Finance Research Letters

2004 - 2025

Current editor(s): R. GenÃ§ay

From Elsevier
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Informed lending as a deterrent to predation pp. 193-201: Robert Marquez
Investment commitment and the valuation of underwriting agreements for rights issues pp. 202-213: Fernando Anjos
Does the weather affect stock market volatility? pp. 214-223: Lazaros Symeonidis, George Daskalakis and Raphael Markellos
Robust general equilibrium under stochastic volatility model pp. 224-231: Weidong Xu, Chongfeng Wu and Hongyi Li
Risk-shifting and investment asymmetry pp. 232-237: Assaf Eisdorfer
Do tax benefits conferred to Sub-S banks affect their deposit or loan rates? pp. 238-245: Craig Depken, Harris Hollans and Steve Swidler

Understanding the risk of leveraged ETFs pp. 135-139: Robert Jarrow
A random effects ordered probit model for rating migrations pp. 140-147: Rasha Alsakka and Owain ap Gwilym
Modeling the contemporaneous duration dependence for high-frequency stock prices pp. 148-162: Ba Chu and Marcel Voia
Fluctuation dynamics in US interest rates and the role of monetary policy pp. 163-169: Daniel Cajueiro and Benjamin Tabak
A note on wealth effect under CARA utility pp. 170-177: Dmitry Makarov and Astrid V. Schornick
Applying a factor copula to value basket credit linked notes with issuer default risk pp. 178-183: Po-Cheng Wu
Correcting microstructure comovement biases for integrated covariance pp. 184-191: Jin-Huei Yeh and Jying-Nan Wang

A simple robust model for Cat bond valuation pp. 72-79: Robert Jarrow
Does firm heterogeneity lead to differences in relative executive compensation? pp. 80-85: Ana Albuquerque
Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations pp. 86-97: Markus Haas
Some properties of subjective probabilities induced by optimal expectations pp. 98-102: Hideki Iwaki and Yusuke Osaki
A regime-switching term structure model with observable state variables pp. 103-109: René Ferland, Geneviève Gauthier and Simon Lalancette
On a variational formulation used in credit risk modeling pp. 110-118: Graziella Pacelli and Luca Vincenzo Ballestra
Financial distress, information asymmetry, and syndicate structure: Evidence from Japanese borrowers pp. 119-126: Sang Whi Lee, Kwag, Seung-Woog (Austin), Donald J. Mullineaux and Kwangwoo Park
Corporate governance and leverage: Evidence from a natural experiment pp. 127-134: Stefan Arping and Zacharias Sautner

Editorial for Challenge pp. 1-1: Ramazan Gencay, Amir Yaron, Dirk Hackbarth and Andrea Eisfeldt
The leverage of hedge funds pp. 2-7: Sheridan Titman
Hedging in a HJM model pp. 8-13: Robert Jarrow
A simulation-based algorithm for American executive stock option valuation pp. 14-23: Angel León and Antoni Vaello-Sebastià
Martingalized historical approach for option pricing pp. 24-28: C. Chorro, D. Guégan and Florian Ielpo
Seasoned equity offerings, repurchases, and deviations from optimal CEO ownership pp. 29-38: Zhenxu Tong
Target leverage and the costs of issuing seasoned equity pp. 39-52: Evgeny Lyandres
Market symmetry in time-changed Brownian models pp. 53-59: José Fajardo and Ernesto Mordecki
Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations pp. 60-69: Tetsuhiro Honda, Kenichiro Tamaki and Takayuki Shiohama

Impact of heterogeneous managerial productivity on executive hedge markets in an asymmetric information environment pp. 187-201: Stefan Avdjiev and Zheng Zeng
Extreme return-volume dependence in East-Asian stock markets: A copula approach pp. 202-209: Cathy Ning and Tony Wirjanto
Value or volume strategy? pp. 210-218: Leon Li
Empirical tests of the float-adjusted return model pp. 219-229: Feng Zhang, Yao Tian and Tony Wirjanto
The euro area stock market channel: Does one size fit all? pp. 230-235: David Sondermann, Martin T. Bohl and Pierre Siklos
The impact of switching costs on vendor financing pp. 236-241: M. Martin Boyer and Karine Gobert
European monetary integration and persistance of real exchange rates pp. 242-249: María Gadea and Ana Belen Gracia

A test of the widespread-point-shaving theory pp. 115-121: Richard Borghesi and William Dare
Options on portfolios with higher-order moments pp. 122-129: Rishabh Bhandari and Sanjiv Das
Bivariate mixed normal GARCH models and out-of-sample hedge performances pp. 130-137: Sang-Kuck Chung
Analytical Value-at-Risk and Expected Shortfall under regime-switching pp. 138-151: Abderrahim Taamouti
Do firms' earnings management practices affect their equity liquidity? pp. 152-158: Huimin Chung, Her-Jiun Sheu and Juo-Lien Wang
Do IPO index portfolios improve the investment opportunities for mean-variance investors? pp. 159-170: Hsuan-Chi Chen and Keng-Yu Ho
Degrees-of-freedom problem and implied cost of equity capital pp. 171-178: Lawrence Kryzanowski and Abdul H. Rahman
Automatic variance ratio test under conditional heteroskedasticity pp. 179-185: Jae Kim

The diversification cost of large, concentrated equity stakes. How big is it? Is it justified? pp. 56-72: Bernt Ødegaard
Why disagreement may not matter (much) for asset prices pp. 73-82: Paul Söderlind
The leverage effect without leverage pp. 83-94: Thorsten Hens and Sven C. Steude
Value-at-Risk computation by Fourier inversion with explicit error bounds pp. 95-105: Johannes Vitalis Siven, Jeffrey Lins and Anna Szymkowiak-Have
On the nature of mean-variance spanning pp. 106-113: C. Sherman Cheung, Clarence C.Y. Kwan and Dean C. Mountain

Why do reputable agents work for safer firms? pp. 2-12: Fei Li and Masako Ueda
Financing constraint, over-investment and market-to-book ratio pp. 13-22: Yann Braouezec
Revisiting stock market index correlations pp. 23-33: Mehmet Dalkır
Is the information produced in the stock market useful for depositors? pp. 34-39: Katsutoshi Shimizu
Time-inconsistency of VaR and time-consistent alternatives pp. 40-46: Patrick Cheridito and Mitja Stadje
Analysis of ultra-high-frequency financial data using advanced Fourier transforms pp. 47-53: Iacopo Giampaoli, Wing Lon Ng and Nick Constantinou