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Finance Research Letters

2004 - 2020

Current editor(s): R. Gençay

From Elsevier
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Volume 19, issue C, 2016

Directors’ duties of care and the value of auditing pp. 1-14 Downloads
Suman Banerjee and Mark Humphery-Jenner
Almost stochastic dominance for risk averters and risk seeker pp. 15-21 Downloads
Xu Guo, Wing-Keung Wong and Lixing Zhu
Directors’ and officers’ liability insurance and analyst forecast properties pp. 22-32 Downloads
Narjess Boubakri and Lobna Bouslimi
Estimation of bid-ask prices for options on LIBOR based instruments pp. 33-41 Downloads
Masimba Energy Sonono and Hopolang Phillip Mashele
Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation pp. 42-53 Downloads
Ahmed Atil, Marc Bradford, Abdelaziz Elmarzougui and Amine Lahiani
Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis pp. 54-59 Downloads
Chaker Aloui, Besma Hkiri, Chi Keung Lau and Larisa Yarovaya
Market microstructure during financial crisis: Dynamics of informed and heuristic-driven trading pp. 60-66 Downloads
Mihály Ormos and Dusán Timotity
Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani pp. 67-74 Downloads
Shuang Xiao and Shihua Ma
The effect of political risk on currency carry trades pp. 75-78 Downloads
Nebojsa Dimic, Vitaly Orlov and Vanja Piljak
Insider competition under two-dimensional uncertainty and informational asymmetry pp. 79-82 Downloads
Marco Bade
A Tobin tax only on sellers pp. 83-89 Downloads
Haiwei Chen
Pricing power exchange options with correlated jump risk pp. 90-97 Downloads
Xingchun Wang
Is the Comprehensive Assessment able to capture banks’ risks? pp. 98-104 Downloads
Emilio Barucci, Roberto Baviera and Carlo Milani
The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market pp. 105-111 Downloads
Xingguo Luo, Shihua Qin and Zinan Ye
Dynamic consumption and portfolio choice with permanent learning pp. 112-118 Downloads
Hyun-Tak Lee
Quantile behaviour of cointegration between silver and gold prices pp. 119-125 Downloads
Huiming Zhu, Cheng Peng and Wanhai You
Idiosyncratic volatility and excess Return: Evidence from the Greater China region pp. 126-129 Downloads
Li-Hsun Wang, Chu-Hsiung Lin, Jui-Heng Kang and Hung-Gay Fung
Developing the exchange traded market for government bonds: Effect of recent quote rule changes in South Korea pp. 130-138 Downloads
Woon Wook Jang, Hak Kyum Kim and Yong Joo Kang
Do managers learn from the market? Firm level evidence in merger investment pp. 139-145 Downloads
Wenjing Ouyang and Samuel H. Szewczyk
Does the earnings quality matter? Evidence from a quasi-experimental setting pp. 146-157 Downloads
Giulia Baschieri, Andrea Carosi and Stefano Mengoli
China credit constraints and rural households’ consumption expenditure pp. 158-164 Downloads
Changsheng Li, Liqiong Lin and Christopher E.C. Gan
The role of arbitrage risk on the elasticity of demand: New evidence from 100% secondary equity offerings pp. 165-172 Downloads
William B. Elliott and Hilmi Songur
Testing the adaptive market hypothesis and its determinants for the Indian stock markets pp. 173-180 Downloads
Gourishankar Hiremath and Seema Narayan
Dynamic spillovers between Shanghai and London nonferrous metal futures markets pp. 181-188 Downloads
Sang Hoon Kang and Seong-Min Yoon
A note on the Wang transform for stochastic volatility pricing models pp. 189-196 Downloads
Alexandru Badescu, Zhenyu Cui and Juan-Pablo Ortega
Patents and R&D expenditure in explaining stock price movements pp. 197-203 Downloads
Gun Jea Yu and KiHoon Hong
Integral representation of vega for American put options pp. 204-208 Downloads
Yanchu Liu, Zhenyu Cui and Ning Zhang
A note on optimal portfolios under regime–switching pp. 209-216 Downloads
Markus Haas
Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund pp. 217-221 Downloads
Yong Li, Karen Benson and Robert Faff
Foreign funding shocks and the lending channel: Do foreign banks adjust differently? pp. 222-227 Downloads
Felix Noth and Matias Ossandon Busch
Credit risk findings for commercial real estate loans using the reduced form pp. 228-234 Downloads
Andreas D. Christopoulos and Joshua G. Barratt
Deferred compensation withdrawal decisions and their implications on inside debt pp. 235-240 Downloads
Gemma Lee
On the weight sign of the global minimum variance portfolio pp. 241-246 Downloads
Wan-Yi Chiu and Ching-Hai Jiang
How do China's oil markets affect other commodity markets both domestically and internationally? pp. 247-254 Downloads
Qiang Ji and Ying Fan
Pure higher-order effects in the portfolio choice model pp. 255-260 Downloads
Trino Ñíguez Grau, Ivan Paya and David Peel
The risk in capital controls pp. 261-266 Downloads
Gkillas (Gillas), Konstantinos, Athanasios Tsagkanos and Costas Siriopoulos
Modelling order arrivals at price limits using Hawkes processes pp. 267-272 Downloads
Afshin Haghighi, Saeid Fallahpour and Reza Eyvazlu
Debt-threshold effect in sovereign credit ratings: New evidence from nonlinear panel smooth transition models pp. 273-278 Downloads
Oussama Ben Hmiden and Nidhaleddine Ben Cheikh
Valuing resettable convertible bonds: Based on path decomposing pp. 279-290 Downloads
Yun Feng, Bing-hua Huang and Yu Huang
Brexit: (Not) another Lehman moment for banks? pp. 291-297 Downloads
Dirk Schiereck, Florian Kiesel and Sascha Kolaric
Dating the financial cycle with uncertainty estimates: a wavelet proposition pp. 298-304 Downloads
Diego Ardila and Didier Sornette
Pricing vulnerable options with stochastic default barriers pp. 305-313 Downloads
Xingchun Wang

