Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

From Elsevier
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Volume 13, issue C, 2015

Rational speculative bubbles in the US stock market and political cycles pp. 1-9

Miao Wang and M. C. Sunny Wong

Effects of macroeconomic uncertainty on the stock and bond markets pp. 10-16

Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

Investment, firm performance and securitization: Evidence from industrial companies pp. 17-28

Ilham Riachi and Armin Schwienbacher

A simple model of market valuation and trend reversion for U.S. equities: 100 Years of bubbles, non-bubbles, and inverse-bubbles pp. 29-35

Paul E. Godek

The intrinsic bounds on the risk premium of Markovian pricing kernels pp. 36-44

Jihun Han and Hyungbin Park

What drives gold returns? A decision tree analysis pp. 45-53

A.G. Malliaris and Mary Malliaris

Modelling default risk with occupation times pp. 54-65

R. Makarov, A. Metzler and Z. Ni

Net payout return: An alternative to the traditional returns approach based on dividends and share repurchases pp. 66-73

Derek Brawn and Aleksandar Sevǐc

Are emerging MENA stock markets mean reverting? A Monte Carlo simulation pp. 74-80

Simon Neaime

The mispricing of socially ambiguous grey stocks pp. 81-89

Swee-Sum Lam, Weina Zhang and Gabriel Henry Jacob

Revisiting the earnings–price effect: The importance of future earnings pp. 90-96

Li-Wen Chen, Hsin-Yi Yu and Hsu-Huei Huang

Testing equality of modified Sharpe ratios pp. 97-104

David Ardia and Kris Boudt

Does corporate governance influence corporate risk-taking? Evidence from the Institutional Shareholders Services (ISS) pp. 105-112

Pornsit Jiraporn, Pattanaporn Chatjuthamard, Shenghui Tong and Young Sang Kim

The investment management for a downside-protected equity-linked annuity under interest rate risk pp. 113-124

Nan-Wei Han and Mao-Wei Hung

Stock market interdependence between China and the world: A multi-factor R-squared approach pp. 125-129

Hongbo He, Shou Chen, Shujie Yao and Jinghua Ou

Player absence and betting lines in the NBA pp. 130-136

William H. Dare, Steven A. Dennis and Rodney Paul

Volatility spillovers in the European bank CDS market pp. 137-147

Aida Alemany, Laura Ballester and Ana González-Urteaga

Determining the economic value of ambiguous loan portfolios pp. 148-154

Dror Parnes

Strategic coordination in forecasting – An experimental study pp. 155-162

Lukas Meub, Till Proeger, Kilian Bizer and Markus Spiwoks

Political risk, investor attention and the Scottish Independence referendum pp. 163-171

Daniella Acker and Nigel W. Duck

Predicting the equity premium with the demand for gold coins and bars pp. 172-178

Dirk G. Baur and Gunter Löffler

Investment timing and capital structure with loan guarantees pp. 179-187

Hua Xiang and Zhaojun Yang

Innovation in pyramidal ownership structures pp. 188-195

Ilanit Gavious, Nimrod Hirsh and Dan Kaufman

Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators pp. 196-204

Shue-Jen Wu and Wei-Ming Lee

Security analysts’ target prices and takeover premiums pp. 205-213

Dirk Gerritsen

Bank insolvency risk and Z-score measures: A refinement pp. 214-224

Laetitia Lepetit and Frank Strobel

Higher order comoments of multifactor models and asset allocation pp. 225-233

Kris Boudt, Wanbo Lu and Benedict Peeters

The similarity of ECB’s communication pp. 234-242

Diego Amaya and Jean-Yves Filbien

The instability of the Pearson correlation coefficient in the presence of coincidental outliers pp. 243-257

Yunmi Kim, Tae-Hwan Kim and Tolga Ergün

Volume 12, issue C, 2015

A common jump factor stochastic volatility model pp. 2-10

Márcio Laurini and Roberto Mauad

Compensation and competition for talent: Evidence from the financial industry pp. 11-16

Mariassunta Giannetti and Daniel Metzger

Cross-sectional anomalies and volatility risk in different economic and market cycles pp. 17-22

