Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

From Elsevier
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Volume 17, issue C, 2016

A comparison of investors’ sentiments and risk premium effects on valuing shares pp. 1-6

Yiannis Karavias, Stella Spilioti and Elias Tzavalis

Stochastic dominance and the omega ratio pp. 7-9

Wai Mun Fong

A dynamic panel analysis of HKEx shorting ban’s impact on the relationship between disagreement and future returns pp. 10-16

Yan Zhang and Shin Ikeda

The effect of internal control weakness on firm valuation: Evidence from SOX Section 404 disclosures pp. 17-24

Yingqi Li, Junli Yu, Zhou Zhang and Steven Xiaofan Zheng

Risk and regulation: A difference-in-differences analysis for Italian local banks pp. 25-32

Cristian Barra, Sergio Destefanis and Giuseppe Lubrano Lavadera

Neoclassical finance, behavioral finance and noise traders: Assessment of gold–oil markets pp. 33-40

Zied Ftiti, Ibrahim Fatnassi and Aviral Tiwari

A closer insight into the causality between short selling trades and volatility pp. 48-54

Hasan F. Baklaci, Omur Suer and Tezer Yelkenci

Copula function approaches for the analysis of serial and cross dependence in stock returns pp. 55-61

Giorgia Rivieccio and Giovanni De Luca

Newton meets Van Leeuwenhoek: Identifying international investors’ common currency preferences pp. 62-65

Martijn Boermans and Robert Vermeulen

A test of the adaptive market hypothesis using a time-varying AR model in Japan pp. 66-71

Akihiko Noda

The Sharpe ratio of estimated efficient portfolios pp. 72-78

Apostolos Kourtis

Real oil prices and the international sign predictability of stock returns pp. 79-87

Harri Pönkä

Identifying portfolio-based systematic risk factors in equity markets pp. 88-92

Klaus Grobys and Jesper Haga

A game-theoretic model of underpricing and over-subscription in Chinese IPO’s pp. 93-96

Paul Geertsema and Helen Lu

Are stock market networks non-fractal? Evidence from New York Stock Exchange pp. 97-102

Zhi-Jian Zeng, Chi Xie, Xin-Guo Yan, Jue Hu and Zhou Mao

Nonrandom price movements pp. 103-109

Dilip B. Madan and King Wang

Global Merger and Acquisition (M&A) activity: 1992–2011 pp. 110-117

Işıl Sevilay Yılmaz and Başak Tanyeri

Value creation by block acquisitions and the importance of block owner identity pp. 118-124

Mark Mietzner and Dirk Schiereck

Risk-on/Risk-off: Financial market response to investor fear pp. 125-134

Lee Smales

Mind the gap: Psychological barriers in gold and silver prices pp. 135-140

Michael E. Lucey and Fergal O'Connor

The entrepreneur's choice of a venture capital firm: Empirical evidence from two VC fund portfolios pp. 141-145

Guillaume Andrieu and Raffaele Staglianò

What drives gold demand in central bank's foreign exchange reserve portfolio? pp. 146-150

Amit Ghosh

Tsallis entropy: Do the market size and liquidity matter? pp. 151-157

Constantin Gurdgiev and Gerard Harte

Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators pp. 158-166

Larisa Yarovaya, Janusz Brzeszczynski and Chi Keung Lau

The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach pp. 167-175

Xiaoye Jin

Closed form valuation of American chained knock-in options pp. 176-185

Heejae Han, Junkee Jeon and Myungjoo Kang

The 11/13 Paris terrorist attacks and stock prices: The case of the international defense industry pp. 186-192

Emmanuel Apergis and Nicholas Apergis

Weekday variation in the leverage effect: A puzzle pp. 193-196

Geoffrey Peter Smith

Dividend payout policies: Evidence from Latin America pp. 197-210

Julian Benavides, Luis Berggrun and Hector Perafan

Credit risk and governance: Evidence from credit default swap spreads pp. 211-217

Evrim Akdoğu and Aysun Alp

Is there a financial accelerator in European banking? pp. 218-221

Yener Altunbas, Caterina Di Tommaso and John Thornton

The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets pp. 222-226

Dimitrios I. Vortelinos and Shrabani Saha

Capital market frictions and conservative reporting: Evidence from short selling constraints pp. 227-234

Alex Young

Idiosyncratic risk, private benefits, and the value of family firms pp. 235-245

Patrick Roger and Alain Schatt

Do better-capitalized banks lend less? Evidence from European banks pp. 246-250

Yener Altunbas, Caterina Di Tommaso and John Thornton

The puzzle of 16 days between the ex-dividend and payment dates pp. 251-256

Jen-Chang Liu, Mark Yeats and Jui-Lin Chang

The abrogation of the “Impôt sur les opérations de bourse” did not foster the French stock market pp. 257-266

Gunther Capelle-Blancard

Investor Sentiment and Sectoral Stock Returns: Evidence from World Cup Games pp. 267-274

