Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

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Volume 21, issue C, 2017

Nonparametric tolerance limits for pair trading pp. 1-9

Cathy W. S. Chen and Tsai-Yu Lin

Value-at-Risk estimation with stochastic interest rate models for option-bond portfolios pp. 10-20

Xiaoyu Wang, Dejun Xie, Jingjing Jiang, Xiaoxia Wu and Jia He

Asset price risk, banks and markets pp. 21-25

Yu Zhang

Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis pp. 26-33

Walid Mensi, Shawkat Hammoudeh and Sang Hoon Kang

The elimination of broker voting in director elections pp. 34-39

Ali C. Akyol, Konrad Raff and Patrick Verwijmeren

Measuring systemic risk: A comparison of alternative market-based approaches pp. 40-46

Jacob Kleinow, Fernando Moreira, Sascha Strobl and Sami Vähämaa

Analysis of the global financial crisis using statistical moments pp. 47-52

Doobae Jun, Changmo Ahn and Gwangil Kim

Human capital measures and stock return predictability: Macroeconomic versus microeconomic approaches pp. 53-56

Jaeram Lee, Jungjoon Ihm and Doojin Ryu

Real option with liquidity constraints under secondary debt illiquidity risk market pp. 57-65

Qing Xu and Jinqiang Yang

Time-varying investment barriers and closed-end country fund pricing pp. 66-71

Richard Davies, Mary Fletcher and Andrew Marshall

Investor reaction to IFRS for financial instruments in Europe: The role of firm-specific factors pp. 72-77

Enrico Onali, Gianluca Ginesti and Luca Vincenzo Ballestra

Risk aversion vs. the Omega ratio: Consistency results pp. 78-84

Sven Balder and Nikolaus Schweizer

Exploring the location and price differentials of cross-listed firms for arbitrage opportunities pp. 85-91

Ann Shawing Yang and Craig Alan Uyan Carandang

How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach pp. 92-99

Yann Braouezec

Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium pp. 100-106

Tsz-Kin Chung, Cho-Hoi Hui and Ka-Fai Li

Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries pp. 107-114

Pedro Pires Ribeiro, Rodolfo Cermeño and José Dias Curto

Real and complex wavelets in asset classification: An application to the US stock market pp. 115-125

Joanna Bruzda

Does institutional trading drive commodities prices away from their fundamentals: Evidence from a nonparametric causality-in-quantiles test pp. 126-131

Vassilios Babalos and Mehmet Balcilar

The distant echo of Brexit: Did exporters suffer the most? pp. 132-139

Krzysztof Jackowicz, Łukasz Kozłowski and Błażej Podgórski

Macro news and exchange rates in the BRICS pp. 140-143

Guglielmo Maria Caporale, Fabio Spagnolo and Nicola Spagnolo

Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods? pp. 144-150

Harald Kinateder, Benedikt Hofstetter and Niklas Wagner

How do bond, equity and commodity cycles interact? pp. 151-156

Paresh Narayan, Kannan S. Thuraisamy and Niklas Wagner

The forex fixing reform and its impact on cost and risk of forex trading banks pp. 157-162

Masahiro Yamada and Takatoshi Ito

Money market funds, shadow banking and systemic risk in United Kingdom pp. 163-171

Carlo Bellavite Pellegrini, Michele Meoli and Giovanni Urga

Impact of the Medicaid expansion on U.S. health services firms: Evidence from the 2010 Affordable Care Act pp. 172-177

Daeyong Lee and (Alicia) Zhang, Fan

Robust asset pricing with stochastic hyperbolic discounting pp. 178-185

Haijun Wang

On the uncertainty of art market returns pp. 186-189

Ventura Charlin and Arturo Cifuentes

Dynamic robust portfolio selection with copulas pp. 190-200

Yingwei Han, Ping Li and Yong Xia

Impact of persistent bad returns and volatility on retirement outcomes pp. 201-205

Anup Basu and Osei K. Wiafe

The depreciation of the pound post-Brexit: Could it have been predicted? pp. 206-213

Vasilios Plakandaras, Rangan Gupta and Mark Wohar

Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework pp. 214-221

Xiaolei Sun, Xiaoyang Yao and Jun Wang

The impact of Shanghai–Hong Kong Stock Connect policy on A-H share price premium pp. 222-227

Qingliang (Michael) Fan and Ting Wang

Fair risk allocation in illiquid markets pp. 228-234

Péter Csóka

Impact of the growth opportunities of influential firms on future investment intentions: A cross-country study pp. 235-240

Raffaele Staglianò and Guillaume Andrieu

Revisiting CAPM betas in an incomplete market: Evidence from the Korean stock market pp. 241-248

Seok-Kyun Hur and Chune Young Chung

Forecasting intraday volume: Comparison of two early models pp. 249-258

Balázs Árpád Szűcs

Optimal hedge ratio in a biased forward market under liquidity constraints pp. 259-263

Barbara Dömötör

Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic pp. 264-271

Milla Siikanen, Juho Kanniainen and Jaakko Valli

Market liquidity and stock returns in the Norwegian stock market pp. 272-276

Thomas Leirvik, Sondre R. Fiskerstrand and Anders B. Fjellvikås

Implicit rating: A potential new method to alert crisis on the interbank lending market pp. 277-283