Volume 18, issue C, 2016

Is there a credit risk anomaly in FX markets? pp. 1-6 Downloads
Klaus Grobys and Jari-Pekka Heinonen
What drives the time to resolution of defaulted bank loans? pp. 7-31 Downloads
Jennifer Betz, Ralf Kellner and Daniel Rösch
Solving the SRI puzzle? A note on the mainstreaming of ethical investment pp. 32-42 Downloads
Elias Erragragui and Thomas Lagoarde-Segot
The performance of the switching forecast model of value-at-risk in the Asian stock markets pp. 43-51 Downloads
Yen-Chen Chiu and I-Yuan Chuang
Trading activity and price behavior in Chinese agricultural futures markets pp. 52-59 Downloads
Xiaolin Wang, Qiang Ye and Feng Zhao
Multi-period portfolio optimization under probabilistic risk measure pp. 60-66 Downloads
Yufei Sun, Grace Aw, Kok Lay Teo, Yanjian Zhu and Xiangyu Wang
Does gender matter for firms' access to credit? Evidence from international data pp. 67-75 Downloads
David Aristei and Manuela Gallo
Idiosyncratic risk and share repurchases pp. 76-82 Downloads
Yuan-Teng Hsu and Chia-Wei Huang
The disciplinary role of leverage: evidence from East Asian cross-border acquirers’ returns pp. 83-88 Downloads
Robert B. Durand, Elaine Laing and Minh Thao Ngo
Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure pp. 89-99 Downloads
Muhammad Surajo Sanusi and Farooq Ahmad
Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis pp. 100-107 Downloads
Leon Li and Carl R. Chen
Are there significant premiums in the Saudi stock market? pp. 108-115 Downloads
Ryadh Alkhareif
Determinants of non-performing loans: Evidence from Euro-area countries pp. 116-119 Downloads
Dimitrios Anastasiou, Helen Louri and Mike Tsionas
Performance-based bonuses for investment and abandonment decisions pp. 120-126 Downloads
Hwa-Sung Kim
Does community environment matter to corporate social responsibility? pp. 127-135 Downloads
Dejun Wu, Chen Lin and Sibo Liu
Economic policy uncertainty and stock markets: Long-run evidence from the US pp. 136-141 Downloads
Mohamed Arouri, Christophe Estay, Christophe Rault and David Roubaud
Turn-of-the-month effect: New evidence from an emerging stock market pp. 142-157 Downloads
Volkan Kayacetin and Senad Lekpek
Ambiguity and optimal portfolio choice with Value-at-Risk constraint pp. 158-176 Downloads
Bong-Gyu Jang and Seyoung Park
Does frequency matter for intraday technical trading? pp. 177-183 Downloads
Michael Frömmel and Kevin Lampaert
The informativeness of non-GAAP earnings after Regulation G? pp. 184-192 Downloads
Shin-Rong Shiah-Hou and Yi-Yun Teng
Early warning indicators of banking crisis and bank related stock returns pp. 193-198 Downloads
Bumjean Sohn and Heungju Park
The macro-finance environment and asset allocation: A simultaneous equation approach pp. 199-204 Downloads
Antonio Moreno, James Orlando and Dulce M. Redin
Dutch mortgages: Impact of the crisis on probability of default pp. 205-217 Downloads
Jan Kroot and Evangelos Giouvris
Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market pp. 218-225 Downloads
