Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

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Volume 15, issue C, 2015

Measuring the impact of extreme observations on CAPM alphas: Some methodological issues pp. 1-10

Lieven De Moor and Piet Sercu

A note on minimum riskiness hedge ratio pp. 11-17

Sina Ehsani and Donald Lien

How integrated is the European carbon derivatives market? pp. 18-30

Paolo Mazza and Mikael Petitjean

Fama–MacBeth two-pass regressions: Improving risk premia estimates pp. 31-40

Jushan Bai and Guofu Zhou

Testing the expectations hypothesis for the Eurozone: A nonlinear cointegration analysis pp. 41-48

Ayşen Araç and Ayse Yalta

Granger causality and systemic risk pp. 49-58

Marina Balboa, Germán López-Espinosa and Antonio Rubia

Intermediate-term momentum and credit rating pp. 59-67

Jesper Haga

Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market? pp. 68-77

Xingguo Luo and Zinan Ye

A simple and general approach to fitting the discount curve under no-arbitrage constraints pp. 78-84

Matthias Fengler and Lin-Yee Hin

Capital market seasonality: The curious case of large foreign stocks pp. 85-92

Xian Guan and Konark Saxena

Diversification discount over the long run: New perspectives pp. 93-98

Mieszko Mazur and Shage Zhang

Economic policy uncertainty and stock market volatility pp. 99-105

Li Liu and Tao Zhang

Minimizing the expected lifetime spent in drawdown under proportional consumption pp. 106-114

Bahman Angoshtari, Erhan Bayraktar and Virginia R. Young

Cultural differences and the structure of loan syndicates pp. 115-124

Stefanie Kleimeier and Sajid M. Chaudhry

Quadratic hedging strategies for volatility swaps pp. 125-132

Xingchun Wang, Jianping Fu, Guanying Wang and Yongjin Wang

Cointegration of the prices of gold and silver: RALS-based evidence pp. 133-137

Christian Pierdzioch, Marian Risse and Sebastian Rohloff

Equilibrium option pricing: A Monte Carlo approach pp. 138-145

Axel Buchner

Portfolio selection with independent component analysis pp. 146-159

Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji

Cross-listing decisions and the foreign bias of investors pp. 160-166

Olga Dodd and Bart Frijns

Does individual-stock skewness/coskewness reflect portfolio risk? pp. 167-174

Thomas Kim

Sample dependency during unconditional credit capital estimation pp. 175-186

Alex Ferrer, José Casals and Sonia Sotoca

Analyst recommendations and volatility in a rising, falling, and crisis equity market pp. 187-194

Shaen Corbet, Michael Dowling and Mark Cummins

Longevity bond pricing under the threshold CIR model pp. 195-207

Fangyuan Dong and Hoi Ying Wong

Unique equilibrium in a model of takeovers involving block trades and tender offers pp. 208-214

Frederick Dongchuhl Oh and Sangkyu Baek

The pricing of embedded lease options pp. 215-220

Charles-Olivier Amédée-Manesme, François des Rosiers and Philippe Grégoire

The impacts of institutional and individual investors on the price discovery in stock index futures market: Evidence from China pp. 221-231

Feng Xu and Difang Wan

Credit contagion and competitive effects of bond rating downgrades along the supply chain pp. 232-238

Jung-Hsien Chang, Mao-Wei Hung and Feng-Tse Tsai

The political risk factor in emerging, frontier, and developed stock markets pp. 239-245

Nebojsa Dimic, Vitaly Orlov and Vanja Piljak

Capital cyclicality, conditional coverage and long-term capital assessment pp. 246-256

Alex Ferrer, José Casals and Sonia Sotoca

Stock return predictability in South Africa: The role of major developed markets pp. 257-265

Yi-Chieh Wen, Philip T. Lin, Bin Li and Eduardo Roca

Investor sentiment and portfolio selection pp. 266-273

Chengbo Fu, Gady Jacoby and Yan Wang

Volume 14, issue C, 2015

Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics pp. 1-10

Jun Hu and Juho Kanniainen

Should Islamic investors consider SRI criteria in their investment strategies? pp. 11-19

Elias Erragraguy and Christophe Revelli

Block-ownership structure, bank nominee director and crash-risk pp. 20-28

Yogesh Chauhan, Kavita Wadhwa, Sudhakar Reddy Syamala and Abhinav Goyal

Does CSR have different value implications for different shareholders? pp. 29-35

Ester Chen and Ilanit Gavious

The benefits of combining seasonal anomalies and technical trading rules pp. 36-44

Bartosz Gebka, Robert Hudson and Christina V. Atanasova

Pricing American options under the constant elasticity of variance model: An extension of the method by Barone-Adesi and Whaley pp. 45-55

Luca Vincenzo Ballestra and Liliana Cecere

On corporate capital structure adjustments pp. 56-63

Viet Dang and Ian Garrett

Do scholars in Economics and Finance react to alphabetical discrimination? pp. 64-68

Annke Kadel and Andreas Walter

An analysis of loan loss provisioning behaviour in Vietnamese banking pp. 69-75

Cormac Bryce, Aristeidis Dadoukis, Maximilian Hall, Linh Nguyen and Richard Simper

Optimal investment of private equity pp. 76-86

Yang Liu and Jinqiang Yang

Technology upgrades in emerging equity markets: Effects on liquidity and trading activity pp. 87-92

Mustafa Yılmaz, Orhan Erdem, Veysel Eraslan and Evren Arık

Equity returns of distressed equity issuers pp. 93-103

James L. Park

Role of single largest investors: Examples of mutual funds and acquisitions pp. 104-110

XiaoGang Bi and Danni Wang

Investor attention to the Eurozone crisis and herding effects in national bank stock indexes pp. 111-116

Jarkko Peltomäki and Emilia Vähämaa

Price strategies in a vertically differentiated mutual fund market pp. 117-127

Sebastien Lemeunier and Patricia Charléty

Intraday exchange rate volatility transmissions across QE announcements pp. 128-134

Dimitris Kenourgios, Stephanos Papadamou and Dimitrios Dimitriou

Does gender diverse board mean less earnings management? pp. 135-141

Khine Kyaw, Mojisola Olugbode and Barbara Petracci

A comparison of the convenience yield and interest-adjusted basis pp. 142-149

Julien Fouquau and Pierre Six

A compensation scheme for optimal investment decisions pp. 150-159

David Cardoso and Paulo J. Pereira

Eurozone network “Connectedness” after fiscal year 2008 pp. 160-166

Riccardo Cimini

Credit rationing for Portuguese SMEs pp. 167-177

Luísa Farinha and Sónia Félix

The optimal pricing of a market maker in a heterogeneous agent economy pp. 178-187

Bin Guo, Wei Zhang, Shu-Heng Chen and Yongjie Zhang