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Annals of Finance

2005 - 2017

Current editor(s): Anne Villamil

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Volume 13, issue 3, 2017

Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise pp. 237-251 Downloads
Chiara Pederzoli and Costanza Torricelli
Investment, agency conflicts, debt maturity, and loan guarantees by negotiation pp. 253-271 Downloads
Liu Gan and Zhaojun Yang
An empirical analysis of organized crime, corruption and economic growth pp. 273-298 Downloads
Kyriakos C. Neanidis, Maria Paola Rana and Keith Blackburn
Quadratic minimization with portfolio and intertemporal wealth constraints pp. 299-340 Downloads
Dian Zhu and Andrew J. Heunis
K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance? pp. 341-353 Downloads
M. Ryan Haley

Volume 13, issue 2, 2017

Novel advancements in the Markov chain stock model: analysis and inference pp. 125-152 Downloads
Vlad Stefan Barbu, Guglielmo D’Amico and Riccardo Blasis
Financial market globalization, nonconvergence and credit cycles pp. 153-180 Downloads
Wai-Hong Ho
Optimal mean-reverting spread trading: nonlinear integral equation approach pp. 181-203 Downloads
Yerkin Kitapbayev and Tim Leung
The determinants of MFIs’ social and financial performances in sub-Saharan Africa: has mission drift occurred? pp. 205-235 Downloads
Wassini Arrassen

Volume 12, issue 3, 2016

Credit risk analysis with creditor’s option to extend maturities pp. 275-304 Downloads
Ryoichi Ikeda and Yoske Igarashi
Adapted hedging pp. 305-334 Downloads
Dilip B. Madan
Smooth investment pp. 335-361 Downloads
Kenneth Bruhn, Ninna Reitzel Jensen and Mogens Steffensen
Intragroup transfers, intragroup diversification and their risk assessment pp. 363-392 Downloads
Andreas Haier, Ilya Molchanov and Michael Schmutz
Impact of risk aversion and countervailing tax in oligopoly pp. 393-408 Downloads
Jim Y. Jin and Shinji Kobayashi
Benchmark-based evaluation of portfolio performance: a characterization pp. 409-440 Downloads
Aleksandr G. Alekseev and Mikhail Sokolov
Sequential payments and optimal pricing in payment systems pp. 441-463 Downloads
Tomohiro Ota

Volume 12, issue 2, 2016

Relative asset price bubbles pp. 135-160 Downloads
Roseline Bilina Falafala, Robert Jarrow and Philip Protter
Monetary policy games, financial instability and incomplete information pp. 161-178 Downloads
Charles Richard Barrett, Ioanna Kokores and Somnath Sen
A nonparametric approach to measuring the sensitivity of an asset’s return to the market pp. 179-199 Downloads
Thomas A. Severini
Benchmarking in two price financial markets pp. 201-219 Downloads
Dilip B. Madan
How suboptimal are linear sharing rules? pp. 221-243 Downloads
Bjarne Astrup Jensen and Jørgen Aase Nielsen
Optimal capital structures for private firms pp. 245-273 Downloads
Joel M. Vanden

Volume 12, issue 1, 2016

The St. Petersburg paradox and capital asset pricing pp. 1-16 Downloads
Assaf Eisdorfer and Carmelo Giaccotto
Variety expansion, preference shocks, and financial intermediaries pp. 17-28 Downloads
Hiroaki Ohno and Kouki Sugawara
On the impact of macroeconomic news surprises on Treasury-bond returns pp. 29-53 Downloads
Imane El Ouadghiri, Valérie Mignon and Nicolas Boitout
Saddlepoint approximations to option price in a regime-switching model pp. 55-69 Downloads
Mengzhe Zhang and Leunglung Chan
Risk premia in option markets pp. 71-94 Downloads
Dilip B. Madan
The skewness risk premium in equilibrium and stock return predictability pp. 95-133 Downloads
Hiroshi Sasaki

Volume 11, issue 3, 2015

Robustness of equilibrium in the Kyle model of informed speculation pp. 297-318 Downloads
Alex Boulatov and Dan Bernhardt
Credit risk and contagion via self-exciting default intensity pp. 319-344 Downloads
Robert Elliott and Jia Shen
Optimization of relative arbitrage pp. 345-382 Downloads
Ting-Kam Wong
Evidence on exercise pricing in CEO option grants in two countries pp. 383-410 Downloads
Jean Canil and Bruce Rosser
Diversity-weighted portfolios with negative parameter pp. 411-432 Downloads
Alexander Vervuurt and Ioannis Karatzas
Bounds for path-dependent options pp. 433-451 Downloads
Donald Brown, Rustam Ibragimov and Johan Walden
Arbitrage in markets with bid-ask spreads pp. 453-475 Downloads
Przemysław Rola
Financial innovation and risk: the role of information pp. 477-502 Downloads
Roberto Piazza
Optimal investment in multidimensional Markov-modulated affine models pp. 503-530 Downloads
Daniela Neykova, Marcos Escobar Anel and Rudi Zagst

