Economics at your fingertips  

Finance Research Letters

2004 - 2020

Current editor(s): R. Gençay

From Elsevier
Bibliographic data for series maintained by Haili He ().

Access Statistics for this journal.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 10, issue 4, 2013

The zero-lower bound on interest rates: Myth or reality? pp. 151-156 Downloads
Robert Jarrow
Operational risk and equity prices pp. 157-168 Downloads
Michael Shafer and Yildiray Yildirim
The effect of corporate governance on CEO luck: Evidence from the Institutional Shareholder Services (ISS) pp. 169-174 Downloads
Pandej Chintrakarn, Pornsit Jiraporn and J.C. Kim
Insured uncovered interest parity pp. 175-183 Downloads
Yiuman Tse and John K. Wald
Dividend sensitivity to economic factors, stock valuation, and long-run risk pp. 184-195 Downloads
Claude Bergeron
Performance hypothesis testing with the Sharpe ratio: The case of hedge funds pp. 196-208 Downloads
Benjamin R. Auer and Frank Schuhmacher

Volume 10, issue 3, 2013

Development and freedom as risk management pp. 103-109 Downloads
Bhagwan Chowdhry, Richard Roll and Konark Saxena
Histogram-based prediction of directional price relatives pp. 110-115 Downloads
Oriol Roch
Information risk and credit contagion pp. 116-123 Downloads
Alex YiHou Huang and Chiao-Ming Cheng
Optimal capital structure and the impact of time-to-build pp. 124-130 Downloads
Elettra Agliardi and Nicos Koussis
Leverage vs. feedback: Which Effect drives the oil market? pp. 131-141 Downloads
Sofiane Aboura and Julien Chevallier
Mean–variance dominant trading strategies pp. 142-150 Downloads
Valentina Galvani and Stefano Gubellini

Volume 10, issue 2, 2013

Asset pricing with skewed-normal return pp. 50-57 Downloads
Benoıˆt Carmichael and Alain Coën
Transfer of information by an informed trader pp. 58-71 Downloads
Pritha Dev
Composition of robust equity portfolios pp. 72-81 Downloads
Jang Ho Kim, Woo Chang Kim and Frank Fabozzi
The over-optimism of financial analysts and the long-run performance of firms following private placements of equity pp. 82-92 Downloads
Wen-Chun Lin, Shao-Chi Chang, Sheng-Syan Chen and Tsai-Ling Liao
Simulated testing of nonparametric measure changes for hedging European options pp. 93-101 Downloads
Godfrey Smith

Volume 10, issue 1, 2013

A value premium without operating leverage pp. 1-11 Downloads
Graeme Guthrie
Divergence in credit ratings pp. 12-16 Downloads
Matthew Rablen
Superconvergence of the finite element solutions of the Black–Scholes equation pp. 17-26 Downloads
A. Golbabai, L.V. Ballestra and D. Ahmadian
Assessing the profitability of intraday opening range breakout strategies pp. 27-33 Downloads
Ulf Holmberg, Carl Lönnbark and Christian Lundström
Time varying stock return predictability: Evidence from US sectors pp. 34-40 Downloads
Massimo Guidolin, David G. McMillan and Mark Wohar
A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility pp. 41-48 Downloads
Rui Chen and Ke Du

Volume 9, issue 4, 2012

The real effects of delisting: Evidence from a regression discontinuity design pp. 183-193 Downloads
Tor-Erik Bakke, Candace E. Jens and Toni Whited
The relationship between reciprocal currency futures prices pp. 194-201 Downloads
Avi Bick
Spatial modeling of stock market comovements pp. 202-212 Downloads
Gema Fernández-Avilés, José-María Montero and Alexei Orlov
GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case pp. 213-219 Downloads
Jean-Guy Simonato
Hard assets: The returns on rare diamonds and gems pp. 220-230 Downloads
Luc Renneboog and Christophe Spaenjers
Empirical bias in intraday volatility measures pp. 231-237 Downloads
Yan Fang, Florian Ielpo and Benoît Sévi

Volume 9, issue 3, 2012

Auctions vs. negotiations in takeovers with initial stakes pp. 111-120 Downloads
Gino Loyola
Robust estimation of covariance and its application to portfolio optimization pp. 121-134 Downloads
Lijuan Huo, Tae-Hwan Kim and Yunmi Kim
Discrete time hedging with liquidity risk pp. 135-143 Downloads
Hyejin Ku, Kiseop Lee and Huaiping Zhu
Option pricing and ARCH processes pp. 144-156 Downloads
Gilles Zumbach
Can dual-currency sovereign CDS predict exchange rate returns? pp. 157-166 Downloads
Xiaoling Pu and Jianing Zhang
Measuring economic uncertainty and its impact on the stock market pp. 167-175 Downloads
Michal Dzielinski
Barrier option pricing for exchange rates under the Levy–HJM processes pp. 176-181 Downloads
Pao-Peng Hsu and Ying-Hsiu Chen