Giuliano Curatola, Michael Donadelli, Renatas Kizys and Max Riedel

Effect of lifetime uncertainty on consumption/investment with luxury bequest motives pp. 275-279

Sungsub Choi, Sungjun Kim and Gyoocheol Shim

Some new results about optimal insurance demand under uncertainty pp. 280-284

Baoan Huang, Jianjun Miao, Zongliang Zhang and Dianbo Zhao

Do co-opted directors mitigate managerial myopia? Evidence from R&D investments pp. 285-289

Pandej Chintrakarn, Pornsit Jiraporn, Sameh Sakr and Sang Mook Lee

Volume 16, issue C, 2016

How functional and geographic diversification affect bank profitability during the crisis pp. 1-10

Paola Brighi and Valeria Venturelli

Financial openness, domestic financial development and credit ratings pp. 11-18

Eugenia Andreasen and Patricio Valenzuela

Bequest motive and incentive to retire: Consumption, investment, retirement, and life insurance strategies pp. 19-27

Byung Hwa Lim and Minsuk Kwak

Financial and real sector returns, IMF-related news, and the Asian crisis pp. 28-37

Ali Kutan and Yaz Muradoglu

Echo effects and the returns from 52-week high strategies pp. 38-46

An-Sing Chen and Wayne Yang

Competing by conducting good deeds: The peer effect of corporate social responsibility pp. 47-54

Sibo Liu and Dejun Wu

The effect of CEO departure on target firms’ post-takeover performance: Evidence from not-delisting target firms pp. 55-65

Gul Demirtas and Serif Aziz Simsir

Synergy or downward competition? Interactions between small credit institutions in local markets pp. 66-74

Łukasz Kozłowski

Efficient estimation of unconditional capital by Monte Carlo simulation pp. 75-84

Alex Ferrer, José Casals and Sonia Sotoca

Bitcoin, gold and the dollar – A GARCH volatility analysis pp. 85-92

Anne Haubo Dyhrberg

Enhanced index tracking optimal portfolio selection pp. 93-102

Wanderlei Lima de Paulo, Estela Mara de Oliveira and Oswaldo Luiz do Valle Costa

A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds pp. 103-111

Zihe Wang and Johnny Siu-Hang Li

Retirement with risk aversion change and borrowing constraints pp. 112-124

Bong-Gyu Jang and Ho-Seok Lee

Commonality in liquidity: Effects of monetary policy and macroeconomic announcements pp. 125-131

Ahmet Sensoy

Credit-implied forward volatility and volatility expectations pp. 132-138

Hans Byström

Hedging capabilities of bitcoin. Is it the virtual gold? pp. 139-144

Anne Haubo Dyhrberg

Inflation targeting in developing countries revisited pp. 145-153

John Thornton

Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions pp. 154-161

Axel Buchner

Long-term perspective on the stock market matters in asset pricing pp. 162-170

Heungju Park and Bumjean Sohn

Socially responsible, green, and faith-based investment strategies: Screening activity matters! pp. 171-178

Kathrin Lesser, Felix Rößle and Christian Walkshäusl

Adoption of the International Financial Reporting Standards (IFRS) on companies’ financing structure in emerging economies pp. 179-189

Marco Aurélio dos Santos, Luiz Paulo Fávero and Luiz Fernando Distadio

Socially (ir)responsible investing? The performance of the VICEX Fund from a business cycle perspective pp. 190-195

Amparo Soler-Domínguez and Juan Carlos Matallín-Sáez

A parsimonious quantile regression model to forecast day-ahead value-at-risk pp. 196-207

Erik Haugom, Rina Ray, Carl J. Ullrich, Steinar Veka and Sjur Westgaard

Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy pp. 208-219

Yu-Min Lian, Jun-Home Chen and Szu-Lang Liao

Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme pp. 220-229

Guangping Shi, Xiaoxing Liu and Pan Tang

Optimal rates from eigenvalues pp. 230-238

Peter Carr and Pratik Worah

Openness endangers your wealth: Noise trading and the big five pp. 239-247

Jens Kleine, Niklas Wagner and Tim Weller

A note on why doesn't the choice of performance measure matter? pp. 248-254

Biao Guo and Yugu Xiao

On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations pp. 255-267

Benjamin R. Auer

How do independent directors view powerful CEOs? Evidence from a quasi-natural experiment pp. 268-274

Pornsit Jiraporn, Seksak Jumreornvong, Napatsorn Jiraporn and Simran Singh

Overseas market shocks and VKOSPI dynamics: A Markov-switching approach pp. 275-282

Wonho Song, Doojin Ryu and Robert I. Webb

The betting against beta anomaly: Fact or fiction? pp. 283-289

Axel Buchner and Niklas Wagner

On the structural estimation of an optimal portfolio rule pp. 290-300

Pablo Castaneda and Benjamín Devoto