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Finance Research Letters

2004 - 2020

Current editor(s): R. Gençay

From Elsevier
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Volume 3, issue 4, 2006

Exchange rates and order flow in the long run pp. 235-243 Downloads
M. Martin Boyer and Simon van Norden
The value, size, and momentum spread during distressed economic periods pp. 244-252 Downloads
Bala Arshanapalli, Frank Fabozzi and William Nelson
On the relation between the market-to-book ratio, growth opportunity, and leverage ratio pp. 253-266 Downloads
Long Chen and Xinlei Zhao
A note on generalized distortion risk measures pp. 267-272 Downloads
Werner Hurlimann
The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class pp. 273-276 Downloads
George Christodoulakis and David Peel
Quadratic term structure models in discrete time pp. 277-289 Downloads
Marco Realdon

Volume 3, issue 3, 2006

Modeling default risk: A new structural approach pp. 165-172 Downloads
Yildiray Yildirim
Tilting safety first and the Sharpe portfolio pp. 173-180 Downloads
M. Ryan Haley and M Kevin McGee
Disentangling risk aversion and intertemporal substitution through a reference level pp. 181-193 Downloads
René Garcia, Eric Renault and Andrei Semenov
Expanding the frontier one asset at a time pp. 194-206 Downloads
Andrey D. Ukhov
A note on a barrier exchange option: The world's simplest option formula? pp. 207-211 Downloads
Snorre Lindset and Svein-Arne Persson
The interaction between technical currency trading and exchange rate fluctuations pp. 212-233 Downloads
Stephan Schulmeister

Volume 3, issue 2, 2006

From default probabilities to credit spreads: Credit risk models do explain market prices pp. 79-95 Downloads
Stefan M. Denzler, Michel Dacorogna, Ulrich A. Muller and Alexander J. McNeil
Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment pp. 96-101 Downloads
Peter Bossaerts and William Zame
Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment" pp. 102-105 Downloads
Kenneth Judd, Felix Kubler and Karl Schmedders
Markowitz meets Kahneman: Portfolio selection under divided attention pp. 106-113 Downloads
Diego Nocetti
Modeling dynamic conditional correlations in WTI oil forward and futures returns pp. 114-132 Downloads
Alessandro Lanza, Matteo Manera and Michael McAleer
The robustness of asset pricing models: Coskewness and cokurtosis pp. 133-146 Downloads
Masakazu Ando and Jiro Hodoshima
Explaining inertia in closed-end fund prices pp. 147-153 Downloads
Michael Bleaney and Richard Smith
Explosive bubbles in the cointegrated VAR model pp. 154-162 Downloads
Tom Engsted

Volume 3, issue 1, 2006

Revisiting cumulative preferred stock valuation pp. 2-13 Downloads
Marco Realdon
The Fed model: A note pp. 14-22 Downloads
Javier Estrada
On the sequencing of projects, reputation building, and relationship finance pp. 23-39 Downloads
Dominik Egli, Steven Ongena and David C. Smith
Do insiders crowd out analysts? pp. 40-48 Downloads
Aaron Gilbert, Alireza Tourani-Rad and Tomasz Wisniewski
Moments of the estimated Sharpe ratio when the observations are not IID pp. 49-56 Downloads
Yong Bao and Aman Ullah
On the robustness of cointegration tests when assessing market efficiency pp. 57-64 Downloads
Neil Kellard
Options to expand: Some remarks pp. 65-72 Downloads
Rossella Agliardi
A note on the relationship between industry returns and inflation through a multiscaling approach pp. 73-78 Downloads
Sangbae Kim and Francis In

Volume 2, issue 4, 2005

The long-run equity risk premium pp. 185-194 Downloads
John R. Graham and Campbell Harvey
Hedging the smirk pp. 195-200 Downloads
David S. Bates
Bayesian range-based estimation of stochastic volatility models pp. 201-209 Downloads
Michael W. Brandt and Christopher S. Jones
Solving models with external habit pp. 210-226 Downloads
Jessica Wachter
Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis pp. 227-233 Downloads
George A. Christodoulakis
Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities pp. 234-247 Downloads
Suresh Govindaraj
Cointegration analysis of the Fed model pp. 248-259 Downloads
Matti Koivu, Teemu Pennanen and William T. Ziemba
The price-dividend relationship in inflationary and deflationary regimes pp. 260-269 Downloads
Jakob Madsen and Costas Milas

Volume 2, issue 3, 2005

Industry momentum and common factors pp. 107-124 Downloads
Ding Du and Karen Denning
A note on sufficient conditions for no arbitrage pp. 125-130 Downloads
Peter Carr and Dilip B. Madan
Proxy-quality thresholds: Theory and applications pp. 131-151 Downloads
Timothy Erickson and Toni Whited
Portfolio selection with two-stage preferences pp. 152-164 Downloads
Marco Taboga
A theory of loan syndication pp. 165-172 Downloads
Paul Schure, David Scoones and Qinghua Gu
Risk aversion and price limits in futures markets pp. 173-184 Downloads
Pin-Huang Chou, Mei-Chen Lin and Min-Teh Yu

Volume 2, issue 2, 2005

Insider trading with private information and moral hazard pp. 51-57 Downloads
Chris Yung
A market microstructure model with random overlapping information asymmetries pp. 59-66 Downloads
John P. Owens
The generalized asymmetric dynamic covariance model pp. 67-74 Downloads
Peter de Goeij and Wessel Marquering
Another look at the relationship between cross-market correlation and volatility pp. 75-88 Downloads
Söhnke Bartram and Yaw-Huei Wang
Changes in stockholding behavior: Evidence from household survey data pp. 89-96 Downloads
Kenneth Chapman, James Dow and Govind Hariharan
Power exchange options pp. 97-106 Downloads
Lloyd P. Blenman and Steven Clark

Volume 2, issue 1, 2005

tay's as good as cay pp. 1-14 Downloads
Michael Brennan and Yihong Xia
tay's as good as cay: Reply pp. 15-22 Downloads
Martin Lettau and Sydney Ludvigson
A generalized coherent risk measure: The firm's perspective pp. 23-29 Downloads
Robert Jarrow and Amiyatosh Purnanandam
Single stock futures: Listing selection and trading volume pp. 30-40 Downloads
James S. Ang and Yingmei Cheng
Dynamic, nonparametric hedging of European style contingent claims using canonical valuation pp. 41-50 Downloads
Jamie Alcock and Philip Gray
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