Volume 11, issue 2, 2015

Capital distribution and portfolio performance in the mean-field Atlas model pp. 151-198 Downloads
Benjamin Jourdain and Julien Reygner
Dynamic optimal capital structure with regime switching pp. 199-220 Downloads
Robert Elliott and Jia Shen
Diversified minimum-variance portfolios pp. 221-241 Downloads
Guillaume Coqueret
Quadratic minimization with portfolio and terminal wealth constraints pp. 243-282 Downloads
Andrew Heunis
Variance matters (in stochastic dividend discount models) pp. 283-295 Downloads
Arianna Agosto and Enrico Moretto

Volume 11, issue 1, 2015

Asset pricing theory for two price economies pp. 1-35 Downloads
Dilip Madan
Dynamic portfolio selection with mispricing and model ambiguity pp. 37-75 Downloads
Bo Yi, Frederi Viens, Baron Law and Zhongfei Li
Noisy information and the size effect in stock returns pp. 77-107 Downloads
Joel Vanden
The demonetization of gold: transactions and the change in control pp. 109-149 Downloads
Thomas Quint and Martin Shubik

Volume 10, issue 4, 2014

Stability of marketable payoffs with long-term assets pp. 523-552 Downloads
Jean-Marc Bonnisseau and Achis Chery
Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? pp. 553-568 Downloads
Michael Grabchak
Legal enforcement, default and heterogeneity of project-financing contracts pp. 569-602 Downloads
Gabriel Madeira
Runs, panics and bubbles: Diamond–Dybvig and Morris–Shin reconsidered pp. 603-622 Downloads
Eric Smith and Martin Shubik
Financial soundness indicators and financial crisis episodes pp. 623-669 Downloads
Maria Kasselaki and Athanasios Tagkalakis

Volume 10, issue 3, 2014

The equity premium: a deeper puzzle pp. 347-373 Downloads
Francisco Azeredo
Managerial ownership with rent-seeking employees pp. 375-394 Downloads
Linus Wilson
Hidden persistent disasters and asset prices pp. 395-418 Downloads
Masataka Suzuki
Portfolio management with stochastic interest rates and inflation ambiguity pp. 419-455 Downloads
Claus Munk and Alexey Rubtsov
The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market pp. 457-480 Downloads
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Will banning naked CDS impact bond prices? pp. 481-508 Downloads
Agostino Capponi and Martin Larsson
Pricing of discount bonds with a Markov switching regime pp. 509-522 Downloads
Robert Elliott and Katsumasa Nishide

Volume 10, issue 2, 2014

Implied cost of capital investment strategies: evidence from international stock markets pp. 171-195 Downloads
Florian Esterer and David Schröder
Asset pricing and the role of macroeconomic volatility pp. 197-215 Downloads
Stefano d’Addona and Christos Giannikos
International monetary transmission with bank heterogeneity and default risk pp. 217-241 Downloads
Tsvetomira Tsenova
Robust portfolio choice with stochastic interest rates pp. 243-265 Downloads
Christian Flor and Linda Larsen
A hierarchical agency model of deposit insurance pp. 267-290 Downloads
Jonathan Carroll and Shino Takayama
On a class of diverse market models pp. 291-314 Downloads
Andrey Sarantsev
Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process pp. 315-332 Downloads
Farzad Fard and Ning Rong
Gaussian and logistic adaptations of smoothed safety first pp. 333-345 Downloads
M. Haley

Volume 10, issue 1, 2014

Multi-firm voluntary disclosures for correlated operations pp. 1-45 Downloads
Miles Gietzmann and Adam Ostaszewski
Optimal loan-to-value ratio and the efficiency gains of default pp. 47-69 Downloads
Li Lin
Two price economies in continuous time pp. 71-100 Downloads
Ernst Eberlein, Dilip Madan, Martijn Pistorius, Wim Schoutens and Marc Yor
Generalized volatility-stabilized processes pp. 101-125 Downloads
Radka Picková
Pricing and hedging basis risk under no good deal assumption pp. 127-170 Downloads
L. Carassus and E. Temam
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