Annals of Finance

2005 - 2025

Current editor(s): Anne Villamil

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Volume 5, issue 3, 2009

Entrepreneurship, finance and employment pp. 289-293

Mariacristina De Nardi and Anne Villamil

Entrepreneurship in macroeconomics pp. 295-311

Vincenzo Quadrini

A conversation with 590 Nascent Entrepreneurs pp. 313-340

Jeffrey Campbell and Mariacristina De Nardi

Small firms in the SSBF pp. 341-359

Neus Herranz, Stefan Krasa and Anne Villamil

Minority self-employment in the United States and the impact of affirmative action programs pp. 361-396

David Blanchflower

The financing of small entrepreneurs in Italy pp. 397-419

Silvia Magri

The probability of transition to entrepreneurship revisited: wealth, education and age pp. 421-441

Camilo Mondragón-Vélez

A dynamic model of entrepreneurship with borrowing constraints: theory and evidence pp. 443-464

Francisco Buera

Entrepreneurship and firm heterogeneity with limited enforcement pp. 465-494

Alexander Monge-Naranjo

Self-employment rates and business size: the roles of occupational choice and credit market frictions pp. 495-519

Ahmet Akyol and Kartik Athreya

Uninsurable investment risks and capital income taxation pp. 521-541

Cesaire Meh and Yaz Terajima

Volume 5, issue 2, 2009

Banks, markets, and efficiency pp. 131-160

Falko Fecht and Antoine Martin

On the cost of delayed currency fixing announcements pp. 161-174

Christoph Becker and Uwe Wystup

Imperfect competition in differentiated credit contract markets pp. 175-187

Naoki Kojima

On the calibration of structural credit spread models pp. 189-208

Howard Qi, Sheen Liu and Chunchi Wu

Strategic market games with cyclic endowments pp. 209-230

Barbara Bennie

The profitability of carry trades pp. 231-241

Jose Olmo and Keith Pilbeam

On the general equilibrium costs of perfectly anticipated inflation pp. 243-262

Paulo Barelli and Samuel Abreu Pessôa

On the equivalence of a class of affine term structure models pp. 263-279

Oh Kwon

Short note on inf-convolution preserving the Fatou property pp. 281-287

Beatrice Acciaio

Volume 5, issue 1, 2009

Behavior in a simplified stock market: the status quo bias, the disposition effect and the ostrich effect pp. 1-14

Alexander Brown and John Kagel

Small caps in international equity portfolios: the effects of variance risk pp. 15-48

Massimo Guidolin and Giovanna Nicodano

Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models pp. 49-68

Andreas Behr and Ulrich Pötter

The impact of prior performance on the risk-taking of mutual fund managers pp. 69-90

Manuel Ammann and Michael Verhofen

Valuation before and after tax in the discrete time, finite state no arbitrage model pp. 91-123

Bjarne Jensen

Banking fragility and liquidity creation: options as a substitute for deposits pp. 125-129

Wolf Wagner

Volume 4, issue 4, 2008

Pricing options in incomplete equity markets via the instantaneous Sharpe ratio pp. 399-429

Erhan Bayraktar and Virginia Young

Robust portfolio optimization with a generalized expected utility model under ambiguity pp. 431-444

Xiaoxian Ma, Qingzhen Zhao and Jilin Qu

Short-term relative arbitrage in volatility-stabilized markets pp. 445-454

Adrian Banner and Daniel Fernholz

Informational leverage: the problem of noise traders pp. 455-480

Norvald Instefjord and Kouji Sasaki

Technology driven organizational structure of the firm pp. 481-503

Rene van den Brink and Pieter Ruys

A computational study on general equilibrium pricing of derivative securities pp. 505-523

Jacco Thijssen

Volume 4, issue 3, 2008

Demand shocks and market manipulation pp. 269-298

Marcelo Pinheiro

Liquidity and market incompleteness pp. 299-303

Felipe Zurita

Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks pp. 305-344

Yu Chen, Thomas Cosimano and Alex Himonas

Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation pp. 345-367

Jon Danielsson, Bjørn Jørgensen, Casper de Vries and Xiaoguang Yang

Balance, growth and diversity of financial markets pp. 369-397

Constantinos Kardaras

Volume 4, issue 2, 2008

The social value of risk-free government debt pp. 131-155

Stacey Schreft and Bruce Smith

Amplification and asymmetry in crashes and frenzies pp. 157-181

Han Ozsoylev

Capital market equilibrium without riskless assets: heterogeneous expectations pp. 183-195

