Finance Research Letters

2004 - 2025

Current editor(s): R. Gençay

From Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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 Soucek

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, Aslihan 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