Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

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Volume 19, issue C, 2016

Directors’ duties of care and the value of auditing pp. 1-14

Suman Banerjee and Mark Humphery-Jenner

Almost stochastic dominance for risk averters and risk seeker pp. 15-21

Xu Guo, Wing-Keung Wong and Lixing Zhu

Directors’ and officers’ liability insurance and analyst forecast properties pp. 22-32

Narjess Boubakri and Lobna Bouslimi

Estimation of bid-ask prices for options on LIBOR based instruments pp. 33-41

Masimba Energy Sonono and Hopolang Phillip Mashele

Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimation pp. 42-53

Ahmed Atil, Marc Bradford, Abdelaziz Elmarzougui and Amine Lahiani

Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis pp. 54-59

Chaker Aloui, Besma Hkiri, Chi Keung Lau and Larisa Yarovaya

Market microstructure during financial crisis: Dynamics of informed and heuristic-driven trading pp. 60-66

Mihály Ormos and Dusán Timotity

Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani pp. 67-74

Shuang Xiao and Shihua Ma

The effect of political risk on currency carry trades pp. 75-78

Nebojsa Dimic, Vitaly Orlov and Vanja Piljak

Insider competition under two-dimensional uncertainty and informational asymmetry pp. 79-82

Marco Bade

A Tobin tax only on sellers pp. 83-89

Haiwei Chen

Pricing power exchange options with correlated jump risk pp. 90-97

Xingchun Wang

Is the Comprehensive Assessment able to capture banks’ risks? pp. 98-104

Emilio Barucci, Roberto Baviera and Carlo Milani

The information content of implied volatility and jumps in forecasting volatility: Evidence from the Shanghai gold futures market pp. 105-111

Xingguo Luo, Shihua Qin and Zinan Ye

Dynamic consumption and portfolio choice with permanent learning pp. 112-118

Hyun-Tak Lee

Quantile behaviour of cointegration between silver and gold prices pp. 119-125

Huiming Zhu, Cheng Peng and Wanhai You

Idiosyncratic volatility and excess Return: Evidence from the Greater China region pp. 126-129

Li-Hsun Wang, Chu-Hsiung Lin, Jui-Heng Kang and Hung-Gay Fung

Developing the exchange traded market for government bonds: Effect of recent quote rule changes in South Korea pp. 130-138

Woon Wook Jang, Hak Kyum Kim and Yong Joo Kang

Do managers learn from the market? Firm level evidence in merger investment pp. 139-145

Wenjing Ouyang and Samuel H. Szewczyk

Does the earnings quality matter? Evidence from a quasi-experimental setting pp. 146-157

Giulia Baschieri, Andrea Carosi and Stefano Mengoli

China credit constraints and rural households’ consumption expenditure pp. 158-164

Changsheng Li, Liqiong Lin and Christopher E.C. Gan

The role of arbitrage risk on the elasticity of demand: New evidence from 100% secondary equity offerings pp. 165-172

William B. Elliott and Hilmi Songur

Testing the adaptive market hypothesis and its determinants for the Indian stock markets pp. 173-180

Gourishankar S. Hiremath and Seema Narayan

Dynamic spillovers between Shanghai and London nonferrous metal futures markets pp. 181-188

Sang Hoon Kang and Seong-Min Yoon

A note on the Wang transform for stochastic volatility pricing models pp. 189-196

Alexandru Badescu, Zhenyu Cui and Juan-Pablo Ortega

Patents and R&D expenditure in explaining stock price movements pp. 197-203

Gun Jea Yu and KiHoon Hong

Integral representation of vega for American put options pp. 204-208

Yanchu Liu, Zhenyu Cui and Ning Zhang

A note on optimal portfolios under regime–switching pp. 209-216

Markus Haas

Political constraints and trading strategy in times of market stress: Evidence from the chinese national social security fund pp. 217-221

Yong Li, Karen Benson and Robert Faff

Foreign funding shocks and the lending channel: Do foreign banks adjust differently? pp. 222-227

