Annals of Finance

2005 - 2025

Current editor(s): Anne Villamil

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Volume 21, issue 4, 2025

Investor determined dividend policies pp. 391-413

Dilip B. Madan and King Wang

An interval-valued extension of the internal rate of return pp. 415-433

Mikhail V. Sokolov and Ekaterina V. Polyakova

A lattice-based algorithm for pricing derivatives in a fractional Brownian motion framework pp. 435-458

Massimo Costabile, Ivar Massabó, Emilio Russo and Alessandro Staino

On the relationship between financial constraints and firm owners’ gender: does Sub-Saharan Africa mirror other regions? pp. 459-494

Elizabeth Asiedu, Divine Mawusi Fiave and Alexander Opoku

A new conceptual framework for SME financing and green performance and support in EU27 pp. 495-527

Marco Marozzi

Volume 21, issue 3, 2025

Out-of-sample equity premium prediction: A voting approach to forecast combination pp. 243-281

Hyder Ali and Salma Naz

Risk-asymmetry indices in Europe pp. 283-316

Elyas Elyasiani, Luca Gambarelli and Silvia Muzzioli

The market price of greenness: a factor pricing approach for green and conventional bonds pp. 317-350

Beatrice Bertelli, Gianna Boero and Costanza Torricelli

Bank competition, financial stability and welfare: does the objective function of competitors matter? pp. 351-378

Oscar Gutiérrez and Mónica López-Puertas

Bank risk in flux: policy interplay under uncertainty pp. 379-390

Marcella Lucchetta

Volume 21, issue 2, 2025

Tailor-made strategies through different weight simulation of factor-based investing pp. 107-129

Catarina A. Ramos, Nuno C. Marques, Marta Faias and Hugo Santos

Foreign bank entry and performance of domestic SMEs: evidence from Korea pp. 131-162

Junyong Lee and Frederick Dongchuhl Oh

Local banking market structure and employment dynamics: evidence from US counties pp. 163-188

Amit Ghosh and Salvador Contreras

ESG asset demand with information costs pp. 189-209

Elisa Luciano and Antonella Tolomeo

Sanctions Induced Terms of Trade Shocks and the Role of Lean Against the Wind Policy pp. 211-242

Aleksandr Shirobokov

Volume 21, issue 1, 2025

Climate stress test: bad (or good) news for the market? An event study analisys on euro zone banks pp. 1-17

Costanza Torricelli, Chiara Pederzoli and Fabio Ferrari

The (un)secured debt puzzle: evidence for U.S. public firms pp. 19-44

Kizkitza Biguri

No arbitrage for a special class of filtration expansions pp. 45-68

Karen Grigorian and Robert Jarrow

Option pricing in a sentiment-biased stochastic volatility model pp. 69-95

Alessandra Cretarola, Gianna Figà-Talamanca and Marco Patacca

Group lending as a mechanism for self-insuring default risk pp. 97-106

Andreas Krause

Volume 20, issue 4, 2024

Why do banks require minimum balance to avoid a fee? pp. 395-420

Oz Shy

Approximation and asymptotics in the superhedging problem for binary options pp. 421-458

Sergey Smirnov, Dimitri Sotnikov and Andrey Zanochkin

On the real rate of interest in a closed economy pp. 459-477

Dilip B. Madan and King Wang

Science or scientism? On the momentum illusion pp. 479-519

Klaus Grobys

Probability of no default for a microloan under uncertainty pp. 521-528

Perpetual Andam Boiquaye and Philip Protter

Volume 20, issue 3, 2024

The effects of social media use by bank depositors pp. 289-300

Jianglin Dennis Ding and George G. Pennacchi

A term structure interest rate model with the Brownian bridge lower bound pp. 301-328

Kentaro Kikuchi

A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$ L 1 -pure jump additive processes and its application to portfolio optimization pp. 329-352

Masahiro Handa, Noriyoshi Sakuma and Ryoichi Suzuki

Option pricing in the Heston model with physics inspired neural networks pp. 353-376

