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Finance Research Letters

2004 - 2020

Current editor(s): R. Gençay

From Elsevier
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Volume 25, issue C, 2018

Risk transmitters and receivers in global currency markets pp. 1-9 Downloads
Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, Stelios Bekiros and Mobeen Ur Rehman
Pricing within and across asset classes pp. 10-15 Downloads
Victoria Dobrynskaya
Global cash flow sensitivities pp. 16-22 Downloads
Simon Döring, Wolfgang Drobetz, Malte Janzen and Iwan Meier
Can banks identify firms’ real earnings management? Evidence from China pp. 23-29 Downloads
Yuanhui Li, Weiqian Nie, Erwei Xiang and Hadrian Geri Djajadikerta
Acquiring organizational capital pp. 30-35 Downloads
Peixin Li, Frank Weikai Li, Baolian Wang and Zilong Zhang
Income distribution in troubled times: Disadvantage and dispersion dynamics in Europe 2005–2013 pp. 36-40 Downloads
Roger J. Bowden, Peter Posch and Daniel Ullmann
Dynamic linkages between gold and equity prices: Evidence from Indian financial services and information technology companies pp. 41-46 Downloads
Shubhasis Dey and Aravind Sampath
Short selling and the rounding of analysts’ forecasts pp. 47-54 Downloads
Hae Mi Choi
Distribution uncertainty and expected stock returns pp. 55-61 Downloads
Joon Chae and Eun Jung Lee
Refinancing pressure and earnings management: Evidence from changes in short-term debt and discretionary accruals pp. 62-68 Downloads
L. Paige Fields, Manu Gupta, Mike Wilkins and Shage Zhang
Family ownership and risk taking pp. 69-75 Downloads
Eun Jung Lee, Joon Chae and Yu Kyung Lee
A parametric bootstrap to evaluate portfolio allocation models pp. 76-82 Downloads
Wentworth Boynton and Fang Chen
Unit root quantile autoregression testing with smooth structural changes pp. 83-89 Downloads
Haiqi Li and Chaowen Zheng
Signaling through government subsidy: Certification or endorsement pp. 90-95 Downloads
Ziqiao Yan and Yue Li
Bid–ask spread and liquidity searching behaviour of informed investors in option markets pp. 96-102 Downloads
Alejandro Bernales, Carlos Cañón and Thanos Verousis
Bitcoin, gold and the US dollar – A replication and extension pp. 103-110 Downloads
Dirk G. Baur, Thomas Dimpfl and Konstantin Kuck
Institutional quality and FDI inflows in Arab economies pp. 111-123 Downloads
Omar Ghazy Aziz
Financial openness and market liquidity in emerging markets pp. 124-130 Downloads
Chia-Hao Lee and Pei-I Chou
The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach pp. 131-136 Downloads
Rangan Gupta, John Weirstrasd Muteba Mwamba and Mark Wohar
Foreign investors and the speed of price adjustment across multiple correlation regimes in Korea pp. 137-144 Downloads
Jinyong Kim and Yongsik Kim
Estimating stochastic volatility with jumps and asymmetry in Asian markets pp. 145-153 Downloads
K. Saranya and P. Krishna Prasanna
Ownership structure in Japanese banking industry: Evolution and effects pp. 154-159 Downloads
Bing Li, Changhong Li and Zhenyu Wu
Does inflation affect sensitivity of investment to stock prices? Evidence from emerging markets pp. 160-164 Downloads
Omar Farooq and Neveen Ahmed
Internal control weakness, investment and firm valuation pp. 165-171 Downloads
Gady Jacoby, Yingqi Li, Tianze Li and Steven Xiaofan Zheng
Public capital and asset prices: Time-series evidence from Japan pp. 172-176 Downloads
Kazuki Hiraga, Masafumi Kozuka and Tomomi Miyazaki
Short-run price performance of venture capital trust in initial public offerings pp. 177-182 Downloads
Tianna Yang, Wenxuan Hou and Ping Li
Strike asymptotics for Laplace implied volatilities pp. 183-189 Downloads
Dilip B. Madan and King Wang
Effects of investor attention on commodity futures markets pp. 190-195 Downloads
Yi Kou, Qiang Ye, Feng Zhao and Xiaolin Wang
Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies pp. 196-201 Downloads
Jinal Patel, Vincenzo Russo and Frank Fabozzi
Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach pp. 202-212 Downloads
Xiaoye Jin
The effects of pre-/post-retirement downside consumption constraints on optimal consumption, portfolio, and retirement pp. 213-221 Downloads
Byung Hwa Lim, Ho-Seok Lee and Yong Hyun Shin
Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from China's stock market pp. 222-229 Downloads
Yuan Ping and Rui Li
Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets pp. 230-238 Downloads
Walid Mensi, Ferihane Zaraa Boubaker, Khamis Hamed Al-Yahyaee and Sang Hoon Kang
Loan loss provisions and macroeconomic shocks: Some empirical evidence for italian banks during the crisis pp. 239-243 Downloads
Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli and Juan Sergio Lopez
How does short selling affect liquidity in financial markets? pp. 244-250 Downloads
Benjamin Blau and Ryan J. Whitby
Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach pp. 251-258 Downloads
Peng Guo, Huiming Zhu and Wanhai You
Another look at anchoring and stock return predictability pp. 259-265 Downloads
Ajay Bhootra
How does credit market distortion affect corporate investment efficiency? The role of managerial forecast pp. 266-273 Downloads
Yizhong Wang, Lifang Chen, Ying Sophie Huang and Yong Li
When institutions passively curb earnings management: Evidence from the Korean market pp. 274-279 Downloads
Chune Young Chung, Ji Hoon Hwang, Donghyun Kim and Chang Liu
Time-varying long-term memory in Bitcoin market pp. 280-284 Downloads
Yonghong Jiang, He Nie and Weihua Ruan

