Finance Research Letters

2004 - 2025

Current editor(s): R. GenÃ§ay

From Elsevier
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Exchange rates and order flow in the long run pp. 235-243: M. Martin Boyer and Simon van Norden
The value, size, and momentum spread during distressed economic periods pp. 244-252: Bala Arshanapalli, Frank Fabozzi and William Nelson
On the relation between the market-to-book ratio, growth opportunity, and leverage ratio pp. 253-266: Long Chen and Xinlei Zhao
A note on generalized distortion risk measures pp. 267-272: Werner Hurlimann
The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class pp. 273-276: George Christodoulakis and David Peel
Quadratic term structure models in discrete time pp. 277-289: Marco Realdon

Modeling default risk: A new structural approach pp. 165-172: Yildiray Yildirim
Tilting safety first and the Sharpe portfolio pp. 173-180: M. Ryan Haley and M Kevin McGee
Disentangling risk aversion and intertemporal substitution through a reference level pp. 181-193: René Garcia, Eric Renault and Andrei Semenov
Expanding the frontier one asset at a time pp. 194-206: Andrey D. Ukhov
A note on a barrier exchange option: The world's simplest option formula? pp. 207-211: Snorre Lindset and Svein-Arne Persson
The interaction between technical currency trading and exchange rate fluctuations pp. 212-233: Stephan Schulmeister

From default probabilities to credit spreads: Credit risk models do explain market prices pp. 79-95: Stefan M. Denzler, Michel Dacorogna, Ulrich A. Muller and Alexander J. McNeil
Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment pp. 96-101: Peter Bossaerts and William Zame
Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment" pp. 102-105: Kenneth Judd, Felix Kubler and Karl Schmedders
Markowitz meets Kahneman: Portfolio selection under divided attention pp. 106-113: Diego Nocetti
Modeling dynamic conditional correlations in WTI oil forward and futures returns pp. 114-132: Alessandro Lanza, Matteo Manera and Michael McAleer
The robustness of asset pricing models: Coskewness and cokurtosis pp. 133-146: Masakazu Ando and Jiro Hodoshima
Explaining inertia in closed-end fund prices pp. 147-153: Michael Bleaney and Richard Smith
Explosive bubbles in the cointegrated VAR model pp. 154-162: Tom Engsted

Revisiting cumulative preferred stock valuation pp. 2-13: Marco Realdon
The Fed model: A note pp. 14-22: Javier Estrada
On the sequencing of projects, reputation building, and relationship finance pp. 23-39: Dominik Egli, Steven Ongena and David C. Smith
Do insiders crowd out analysts? pp. 40-48: Aaron Gilbert, Alireza Tourani-Rad and Tomasz Wisniewski
Moments of the estimated Sharpe ratio when the observations are not IID pp. 49-56: Yong Bao and Aman Ullah
On the robustness of cointegration tests when assessing market efficiency pp. 57-64: Neil Kellard
Options to expand: Some remarks pp. 65-72: Rossella Agliardi
A note on the relationship between industry returns and inflation through a multiscaling approach pp. 73-78: Sangbae Kim and Francis In

The long-run equity risk premium pp. 185-194: John R. Graham and Campbell Harvey
Hedging the smirk pp. 195-200: David S. Bates
Bayesian range-based estimation of stochastic volatility models pp. 201-209: Michael W. Brandt and Christopher S. Jones
Solving models with external habit pp. 210-226: Jessica Wachter
Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis pp. 227-233: George A. Christodoulakis
Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities pp. 234-247: Suresh Govindaraj
Cointegration analysis of the Fed model pp. 248-259: Matti Koivu, Teemu Pennanen and William T. Ziemba
The price-dividend relationship in inflationary and deflationary regimes pp. 260-269: Jakob Madsen and Costas Milas

Industry momentum and common factors pp. 107-124: Ding Du and Karen Denning
A note on sufficient conditions for no arbitrage pp. 125-130: Peter Carr and Dilip B. Madan
Proxy-quality thresholds: Theory and applications pp. 131-151: Timothy Erickson and Toni Whited
Portfolio selection with two-stage preferences pp. 152-164: Marco Taboga
A theory of loan syndication pp. 165-172: Paul Schure, David Scoones and Qinghua Gu
Risk aversion and price limits in futures markets pp. 173-184: Pin-Huang Chou, Mei-Chen Lin and Min-Teh Yu

Insider trading with private information and moral hazard pp. 51-57: Chris Yung
A market microstructure model with random overlapping information asymmetries pp. 59-66: John P. Owens
The generalized asymmetric dynamic covariance model pp. 67-74: Peter de Goeij and Wessel Marquering
Another look at the relationship between cross-market correlation and volatility pp. 75-88: Söhnke Bartram and Yaw-Huei Wang
Changes in stockholding behavior: Evidence from household survey data pp. 89-96: Kenneth Chapman, James Dow and Govind Hariharan
Power exchange options pp. 97-106: Lloyd P. Blenman and Steven Clark

tay's as good as cay pp. 1-14: Michael Brennan and Yihong Xia
tay's as good as cay: Reply pp. 15-22: Martin Lettau and Sydney Ludvigson
A generalized coherent risk measure: The firm's perspective pp. 23-29: Robert Jarrow and Amiyatosh Purnanandam
Single stock futures: Listing selection and trading volume pp. 30-40: James S. Ang and Yingmei Cheng
Dynamic, nonparametric hedging of European style contingent claims using canonical valuation pp. 41-50: Jamie Alcock and Philip Gray