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Finance Research Letters

2004 - 2020

Current editor(s): R. Gençay

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

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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
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