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Finance Research Letters

2004 - 2020

Current editor(s): R. Gençay

From Elsevier
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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

Volume 20, issue C, 2017

The relationship among information asymmetry, dividend policy and ownership structure pp. 1-12 Downloads
Tsui-Jung Lin, Yi-Pei Chen and Han-Fang Tsai
Cross-financial-market correlations and quantitative easing pp. 13-21 Downloads
Lawrence Kryzanowski, Jie Zhang and Rui Zhong
Arising borders and the value of logistic companies: Evidence from the Brexit referendum in Great Britain pp. 22-28 Downloads
Artur Tielmann and Dirk Schiereck
Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index pp. 29-34 Downloads
Xingguo Luo and Shihua Qin
Exploring rating shopping for european triple a senior structured finance securities pp. 35-39 Downloads
Frank Fabozzi, Mike E. Nawas and Dennis Vink
Systemic risk in carry-trade portfolios pp. 40-46 Downloads
Chih-Liang Liu and Hsin-Feng Yang
The day-of-the-Week effects of stock markets in different countries pp. 47-62 Downloads
Jilin Zhang, Yongzeng Lai and Jianghong Lin
The impact of fiscal rules on sovereign risk premia: International evidence pp. 63-67 Downloads
John Thornton and Chrysovalantis Vasilakis
Closed-form solutions for options with random initiation under asset price monitoring pp. 68-74 Downloads
Doobae Jun and Hyejin Ku
Oil price shocks and stock returns of oil and gas corporations pp. 75-80 Downloads
Elena Maria Diaz and Fernando Pérez de Gracia
The effects of age pension on retirement drawdown choices pp. 81-87 Downloads
Osei K. Wiafe, Anup K. Basu and John Chen
Dynamic agency and investment theory with time-inconsistent preferences pp. 88-95 Downloads
Bo Liu, Congming Mu and Jinqiang Yang
The effects of government borrowing on corporate financing: Evidence from Europe pp. 96-103 Downloads
Yusuf Ayturk
The role of corruption in shaping the value of holding cash pp. 104-108 Downloads
Maurizio La Rocca, Domenico Rocco Cambrea and Alfio Cariola
Dynamics of non-performing loans in the Turkish banking sector by an ownership breakdown: The impact of the global crisis pp. 109-117 Downloads
Vuslat Us
Examining the flight-to-safety with the implied volatilities pp. 118-124 Downloads
Ghulam Sarwar
Accrual anomaly and corporate financing activities pp. 125-129 Downloads
Georgios Papanastasopoulos
Earnings comparability and informed trading pp. 130-136 Downloads
Sangwan Kim and Steve C. Lim
Optimization of brokers’ commissions pp. 137-145 Downloads
Sebastien Lemeunier
Bayesian testing for short term interest rate models pp. 146-152 Downloads
Yonghui Zhang, Zhongtian Chen and Yong Li
Celebrities and ordinaries in social networks: Who knows more information? pp. 153-161 Downloads
Yongjie Zhang, Yahui An, Xu Feng and Xi Jin
The long-term performance of new product introductions pp. 162-169 Downloads
Li-Yu Chen, Jung-Ho Lai and Shao-Chi Chang
Reporting errors in the I/B/E/S earnings forecast database: J. Doe vs. J. Doe pp. 170-176 Downloads
Tristan Roger
Managerial incentives in the presence of golden handshakes pp. 177-183 Downloads
Yi Jiang
Multinational firms and cash holdings: Evidence from China pp. 184-191 Downloads
Weijun Wu, Yang Yang and Sili Zhou
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? pp. 192-198 Downloads
Elie Bouri, Peter Molnár, Georges Azzi, David Roubaud and Lars Ivar Hagfors
National culture and private benefits of control pp. 199-206 Downloads
Astrid Salzmann and Kalender Soypak
Stock market volatility spillovers: Evidence for Latin America pp. 207-216 Downloads
Santiago Gamba, Jose Gomez-Gonzalez, Jorge Luis Hurtado-Guarin and Luis Melo-Velandia
Wealth effect revisited: Novel evidence on long term co-memories between real estate and stock markets pp. 217-222 Downloads
Apostolos Kiohos, Vassilios Babalos and Athanasios Koulakiotis
Earnings announcements and quoted bid-ask spreads of U.S. Bank Holding Companies pp. 223-228 Downloads
Terry Harris
Bank screening technologies and the founder effect: Evidence from European lending relationships pp. 229-237 Downloads
Marco Cucculelli and Valentina Peruzzi
In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework pp. 238-244 Downloads
Sławomir Śmiech and Monika Papież
Forecasting volatility with interacting multiple models pp. 245-252 Downloads
Jiri Svec and Xerxis Katrak
Momentum profits and time varying illiquidity effect pp. 253-259 Downloads
Hilal Anwar Butt and Nader Shahzad Virk
A Unified Tree approach for options pricing under stochastic volatility models pp. 260-268 Downloads
C.C. Lo, D. Nguyen and K. Skindilias
Can profitability through momentum strategies be enhanced applying a range to standard deviation filter? pp. 269-273 Downloads
Subrata Kumar Mitra, Jaslene Bawa, M. Kannadhasan, Vinay Goyal and Manojit Chattopadhyay
Dynamic autocorrelation of intraday stock returns pp. 274-280 Downloads
Xi Dong, Shu Feng, Leng Ling and Pingping Song
Discontinuous payoff option pricing by Mellin transform: A probabilistic approach pp. 281-288 Downloads
Henryk Gzyl, M. Milev and A. Tagliani
CEO equity compensation and earnings management: The role of growth opportunities pp. 289-295 Downloads
Leon Li and Chii-Shyan Kuo
Inflation targeting and the cyclicality of monetary policy pp. 296-302 Downloads
John Thornton and Chrysovalantis Vasilakis
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