Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

From Elsevier
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Volume 10, issue 4, 2013

The zero-lower bound on interest rates: Myth or reality? pp. 151-156

Robert Jarrow

Operational risk and equity prices pp. 157-168

Michael Shafer and Yildiray Yildirim

The effect of corporate governance on CEO luck: Evidence from the Institutional Shareholder Services (ISS) pp. 169-174

Pandej Chintrakarn, Pornsit Jiraporn and J.C. Kim

Insured uncovered interest parity pp. 175-183

Yiuman Tse and John K. Wald

Dividend sensitivity to economic factors, stock valuation, and long-run risk pp. 184-195

Claude Bergeron

Performance hypothesis testing with the Sharpe ratio: The case of hedge funds pp. 196-208

Benjamin R. Auer and Frank Schuhmacher

Volume 10, issue 3, 2013

Development and freedom as risk management pp. 103-109

Bhagwan Chowdhry, Richard Roll and Konark Saxena

Histogram-based prediction of directional price relatives pp. 110-115

Oriol Roch

Information risk and credit contagion pp. 116-123

Alex Huang and Chiao-Ming Cheng

Optimal capital structure and the impact of time-to-build pp. 124-130

Elettra Agliardi and Nicos Koussis

Leverage vs. feedback: Which Effect drives the oil market? pp. 131-141

Sofiane Aboura and Julien Chevallier

Mean–variance dominant trading strategies pp. 142-150

Valentina Galvani and Stefano Gubellini

Volume 10, issue 2, 2013

Asset pricing with skewed-normal return pp. 50-57

Benoıˆt Carmichael and Alain Coën

Transfer of information by an informed trader pp. 58-71

Pritha Dev

Composition of robust equity portfolios pp. 72-81

Jang Ho Kim, Woo Chang Kim and Frank Fabozzi

The over-optimism of financial analysts and the long-run performance of firms following private placements of equity pp. 82-92

Wen-Chun Lin, Shao-Chi Chang, Sheng-Syan Chen and Tsai-Ling Liao

Simulated testing of nonparametric measure changes for hedging European options pp. 93-101

Godfrey Smith

Volume 10, issue 1, 2013

A value premium without operating leverage pp. 1-11

Graeme Guthrie

Divergence in credit ratings pp. 12-16

Matthew Rablen

Superconvergence of the finite element solutions of the Black–Scholes equation pp. 17-26

A. Golbabai, L.V. Ballestra and D. Ahmadian

Assessing the profitability of intraday opening range breakout strategies pp. 27-33

Ulf Holmberg, Carl Lönnbark and Christian Lundström

Time varying stock return predictability: Evidence from US sectors pp. 34-40

Massimo Guidolin, David G. McMillan and Mark Wohar

A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility pp. 41-48

Rui Chen and Ke Du

Volume 9, issue 4, 2012

The real effects of delisting: Evidence from a regression discontinuity design pp. 183-193

Tor-Erik Bakke, Candace E. Jens and Toni Whited

The relationship between reciprocal currency futures prices pp. 194-201

Avi Bick

Spatial modeling of stock market comovements pp. 202-212

Gema Fernández-Avilés, José-María Montero and Alexei Orlov

GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case pp. 213-219

Jean-Guy Simonato

Hard assets: The returns on rare diamonds and gems pp. 220-230

Luc Renneboog and Christophe Spaenjers

Empirical bias in intraday volatility measures pp. 231-237

Yan Fang, Florian Ielpo and Benoît Sévi

Volume 9, issue 3, 2012

Auctions vs. negotiations in takeovers with initial stakes pp. 111-120

Gino Loyola

Robust estimation of covariance and its application to portfolio optimization pp. 121-134

Lijuan Huo, Tae-Hwan Kim and Yunmi Kim

Discrete time hedging with liquidity risk pp. 135-143

Hyejin Ku, Kiseop Lee and Huaiping Zhu

Option pricing and ARCH processes pp. 144-156

Gilles Zumbach

Can dual-currency sovereign CDS predict exchange rate returns? pp. 157-166

Xiaoling Pu and Jianing Zhang

Measuring economic uncertainty and its impact on the stock market pp. 167-175

Michał Dzieliński

Barrier option pricing for exchange rates under the Levy–HJM processes pp. 176-181

Pao-Peng Hsu and Ying-Hsiu Chen

Volume 9, issue 2, 2012

Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory pp. 58-62

Robert Jarrow and Philip Protter

Can ambiguity aversion solve the equity premium puzzle? Survey evidence from international data pp. 63-72

