Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

From Elsevier
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Volume 23, issue C, 2017

Robust multivairiate extreme value at risk allocation pp. 1-11

A. Belhajjam, M. Belbachir and S. El Ouardirhi

International stock return co-movements and trading activity pp. 12-18

Xin Sheng, Janusz Brzeszczynski and Boulis M. Ibrahim

Inequality, demographics and the housing wealth effect: Panel quantile regression evidence for the US pp. 19-22

Georgios Bampinas, Panagiotis Konstantinou and Theodore Panagiotidis

Uncovering frequency domain causality between gold and the stock markets of China and India: Evidence from implied volatility indices pp. 23-30

Elie Bouri, David Roubaud, Rania Jammazi and Ata Assaf

Efficient estimation of expected stock price returns pp. 31-38

Dilip B. Madan

The effect of non-trading days on volatility forecasts in equity markets pp. 39-49

Štefan Lyócsa and Peter Molnár

Dual influences of regulatory polices on real estate enterprises’ investment —based on the perspective of supply-side reform in China pp. 50-57

Shoujin Yu, Ling Zhang, Yanni Zeng and Hao Zhang

Twitter's daily happiness sentiment and the predictability of stock returns pp. 58-64

Wanhai You, Yawei Guo and Cheng Peng

Estimating volatility persistence under a Brexit-vote structural break pp. 65-68

Tola Adesina

Sticky dividends: A new explanation pp. 69-79

Chang Yong Ha, Hyun Joong Im and Ya Kang

Trust and Governance: The conditioning role of national culture pp. 80-86

John W. Goodell

Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions pp. 87-95

Elie Bouri, Rangan Gupta, Aviral Tiwari and David Roubaud

Do cointegrated commodities bubble together? the case of hog, corn, and soybean pp. 96-102

Christos Alexakis, Guillaume Bagnarosa and Michael Dowling

The timing of low-volatility strategy pp. 114-120

Ching-Chi Hsu and Miao-Ling Chen

Herding effect on idiosyncratic volatility in U.S. industries pp. 121-132

Ahmed BenSaïda

Flexible firm-level dividends in Latin America pp. 133-136

Henk von Eije, Abhinav Goyal and Cal B. Muckley

Volatility patterns of the constituents of FTSE100 in the aftermath of the U.K. Brexit referendum pp. 137-146

Bernard Ben Sita

Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises pp. 147-151

Halim Abourachid, Alexander Kubo and Sven Orbach

Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis pp. 152-164

Eduard Baumohl and Štefan Lyócsa

Geopolitical risks and the oil-stock nexus over 1899–2016 pp. 165-173

Nikolaos Antonakakis, Rangan Gupta, Christos Kollias and Stephanos Papadamou

The impact of transaction costs on state-contingent claims mispricing pp. 174-178

Valerio Restocchi, Frank McGroarty, Enrico Gerding and Johnnie E.V. Johnson

Communist party committee direct control and the market value of corporate cash holdings pp. 179-189

Xiaorong Li, Fan Zhang and Kam C. Chan

Effects of anti-corruption on firm performance: Evidence from a quasi-natural experiment in China pp. 190-195

Dongmin Kong, Li Wang and Maobin Wang

Learning to wait pp. 196-201

Jinghan Cai, Jibao He and Weili Zhai

Long vs. short term asymmetry in volatility and the term structure of risk pp. 202-209

Carl Lönnbark

Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks pp. 210-216

Dehua Shen, Xiao Li and Wei Zhang

Investor inattention around stock market holidays pp. 217-222

Matthew Hood and Vance Lesseig

Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets pp. 223-232

Seema Narayan and Mobeen Ur Rehman

Gambler's attention and the mean-variance relation: Evidence from China pp. 233-238

Jing Yao and Lingyan Wu

Impact of International capital flows on emerging markets’ sovereign risk premium – demand vs. vulnerability effect pp. 239-245

Karolina Konopczak and Michał Konopczak

Does the removal of the IPO lockup matter in IPO pricing? pp. 246-252

Shenghao Gao, Jinzhao Liu and Kam C. Chan

Cross-border mergers and acquisitions: Evidence from the Indochina region pp. 253-256

Manapol Ekkayokkaya, Pimnipa Foojinphan and Christian Wolff

The evolution of market power in European banking pp. 257-262

Paula Cruz-García, Juan Fernández de Guevara and Joaquin Maudos

Investor familiarity and corporate debt financing conditions pp. 263-268

Leonie Herrmann and Oscar A. Stolper

Marginal speculation and hedging in commodity markets pp. 269-282

Veysel Ulusoy and Özgür Ünal Onbirler

Dynamic correlation of precious metals and flight-to-quality in developed markets pp. 283-290

Tony Klein

Exploring CSR and financial performance of full-service and low-cost air carriers pp. 291-299

Ann Shawing Yang and Suvd Baasandorj

On the transaction cost of Bitcoin pp. 300-305

Thomas Kim

Firm-specific credit risk estimation in the presence of regimes and noisy prices pp. 306-313

Jean-François Bégin, Mathieu Boudreault and Geneviève Gauthier

Volume 22, issue C, 2017

Impacts of the mass media effect on investor sentiment pp. 1-4

Wen Yang, Dongtong Lin and Zelong Yi

Cumulative Prospect Theory for piecewise continuous distributions pp. 5-10

Marc Gürtler and Julia Stolpe

Fixed-price, auction, and bookbuilding IPOs: Empirical evidence in Taiwan pp. 11-19

