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Finance Research Letters

2004 - 2020

Current editor(s): R. Gençay

From Elsevier
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Volume 13, issue C, 2015

Rational speculative bubbles in the US stock market and political cycles pp. 1-9 Downloads
Miao Wang and M. C. Sunny Wong
Effects of macroeconomic uncertainty on the stock and bond markets pp. 10-16 Downloads
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou
Investment, firm performance and securitization: Evidence from industrial companies pp. 17-28 Downloads
Ilham Riachi and Armin Schwienbacher
A simple model of market valuation and trend reversion for U.S. equities: 100 Years of bubbles, non-bubbles, and inverse-bubbles pp. 29-35 Downloads
Paul E. Godek
The intrinsic bounds on the risk premium of Markovian pricing kernels pp. 36-44 Downloads
Jihun Han and Hyungbin Park
What drives gold returns? A decision tree analysis pp. 45-53 Downloads
A.G. Malliaris and Mary Malliaris
Modelling default risk with occupation times pp. 54-65 Downloads
R. Makarov, A. Metzler and Z. Ni
Net payout return: An alternative to the traditional returns approach based on dividends and share repurchases pp. 66-73 Downloads
Derek Brawn and Aleksandar Sevǐc
Are emerging MENA stock markets mean reverting? A Monte Carlo simulation pp. 74-80 Downloads
Simon Neaime
The mispricing of socially ambiguous grey stocks pp. 81-89 Downloads
Swee-Sum Lam, Weina Zhang and Gabriel Henry Jacob
Revisiting the earnings–price effect: The importance of future earnings pp. 90-96 Downloads
Li-Wen Chen, Hsin-Yi Yu and Hsu-Huei Huang
Testing equality of modified Sharpe ratios pp. 97-104 Downloads
David Ardia and Kris Boudt
Does corporate governance influence corporate risk-taking? Evidence from the Institutional Shareholders Services (ISS) pp. 105-112 Downloads
Pornsit Jiraporn, Pattanaporn Chatjuthamard, Shenghui Tong and Young Sang Kim
The investment management for a downside-protected equity-linked annuity under interest rate risk pp. 113-124 Downloads
Nan-Wei Han and Mao-Wei Hung
Stock market interdependence between China and the world: A multi-factor R-squared approach pp. 125-129 Downloads
Hongbo He, Shou Chen, Shujie Yao and Jinghua Ou
Player absence and betting lines in the NBA pp. 130-136 Downloads
William H. Dare, Steven A. Dennis and Rodney Paul
Volatility spillovers in the European bank CDS market pp. 137-147 Downloads
Aida Alemany, Laura Ballester and Ana González-Urteaga
Determining the economic value of ambiguous loan portfolios pp. 148-154 Downloads
Dror Parnes
Strategic coordination in forecasting – An experimental study pp. 155-162 Downloads
Lukas Meub, Till Proeger, Kilian Bizer and Markus Spiwoks
Political risk, investor attention and the Scottish Independence referendum pp. 163-171 Downloads
Daniella Acker and Nigel W. Duck
Predicting the equity premium with the demand for gold coins and bars pp. 172-178 Downloads
Dirk G. Baur and Gunter Löffler
Investment timing and capital structure with loan guarantees pp. 179-187 Downloads
Hua Xiang and Zhaojun Yang
Innovation in pyramidal ownership structures pp. 188-195 Downloads
Ilanit Gavious, Nimrod Hirsh and Dan Kaufman
Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators pp. 196-204 Downloads
Shue-Jen Wu and Wei-Ming Lee
Security analysts’ target prices and takeover premiums pp. 205-213 Downloads
Dirk Gerritsen
Bank insolvency risk and Z-score measures: A refinement pp. 214-224 Downloads
Laetitia Lepetit and Frank Strobel
Higher order comoments of multifactor models and asset allocation pp. 225-233 Downloads
Kris Boudt, Wanbo Lu and Benedict Peeters
The similarity of ECB’s communication pp. 234-242 Downloads
Diego Amaya and Jean-Yves Filbien
The instability of the Pearson correlation coefficient in the presence of coincidental outliers pp. 243-257 Downloads
Yunmi Kim, Tae-Hwan Kim and Tolga Ergün

