Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

From Elsevier
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Volume 32, issue C, 2020

Protected Adaptive Asset Allocation

Mirko Bellu and Claudio Conversano

Predicting default rates by capturing critical transitions in the macroeconomic system

Kai Xing and Xiaoguang Yang

Identifying corporate venture capital investors – A data-cleaning procedure

Patrick Röhm, Markus Merz and Andreas Kuckertz

Non-parametric quantile dependencies between volatility discontinuities and political risk

Konstantinos Gkillas, Gideon Boako, Dimitrios Vortelinos and Lavrentios Vasiliadis

Macroeconomic uncertainty, the option to wait and IPO issue cycles

Binh Nguyen Thanh

How negative interest rates affect the risk-taking of individual investors: Experimental evidence

Maren Baars, Henning Cordes and Hannes Mohrschladt

Understanding time-varying short-horizon predictability✰

Yacine Hammami and Jie Zhu

Brent crude oil prices volatility during major crises

Miroslava Zavadska, Lucía Morales and Joseph Coughlan

Is institutional monitoring time-varying? Evidence from the Korean market

Kyung Soon Kim, Chune Young Chung and Chang Liu

Does the external environment matter for the persistence of firms' debt policy?

Zhen Huang, Weiwei Gao and Liying Chen

Female independent directors and financial irregularities in chinese listed firms: From the perspective of audit committee chairpersons

Xiaochong Li and Yanxi Li

On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure

Shay-Kee Tan, Jennifer Chan and Kok Haur Ng

Joint liability loans in online peer-to-peer lending

Yimin Zhou and Xu Wei

Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market

Nuno Sobreira and Rui Louro

Adaptive long memory in volatility of intra-day bitcoin returns and the impact of trading volume

Sashikanta Khuntia and J.K. Pattanayak

The impact of Baidu Index sentiment on the volatility of China's stock markets

Jianchun Fang, Giray Gözgör, Chi Keung Lau and Zhou Lu

Monetary policy rate expectation and energy prices during the FOMC announcement period

Hyeonung Jang and Byoung Ki Seo

Commonality in liquidity across options and stock futures markets

Bouchra Benzennou, Owain ap Gwilym and Gwion Williams

Price clustering in Bitcoin market—An extension

Xin Li, Shenghong Li and Chong Xu

Investment timing with information-processing constraints

Congming Mu, Jinqiang Yang and Yuhua Zhang

Risk measurement of international carbon market based on multiple risk factors heterogeneous dependence

Chen Zhang, Yu Yang and Po Yun

Strategic trading with transaction cost in the long run

Deqing Zhou

Corporate innovation and credit default swap spreads

Hwang Hee Lee and Frederick Dongchuhl Oh

Volatility persistence in the Russian stock market

Guglielmo Maria Caporale, Luis Gil-Alana and Trilochan Tripathy

Can international supply chain induce a return premium? Evidence from U.S. leading high-technology firms and Taiwan stock market

Li-Chuan Tsai, Ruhui Zhang and Cuifang Zhao

Corporate hedging and dividend policy: An empirical study of Korean firms

Young Mok Choi, Kunsu Park and Woo Sung Kim

Corporate governance convergence in the European M&A market

Wolfgang Drobetz and Paul P. Momtaz

Asset pricing with long-run durable expenditure risk

Huan Li

Institutional capital allocation and equity returns: Evidence from Thai mutual funds’ holdings

Roongkiat Ratanabanchuen and Kanis Saengchote

Country factors in earnings management of ADR firms

Clara Chia Sheng Chen, Yan-Yu Chou and Peihwang Wei

Not the usual suspects: Critical indicators in a dollarized country's Financial Stress Index

Layal Mansour Ishrakieh, Leila Dagher and Sadika El Hariri

Momentum and reversals: Are they really separate phenomena?

Tsung-Yu Chen, Pin-Huang Chou and Nien-Tzu Yang

Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo

Tonghui Zhang, Ying Yuan and Xi Wu

Can the Baltic Dry Index predict foreign exchange rates?

Liyan Han, Li Wan and Yang Xu

A novel cryptocurrency price trend forecasting model based on LightGBM

Xiaolei Sun, Mingxi Liu and Zeqian Sima

Real estate as a common risk factor in the financial sector: International evidence

Benoît Carmichael and Alain Coën

Forecasting VaR using realized EGARCH model with skewness and kurtosis

Xinyu Wu, Michelle Xia and Huanming Zhang

Regime switching in the present value models: A backward-solving method

Jan R. Kim and Keunsuk Chung

The versatility of money multiplier under Basel III regulations

Wanting Xiong, Boyao Li, Yougui Wang and H. Eugene Stanley

Director and officer liability protection and firm value: Unintended consequences

Iness Aguir and Wael Aguir

The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country

Haiping Li, Artur Semeyutin, Chi Keung Lau and Giray Gözgör

The long-run relationship between finance and income inequality: Evidence from panel data

John Thornton and Caterina Di Tommaso

Stock liquidity and excess leverage

Zilin Chen, Kang Gao and Weiwei Huang

Institutional investors and corporate investment

Cristina Cella

Rough volatility of Bitcoin

Tetsuya Takaishi

Dissecting the effectiveness of firm financial strength in predicting Chinese stock market

Fuwei Jiang, Fujing Jin and Guohao Tang

Impact of economic policy uncertainty on exchange rate volatility of China

Liming Chen, Ziqing Du and Zhihao Hu

Managerial overconfidence and manipulation of operating cash flow: Evidence from Korea✰

Daecheon Yang and Hyuntae Kim

Technical trading rules in the cryptocurrency market

Klaus Grobys, Shaker Ahmed and Niranjan Sapkota

Non-linearities, cyber attacks and cryptocurrencies

Guglielmo Maria Caporale, Woo-Young Kang, Fabio Spagnolo and Nicola Spagnolo