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Finance Research Letters

2004 - 2017

Current editor(s): R. Gençay

From Elsevier
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Volume 22, issue C, 2017

Impacts of the mass media effect on investor sentiment pp. 1-4 Downloads
Wen Yang, Dongtong Lin and Zelong Yi
Cumulative Prospect Theory for piecewise continuous distributions pp. 5-10 Downloads
Marc Gürtler and Julia Stolpe
Fixed-price, auction, and bookbuilding IPOs: Empirical evidence in Taiwan pp. 11-19 Downloads
Hsin-Yi Huang, Min-Hsien Chiang, Jia-Hui Lin and Yun Lin
Pension funds rules: Paradoxes in risk control pp. 20-29 Downloads
Marinella Cadoni, Roberta Melis and Alessandro Trudda
Corporate cash-pool valuation in a multi-firm context: A closed formula pp. 30-34 Downloads
Edina Berlinger, Zsolt Bihary and György Walter
On the short-term predictability of stock returns: A quantile boosting approach pp. 35-41 Downloads
Riza Demirer, Christian Pierdzioch and Huacheng Zhang
Identifying events in financial time series – A new approach with bipower variation pp. 42-48 Downloads
György Andor and András Bohák
Ownership dispersion and bank performance: Evidence from China pp. 49-52 Downloads
Wenlong Bian and Chao Deng
Shareholder rights in mergers and acquisitions: Are appraisal rights being abused? pp. 53-57 Downloads
Jonathan Kalodimos and Clark Lundberg
An examination of investors’ reaction to the announcement of CoCo bonds issuance: A global outlook pp. 58-65 Downloads
Qunfeng Liao, Seyed Mehdian and Rasoul Rezvanian
Comparing performance sensitivity of retail and institutional mutual funds’ investment flows pp. 66-73 Downloads
Mieszko Mazur, Galla Salganik-Shoshan and Maxim Zagonov
Bank bailouts in Europe and bank performance pp. 74-80 Downloads
Maria Gerhardt and Rudi Vander Vennet
Why do microfinance institutions fail socially? A global empirical examination pp. 81-89 Downloads
Gregor Dorfleitner, Christopher Priberny and Michaela Röhe
An empirical investigation of capital structure and firm value in Vietnam pp. 90-94 Downloads
Xuan Vinh Vo and Craig Ellis
Implementing and testing the Maximum Drawdown at Risk pp. 95-100 Downloads
Beatriz Vaz de Melo Mendes and Rafael Coelho Lavrado
How does the stock market value bank diversification? Evidence from Vietnam pp. 101-104 Downloads
Xuan Vinh Vo
High turnover with high price delay? Dissecting the puzzling phenomenon for China's A-shares pp. 105-113 Downloads
Meifen Qian, Ping-Wen Sun and Bin Yu
Can agents sensitive to cultural, organizational and environmental issues avoid herding? pp. 114-121 Downloads
Natividad Blasco, Pilar Corredor and Sandra Ferreruela
Superiority of optimized portfolios to naive diversification: Fact or fiction? pp. 122-128 Downloads
Valeriy Zakamulin