Jarkko Peltomäki and Janne Äijö

Detecting structural changes using wavelets pp. 23-37

Ege Yazgan and Harun Ozkan

Testing for asymmetric causality between U.S. equity returns and commodity futures returns pp. 38-47

Duc Khuong Nguyen, Ricardo Sousa and Gazi Salah Uddin

A regret theory of capital structure pp. 48-57

Kit Pong Wong

Weakening the Gain–Loss-Ratio measure to make it stronger pp. 58-66

Jan Voelzke

Stochastic volatility and leverage: Application to a panel of S&P500 stocks pp. 67-76

Serda Ozturk and Jean-Francois Richard

Long memory and the relation between options and stock prices pp. 77-91

Teng-Ching Huang, Yu-Chen Tu and Heng-Chih Chou

Time variation in the relative importance of permanent and transitory components in the U.S. housing market pp. 92-99

N Kishor, Swati Kumari and Suyong Song

Currency competition between the dollar and euro: Evidence from exchange rate behaviors pp. 100-108

Cheol S. Eun, Soo-Hyun Kim and Kyuseok Lee

Estimating the effect of entrenched boards on firm value using geographic identification pp. 109-116

Pandej Chintrakarn, Pornsit Jiraporn, Shenghui Tong and Pattanaporn Chatjuthamard

Conditional Sharpe Ratios pp. 117-133

Victor Chow and Christine W. Lai

Volume 11, issue 4, 2014

Can analysts predict rallies better than crashes? pp. 319-325

Ivan Medovikov

Insurance demand and first-order risk increases under (μ,σ)-preferences revisited pp. 326-331

Thomas Eichner and Andreas Wagener

Hedging house price risk with futures contracts after the bubble burst pp. 332-340

Patrick J. Schorno, Steve Swidler and Michael Wittry

Is gold a safe haven against equity market investment in emerging and developing countries? pp. 341-348

Gözde Gürgün and Ibrahim Unalmis

Reward for failure and executive compensation in institutional investors pp. 349-361

Gino Loyola and Yolanda Portilla

Sell in May and Go Away: Evidence from China pp. 362-368

Biao Guo, Xingguo Luo and Ziding Zhang

Investing in gold: Individual asset risk in the long run pp. 369-374

Antonis Michis

A sovereign risk index for the Eurozone based on stochastic dominance pp. 375-384

Elettra Agliardi, Mehmet Pinar and Thanasis Stengos

The structure of equity markets across countries: Scarcity and stock valuations pp. 385-397

Matias Braun

Macroeconomic conditions and a firm’s investment decisions pp. 398-409

Haejun Jeon and Michi Nishihara

Constructing a financial fragility index for emerging countries pp. 410-419

Ahmet Sensoy, Kevser Ozturk and Erk Hacihasanoglu

Overnight information flow and realized volatility forecasting pp. 420-428

Neda Todorova and Michael Souček

Optimal portfolio choice for investors with industry-specific labor income risks pp. 429-436

Hui-Ju Tsai and Yangru Wu

A sequential pricing framework for corporate securities: The case of rating-trigger step-up/-down bonds pp. 437-445

Matthias Bank and Alexander Kupfer

European business cycles and stock return predictability pp. 446-453

Yanjian Zhu and Xiaoneng Zhu

Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX pp. 454-462

Mustafa Onan, Aslihan Salih and Burze Yasar

Do investors hold that they know? Impact of familiarity bias on investor’s reluctance to realize losses: Experimental approach pp. 463-469

Ekaterina Bulipopova, Vladislav Zhdanov and Artem Simonov

Volume 11, issue 3, 2014

Computing present values: Capital budgeting done correctly pp. 183-193

Robert Jarrow

Improved method for static replication under the CEV model pp. 194-202

Wei-Che Tsai

Unconventional monetary policies and the corporate bond market pp. 203-212

Massimo Guidolin, Alexei Orlov and Manuela Pedio

Foreign exchange customers and dealers: Who’s driving whom? pp. 213-218

Nikola Gradojevic

Insurance demand and first order risk increases under (μ,σ)-preferences pp. 219-223

