wisniewski

Moments of the estimated Sharpe ratio when the observations are not IID pp. 49-56

Yong Bao and Aman Ullah

On the robustness of cointegration tests when assessing market efficiency pp. 57-64

Neil Kellard

Options to expand: Some remarks pp. 65-72

Rossella Agliardi

A note on the relationship between industry returns and inflation through a multiscaling approach pp. 73-78

Sangbae Kim and Francis In