Volume 12, issue C, 2015

A common jump factor stochastic volatility model pp. 2-10 Downloads
Márcio Laurini and Roberto Mauad
Compensation and competition for talent: Evidence from the financial industry pp. 11-16 Downloads
Mariassunta Giannetti and Daniel Metzger
Cross-sectional anomalies and volatility risk in different economic and market cycles pp. 17-22 Downloads
Jarkko Peltomäki and Janne Äijö
Detecting structural changes using wavelets pp. 23-37 Downloads
Ege Yazgan and Harun Ozkan
Testing for asymmetric causality between U.S. equity returns and commodity futures returns pp. 38-47 Downloads
Duc Khuong Nguyen, Ricardo Sousa and Gazi Salah Uddin
A regret theory of capital structure pp. 48-57 Downloads
Kit Pong Wong
Weakening the Gain–Loss-Ratio measure to make it stronger pp. 58-66 Downloads
Jan Voelzke
Stochastic volatility and leverage: Application to a panel of S&P500 stocks pp. 67-76 Downloads
Serda Ozturk and Jean-Francois Richard
Long memory and the relation between options and stock prices pp. 77-91 Downloads
Teng-Ching Huang, Yu-Chen Tu and Heng-Chih Chou
Time variation in the relative importance of permanent and transitory components in the U.S. housing market pp. 92-99 Downloads
N Kishor, Swati Kumari and Suyong Song
Currency competition between the dollar and euro: Evidence from exchange rate behaviors pp. 100-108 Downloads
Cheol S. Eun, Soo-Hyun Kim and Kyuseok Lee
Estimating the effect of entrenched boards on firm value using geographic identification pp. 109-116 Downloads
Pandej Chintrakarn, Pornsit Jiraporn, Shenghui Tong and Pattanaporn Chatjuthamard
Conditional Sharpe Ratios pp. 117-133 Downloads
Victor Chow and Christine W. Lai

Volume 11, issue 4, 2014

Can analysts predict rallies better than crashes? pp. 319-325 Downloads
Ivan Medovikov
Insurance demand and first-order risk increases under (μ,σ)-preferences revisited pp. 326-331 Downloads
Thomas Eichner and Andreas Wagener
Hedging house price risk with futures contracts after the bubble burst pp. 332-340 Downloads
Patrick J. Schorno, Steve Swidler and Michael Wittry
Is gold a safe haven against equity market investment in emerging and developing countries? pp. 341-348 Downloads
Gözde Gürgün and Ibrahim Unalmis
Reward for failure and executive compensation in institutional investors pp. 349-361 Downloads
Gino Loyola and Yolanda Portilla
Sell in May and Go Away: Evidence from China pp. 362-368 Downloads
Biao Guo, Xingguo Luo and Ziding Zhang
Investing in gold: Individual asset risk in the long run pp. 369-374 Downloads
Antonis Michis
A sovereign risk index for the Eurozone based on stochastic dominance pp. 375-384 Downloads
Elettra Agliardi, Mehmet Pinar and Thanasis Stengos
The structure of equity markets across countries: Scarcity and stock valuations pp. 385-397 Downloads
Matias Braun
Macroeconomic conditions and a firm’s investment decisions pp. 398-409 Downloads
Haejun Jeon and Michi Nishihara
Constructing a financial fragility index for emerging countries pp. 410-419 Downloads
Ahmet Sensoy, Kevser Ozturk and Erk Hacihasanoglu
Overnight information flow and realized volatility forecasting pp. 420-428 Downloads
Neda Todorova and Michael Soucek
Optimal portfolio choice for investors with industry-specific labor income risks pp. 429-436 Downloads
Hui-Ju Tsai and Yangru Wu
A sequential pricing framework for corporate securities: The case of rating-trigger step-up/-down bonds pp. 437-445 Downloads
Matthias Bank and Alexander Kupfer
European business cycles and stock return predictability pp. 446-453 Downloads
Yanjian Zhu and Xiaoneng Zhu
Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX pp. 454-462 Downloads
Mustafa Onan, Aslihan Salih and Burze Yasar
Do investors hold that they know? Impact of familiarity bias on investor’s reluctance to realize losses: Experimental approach pp. 463-469 Downloads
Ekaterina Bulipopova, Vladislav Zhdanov and Artem Simonov