Hsin-Yi Huang, Min-Hsien Chiang, Jia-Hui Lin and Yun Lin

Pension funds rules: Paradoxes in risk control pp. 20-29

Marinella Cadoni, Roberta Melis and Alessandro Trudda

Corporate cash-pool valuation in a multi-firm context: A closed formula pp. 30-34

Edina Berlinger, Zsolt Bihary and Gyorgy Walter

On the short-term predictability of stock returns: A quantile boosting approach pp. 35-41

Riza Demirer, Christian Pierdzioch and Huacheng Zhang

Identifying events in financial time series – A new approach with bipower variation pp. 42-48

György Andor and András Bohák

Ownership dispersion and bank performance: Evidence from China pp. 49-52

Wenlong Bian and Chao Deng

Shareholder rights in mergers and acquisitions: Are appraisal rights being abused? pp. 53-57

Jonathan Kalodimos and Clark Lundberg

An examination of investors’ reaction to the announcement of CoCo bonds issuance: A global outlook pp. 58-65

Qunfeng Liao, Seyed Mehdian and Rasoul Rezvanian

Comparing performance sensitivity of retail and institutional mutual funds’ investment flows pp. 66-73

Mieszko Mazur, Galla Salganik-Shoshan and Maxim Zagonov

Bank bailouts in Europe and bank performance pp. 74-80

Maria Gerhardt and Rudi Vander Vennet

Why do microfinance institutions fail socially? A global empirical examination pp. 81-89

Gregor Dorfleitner, Christopher Priberny and Michaela Röhe

An empirical investigation of capital structure and firm value in Vietnam pp. 90-94

Xuan Vinh Vo and Craig Ellis

Implementing and testing the Maximum Drawdown at Risk pp. 95-100

Beatriz Vaz de Melo Mendes and Rafael Coelho Lavrado

How does the stock market value bank diversification? Evidence from Vietnam pp. 101-104

Xuan Vinh Vo

High turnover with high price delay? Dissecting the puzzling phenomenon for China's A-shares pp. 105-113

Meifen Qian, Ping-Wen Sun and Bin Yu

Can agents sensitive to cultural, organizational and environmental issues avoid herding? pp. 114-121

Natividad Blasco, Pilar Corredor and Sandra Ferreruela

Superiority of optimized portfolios to naive diversification: Fact or fiction? pp. 122-128

Valeriy Zakamulin

CEO age and CEO gender: Are female CEOs older than their male counterparts? pp. 129-135

Pradit Withisuphakorn and Pornsit Jiraporn

Sampling frequency and the performance of different types of technical trading rules pp. 136-139

Robert Hudson, Frank McGroarty and Andrew Urquhart

What determines bank CDS spreads? Evidence from European and US banks pp. 140-145

Danilo Drago, Caterina Di Tommaso and John Thornton

Selling out or going public? A real options signaling approach pp. 146-152

Michi Nishihara

Negative interest rates as systemic risk event pp. 153-157

Łukasz Kamil Kurowski and Karol Rogowicz

Return distribution, leverage effect and spot-futures spread on the hedging effectiveness pp. 158-162

Wei-Shun Kao, Chu-Hsiung Lin, Chang-Cheng Changchien and Chien-Hui Wu

Stock market contagion during the global financial crisis: A multiscale approach pp. 163-168

Gang-Jin Wang, Chi Xie, Min Lin and H. Eugene Stanley

Determining risk model confidence sets pp. 169-174

Mark Cummins, Michael Dowling and Francesco Esposito

Brexit: Short-term stock price effects and the impact of firm-level internationalization pp. 175-181

Andreas Oehler, Matthias Horn and Stefan Wendt

Performance persistence of government bond factor premia pp. 182-189

Adam Zaremba

Dark side of investment in employee education in privately-held companies pp. 190-196

Changhong Li, Jialong Li and Zhenyu Wu

Price dynamics, social networks and communication pp. 197-201

Bingqing Li, Lijia Wang and Guoxiang Lu

Laplacian risk management pp. 202-210

Dilip B. Madan, Robert H. Smith and King Wang

Can tree-structured classifiers add value to the investor? pp. 211-226

Ricardo Laborda and Juan Laborda

Time-varying causality between stock and housing markets in China pp. 227-232

Guangping Shi, Xiaoxing Liu and Xu Zhang

A simulation on the presence of competing bidders in mergers and acquisitions pp. 233-243

Sebouh Aintablian and Wissam El Khoury

Democracy and market crashes: Evidence from a worldwide panel of countries pp. 244-248

Nicholas Apergis

How EPU drives long-term industry beta pp. 249-258

Honghai Yu, Libing Fang, Donglei Du and Panpan Yan

On the use of the Moore–Penrose generalized inverse in the portfolio optimization problem pp. 259-267

Miyoung Lee and Daehwan Kim

The impact of expected regulatory changes: The case of banks following the 2016U.S. election pp. 268-273

Britta Hachenberg, Florian Kiesel, Sascha Kolaric and Dirk Schiereck

Fast fractional differencing in modeling long memory of conditional variance for high-frequency data pp. 274-279

Tony Klein and Thomas Walther