Oliver Hossfeld and Andreas Röthig
Risk-based explanation for the country-level size and value effects pp. 226-233 Downloads
Adam Zaremba
Momentum: Further Evidence from Australia pp. 234-236 Downloads
Xiuqing Ji
Does inflation targeting reduce sovereign risk? Further evidence pp. 237-241 Downloads
John Thornton and Chrysovalantis Vasilakis
Model misspecification and pricing of illiquid claims pp. 242-249 Downloads
Alexey Rubtsov
Stock price synchronicity and information disclosure: Evidence from an emerging market pp. 250-254 Downloads
Omar Farooq and Moataz Hamouda
Who are the net senders and recipients of volatility spillovers in China’s financial markets? pp. 255-262 Downloads
Gang-Jin Wang, Chi Xie, Zhi-Qiang Jiang and H. Eugene Stanley
The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan pp. 263-272 Downloads
Chien-Hua Chen, Xuan-Qi Su and Jun-Biao Lin
Foreign investors and corporate risk taking behavior in an emerging market pp. 273-277 Downloads
Xuan Vinh Vo
Real option, debt maturity and equity default swaps under negotiation pp. 278-284 Downloads
Liu Gan, Pengfei Luo and Zhaojun Yang
Monetary policy statements, treasury yields, and private yields: Before and after the zero lower bound pp. 285-290 Downloads
Michael Kiley
Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis pp. 291-296 Downloads
Stelios Bekiros, Rangan Gupta and Anandamayee Majumdar
The systemic importance of banks – name and shame seems to work pp. 297-301 Downloads
Piotr Bańbuła and Małgorzata Iwanicz-Drozdowska
Exposing volatility spillovers: A comparative analysis based on vector autoregressive models pp. 302-305 Downloads
Dionisis Philippas and Catalin Dragomirescu-Gaina
Are stock markets efficient in the face of fear? Evidence from the terrorist attacks in Paris and Brussels pp. 306-310 Downloads
Sascha Kolaric and Dirk Schiereck
Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models pp. 311-316 Downloads
Denis-Alexandre Trottier and David Ardia
African stock markets convergence: Regional and global analysis pp. 317-321 Downloads
Gideon Boako and Paul Alagidede
Financial stability and bank supervision pp. 322-327 Downloads
Benjamin Tabak, Dimas Fazio, Karine C. de O. Paiva and Daniel Cajueiro
Political connections, overinvestments and firm performance: Evidence from Chinese listed real estate firms pp. 328-333 Downloads
Leng Ling, Xiaorong Zhou, Quanxi Liang, Pingping Song and Haijian Zeng
Testing for herding in the Athens Stock Exchange during the crisis period pp. 334-341 Downloads
Fotini Economou, Epameinondas Katsikas and Gregory Vickers
Robust consumption and portfolio rules with time-varying model confidence pp. 342-352 Downloads
Bong-Gyu Jang, Seungkyu Lee and Byung Hwa Lim
Portfolio optimization using asymmetry robust mean absolute deviation model pp. 353-362 Downloads
Ping Li, Yingwei Han and Yong Xia
Portfolio selection with conservative short-selling pp. 363-369 Downloads
Jang Ho Kim, Woo Chang Kim and Frank Fabozzi
Page updated 2020-10-01