Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

From Elsevier
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Volume 25, issue C, 2018

Risk transmitters and receivers in global currency markets pp. 1-9

Syed Jawad Hussain Shahzad, Jose Arreola-Hernandez, Stelios Bekiros and Mobeen Ur Rehman

Pricing within and across asset classes pp. 10-15

Victoria Dobrynskaya

Global cash flow sensitivities pp. 16-22

Simon Döring, Wolfgang Drobetz, Malte Janzen and Iwan Meier

Can banks identify firms’ real earnings management? Evidence from China pp. 23-29

Yuanhui Li, Weiqian Nie, Erwei Xiang and Hadrian Geri Djajadikerta

Acquiring organizational capital pp. 30-35

Peixin Li, Frank Weikai Li, Baolian Wang and Zilong Zhang

Income distribution in troubled times: Disadvantage and dispersion dynamics in Europe 2005–2013 pp. 36-40

Roger J. Bowden, Peter Posch and Daniel Ullmann

Dynamic linkages between gold and equity prices: Evidence from Indian financial services and information technology companies pp. 41-46

Shubhasis Dey and Aravind Sampath

Short selling and the rounding of analysts’ forecasts pp. 47-54

Hae Mi Choi

Distribution uncertainty and expected stock returns pp. 55-61

Joon Chae and Eun Jung Lee

Refinancing pressure and earnings management: Evidence from changes in short-term debt and discretionary accruals pp. 62-68

L. Paige Fields, Manu Gupta, Mike Wilkins and Shage Zhang

Family ownership and risk taking pp. 69-75

Eun Jung Lee, Joon Chae and Yu Kyung Lee

A parametric bootstrap to evaluate portfolio allocation models pp. 76-82

Wentworth Boynton and Fang Chen

Unit root quantile autoregression testing with smooth structural changes pp. 83-89

Haiqi Li and Chaowen Zheng

Signaling through government subsidy: Certification or endorsement pp. 90-95

Ziqiao Yan and Yue Li

Bid–ask spread and liquidity searching behaviour of informed investors in option markets pp. 96-102

Alejandro Bernales, Carlos Cañón and Thanos Verousis

Bitcoin, gold and the US dollar – A replication and extension pp. 103-110

Dirk G. Baur, Thomas Dimpfl and Konstantin Kuck

Institutional quality and FDI inflows in Arab economies pp. 111-123

Omar Ghazy Aziz

Financial openness and market liquidity in emerging markets pp. 124-130

Chia-Hao Lee and Pei-I Chou

The role of partisan conflict in forecasting the U.S. equity premium: A nonparametric approach pp. 131-136

Rangan Gupta, John Weirstrass Muteba Mwamba and Mark Wohar

Foreign investors and the speed of price adjustment across multiple correlation regimes in Korea pp. 137-144

Jinyong Kim and Yongsik Kim

Estimating stochastic volatility with jumps and asymmetry in Asian markets pp. 145-153

K. Saranya and P. Krishna Prasanna

Ownership structure in Japanese banking industry: Evolution and effects pp. 154-159

Bing Li, Changhong Li and Zhenyu Wu

Does inflation affect sensitivity of investment to stock prices? Evidence from emerging markets pp. 160-164

Omar Farooq and Neveen Ahmed

Internal control weakness, investment and firm valuation pp. 165-171

Gady Jacoby, Yingqi Li, Tianze Li and Steven Xiaofan Zheng

Public capital and asset prices: Time-series evidence from Japan pp. 172-176

Kazuki Hiraga, Masafumi Kozuka and Tomomi Miyazaki

Short-run price performance of venture capital trust in initial public offerings pp. 177-182

Tianna Yang, Wenxuan Hou and Ping Li

Strike asymptotics for Laplace implied volatilities pp. 183-189

Dilip B. Madan and King Wang

Effects of investor attention on commodity futures markets pp. 190-195

Yi Kou, Qiang Ye, Feng Zhao and Xiaolin Wang

Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies pp. 196-201

Jinal Patel, Vincenzo Russo and Frank Fabozzi

Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach pp. 202-212

Xiaoye Jin

The effects of pre-/post-retirement downside consumption constraints on optimal consumption, portfolio, and retirement pp. 213-221

Byung Hwa Lim, Ho-Seok Lee and Yong Hyun Shin

Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from China's stock market pp. 222-229

Yuan Ping and Rui Li

Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets pp. 230-238

Walid Mensi, Ferihane Zaraa Boubaker, Khamis Hamed Al-Yahyaee and Sang Hoon Kang

Loan loss provisions and macroeconomic shocks: Some empirical evidence for italian banks during the crisis pp. 239-243

Guglielmo Maria Caporale, Matteo Alessi, Stefano Di Colli and Juan Sergio Lopez

How does short selling affect liquidity in financial markets? pp. 244-250

Benjamin Blau and Ryan J. Whitby

Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach pp. 251-258

Peng Guo, Huiming Zhu and Wanhai You

Another look at anchoring and stock return predictability pp. 259-265

Ajay Bhootra

How does credit market distortion affect corporate investment efficiency? The role of managerial forecast pp. 266-273

Yizhong Wang, Lifang Chen, Ying Sophie Huang and Yong Li

When institutions passively curb earnings management: Evidence from the Korean market pp. 274-279

Chune Young Chung, Ji Hoon Hwang, Donghyun Kim and Chang Liu

Time-varying long-term memory in Bitcoin market pp. 280-284

Yonghong Jiang, He Nie and Weihua Ruan

Volume 24, issue C, 2018

The relationship between commodity markets and commodity mutual funds: A wavelet-based analysis pp. 1-9