Felix Noth and Matias Ossandon Busch

Credit risk findings for commercial real estate loans using the reduced form pp. 228-234

Andreas D. Christopoulos and Joshua G. Barratt

Deferred compensation withdrawal decisions and their implications on inside debt pp. 235-240

Gemma Lee

On the weight sign of the global minimum variance portfolio pp. 241-246

Wan-Yi Chiu and Ching-Hai Jiang

How do China's oil markets affect other commodity markets both domestically and internationally? pp. 247-254

Qiang Ji and Ying Fan

Pure higher-order effects in the portfolio choice model pp. 255-260

Trino Ñíguez Grau, Ivan Paya and David Peel

The risk in capital controls pp. 261-266

Gkillas (Gillas), Konstantinos, Athanasios Tsagkanos and Costas Siriopoulos

Modelling order arrivals at price limits using Hawkes processes pp. 267-272

Afshin Haghighi, Saeid Fallahpour and Reza Eyvazlu

Debt-threshold effect in sovereign credit ratings: New evidence from nonlinear panel smooth transition models pp. 273-278

Oussama Ben Hmiden and Nidhaleddine Ben Cheikh

Valuing resettable convertible bonds: Based on path decomposing pp. 279-290

Yun Feng, Bing-hua Huang and Yu Huang

Brexit: (Not) another Lehman moment for banks? pp. 291-297

Dirk Schiereck, Florian Kiesel and Sascha Kolaric

Dating the financial cycle with uncertainty estimates: a wavelet proposition pp. 298-304

Diego Ardila and Didier Sornette

Pricing vulnerable options with stochastic default barriers pp. 305-313

Xingchun Wang

Volume 18, issue C, 2016

Is there a credit risk anomaly in FX markets? pp. 1-6

Klaus Grobys and Jari-Pekka Heinonen

What drives the time to resolution of defaulted bank loans? pp. 7-31

Jennifer Betz, Ralf Kellner and Daniel Rösch

Solving the SRI puzzle? A note on the mainstreaming of ethical investment pp. 32-42

Elias Erragragui and Thomas Lagoarde-Segot

The performance of the switching forecast model of value-at-risk in the Asian stock markets pp. 43-51

Yen-Chen Chiu and I-Yuan Chuang

Trading activity and price behavior in Chinese agricultural futures markets pp. 52-59

Xiaolin Wang, Qiang Ye and Feng Zhao

Multi-period portfolio optimization under probabilistic risk measure pp. 60-66

Yufei Sun, Grace Aw, Kok Lay Teo, Yanjian Zhu and Xiangyu Wang

Does gender matter for firms' access to credit? Evidence from international data pp. 67-75

David Aristei and Manuela Gallo

Idiosyncratic risk and share repurchases pp. 76-82

Yuan-Teng Hsu and Chia-Wei Huang

The disciplinary role of leverage: evidence from East Asian cross-border acquirers’ returns pp. 83-88

Robert B. Durand, Elaine Laing and Minh Thao Ngo

Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure pp. 89-99

Muhammad Surajo Sanusi and Farooq Ahmad

Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis pp. 100-107

Leon Li and Carl R. Chen

Are there significant premiums in the Saudi stock market? pp. 108-115

Ryadh Alkhareif

Determinants of non-performing loans: Evidence from Euro-area countries pp. 116-119

Dimitris Anastasiou, Helen Louri and Mike Tsionas

Performance-based bonuses for investment and abandonment decisions pp. 120-126

Hwa-Sung Kim

Does community environment matter to corporate social responsibility? pp. 127-135

Dejun Wu, Chen Lin and Sibo Liu

Economic policy uncertainty and stock markets: Long-run evidence from the US pp. 136-141

