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Finance Research Letters

2004 - 2020

Current editor(s): R. Gençay

From Elsevier
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Volume 23, issue C, 2017

Robust multivairiate extreme value at risk allocation pp. 1-11 Downloads
A. Belhajjam, M. Belbachir and S. El Ouardirhi
International stock return co-movements and trading activity pp. 12-18 Downloads
Xin Sheng, Janusz Brzeszczynski and Boulis M. Ibrahim
Inequality, demographics and the housing wealth effect: Panel quantile regression evidence for the US pp. 19-22 Downloads
Georgios Bampinas, Panagiotis Konstantinou and Theodore Panagiotidis
Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices pp. 23-30 Downloads
Elie Bouri, David Roubaud, Rania Jammazi and Ata Assaf
Efficient estimation of expected stock price returns pp. 31-38 Downloads
Dilip B. Madan
The effect of non-trading days on volatility forecasts in equity markets pp. 39-49 Downloads
Štefan Lyócsa and Peter Molnár
Dual influences of regulatory polices on real estate enterprises’ investment —based on the perspective of supply-side reform in China pp. 50-57 Downloads
Shoujin Yu, Ling Zhang, Yanni Zeng and Hao Zhang
Twitter's daily happiness sentiment and the predictability of stock returns pp. 58-64 Downloads
Wanhai You, Yawei Guo and Cheng Peng
Estimating volatility persistence under a Brexit-vote structural break pp. 65-68 Downloads
Tola Adesina
Sticky dividends: A new explanation pp. 69-79 Downloads
Chang Yong Ha, Hyun Joong Im and Ya Kang
Trust and Governance: The conditioning role of national culture pp. 80-86 Downloads
John W. Goodell
Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions pp. 87-95 Downloads
Elie Bouri, Rangan Gupta, Aviral Tiwari and David Roubaud
Do cointegrated commodities bubble together? the case of hog, corn, and soybean pp. 96-102 Downloads
Christos Alexakis, Guillaume Bagnarosa and Michael Dowling
The timing of low-volatility strategy pp. 114-120 Downloads
Ching-Chi Hsu and Miao-Ling Chen
Herding effect on idiosyncratic volatility in U.S. industries pp. 121-132 Downloads
Ahmed BenSaïda
Flexible firm-level dividends in Latin America pp. 133-136 Downloads
Henk von Eije, Abhinav Goyal and Cal B. Muckley
Volatility patterns of the constituents of FTSE100 in the aftermath of the U.K. Brexit referendum pp. 137-146 Downloads
Bernard Ben Sita
Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises pp. 147-151 Downloads
Halim Abourachid, Alexander Kubo and Sven Orbach
Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis pp. 152-164 Downloads
Eduard Baumohl and Štefan Lyócsa
Geopolitical risks and the oil-stock nexus over 1899–2016 pp. 165-173 Downloads
Nikolaos Antonakakis, Rangan Gupta, Christos Kollias and Stephanos Papadamou
The impact of transaction costs on state-contingent claims mispricing pp. 174-178 Downloads
Valerio Restocchi, Frank McGroarty, Enrico Gerding and Johnnie E.V. Johnson
Communist party committee direct control and the market value of corporate cash holdings pp. 179-189 Downloads
Xiaorong Li, Fan Zhang and Kam C. Chan
Effects of anti-corruption on firm performance: Evidence from a quasi-natural experiment in China pp. 190-195 Downloads
Dongmin Kong, Li Wang and Maobin Wang
Learning to wait pp. 196-201 Downloads
Jinghan Cai, Jibao He and Weili Zhai
Long vs. short term asymmetry in volatility and the term structure of risk pp. 202-209 Downloads
Carl Lönnbark
Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks pp. 210-216 Downloads
Dehua Shen, Xiao Li and Wei Zhang
Investor inattention around stock market holidays pp. 217-222 Downloads
Matthew Hood and Vance Lesseig
Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets pp. 223-232 Downloads
Seema Narayan and Mobeen Ur Rehman
Gambler's attention and the mean-variance relation: Evidence from China pp. 233-238 Downloads
Jing Yao and Lingyan Wu
Impact of International capital flows on emerging markets’ sovereign risk premium – demand vs. vulnerability effect pp. 239-245 Downloads
Karolina Konopczak and Michał Konopczak
Does the removal of the IPO lockup matter in IPO pricing? pp. 246-252 Downloads
Shenghao Gao, Jinzhao Liu and Kam C. Chan
Cross-border mergers and acquisitions: Evidence from the Indochina region pp. 253-256 Downloads
Manapol Ekkayokkaya, Pimnipa Foojinphan and Christian Wolff
The evolution of market power in European banking pp. 257-262 Downloads
Paula Cruz-García, Juan Fernández de Guevara and Joaquin Maudos
Investor familiarity and corporate debt financing conditions pp. 263-268 Downloads
Leonie Herrmann and Oscar A. Stolper
Marginal speculation and hedging in commodity markets pp. 269-282 Downloads
Veysel Ulusoy and Özgür Ünal Onbirler
Dynamic correlation of precious metals and flight-to-quality in developed markets pp. 283-290 Downloads
Tony Klein
Exploring CSR and financial performance of full-service and low-cost air carriers pp. 291-299 Downloads
Ann Shawing Yang and Suvd Baasandorj
On the transaction cost of Bitcoin pp. 300-305 Downloads
Thomas Kim
Firm-specific credit risk estimation in the presence of regimes and noisy prices pp. 306-313 Downloads
Jean-François Bégin, Mathieu Boudreault and Geneviève Gauthier

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
Page updated 2020-09-29