Donatien Hainaut and Alex Casas

The profitability of interacting trading strategies from an ecological perspective pp. 377-394

Kun Xing and Honggang Li

Volume 20, issue 2, 2024

Commodity cycles and financial instability in emerging economies pp. 167-197

Mikhail Andreev, Udara Peiris, Alexander Shirobokov and Dimitrios Tsomocos

Natural disasters, public attention and changes in capital structure: international evidence pp. 199-238

Balbinder Singh Gill

Welfare and bank risk-taking pp. 239-258

Marcella Lucchetta

Asset pricing and hedging in financial markets with fixed and proportional transaction costs pp. 259-275

Esmaeil Babaei

Strict certainty preference in the predictive brain: a new perspective on financial innovations and their role in the real economy pp. 277-287

Hammad Siddiqi

Volume 20, issue 1, 2024

Affine Heston model style with self-exciting jumps and long memory pp. 1-43

Charles Guy Njike Leunga and Donatien Hainaut

How does soft information on the causes of default affect debt renegotiation? The Italian evidence pp. 45-89

Ludovico Maria Cocco, Elisa Cavezzali, Ugo Rigoni and Giorgia Simion

On certain representations of pricing functionals pp. 91-127

Carlo Marinelli

Skewness-seeking behavior and financial investments pp. 129-165

Matteo Benuzzi and Matteo Ploner

Volume 19, issue 4, 2023

The kind of silence: managing a reputation for voluntary disclosure in financial markets pp. 419-447

Miles B. Gietzmann and Adam J. Ostaszewski

The value of expected return persistence pp. 449-476

Wolfgang Schadner and Sebastian Lang

Nonparametric estimates of option prices via Hermite basis functions pp. 477-522

Carlo Marinelli and Stefano d’Addona

Robustness and sensitivity analyses of rough Volterra stochastic volatility models pp. 523-543

Jan Matas and Jan Pospíšil

What can monetary policy tell us about Bitcoin? pp. 545-559

Marcin Pietrzak

Volume 19, issue 3, 2023

Co-jumps and recursive preferences in portfolio choices pp. 291-324

Immacolata Oliva and Ilaria Stefani

A compositional analysis of systemic risk in European financial institutions pp. 325-354

Anna Maria Fiori and Francesco Porro

Sentiment-based indicators of real estate market stress and systemic risk: international evidence pp. 355-382

Mikhail Stolbov and Maria Shchepeleva

Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits pp. 383-400

Guglielmo D’Amico, Shakti Singh and Dharmaraja Selvamuthu

The no-arbitrage pricing of non-traded assets pp. 401-418

Robert Jarrow

Volume 19, issue 2, 2023

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies pp. 141-168

Dorsaf Cherif and Emmanuel Lépinette

Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks pp. 169-200

Mario Eboli, Bulent Ozel, Andrea Teglio and Andrea Toto

Integrating market conditions into regulatory decisions on microfinance interest rates: does competition matter? pp. 201-232

Tristan Caballero-Montes

A behavioral approach to inconsistencies in intertemporal choices with the Analytic Hierarchy Process methodology pp. 233-264

Viviana Ventre, Cruz Rambaud Salvador, Roberta Martino and Fabrizio Maturo

Drawdown risk measures for asset portfolios with high frequency data pp. 265-289

Giovanni Masala and Filippo Petroni

Volume 19, issue 1, 2023

The valuation of corporations: a derivative pricing perspective pp. 1-21

Dilip B. Madan and King Wang

The optimal financing of a conglomerate firm with hidden information and costly state verification pp. 23-62

Rosa Ferrentino and Luca Vota

Uncertainty in firm valuation and a cross-sectional misvaluation measure pp. 63-93

Giulio Bottazzi, Francesco Cordoni, Giulia Livieri and Stefano Marmi

The market value of SMEs: a comparative study between private and listed firms in alternative stock markets pp. 95-117

Leslie Rodríguez-Valencia, Prosper Lamothe-Fernández and David Alaminos

Delta-hedging in fractional volatility models pp. 119-140

Qi Zhao and Alexandra Chronopoulou