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Annals of Finance
2005 - 2012
Edited by C.D. Aliprantis
from Springer
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Volume 8, issue 1 , 2012
Signing trades and an evaluation of the Lee–Ready algorithm pp. 1-13 Marcel Blais and Philip Protter Conditions for rational investment short-termism pp. 15-29 George Christodoulakis Testing the local volatility assumption: a statistical approach pp. 31-48 Mark Podolskij and Mathieu Rosenbaum Analysing financial contagion and asymmetric market dependence with volatility indices via copulas pp. 49-74 Yue Peng and Wing Ng Strategic asset allocation with switching dependence pp. 75-96 Donatien Hainaut and Renaud MacGilchrist Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios pp. 97-122 Ba Chu VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors pp. 123-150 Jules SADEFO KAMDEM Volume 7, issue 4 , 2011
Introduction to the special issue on ownership, control and regulation pp. 425-427 Mark Bagnoli and Susan Watts Corporate governance, expropriation of minority shareholders’ rights, and performance of Latin American enterprises pp. 429-447 Marisela Santiago-Castro and Cynthia Brown Voluntary firm restructuring: why do firms sell or liquidate their subsidiaries? pp. 449-476 Alain Praet Family firms, debtholder–shareholder agency costs and the use of covenants in private debt pp. 477-509 Mark Bagnoli , Hsin-Tsai Liu and Susan Watts The interaction between corporate tax structure and disclosure policy pp. 511-527 Anil Arya and Brian Mittendorf Independents’ day? Analyst behavior surrounding the Global Settlement pp. 529-547 Jonathan Clarke , Ajay Khorana , Ajay Patel and Raghavendra Rau Volume 7, issue 3 , 2011
Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks pp. 285-318 Rustam Ibragimov and Johan Walden Central bank haircut policy pp. 319-348 James Thompson Edward Chapman , Jonathan Chiu and Miguel Molico Diversity and arbitrage in a regulatory breakup model pp. 349-374 Winslow Strong and Jean-Pierre Fouque Risk-averse asymptotics for reservation prices pp. 375-387 Laurence Carassus and Miklós Rásonyi Search and herding effects in peer-to-peer lending: evidence from prosper.com pp. 389-405 Efraim Berkovich Maximal submarkets that replicate any option pp. 407-423 Ioannis Polyrakis and Foivos Xanthos Volume 7, issue 2 , 2011
Mutual fund performance: false discoveries, bias, and power pp. 137-169 Nik Tuzov and Frederi Viens Real options with unknown-date events pp. 171-198 Oscar Gutiérrez and Francisco Ruiz-Aliseda Option pricing under a Gamma-modulated diffusion process pp. 199-219 Pilar Iglesias , Jaime San Martín , Soledad Torres and Frederi Viens Short term persistence in mutual fund market timing and stock selection abilities pp. 221-246 Evangelos Benos and Marek Jochec Subjective evaluation of delayed risky outcomes for buying and selling positions: the behavioral approach pp. 247-265 Uri Benzion , Jan Krahnen and Tal Shavit Incentivizing managers to build innovative firms pp. 267-283 Laarni Bulan and Paroma Sanyal Volume 7, issue 1 , 2011
On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting pp. 1-29 Julien Chevallier and Benoît Sévi On the effects of banks’ equity ownership on credit markets pp. 31-52 Rabah AMIR and Michael Troege IPO pricing: growth rates implied in offer prices pp. 53-82 Giordano Cogliati , Stefano Paleari and Silvio Vismara Does knowing the volatility states affect the market risk premium? pp. 83-94 Jinho Bae Corporate debt and financial balance sheet adjustment: a comparison of the United States, the United Kingdom, France and Germany pp. 95-118 Peter Gibbard and Ibrahim Stevens The forward discount puzzle and market efficiency pp. 119-135 Keith Pilbeam and Jose Olmo Volume 6, issue 4 , 2010
Robust consumption and portfolio choice for time varying investment opportunities pp. 435-454 Hening Liu On dividend restrictions and the collapse of the interbank market pp. 455-473 C. Goodhart , Udara Peiris , Dimitrios Panayotis Tsomocos and A. Vardoulakis An economy with personal currency: theory and experimental evidence pp. 475-509 Martin Angerer , Juergen Huber , Martin Shubik and Shyam Sunder Investigating the dependence structure between credit default swap spreads and the U.S. financial market pp. 511-535 Hayette Gatfaoui Indexed bonds and revisions of inflation expectations pp. 537-554 Andreas Reschreiter A financial stability index for Colombia pp. 555-581 Miguel Ángel Morales Mosquera and Dairo Estrada Volume 6, issue 3 , 2010
Irreversible investment and discounting: an arbitrage pricing approach pp. 295-315 Jacco Thijssen Investment timing in presence of downside risk: a certainty equivalent characterization pp. 317-333 Luis H. R. Alvarez and Teppo Rakkolainen On the neutrality of debt in investment intensity pp. 335-356 Kit Wong Portfolio management without probabilities or statistics pp. 357-368 Sjur Didrik Flåm Effects of corporate tax reform on optimum debt maturity pp. 369-389 Chang Woon Nam and Doina Maria Radulescu Pricing errors and estimates of risk premia in factor models pp. 391-403 Kim Sawyer , André F. Gygax and Matthew Hazledine Return attribution analysis of the UK insurance portfolios pp. 405-420 G. Christodoulakis and E Mamatzakis The decline of calendar seasonality in the Australian stock exchange, 1958–2005 pp. 421-433 Andrew Charles Worthington Volume 6, issue 2 , 2010
The fundamental theorem of asset pricing for continuous processes under small transaction costs pp. 157-191 Paolo Guasoni , Miklós Rásonyi and Walter Schachermayer Demographics and asset returns: does the dynamics of population ageing matter? pp. 193-219 Marianna Brunetti and Costanza Torricelli The two-fund separation theorem revisited pp. 221-239 Jan Wenzelburger Behavioral arbitrage with collateral and uncertain deliveries pp. 241-254 José Santiago Fajardo Information provision in financial markets pp. 255-286 Moez Bennouri , C. Clark and Jacques Robert A dynamic strategy of the informed trader with market manipulation pp. 287-294 Shino Takayama Volume 6, issue 1 , 2010
Macroeconomics of bank interest spreads: evidence from Brazil pp. 1-32 Nelson Ferreira Souza-Sobrinho Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework pp. 33-49 Chiara Pederzoli , Costanza Torricelli and Dimitrios Panayotis Tsomocos Repeated lending under contractual incompleteness pp. 51-82 Vinicius Carrasco and Joao Manoel Pinho De Mello Beliefs regarding fundamental value and optimal investing pp. 83-105 Bradford Cornell , Jaksa Cvitanic and Levon Goukasian Partial equilibria with convex capital requirements: existence, uniqueness and stability pp. 107-135 Michail Anthropelos and Gordan Žitković Strategic complementarity of information in financial markets with large shocks pp. 137-145 Christophe Chamley No arbitrage conditions for simple trading strategies pp. 147-156 Erhan Bayraktar and Hasanjan Sayit
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