Nikolaos Antonakakis, Tsangyao Chang, Juncal Cuñado and Rangan Gupta

Risk-adjusted performance of portfolio insurance and investors’ preferences pp. 10-18

Dima Tawil

Comovements of gold futures markets and the spot market: A wavelet analysis pp. 19-24

Sangram Keshari Jena, Aviral Tiwari and David Roubaud

Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets pp. 25-33

Fangfei Zhu, Yabei Zhu, Xuejun Jin and Xingguo Luo

The EMBI in Latin America: Fractional integration, non-linearities and breaks pp. 34-41

Guglielmo Maria Caporale, Hector Carcel and Luis Gil-Alana

Terrorism and oil markets: A cross-sectional evaluation pp. 42-48

José R. Valdivia Orbaneja, Subramanian R. Iyer and Betty J. Simkins

Hedge ratio on Markov regime-switching diagonal Bekk–Garch model pp. 49-55

Yan Zhipeng and Li Shenghong

How to build a better database: When python programming meets Bloomberg's Open API pp. 64-72

Adriano Durante and Eahab Elsaid

Long-term strategic effects of mergers and acquisitions in Asia-Pacific banks pp. 73-80

Yoko Shirasu

Innovative efficiency and stock returns: Should we care about nonlinearity? pp. 81-89

Houdou Basse Mama

The optimal timing of CEO compensation pp. 90-94

Pierre Chaigneau

A new approach to the analysis of monetary policy transmission through bank capital pp. 95-104

María Cantero Sáiz, Sergio Sanfilippo Azofra, Begoña Torre Olmo and Carlos López Gutiérrez

A simulation comparison of risk measures for portfolio optimization pp. 105-112

Marcelo Righi and Denis Borenstein

Pricing short-dated foreign equity options with a bivariate jump-diffusion model with correlated fat-tailed jumps pp. 113-128

Siti Maghfirotul Ulyah, Xenos Chang-Shuo Lin and Daniel Wei-Chung Miao

Idiosyncratic tail risk and expected stock returns: Evidence from the Chinese stock markets pp. 129-136

Huaigang Long, Yuexiang Jiang and Yanjian Zhu

Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution pp. 137-144

Libing Fang, Baizhu Chen, Honghai Yu and Yichuo Qian

Readability of the credit card agreements and financial charges pp. 145-150

Alyxandra Cash and Hui-Ju Tsai

The relationship among China’s fuel oil spot, futures and stock markets pp. 151-162

Li Ping, Zhang Ziyi, Yang Tianna and Zeng Qingchao

Idiosyncratic volatility, returns, and mispricing: No real anomaly in sight pp. 163-167

Adam Zaremba, Anna Czapkiewicz and Barbara Będowska-Sójka

One-fund separation in incomplete markets with two assets pp. 168-174

Dong Chul Won

Understanding the outperformance of the minimum variance portfolio pp. 175-178

Ziemowit Bednarek and Pratish Patel

How do anticorruption measures affect executive incentive? pp. 179-185

Ni Tian and Zongyi Zhang

The relation between treasury yields and corporate bond yield spreads in Australia: Evidence from VARs pp. 186-192

Pär Österholm

Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH pp. 193-198

Szabolcs Blazsek, Daniela Carrizo, Ricardo Eskildsen and Humberto Gonzalez

Exploring the Persistent Behavior of Financial Markets pp. 199-220

Yi-Cheng Tsai, Chin-Laung Lei, William Cheung, Chung-Shu Wu, Jan-Ming Ho and Chuan-Ju Wang

Comparison of utility indifference pricing and mean-variance approach under normal mixture pp. 221-229

Jiro Hodoshima, Tetsuya Misawa and Yoshio Miyahara

Financial inclusion and stability in MENA: Evidence from poverty and inequality pp. 230-237

Simon Neaime and Isabelle Gaysset

Institutional correlates with female board representation pp. 238-246

Thomas R. Loy and Hendrik Rupertus

Index futures volatility and trading activity: Measuring causality at a multiple horizon pp. 247-255

Sangram Keshari Jena, Aviral Tiwari, David Roubaud and Muhammad Shahbaz

Do precious and industrial metals act as hedges and safe havens for currency portfolios? pp. 256-262

Ryuta Sakemoto

Inflation targeting and exchange market pressure in developing economies: Some international evidence pp. 263-272

Than Than Soe and Makoto Kakinaka

Avoiding regret in an agent-based asset pricing model pp. 273-277

Radu T. Pruna, Maria Polukarov and Nicholas R. Jennings

Unwinding ZIRP: A simulation analysis pp. 278-288

Todd Feldman

A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio pp. 289-290

Benjamin R. Auer

Institutional investment horizon and dividend policy: An empirical study of UK firms pp. 291-300

Erhan Kilincarslan and Ozgur Ozdemir

Option pricing under regime switching: Integration over simplexes method pp. 301-312

Bong-Gyu Jang and Hyeon-Wuk Tae

A new approach for detecting high-frequency trading from order and trade data pp. 313-320

Cumhur Ekinci and Oguz Ersan

Closed-form solutions for valuing partial lookback options with random initiation pp. 321-327

Geonwoo Kim and Junkee Jeon

Institutional ownership and corporate transparency in China pp. 328-336

Ningyue Liu, Elaine Laing, Yue Cao and Xiaofei Zhang