Annals of Finance

2005 - 2026

Current editor(s): Anne Villamil

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Stability of marketable payoffs with long-term assets pp. 523-552: 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: Michael Grabchak
Legal enforcement, default and heterogeneity of project-financing contracts pp. 569-602: Gabriel Madeira
Runs, panics and bubbles: Diamond–Dybvig and Morris–Shin reconsidered pp. 603-622: Eric Smith and Martin Shubik
Financial soundness indicators and financial crisis episodes pp. 623-669: Maria Kasselaki and Athanasios Tagkalakis

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

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

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

Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime? pp. 573-588: Katarzyna Romaniuk
A semi-Markov approach to the stock valuation problem pp. 589-610: Guglielmo D’Amico
Absence of arbitrage in a general framework pp. 611-624: Hasanjan Sayit
A decision-theoretic model of asset-price underreaction and overreaction to dividend news pp. 625-665: Alexander Ludwig and Alexander Zimper
IPO activity and information in secondary market prices pp. 667-687: Silvia Rossetto
Optimal investment, consumption–leisure, insurance and retirement choice pp. 689-723: Ryle Perera
Continuous equilibrium in affine and information-based capital asset pricing models pp. 725-755: Ulrich Horst, Michael Kupper, Andrea Macrina and Christoph Mainberger
Measures of systemic risk and financial fragility in Korea pp. 757-786: Jong Lee, Jaemin Ryu and Dimitrios Tsomocos
Negative call prices pp. 787-794: Johannes Ruf

Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants pp. 319-335: Ajantha Kumara and Wade Pfau
Dynamic capital structure and the contingent capital option pp. 337-364: Emilio Barucci and Luca Del Viva
Informed short sales and option introductions pp. 365-382: Benjamin Blau
Technological advances and the decision to invest pp. 383-420: Christian Flor and Simon Hansen
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model pp. 421-438: Farzad Fard and Tak Kuen Siu
A second-order stock market model pp. 439-454: Robert Fernholz, Tomoyuki Ichiba and Ioannis Karatzas
Regime-switching measure of systemic financial stress pp. 455-470: Azamat Abdymomunov
Predicting rating changes for banks: how accurate are accounting and stock market indicators? pp. 471-500: Isabelle Distinguin, Iftekhar Hasan and Amine Tarazi
Identifying the determinants of mortgage default in Colombia between 1997 and 2004 pp. 501-518: Juan Esteban Carranza and Dairo Estrada
Financial fragility in a general equilibrium model: the Brazilian case pp. 519-541: Benjamin Tabak, Daniel Cajueiro and Dimas Fazio
First steps towards an equilibrium theory for Lévy financial markets pp. 543-572: Frederik Herzberg

Introduction: behavioral and evolutionary finance pp. 115-119: Igor Evstigneev, Klaus Schenk-Hoppé and William Ziemba
Asset market games of survival: a synthesis of evolutionary and dynamic games pp. 121-144: Rabah Amir, Igor Evstigneev and Klaus Schenk-Hoppé
Taming animal spirits: risk management with behavioural factors pp. 145-166: Grzegorz Andruszkiewicz, Mark Davis and Sebastien Lleo
Risk classes for structured products: mathematical aspects and their implications on behavioral investors pp. 167-183: Ji Cao and Marc Rieger
An evolutionary CAPM under heterogeneous beliefs pp. 185-215: Carl Chiarella, Roberto Dieci, Xuezhong (Tony) He and Kai Li
Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach pp. 217-248: Thomas Lux
Currency returns, market regimes and behavioral biases pp. 249-269: Leonard MacLean, Yonggan Zhao and William Ziemba
Utilities bounded below pp. 271-289: Roman Muraviev and L. Rogers
Optimal portfolio choice for a behavioural investor in continuous-time markets pp. 291-318: Miklós Rásonyi and Andrea Rodrigues

Introduction to the symposium pp. 1-4: Gabriele Camera and Todd Keister
Pricing of payment cards, competition, and efficiency: a possible guide for SEPA pp. 5-25: Wilko Bolt and Heiko Schmiedel
Editorial note pp. 27-27: Anne Villamil
Liquidity-saving mechanisms in collateral-based RTGS payment systems pp. 29-60: Marius Jurgilas and Antoine Martin
Interlinkages between payment and securities settlement systems pp. 61-81: David Mills and Samia Husain
Private payment systems, collateral, and interest rates pp. 83-114: Charles Kahn