CEO age and CEO gender: Are female CEOs older than their male counterparts? pp. 129-135 Downloads
Pradit Withisuphakorn and Pornsit Jiraporn
Sampling frequency and the performance of different types of technical trading rules pp. 136-139 Downloads
Robert Hudson, Frank McGroarty and Andrew Urquhart
What determines bank CDS spreads? Evidence from European and US banks pp. 140-145 Downloads
Danilo Drago, Caterina Di Tommaso and John Thornton
Selling out or going public? A real options signaling approach pp. 146-152 Downloads
Michi Nishihara
Negative interest rates as systemic risk event pp. 153-157 Downloads
Łukasz Kamil Kurowski and Karol Rogowicz
Return distribution, leverage effect and spot-futures spread on the hedging effectiveness pp. 158-162 Downloads
Wei-Shun Kao, Chu-Hsiung Lin, Chang-Cheng Changchien and Chien-Hui Wu
Stock market contagion during the global financial crisis: A multiscale approach pp. 163-168 Downloads
Gang-Jin Wang, Chi Xie, Min Lin and H. Eugene Stanley
Determining risk model confidence sets pp. 169-174 Downloads
Mark Cummins, Michael Dowling and Francesco Esposito
Brexit: Short-term stock price effects and the impact of firm-level internationalization pp. 175-181 Downloads
Andreas Oehler, Matthias Horn and Stefan Wendt
Performance persistence of government bond factor premia pp. 182-189 Downloads
Adam Zaremba
Dark side of investment in employee education in privately-held companies pp. 190-196 Downloads
Changhong Li, Jialong Li and Zhenyu Wu
Price dynamics, social networks and communication pp. 197-201 Downloads
Bingqing Li, Lijia Wang and Guoxiang Lu
Laplacian risk management pp. 202-210 Downloads
Dilip B. Madan, Robert H. Smith and King Wang
Can tree-structured classifiers add value to the investor? pp. 211-226 Downloads
Ricardo Laborda and Juan Laborda
Time-varying causality between stock and housing markets in China pp. 227-232 Downloads
Guangping Shi, Xiaoxing Liu and Xu Zhang
A simulation on the presence of competing bidders in mergers and acquisitions pp. 233-243 Downloads
Sebouh Aintablian and Wissam El Khoury
Democracy and market crashes: Evidence from a worldwide panel of countries pp. 244-248 Downloads
Nicholas Apergis
How EPU drives long-term industry beta pp. 249-258 Downloads
Honghai Yu, Libing Fang, Donglei Du and Panpan Yan
On the use of the Moore–Penrose generalized inverse in the portfolio optimization problem pp. 259-267 Downloads
Miyoung Lee and Daehwan Kim
The impact of expected regulatory changes: The case of banks following the 2016U.S. election pp. 268-273 Downloads
Britta Hachenberg, Florian Kiesel, Sascha Kolaric and Dirk Schiereck
Fast fractional differencing in modeling long memory of conditional variance for high-frequency data pp. 274-279 Downloads
Tony Klein and Thomas Walther