Volume 11, issue 3, 2014

Computing present values: Capital budgeting done correctly pp. 183-193 Downloads
Robert Jarrow
Improved method for static replication under the CEV model pp. 194-202 Downloads
Wei-Che Tsai
Unconventional monetary policies and the corporate bond market pp. 203-212 Downloads
Massimo Guidolin, Alexei Orlov and Manuela Pedio
Foreign exchange customers and dealers: Who’s driving whom? pp. 213-218 Downloads
Nikola Gradojevic
Insurance demand and first order risk increases under (μ,σ)-preferences pp. 219-223 Downloads
Claudio Bonilla and Jose L. Ruiz
Credit risk assessment of fixed income portfolios using explicit expressions pp. 224-230 Downloads
Bernardo K. Pagnoncelli and Arturo Cifuentes
The bond–stock mix under time-varying interest rates and predictable stock returns pp. 231-237 Downloads
Thomas Leirvik
Stabilizing the market with short sale constraint? New evidence from price jump activities pp. 238-246 Downloads
Jin-Huei Yeh and Lien-Chuan Chen
Explaining breakdowns in interbank lending: A bilateral bargaining model pp. 247-253 Downloads
Uwe Vollmer and Harald Wiese
Long-term government bond yields and macroeconomic fundamentals: Evidence for Greece during the crisis-era pp. 254-258 Downloads
Dionysios Chionis, Ioannis Pragidis and Panagiotis Schizas
Bankruptcy risk induced by career concerns of regulators pp. 259-271 Downloads
John A. Cole and Godfrey Cadogan
The influence of moral hazard on investment in financially constrained and unconstrained firms pp. 272-281 Downloads
Keefe, Michael O’Connor and Robert Kieschnick
A new strategy using term-structure dynamics of commodity futures pp. 282-288 Downloads
Soo-Hyun Kim and Hyoung-Goo Kang
The effect of CEO luck on the informativeness of stock prices: Do lucky CEOs improve stock price informativeness? pp. 289-294 Downloads
Pandej Chintrakarn, Pornsit Jiraporn and Napatsorn Jiraporn
Shortage function and portfolio selection: On some special cases and extensions pp. 295-302 Downloads
Walter Briec, Laurence Oms and Eric Paget-Blanc
The value premium, aggregate risk innovations, and average stock returns pp. 303-317 Downloads
Knut F. Lindaas and Prodosh Simlai

Volume 11, issue 2, 2014

Overconfidence, risk perception and the risk-taking behavior of finance professionals pp. 64-73 Downloads
Marie-Hélène Broihanne, Maxime Merli and Patrick Roger
The cost of firms’ debt financing and the global financial crisis pp. 74-83 Downloads
Daniele Pianeselli and Andrea Zaghini
Board directors’ preferences – What are good aggregation rules? pp. 84-90 Downloads
Mihael Duran
Upfront versus rating contingent fees: Implications for rating quality pp. 91-103 Downloads
Saltuk Ozerturk
Gender heterogeneity in the sell-side analyst recommendation issuing process pp. 104-111 Downloads
Katrien Bosquet, Peter de Goeij and Kristien Smedts
Are stock markets really so inefficient? The case of the “Halloween Indicator” pp. 112-121 Downloads
Hubert Dichtl and Wolfgang Drobetz
News sentiment and the investor fear gauge pp. 122-130 Downloads
Lee Smales
Contagion effect on bond portfolio risk measures in a hybrid credit risk model pp. 131-139 Downloads
Mathieu Boudreault, Geneviève Gauthier and Tommy Thomassin
The relationship with REITs and bank loans: Capital structure perspectives pp. 140-152 Downloads
Chih-Hsing Hung, Ming-Chi Chen and Wen-Yuan Lin
Investors’ aspirations and portfolio performance pp. 153-160 Downloads
Camille Magron
Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model pp. 161-172 Downloads
Son-Nan Chen, Mi-Hsiu Chiang, Pao-Peng Hsu and Chang-Yi Li
Testing excess returns on event days: Log returns vs. dollar returns pp. 173-182 Downloads
Tiago Duarte-Silva and Maria Tripolski Kimel

Volume 11, issue 1, 2014

GDP growth and the yield curvature pp. 1-7 Downloads
Stig V. Møller
The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default pp. 8-15 Downloads
Peter Spencer
Optimal multi-period consumption and investment with short-sale constraints pp. 16-24 Downloads
Yakup Arisoy, Aslıhan Altay-Salih and Mustafa Ç Pınar
On the investment–uncertainty relationship: A game theoretic real option approach pp. 25-35 Downloads
Elmar Lukas and Andreas Welling
Country world betas: The link between the stock market beta and macroeconomic beta pp. 36-46 Downloads
Numan Ülkü and Saleh Baker
Internal capital market studies in empirical banking: Biases due to usage of assets instead of risk capital? pp. 47-53 Downloads
Markus Glaser and Jan Riepe
Estimation accuracy of high–low spread estimator pp. 54-62 Downloads
Chien-Chih Lin
Page updated 2020-10-01