Annals of Finance

2005 - 2025

Current editor(s): Anne Villamil

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Volume 15, issue 4, 2019

Momentum and reversal in financial markets with persistent heterogeneity pp. 455-487

Giulio Bottazzi, Pietro Dindo and Daniele Giachini

Dynamic contagion in a banking system with births and defaults pp. 489-538

Tomoyuki Ichiba, Michael Ludkovski and Andrey Sarantsev

Business-cycle pattern of asset returns: a general equilibrium explanation pp. 539-561

Qiang Kang

Semi-nonparametric approximation and index options pp. 563-600

Julia Jiang and Weidong Tian

Volume 15, issue 3, 2019

Optimal dynamic basis trading pp. 307-335

Bahman Angoshtari and Tim Leung

Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy pp. 337-368

Winston Buckley and Sandun Perera

Optimal bailouts, bank’s incentive and risk pp. 369-399

Marcella Lucchetta, Michele Moretto and Bruno M. Parigi

Cash flows risk, capital structure, and corporate bond yields pp. 401-420

Berardino Palazzo

Dynamic portfolio strategies under a fully correlated jump-diffusion process pp. 421-453

Marcos Escobar-Anel and Harold Moreno-Franco

Volume 15, issue 2, 2019

Correlation and coordination risk pp. 155-177

Martin Geiger and Richard Hule

The role of household debt and delinquency decisions in consumption-based asset pricing pp. 179-203

Paulo Matos

Relative performance concerns among investment managers pp. 205-231

Mark Whitmeyer

Implied liquidity risk premia in option markets pp. 233-246

Florence Guillaume, Gero Junike, Peter Leoni and Wim Schoutens

Change point dynamics for financial data: an indexed Markov chain approach pp. 247-266

Guglielmo D’Amico, Ada Lika and Filippo Petroni

A switching self-exciting jump diffusion process for stock prices pp. 267-306

Donatien Hainaut and Franck Moraux

Volume 15, issue 1, 2019

Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics pp. 1-28

Tim Leung and Zheng Wang

Conic asset pricing and the costs of price fluctuations pp. 29-58

Dilip B. Madan and Wim Schoutens

Extreme-strike asymptotics for general Gaussian stochastic volatility models pp. 59-101

Archil Gulisashvili, Frederi Viens and Xin Zhang

Endogenous heterogeneity in duopoly with deterministic one-way spillovers pp. 103-123

Adriana Gama, Isabelle Maret and Virginie Masson

Vanishing central bank intervention in stochastic impulse control pp. 125-153

Gregory Gagnon

Volume 14, issue 4, 2018

Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes pp. 429-464

Bart Taub

Debt financing in private and public firms pp. 465-487

Kim Huynh, Teodora Paligorova and Robert Petrunia

Option pricing under fast-varying and rough stochastic volatility pp. 489-516

Josselin Garnier and Knut Sølna

On relative performance, remuneration and risk taking of asset managers pp. 517-545

Emilio Barucci, Gaetano Bua and Daniele Marazzina

Analysis of the SRISK measure and its application to the Canadian banking and insurance industries pp. 547-570

Thomas F. Coleman, Alex LaPlante and Alexey Rubtsov

Correction to: Analysis of the SRISK measure and its application to the Canadian banking and insurance industries pp. 571-572

Thomas F. Coleman, Alex LaPlante and Alexey Rubtsov

Volume 14, issue 3, 2018

The pricing kernel puzzle: survey and outlook pp. 289-329

Horatio Cuesdeanu and Jens Carsten Jackwerth

How does competition affect real earnings management to meet or beat targets? Evidence from import tariff reductions pp. 331-342

Alex Young

A nonparametric quantity-of-quality approach to assessing financial asset return performance pp. 343-351

M. Ryan Haley

Bubbles, growth and imperfection of credit market in a two-country model pp. 353-377

Ryosuke Shimizu

What determines the share of non-resident public debt ownership? Evidence from Euro Area countries pp. 379-414

Joao Jalles

Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension pp. 415-426

Salvador Cruz Rambaud, Isabel González Fernández and Viviana Ventre

Correction to: Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension pp. 427-427

Salvador Cruz Rambaud, Isabel González Fernández and Viviana Ventre

Volume 14, issue 2, 2018

Regulation, supervision and deposit insurance for financial cooperatives: an empirical investigation pp. 143-193

Amr Khafagy

Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes pp. 195-209

Vladislav Krasin, Ivan Smirnov and Alexander Melnikov

Financial equilibrium with non-linear valuations pp. 211-221

Dilip B. Madan

On the implied market price of risk under the stochastic numéraire pp. 223-251

Nikolai Dokuchaev

Asset market equilibrium with liquidity risk pp. 253-288

Robert Jarrow

Volume 14, issue 1, 2018

Venture capital and underpricing: capacity constraints and early sales pp. 1-47

Roberto Pinheiro

Systemic risk in Europe: deciphering leading measures, common patterns and real effects pp. 49-91

Mikhail Stolbov and Maria Shchepeleva

Barrier style contracts under Lévy processes once again pp. 93-103

José Fajardo

Business cycles, financial cycles and capital structure pp. 105-123

Haitham Al-Zoubi, Jennifer A. O’Sullivan and Abdulaziz M. Alwathnani

Can VPIN forecast geopolitical events? Evidence from the 2014 Crimean Crisis pp. 125-141

Felipe Bastos G. Silva and Ekaterina Volkova

Volume 13, issue 4, 2017

Counterparty risk, central counterparty clearing and aggregate risk pp. 355-400

Binbin Deng

Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index pp. 401-434

Aziz Issaka and Indranil SenGupta

Stock markets fragmentation, volatility and final investors pp. 435-451

Cécile Bastidon

The dampening effect of iceberg orders on small traders’ welfare pp. 453-484

Laura Delaney and Polina Kovaleva

Volume 13, issue 3, 2017

Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise pp. 237-251

Chiara Pederzoli and Costanza Torricelli

Investment, agency conflicts, debt maturity, and loan guarantees by negotiation pp. 253-271

Liu Gan and Zhaojun Yang

An empirical analysis of organized crime, corruption and economic growth pp. 273-298

Kyriakos Neanidis, Maria Paola Rana and Keith Blackburn

Quadratic minimization with portfolio and intertemporal wealth constraints pp. 299-340

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

M. Ryan Haley

Volume 13, issue 2, 2017

Novel advancements in the Markov chain stock model: analysis and inference pp. 125-152

Vlad Stefan Barbu, Guglielmo D’Amico and Riccardo Blasis

Financial market globalization, nonconvergence and credit cycles pp. 153-180

Wai-Hong Ho

Optimal mean-reverting spread trading: nonlinear integral equation approach pp. 181-203

Yerkin Kitapbayev and Tim Leung

The determinants of MFIs’ social and financial performances in sub-Saharan Africa: has mission drift occurred? pp. 205-235

Wassini Arrassen

Volume 13, issue 1, 2017

A simple efficient approximation to price basket stock options with volatility smile pp. 1-29

Ping Wu and Robert J. Elliott

Banking competition and welfare pp. 31-53

Marcella Lucchetta

Does the Hurst index matter for option prices under fractional volatility? pp. 55-74

Hideharu Funahashi and Masaaki Kijima

Threat of termination and firm innovation pp. 75-95

Shahbaz Sheikh

Portfolio selections under mean-variance preference with multiple priors for means and variances pp. 97-124

Yuki Shigeta