Edina Berlinger

Volume 20, issue C, 2017

The relationship among information asymmetry, dividend policy and ownership structure pp. 1-12

Tsui-Jung Lin, Yi-Pei Chen and Han-Fang Tsai

Cross-financial-market correlations and quantitative easing pp. 13-21

Lawrence Kryzanowski, Jie Zhang and Rui Zhong

Arising borders and the value of logistic companies: Evidence from the Brexit referendum in Great Britain pp. 22-28

Artur Tielmann and Dirk Schiereck

Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index pp. 29-34

Xingguo Luo and Shihua Qin

Exploring rating shopping for european triple a senior structured finance securities pp. 35-39

Frank Fabozzi, Mike E. Nawas and Dennis Vink

Systemic risk in carry-trade portfolios pp. 40-46

Chih-Liang Liu and Hsin-Feng Yang

The day-of-the-Week effects of stock markets in different countries pp. 47-62

Jilin Zhang, Yongzeng Lai and Jianghong Lin

The impact of fiscal rules on sovereign risk premia: International evidence pp. 63-67

John Thornton and Chrysovalantis Vasilakis

Closed-form solutions for options with random initiation under asset price monitoring pp. 68-74

Doobae Jun and Hyejin Ku

Oil price shocks and stock returns of oil and gas corporations pp. 75-80

Elena Maria Diaz and Fernando Pérez de Gracia

The effects of age pension on retirement drawdown choices pp. 81-87

Osei K. Wiafe, Anup Basu and John Chen

Dynamic agency and investment theory with time-inconsistent preferences pp. 88-95

Bo Liu, Congming Mu and Jinqiang Yang

The effects of government borrowing on corporate financing: Evidence from Europe pp. 96-103

Yusuf Ayturk

The role of corruption in shaping the value of holding cash pp. 104-108

Maurizio La Rocca, Domenico Rocco Cambrea and Alfio Cariola

Dynamics of non-performing loans in the Turkish banking sector by an ownership breakdown: The impact of the global crisis pp. 109-117

Vuslat Us

Examining the flight-to-safety with the implied volatilities pp. 118-124

Ghulam Sarwar

Accrual anomaly and corporate financing activities pp. 125-129

Georgios Papanastasopoulos

Earnings comparability and informed trading pp. 130-136

Sangwan Kim and Steve C. Lim

Optimization of brokers’ commissions pp. 137-145

Sebastien Lemeunier

Bayesian testing for short term interest rate models pp. 146-152

Yonghui Zhang, Zhongtian Chen and Yong Li

Celebrities and ordinaries in social networks: Who knows more information? pp. 153-161

Yongjie Zhang, Yahui An, Xu Feng and Xi Jin

The long-term performance of new product introductions pp. 162-169

Li-Yu Chen, Jung-Ho Lai and Shao-Chi Chang

Reporting errors in the I/B/E/S earnings forecast database: J. Doe vs. J. Doe pp. 170-176

Tristan Roger

Managerial incentives in the presence of golden handshakes pp. 177-183

Yi Jiang

Multinational firms and cash holdings: Evidence from China pp. 184-191

Weijun Wu, Yang Yang and Sili Zhou

On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? pp. 192-198

Elie Bouri, Peter Molnár, Georges Azzi, David Roubaud and Lars Ivar Hagfors

National culture and private benefits of control pp. 199-206

Astrid Salzmann and Kalender Soypak

Stock market volatility spillovers: Evidence for Latin America pp. 207-216

Santiago Gamba, Jose Gomez-Gonzalez, Jorge Luis Hurtado-Guarin and Luis Melo-Velandia

Wealth effect revisited: Novel evidence on long term co-memories between real estate and stock markets pp. 217-222

Apostolos Kiohos, Vassilios Babalos and Athanasios Koulakiotis

Earnings announcements and quoted bid-ask spreads of U.S. Bank Holding Companies pp. 223-228

Terry Harris

Bank screening technologies and the founder effect: Evidence from European lending relationships pp. 229-237

Marco Cucculelli and Valentina Peruzzi

In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework pp. 238-244

Sławomir Śmiech and Monika Papież

Forecasting volatility with interacting multiple models pp. 245-252

Jiri Svec and Xerxis Katrak

Momentum profits and time varying illiquidity effect pp. 253-259

Hilal Anwar Butt and Nader Shahzad Virk

A Unified Tree approach for options pricing under stochastic volatility models pp. 260-268

C.C. Lo, D. Nguyen and K. Skindilias

Can profitability through momentum strategies be enhanced applying a range to standard deviation filter? pp. 269-273

Subrata Kumar Mitra, Jaslene Bawa, M. Kannadhasan, Vinay Goyal and Manojit Chattopadhyay

Dynamic autocorrelation of intraday stock returns pp. 274-280

Xi Dong, Shu Feng, Leng Ling and Pingping Song

Discontinuous payoff option pricing by Mellin transform: A probabilistic approach pp. 281-288

Henryk Gzyl, M. Milev and A. Tagliani

CEO equity compensation and earnings management: The role of growth opportunities pp. 289-295

Leon Li and Chii-Shyan Kuo

Inflation targeting and the cyclicality of monetary policy pp. 296-302

John Thornton and Chrysovalantis Vasilakis