Dong Chul Won, G. Hahn and N. Yannelis

Managing the risk of loan prepayments and the optimal structure of short term lending rates pp. 197-215

Bryan Stanhouse and Duane Stock

Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration pp. 217-241

Edward Sun, Svetlozar Rachev, Frank Fabozzi and Petko Kalev

Fair (intra-bank transfer) prices for credits with stochastic recovery pp. 243-253

Johannes Leitner

On the semimartingale property via bounded logarithmic utility pp. 255-268

Kasper Larsen and Gordan Žitković

Volume 4, issue 1, 2008

Optimal portfolio allocation with higher moments pp. 1-28

Jaksa Cvitanic, Vassilis Polimenis and Fernando Zapatero

The price of rapid exit in venture capital-backed IPOs pp. 29-53

Silvia Rossetto

A PDE approach for risk measures for derivatives with regime switching pp. 55-74

Robert Elliott, Tak Kuen Siu and Leunglung Chan

Who controls Allianz? pp. 75-103

Victor Dorofeenko, Larry Lang, Klaus Ritzberger and Jamsheed Shorish

Prospect and Markowitz stochastic dominance pp. 105-129

Wing-Keung Wong and R. Chan

Volume 3, issue 4, 2007

Correlation and the pricing of risks pp. 411-453

Marc Atlan, Hélyette Geman, Dilip Madan and Marc Yor

On the positive fundamental value of money with short-sale constraints pp. 455-469

Eduardo Giménez

Duration, factor sensitivities, and interest rate Greeks pp. 471-486

Oh Kwon

Maximum likelihood estimation of the double exponential jump-diffusion process pp. 487-507

Cyrus Ramezani and Yong Zeng

Volume 3, issue 3, 2007

To what extent are investment bank-differentiating factors relevant for firms floating moderate-sized IPOs? pp. 297-327

Kedar Kulkarni and Tarun Sabarwal

Proprietary trading losses in banks: do banks invest sufficiently in control? pp. 329-350

Norvald Instefjord and Kouji Sasaki

A multicriteria discrimination approach for the credit rating of Asian banks pp. 351-367

Fotios Pasiouras, Chrysovalantis Gaganis and Michael Doumpos

IPO share allocation and conflicts of interest pp. 369-387

Naoki Kojima

Switching to a poor business activity: optimal capital structure, agency costs and covenant rules pp. 389-409

Jean-Paul Décamps and Bertrand Djembissi

Volume 3, issue 2, 2007

Habit formation and the equity–premium puzzle: a skeptical view pp. 193-212

Stefano Athanasoulis and Oren Sussman

A Forecasting Model for Stock Market Diversity pp. 213-240

Francesco Audrino, Robert Fernholz and Roberto Ferretti

An empirical model for durations in stocks pp. 241-255

Ola Simonsen

Industry and time specific deviations from fundamental values in a random coefficient model pp. 257-276

Leonardo Becchetti, Roberto Rocci and Giovanni Trovato

Transfers and bequests: a portfolio analysis in a Nash game pp. 277-295

Yang-Ming Chang

Volume 3, issue 1, 2007

Financial stability: theory and applications pp. 1-4

Charles Goodhart and Dimitrios Tsomocos

Financial distress, bankruptcy law and the business cycle pp. 5-35

Javier Suarez and Oren Sussman

Towards a measure of financial fragility pp. 37-74

Oriol Aspachs, Charles Goodhart, Dimitrios Tsomocos and Lea Zicchino

An equilibrium approach to financial stability analysis: the Colombian case pp. 75-105

Agustín Saade Ospina, Daniel Osorio-Rodriguez and Dairo Estrada

Financial stability and Basel II pp. 107-130

Paul Kupiec

Pursuing financial stability under an inflation-targeting regime pp. 131-153

Qaisar Akram, Gunnar Bårdsen and Kjersti-Gro Lindquist

Devaluation with contract redenomination in Argentina pp. 155-192

Charles Calomiris