Mohamed Arouri, Christophe Estay, Christophe Rault and David Roubaud

Turn-of-the-month effect: New evidence from an emerging stock market pp. 142-157

Nuri Volkan Kayacetin and Senad Lekpek

Ambiguity and optimal portfolio choice with Value-at-Risk constraint pp. 158-176

Bong-Gyu Jang and Seyoung Park

Does frequency matter for intraday technical trading? pp. 177-183

Michael Frömmel and Kevin Lampaert

The informativeness of non-GAAP earnings after Regulation G? pp. 184-192

Shin-Rong Shiah-Hou and Yi-Yun Teng

Early warning indicators of banking crisis and bank related stock returns pp. 193-198

Bumjean Sohn and Heungju Park

The macro-finance environment and asset allocation: A simultaneous equation approach pp. 199-204

Antonio Moreno, James Orlando and Dulce M. Redin

Dutch mortgages: Impact of the crisis on probability of default pp. 205-217

Jan Kroot and Evangelos Giouvris

Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market pp. 218-225

Oliver Hossfeld and Andreas Röthig

Risk-based explanation for the country-level size and value effects pp. 226-233

Adam Zaremba

Momentum: Further Evidence from Australia pp. 234-236

Xiuqing Ji

Does inflation targeting reduce sovereign risk? Further evidence pp. 237-241

John Thornton and Chrysovalantis Vasilakis

Model misspecification and pricing of illiquid claims pp. 242-249

Alexey Rubtsov

Stock price synchronicity and information disclosure: Evidence from an emerging market pp. 250-254

Omar Farooq and Moataz Hamouda

Who are the net senders and recipients of volatility spillovers in China’s financial markets? pp. 255-262

Gang-Jin Wang, Chi Xie, Zhi-Qiang Jiang and H. Eugene Stanley

The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan pp. 263-272

Chien-Hua Chen, Xuan-Qi Su and Jun-Biao Lin

Foreign investors and corporate risk taking behavior in an emerging market pp. 273-277

Xuan Vinh Vo

Real option, debt maturity and equity default swaps under negotiation pp. 278-284

Liu Gan, Pengfei Luo and Zhaojun Yang

Monetary policy statements, treasury yields, and private yields: Before and after the zero lower bound pp. 285-290

Michael Kiley

Incorporating economic policy uncertainty in US equity premium models: A nonlinear predictability analysis pp. 291-296

Stelios Bekiros, Rangan Gupta and Anandamayee Majumdar

The systemic importance of banks – name and shame seems to work pp. 297-301

Piotr Bańbuła and Małgorzata Iwanicz-Drozdowska

Exposing volatility spillovers: A comparative analysis based on vector autoregressive models pp. 302-305

Dionisis Philippas and Catalin Dragomirescu-Gaina

Are stock markets efficient in the face of fear? Evidence from the terrorist attacks in Paris and Brussels pp. 306-310

Sascha Kolaric and Dirk Schiereck

Moments of standardized Fernandez–Steel skewed distributions: Applications to the estimation of GARCH-type models pp. 311-316

Denis-Alexandre Trottier and David Ardia

African stock markets convergence: Regional and global analysis pp. 317-321

Gideon Boako and Imhotep Alagidede

Financial stability and bank supervision pp. 322-327

Benjamin Tabak, Dimas Fazio, Karine C. de O. Paiva and Daniel Cajueiro

Political connections, overinvestments and firm performance: Evidence from Chinese listed real estate firms pp. 328-333

Leng Ling, Xiaorong Zhou, Quanxi Liang, Pingping Song and Haijian Zeng

Testing for herding in the Athens Stock Exchange during the crisis period pp. 334-341

Fotini Economou, Epameinondas Katsikas and Gregory Vickers

Robust consumption and portfolio rules with time-varying model confidence pp. 342-352

Bong-Gyu Jang, Seungkyu Lee and Byung Hwa Lim

Portfolio optimization using asymmetry robust mean absolute deviation model pp. 353-362

Ping Li, Yingwei Han and Yong Xia

Portfolio selection with conservative short-selling pp. 363-369

Jang Ho Kim, Woo Chang Kim and Frank Fabozzi