Annals of Finance

2005 - 2026

Current editor(s): Anne Villamil

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Volume 16, issue 4, 2020

The role of market efficiency on implied cost of capital estimates: an international perspective pp. 463-499

David Schröder

Internal financing, managerial compensation and multiple tasks pp. 501-527

Sandro Brusco and Fausto Panunzi

Relative growth optimal strategies in an asset market game pp. 529-546

Yaroslav Drokin and Mikhail Zhitlukhin

Proper measures of connectedness pp. 547-571

Mario Maggi, Maria-Laura Torrente and Pierpaolo Uberti

Leakage of rank-dependent functionally generated trading strategies pp. 573-591

Kangjianan Xie

An evolutionary finance model with a risk-free asset pp. 593-607

Sergei Belkov, Igor Evstigneev and Thorsten Hens

Volume 16, issue 3, 2020

Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models pp. 307-351

J. Lars Kirkby and Duy Nguyen

Development banking under weak institutions and imperfect credit markets pp. 353-380

Reynaldo Senra Hodelin

The price leadership share: a new measure of price discovery in financial markets pp. 381-405

Riccardo De Blasis

Optimal compensation and investment affected by firm size and time-varying external factors pp. 407-422

Chong Lai, Rui Li and Yonghong Wu

Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs pp. 423-433

Martin Brown and Tomasz Zastawniak

Forecasting volatility in bitcoin market pp. 435-462

Mawuli Segnon and Stelios Bekiros

Volume 16, issue 2, 2020

Deposit insurance and the coexistence of commercial and shadow banks pp. 159-194

Stephen LeRoy and Rish Singhania

A computable general equilibrium model for banking sector risk assessment in South Africa pp. 195-218

Conrad F. J. Beyers, Allan Freitas, Kojo A. Essel-Mensah, Reyno Seymore and Dimitrios Tsomocos

Transparency and market discipline: evidence from the Russian interbank market pp. 219-251

François Guillemin and Maria Semenova

Optimal trading of a basket of futures contracts pp. 253-280

Bahman Angoshtari and Tim Leung

The impact of financial crises on the environment in developing countries pp. 281-306

Joao Jalles

Volume 16, issue 1, 2020

A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility pp. 1-61

Luciano I. Castro, Marialaura Pesce and Nicholas C. Yannelis

Maximizing expected exponential utility of consumption with a constraint on expected time in poverty pp. 63-99

Dongchen Li and Virginia R. Young

Asian options pricing in Hawkes-type jump-diffusion models pp. 101-119

Riccardo Brignone and Carlo Sgarra

Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing pp. 121-139

Michael Roberts and Indranil SenGupta

Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules pp. 141-157

Vincenzo Russo, Valentina Lagasio, Marina Brogi and Frank J. Fabozzi

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