Marc Oliver Rieger and Mei Wang

Rational expectations equilibrium with transaction costs in financial markets pp. 73-80

Zhiwei Chong

Some curious power properties of long-horizon tests pp. 81-91

Erik Hjalmarsson

Butterfly effect: The US real estate market downturn and the Asian recession pp. 92-102

Yi Xue, Yin He and Xinjian Shao

Google Internet search activity and volatility prediction in the market for foreign currency pp. 103-110

Geoffrey Peter Smith

Volume 9, issue 1, 2012

Risk aversion under preference uncertainty pp. 1-7

Roman Kräussl, Andre Lucas and Arjen Siegmann

Foreign exposure through domestic equities pp. 8-20

Fang Cai and Francis Warnock

Wealth dynamics and a bias toward momentum trading pp. 21-28

Blake Lebaron

Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage pp. 29-35

Elmar Lukas and Andreas Welling

Investor sentiment and stock returns: Wenchuan Earthquake pp. 36-47

Liwei Shan and Stephen Gong

A jump-diffusion approach to modelling vulnerable option pricing pp. 48-56

Weidong Xu, Weijun Xu, Hongyi Li and Weilin Xiao

Volume 8, issue 4, 2011

Housing prices and the optimal time-on-the-market decision pp. 171-179

Hazer İnaltekin, Robert Jarrow, Mehmet Sağlam and Yildiray Yildirim

Insider rates versus outsider rates in lending pp. 180-187

Lamont K. Black

Corporate risk management and dividend signaling theory pp. 188-195

Georges Dionne and Karima Ouederni

Nonparametric estimation and testing of stochastic discount factor pp. 196-205

Ying Fang, Yu Ren and Yufei Yuan

Fast approximations of bond option prices under CKLS models pp. 206-212

D.Y. Tangman, N. Thakoor, K. Dookhitram and M. Bhuruth

CAPM option pricing pp. 213-219

Sven Husmann and Neda Todorova

Computing American option prices in the lognormal jump–diffusion framework with a Markov chain pp. 220-226

Jean-Guy Simonato

Volume 8, issue 3, 2011

Measuring price discovery: The variance ratio, the R2, and the weighted price contribution pp. 112-119

Jos van Bommel

Gold and the US dollar: Hedge or haven? pp. 120-131

Mark Joy

Endogenous leverage and expected stock returns pp. 132-145

T.C. Johnson, T. Chebonenko, I. Cunha, F. D'Almeida and X. Spencer

Cross hedging single stock with American Depositary Receipt and stock index futures pp. 146-157

Hsiang-Tai Lee and Wei-Lun Tsang

The random-walk behavior of the Euro exchange rate pp. 158-162

Georgios Chortareas, Ying Jiang and John C. Nankervis

The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps pp. 163-170

Manthos Delis and Nikolaos Mylonidis

Volume 8, issue 2, 2011

A note on reward-risk portfolio selection and two-fund separation pp. 52-58

Enrico De Giorgi, Thorsten Hens and Janos Mayer

Value at Risk and Expected Shortfall for large portfolios pp. 59-68

Carl Lönnbark, Ulf Holmberg and Kurt Brännäs

Financial volatility forecasting with range-based autoregressive volatility model pp. 69-76

Hongquan Li and Yongmiao Hong

Robust estimation of skewness and kurtosis in distributions with infinite higher moments pp. 77-87

Matteo Bonato

A note on operating leverage and expected rates of return pp. 88-100

Graeme Guthrie

A note on the predictability of excess bond returns and regime shifts pp. 101-109

Xiaoneng Zhu

Volume 8, issue 1, 2011

Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate pp. 2-7

Robert Jarrow

The critical stock price for the American put option pp. 8-14

Y. Peter Chung, Herb Johnson and Vassilis Polimenis

Extendible options: The general case pp. 15-20

Y. Peter Chung and Herb Johnson

Testing the managerial timing ability: Evidence from stock repurchases in Japan pp. 21-27

Masaya Ishikawa and Hidetomo Takahashi

Optimal capital structure and investment options in finite horizon pp. 28-36

Elettra Agliardi and Nicos Koussis

Liquidity constraints and occupational choice pp. 37-44

Mariassunta Giannetti

On European monetary integration and the persistence of real effective exchange rates pp. 45-50

Robinson Kruse