Claudio Bonilla and Jose L. Ruiz

Credit risk assessment of fixed income portfolios using explicit expressions pp. 224-230

Bernardo K. Pagnoncelli and Arturo Cifuentes

The bond–stock mix under time-varying interest rates and predictable stock returns pp. 231-237

Thomas Leirvik

Stabilizing the market with short sale constraint? New evidence from price jump activities pp. 238-246

Jin-Huei Yeh and Lien-Chuan Chen

Explaining breakdowns in interbank lending: A bilateral bargaining model pp. 247-253

Uwe Vollmer and Harald Wiese

Long-term government bond yields and macroeconomic fundamentals: Evidence for Greece during the crisis-era pp. 254-258

Dionysios Chionis, Ioannis Pragidis and Panagiotis Schizas

Bankruptcy risk induced by career concerns of regulators pp. 259-271

John A. Cole and Godfrey Cadogan

The influence of moral hazard on investment in financially constrained and unconstrained firms pp. 272-281

Keefe, Michael O’Connor and Robert Kieschnick

A new strategy using term-structure dynamics of commodity futures pp. 282-288

Soo-Hyun Kim and Hyoung-Goo Kang

The effect of CEO luck on the informativeness of stock prices: Do lucky CEOs improve stock price informativeness? pp. 289-294

Pandej Chintrakarn, Pornsit Jiraporn and Napatsorn Jiraporn

Shortage function and portfolio selection: On some special cases and extensions pp. 295-302

Walter Briec, Laurence Oms and Eric Paget-Blanc

The value premium, aggregate risk innovations, and average stock returns pp. 303-317

Knut F. Lindaas and Prodosh Simlai

Volume 11, issue 2, 2014

Overconfidence, risk perception and the risk-taking behavior of finance professionals pp. 64-73

Marie-Hélène Broihanne, Maxime Merli and Patrick Roger

The cost of firms’ debt financing and the global financial crisis pp. 74-83

Daniele Pianeselli and Andrea Zaghini

Board directors’ preferences – What are good aggregation rules? pp. 84-90

Mihael Duran

Upfront versus rating contingent fees: Implications for rating quality pp. 91-103

Saltuk Ozerturk

Gender heterogeneity in the sell-side analyst recommendation issuing process pp. 104-111

Katrien Bosquet, Peter de Goeij and Kristien Smedts

Are stock markets really so inefficient? The case of the “Halloween Indicator” pp. 112-121

Hubert Dichtl and Wolfgang Drobetz

News sentiment and the investor fear gauge pp. 122-130

Lee Smales

Contagion effect on bond portfolio risk measures in a hybrid credit risk model pp. 131-139

Mathieu Boudreault, Geneviève Gauthier and Tommy Thomassin

The relationship with REITs and bank loans: Capital structure perspectives pp. 140-152

Chih-Hsing Hung, Ming-Chi Chen and Wen-Yuan Lin

Investors’ aspirations and portfolio performance pp. 153-160

Camille Magron

Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model pp. 161-172

Son-Nan Chen, Mi-Hsiu Chiang, Pao-Peng Hsu and Chang-Yi Li

Testing excess returns on event days: Log returns vs. dollar returns pp. 173-182

Tiago Duarte-Silva and Maria Tripolski Kimel

Volume 11, issue 1, 2014

GDP growth and the yield curvature pp. 1-7

Stig V. Møller

The Mills Ratio and the behavior of redeemable bond prices in the Gaussian structural model of corporate default pp. 8-15

Peter Spencer

Optimal multi-period consumption and investment with short-sale constraints pp. 16-24

Yakup Arisoy, Aslıhan Altay-Salih and Mustafa Ç Pınar

On the investment–uncertainty relationship: A game theoretic real option approach pp. 25-35

Elmar Lukas and Andreas Welling

Country world betas: The link between the stock market beta and macroeconomic beta pp. 36-46

Numan Ülkü and Saleh Baker

Internal capital market studies in empirical banking: Biases due to usage of assets instead of risk capital? pp. 47-53

Markus Glaser and Jan Riepe

Estimation accuracy of high–low spread estimator pp. 54-62

Chien-Chih Lin