Finance Research Letters

2004 - 2025

Current editor(s): R. GenÃ§ay

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Time-series predictability in the disaster model pp. 191-203: Francois Gourio
Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin pp. 204-212: Erhan Bayraktar and Virginia R. Young
The value of embedded real options: Evidence from consumer automobile lease contracts--A note pp. 213-220: Andrea Gamba and Riccardo Rigon
Modeling the leverage effect with copulas and realized volatility pp. 221-227: Cathy Ning, Dinghai Xu and Tony Wirjanto
Dollar-weighted returns to stock investors: A new look at the evidence pp. 228-235: Aneel Keswani and David Stolin
Estimation error in the average correlation of security returns and shrinkage estimation of covariance and correlation matrices pp. 236-244: Clarence C.Y. Kwan

Consumption growth and time-varying expected stock returns pp. 129-136: Stig Vinther Møller
Impact of outsiders and disclosed insider trades pp. 137-145: Wei David Zhang
Perceived importance of corporate boards in October 1987 pp. 146-155: Shijun Cheng
Risk-neutral investors do not acquire information pp. 156-161: Marc-Andreas Muendler
On the qualitative effect of volatility and duration on prices of Asian options pp. 162-171: Peter Carr, Christian-Oliver Ewald and Yajun Xiao
Option pricing in a Garch model with tempered stable innovations pp. 172-182: Lorenzo Mercuri
A simple nonparametric approach to low-dimension, shortfall-based portfolio selection pp. 183-190: M. Ryan Haley

Mutual fund theorems when minimizing the probability of lifetime ruin pp. 69-78: Erhan Bayraktar and Virginia R. Young
Option prices as probabilities pp. 79-87: D. Madan, B. Roynette and Marc Yor
Positivity constraints on the conditional variances in the family of conditional correlation GARCH models pp. 88-95: Tomoaki Nakatani and Timo Teräsvirta
Modeling duration clusters with dynamic copulas pp. 96-103: Wing Lon Ng
Interpreting long-horizon estimates in predictive regressions pp. 104-117: Erik Hjalmarsson
Robustness of the risk-return relationship in the U.S. stock market pp. 118-127: Markku Lanne and Jani Luoto

Editorial for "Challenge" pp. 1-1: Ramazan Gencay, Sugato Bhattacharyya, Toni Whited and Amir Yaron
Patterns in cross market liquidity pp. 2-10: Matthew Spiegel
Modeling loan commitments pp. 11-20: Sudheer Chava and Robert Jarrow
On the predictive power of the surplus consumption ratio pp. 21-31: Imen Ghattassi
Implementing likelihood-based inference for fat-tailed distributions pp. 32-46: Marie Rekkas and A. Wong
The Stambaugh bias in panel predictive regressions pp. 47-58: Erik Hjalmarsson
On measuring concentration in banking systems pp. 59-67: Carlos Alegria and Klaus Schaeck

Why inexperienced investors do not learn: They do not know their past portfolio performance pp. 203-216: Markus Glaser and Martin Weber
Time series patterns in credit ratings pp. 217-226: Dror Parnes
S&P 500 implied volatility and monetary policy announcements pp. 227-232: En-Te Chen and Adam Clements
Equity duration and convexity when firms can fail or stagnate pp. 233-241: Sherrill Shaffer
Investment option under CIR interest rates pp. 242-253: Julio Carmona and Angel Leon
The MOSUM of squares test for monitoring variance changes pp. 254-260: Chih-Chiang Hsu

Optimality of the RiskMetrics VaR model pp. 137-145: Gloria Gonzalez-Rivera, Tae Hwy Lee and Emre Yoldas
The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders pp. 146-154: John Cotter and Kevin Dowd
Learning, price formation and the early season bias in the NBA pp. 155-164: Edward A. Baryla , Richard A. Borghesi, William H. Dare and Steven A. Dennis
A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables pp. 165-171: Francis In and Sangbae Kim
The creation of wealth pp. 172-178: Klaus Hellwig
What is the correct meaning of implied volatility? pp. 179-185: In Joon Kim, Gun Youb Park and Jung-Soon Hyun
Putting the dividend-price ratio under the microscope pp. 186-195: Jun Nagayasu
Comments on and corrigendum to "Hedging errors with Leland's option model in the presence of transaction costs" [Finance Research Letters 4 (2007) 49-58] pp. 196-199: Yonggan Zhao and William T. Ziemba
Comments on "Hedging errors with Leland's option model in the presence of transactions costs" pp. 200-202: Hayne Leland

The navigation of an iceberg: The optimal use of hidden orders pp. 68-81: Angelika Esser and Burkart Monch
Rare events and annuity market participation pp. 82-91: Paula Lopes and Alexander Michaelides
Fully modified estimation with nearly integrated regressors pp. 92-94: Erik Hjalmarsson
The impact of keeping up with the Joneses behavior on asset prices and portfolio choice pp. 95-103: Juan-Pedro Gomez
Temporal aggregation and risk-return relation pp. 104-115: Xing Jin, Leping Wang and Jun Yu
An analytic approximation formula for pricing zero-coupon bonds pp. 116-126: Youngsoo Choi and Tony Wirjanto
A note on myopic loss aversion and the equity premium puzzle pp. 127-136: Stefan Zeisberger, Thomas Langer and Mark Trede

Pitfalls in static superhedging of barrier options pp. 2-9: Holger Kraft
Exploring the components of credit risk in credit default swaps pp. 10-18: Frank Fabozzi, Xiaolin Cheng and Ren-Raw Chen
Asymmetric wealth gains in joint ventures: Theory and evidence pp. 19-27: M.V. Shyam Kumar
On the use of the Box-Cox transformation on conditional variance models pp. 28-32: Georgios Tsiotas
Closed-form valuation of American call options on stocks paying multiple dividends pp. 33-48: Danny Cassimon, Peter-Jan Engelen, L. Thomassen and Martine van Wouwe
Hedging errors with Leland's option model in the presence of transaction costs pp. 49-58: Yonggan Zhao and William T. Ziemba
Underlying assets for which options complete the market pp. 59-66: Valentina Galvani