Volume 9, issue 2, 2012

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory pp. 58-62 Downloads
Robert Jarrow and Philip Protter
Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data pp. 63-72 Downloads
Marc Oliver Rieger and Mei Wang
Rational expectations equilibrium with transaction costs in financial markets pp. 73-80 Downloads
Zhiwei Chong
Some curious power properties of long-horizon tests pp. 81-91 Downloads
Erik Hjalmarsson
Butterfly effect: The US real estate market downturn and the Asian recession pp. 92-102 Downloads
Yi Xue, Yin He and Xinjian Shao
Google Internet search activity and volatility prediction in the market for foreign currency pp. 103-110 Downloads
Geoffrey Peter Smith

Volume 9, issue 1, 2012

Risk aversion under preference uncertainty pp. 1-7 Downloads
Roman Kräussl, Andre Lucas and Arjen Siegmann
Foreign exposure through domestic equities pp. 8-20 Downloads
Fang Cai and Francis Warnock
Wealth dynamics and a bias toward momentum trading pp. 21-28 Downloads
Blake Lebaron
Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage pp. 29-35 Downloads
Elmar Lukas and Andreas Welling
Investor sentiment and stock returns: Wenchuan Earthquake pp. 36-47 Downloads
Liwei Shan and Stephen X. Gong
A jump-diffusion approach to modelling vulnerable option pricing pp. 48-56 Downloads
Weidong Xu, Weijun Xu, Hongyi Li and Weilin Xiao

Volume 8, issue 4, 2011

Housing prices and the optimal time-on-the-market decision pp. 171-179 Downloads
Hazer İnaltekin, Robert Jarrow, Mehmet Sağlam and Yıldıray Yıldırım
Insider rates versus outsider rates in lending pp. 180-187 Downloads
Lamont K. Black
Corporate risk management and dividend signaling theory pp. 188-195 Downloads
Georges Dionne and Karima Ouederni
Nonparametric estimation and testing of stochastic discount factor pp. 196-205 Downloads
Ying Fang, Yu Ren and Yufei Yuan
Fast approximations of bond option prices under CKLS models pp. 206-212 Downloads
D.Y. Tangman, N. Thakoor, K. Dookhitram and M. Bhuruth
CAPM option pricing pp. 213-219 Downloads
Sven Husmann and Neda Todorova
Computing American option prices in the lognormal jump–diffusion framework with a Markov chain pp. 220-226 Downloads
Jean-Guy Simonato

Volume 8, issue 3, 2011

Measuring price discovery: The variance ratio, the R2, and the weighted price contribution pp. 112-119 Downloads
Jos van Bommel
Gold and the US dollar: Hedge or haven? pp. 120-131 Downloads
Mark Joy
Endogenous leverage and expected stock returns pp. 132-145 Downloads
T.C. Johnson, T. Chebonenko, I. Cunha, F. D'Almeida and X. Spencer
Cross hedging single stock with American Depositary Receipt and stock index futures pp. 146-157 Downloads
Hsiang-Tai Lee and Wei-Lun Tsang
The random-walk behavior of the Euro exchange rate pp. 158-162 Downloads
Georgios Chortareas, Ying Jiang and John C. Nankervis
The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps pp. 163-170 Downloads
Manthos Delis and Nikolaos Mylonidis

Volume 8, issue 2, 2011

A note on reward-risk portfolio selection and two-fund separation pp. 52-58 Downloads
Enrico De Giorgi, Thorsten Hens and Janos Mayer
Value at Risk and Expected Shortfall for large portfolios pp. 59-68 Downloads
Carl Lönnbark, Ulf Holmberg and Kurt Brännäs
Financial volatility forecasting with range-based autoregressive volatility model pp. 69-76 Downloads
Hongquan Li and Yongmiao Hong
Robust estimation of skewness and kurtosis in distributions with infinite higher moments pp. 77-87 Downloads
Matteo Bonato
A note on operating leverage and expected rates of return pp. 88-100 Downloads
Graeme Guthrie
A note on the predictability of excess bond returns and regime shifts pp. 101-109 Downloads
Xiaoneng Zhu

Volume 8, issue 1, 2011

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate pp. 2-7 Downloads
Robert Jarrow
The critical stock price for the American put option pp. 8-14 Downloads
Y. Peter Chung, Herb Johnson and Vassilis Polimenis
Extendible options: The general case pp. 15-20 Downloads
Y. Peter Chung and Herb Johnson
Testing the managerial timing ability: Evidence from stock repurchases in Japan pp. 21-27 Downloads
Masaya Ishikawa and Hidetomo Takahashi
Optimal capital structure and investment options in finite horizon pp. 28-36 Downloads
Elettra Agliardi and Nicos Koussis
Liquidity constraints and occupational choice pp. 37-44 Downloads
Mariassunta Giannetti
On European monetary integration and the persistence of real effective exchange rates pp. 45-50 Downloads
Robinson Kruse
Page updated 2020-10-01