Volume 24, issue C, 2018

The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis pp. 1-9 Downloads
Nikolaos Antonakakis, Tsangyao Chang, Juncal Cuñado and Rangan Gupta
Risk-adjusted performance of portfolio insurance and investors’ preferences pp. 10-18 Downloads
Dima Tawil
Comovements of gold futures markets and the spot market: A wavelet analysis pp. 19-24 Downloads
Sangram Keshari Jena, Aviral Tiwari and David Roubaud
Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets pp. 25-33 Downloads
Fangfei Zhu, Yabei Zhu, Xuejun Jin and Xingguo Luo
The EMBI in Latin America: Fractional integration, non-linearities and breaks pp. 34-41 Downloads
Guglielmo Maria Caporale, Hector Carcel and Luis Gil-Alana
Terrorism and oil markets: A cross-sectional evaluation pp. 42-48 Downloads
José R. Valdivia Orbaneja, Subramanian R. Iyer and Betty Simkins
Hedge ratio on Markov regime-switching diagonal Bekk–Garch model pp. 49-55 Downloads
Yan Zhipeng and Li Shenghong
How to build a better database: When python programming meets Bloomberg's Open API pp. 64-72 Downloads
Adriano Durante and Eahab Elsaid
Long-term strategic effects of mergers and acquisitions in Asia-Pacific banks pp. 73-80 Downloads
Yoko Shirasu
Innovative efficiency and stock returns: Should we care about nonlinearity? pp. 81-89 Downloads
Houdou Basse Mama
The optimal timing of CEO compensation pp. 90-94 Downloads
Pierre Chaigneau
A new approach to the analysis of monetary policy transmission through bank capital pp. 95-104 Downloads
María Cantero Sáiz, Sergio Sanfilippo Azofra, Begoña Torre Olmo and Carlos López Gutiérrez
A simulation comparison of risk measures for portfolio optimization pp. 105-112 Downloads
Marcelo Brutti Righi and Denis Borenstein
Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps pp. 113-128 Downloads
Siti Maghfirotul Ulyah, Xenos Chang-Shuo Lin and Daniel Wei-Chung Miao
Idiosyncratic tail risk and expected stock returns: Evidence from the Chinese stock markets pp. 129-136 Downloads
Huaigang Long, Yuexiang Jiang and Yanjian Zhu
Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution pp. 137-144 Downloads
Libing Fang, Baizhu Chen, Honghai Yu and Yichuo Qian
Readability of the credit card agreements and financial charges pp. 145-150 Downloads
Alyxandra Cash and Hui-Ju Tsai
The relationship among China’s fuel oil spot, futures and stock markets pp. 151-162 Downloads
Li Ping, Zhang Ziyi, Yang Tianna and Zeng Qingchao
Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight pp. 163-167 Downloads
Adam Zaremba, Anna Czapkiewicz and Barbara Będowska-Sójka
One-fund separation in incomplete markets with two assets pp. 168-174 Downloads
Dong Chul Won
Understanding the outperformance of the minimum variance portfolio pp. 175-178 Downloads
Ziemowit Bednarek and Pratish Patel
How do anticorruption measures affect executive incentive? pp. 179-185 Downloads
Ni Tian and Zongyi Zhang
The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs pp. 186-192 Downloads
Pär Österholm
Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH pp. 193-198 Downloads
Szabolcs Blazsek, Daniela Carrizo, Ricardo Eskildsen and Humberto Gonzalez
Exploring the Persistent Behavior of Financial Markets pp. 199-220 Downloads
Yi-Cheng Tsai, Chin-Laung Lei, William Cheung, Chung-Shu Wu, Jan-Ming Ho and Chuan-Ju Wang
Comparison of utility indifference pricing and mean-variance approach under normal mixture pp. 221-229 Downloads
Jiro Hodoshima, Tetsuya Misawa and Yoshio Miyahara
Financial inclusion and stability in MENA: Evidence from poverty and inequality pp. 230-237 Downloads
Simon Neaime and Isabelle Gaysset
Institutional correlates with female board representation pp. 238-246 Downloads
Thomas R. Loy and Hendrik Rupertus
Index futures volatility and trading activity: Measuring causality at a multiple horizon pp. 247-255 Downloads
Sangram Keshari Jena, Aviral Tiwari, David Roubaud and Muhammad Shahbaz
Do precious and industrial metals act as hedges and safe havens for currency portfolios? pp. 256-262 Downloads
Ryuta Sakemoto
Inflation targeting and exchange market pressure in developing economies: Some international evidence pp. 263-272 Downloads
Than Than Soe and Makoto Kakinaka
Avoiding regret in an agent-based asset pricing model pp. 273-277 Downloads
Radu T. Pruna, Maria Polukarov and Nicholas R. Jennings
Unwinding ZIRP: A simulation analysis pp. 278-288 Downloads
Todd Feldman
A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio pp. 289-290 Downloads
Benjamin R. Auer
Institutional investment horizon and dividend policy: An empirical study of UK firms pp. 291-300 Downloads
Erhan Kilincarslan and Ozgur Ozdemir
Option pricing under regime switching: Integration over simplexes method pp. 301-312 Downloads
Bong-Gyu Jang and Hyeon-Wuk Tae
A new approach for detecting high-frequency trading from order and trade data pp. 313-320 Downloads
Cumhur Ekinci and Oguz Ersan
Closed-form solutions for valuing partial lookback options with random initiation pp. 321-327 Downloads
Geonwoo Kim and Junkee Jeon
Institutional ownership and corporate transparency in China pp. 328-336 Downloads
Ningyue Liu, Elaine Laing, Yue Cao and Xiaofei Zhang
Page updated 2020-09-29