Volume 21, issue C, 2017

Nonparametric tolerance limits for pair trading pp. 1-9 Downloads
Cathy W. S. Chen and Tsai-Yu Lin
Value-at-Risk estimation with stochastic interest rate models for option-bond portfolios pp. 10-20 Downloads
Xiaoyu Wang, Dejun Xie, Jingjing Jiang, Xiaoxia Wu and Jia He
Asset price risk, banks and markets pp. 21-25 Downloads
Yu Zhang
Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis pp. 26-33 Downloads
Walid Mensi, Shawkat Hammoudeh and Sang Hoon Kang
The elimination of broker voting in director elections pp. 34-39 Downloads
Ali C. Akyol, Konrad Raff and Patrick Verwijmeren
Measuring systemic risk: A comparison of alternative market-based approaches pp. 40-46 Downloads
Jacob Kleinow, Fernando Moreira, Sascha Strobl and Sami Vähämaa
Analysis of the global financial crisis using statistical moments pp. 47-52 Downloads
Doobae Jun, Changmo Ahn and Gwangil Kim
Human capital measures and stock return predictability: Macroeconomic versus microeconomic approaches pp. 53-56 Downloads
Jaeram Lee, Jungjoon Ihm and Doojin Ryu
Real option with liquidity constraints under secondary debt illiquidity risk market pp. 57-65 Downloads
Qing Xu and Jinqiang Yang
Time-varying investment barriers and closed-end country fund pricing pp. 66-71 Downloads
Richard Davies, Mary Fletcher and Andrew Marshall
Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors pp. 72-77 Downloads
Enrico Onali, Gianluca Ginesti and Luca Vincenzo Ballestra
Risk aversion vs. the Omega ratio: Consistency results pp. 78-84 Downloads
Sven Balder and Nikolaus Schweizer
Exploring the location and price differentials of cross-listed firms for arbitrage opportunities pp. 85-91 Downloads
Ann Shawing Yang and Craig Alan Uyan Carandang
How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach pp. 92-99 Downloads
Yann Braouezec
Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium pp. 100-106 Downloads
Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li
Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries pp. 107-114 Downloads
Pedro Pires Ribeiro, Rodolfo Cermeño and José Dias Curto
Real and complex wavelets in asset classification: An application to the US stock market pp. 115-125 Downloads
Joanna Bruzda
Does institutional trading drive commodities prices away from their fundamentals: Evidence from a nonparametric causality-in-quantiles test pp. 126-131 Downloads
Vassilios Babalos and Mehmet Balcilar
The distant echo of Brexit: Did exporters suffer the most? pp. 132-139 Downloads
Krzysztof Jackowicz, Łukasz Kozłowski and Błażej Podgórski
Macro news and exchange rates in the BRICS pp. 140-143 Downloads
Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo
Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods? pp. 144-150 Downloads
Harald Kinateder, Benedikt Hofstetter and Niklas Wagner
How do bond, equity and commodity cycles interact? pp. 151-156 Downloads
Paresh Kumar Narayan, Kannan S. Thuraisamy and Niklas Wagner
The forex fixing reform and its impact on cost and risk of forex trading banks pp. 157-162 Downloads
Masahiro Yamada and Takatoshi Ito
Money market funds, shadow banking and systemic risk in United Kingdom pp. 163-171 Downloads
Carlo Bellavite Pellegrini, Michele Meoli and Giovanni Urga
Impact of the Medicaid expansion on U.S. health services firms: Evidence from the 2010 Affordable Care Act pp. 172-177 Downloads
Daeyong Lee and (Alicia) Zhang, Fan
Robust asset pricing with stochastic hyperbolic discounting pp. 178-185 Downloads
Haijun Wang
On the uncertainty of art market returns pp. 186-189 Downloads
Ventura Charlin and Arturo Cifuentes
Dynamic robust portfolio selection with copulas pp. 190-200 Downloads
Yingwei Han, Ping Li and Yong Xia
Impact of persistent bad returns and volatility on retirement outcomes pp. 201-205 Downloads
Anup K. Basu and Osei K. Wiafe
The depreciation of the pound post-Brexit: Could it have been predicted? pp. 206-213 Downloads
Vasilios Plakandaras, Rangan Gupta and Mark Wohar
Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework pp. 214-221 Downloads
Xiaolei Sun, Xiaoyang Yao and Jun Wang
The impact of Shanghai–Hong Kong Stock Connect policy on A-H share price premium pp. 222-227 Downloads
Qingliang (Michael) Fan and Ting Wang
Fair risk allocation in illiquid markets pp. 228-234 Downloads
Péter Csóka
Impact of the growth opportunities of influential firms on future investment intentions: A cross-country study pp. 235-240 Downloads
Raffaele Staglianò and Guillaume Andrieu
Revisiting CAPM betas in an incomplete market: Evidence from the Korean stock market pp. 241-248 Downloads
Seok-Kyun Hur and Chune Young Chung
Forecasting intraday volume: Comparison of two early models pp. 249-258 Downloads
Balázs Árpád Szűcs
Optimal hedge ratio in a biased forward market under liquidity constraints pp. 259-263 Downloads
Barbara Dömötör
Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic pp. 264-271 Downloads
Milla Siikanen, Juho Kanniainen and Jaakko Valli
Market liquidity and stock returns in the Norwegian stock market pp. 272-276 Downloads
Thomas Leirvik, Sondre R. Fiskerstrand and Anders B. Fjellvikås
Implicit rating: A potential new method to alert crisis on the interbank lending market pp. 277-283 Downloads
Edina Berlinger
Page updated 2017-10-18