The European Journal of Finance

1995 - 2025

Current editor(s): Chris Adcock

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Volume 19, issue 10, 2013

An asymmetric dynamic conditional correlation analysis of linkages of European financial institutions during the Greek sovereign debt crisis pp. 939-950

Go Tamakoshi and Shigeyuki Hamori

Winners and losers: German equity mutual funds pp. 951-963

Keith Cuthbertson and Dirk Nitzsche

The long memory of the forward premium during the 1920s' float: evidence from the European foreign exchange market pp. 964-977

Taufiq Choudhry

The speed of adjustment in working capital requirement pp. 978-992

Sonia Baños-Caballero, Pedro J. García-Teruel and Pedro Martínez-Solano

Volume 19, issue 9, 2013

Contemporary issues in financial markets and institutions pp. 811-814

Claudia Girardone, Philip A. Hamill and John Wilson

Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage pp. 815-840

Giovanni Calice, Jing Chen and Julian M. Williams

The path to impairment: do credit-rating agencies anticipate default events of structured finance transactions? pp. 841-860

Matthias Bodenstedt, Daniel R�sch and Harald Scheule

The determinants of bank CDS spreads: evidence from the financial crisis pp. 861-887

Laura Chiaramonte and Barbara Casu

The impact of market power and funding strategy on bank-interest margins pp. 888-908

Mohammed Amidu and Simon Wolfe

An examination of investor sentiment effect on G7 stock market returns pp. 909-937

Deven Bathia and Don Bredin

Volume 19, issue 7-8, 2013

Real options - introduction to the state of the art pp. 589-590

Artur Rodrigues

Revisiting the Tourinho real options model: outstanding issues 30 years later pp. 591-603

Octavio Augusto Tourinho

The Tourinho model: neglected nugget or a receding relic? pp. 604-624

Roger Adkins and Dean Paxson

Real option pricing with mean-reverting investment and project value pp. 625-644

Sebastian Jaimungal, Max O. de Souza and Jorge P. Zubelli

Continuous rainbow options on commodity outputs: what is the real value of switching facilities? pp. 645-673

J�rg Dockendorf and Dean Paxson

The value of switching inputs in a biodiesel production plant pp. 674-688

Luiz Eduardo T. Brandão, Gilberto Master Penedo and Carlos Bastian-Pinto

Valuation of a spark spread: an LM6000 power plant pp. 689-714

Mark Cassano and Gordon Sick

Gas storage valuation under limited market liquidity: an application in Germany pp. 715-733

Bastian Felix, Oliver Woll and Christoph Weber

Valuing a high-tech growth company: the case of EchoStar Communications Corporation pp. 734-759

Lenos Trigeorgis and Sophocles Ioulianou

Real options at the interface of finance and operations: exploiting embedded supply-chain real options to gain competitiveness pp. 760-778

Benjamin Avanzi, Isik Bicer, Suzanne de Treville and Lenos Trigeorgis

Some results on relocation policies pp. 779-790

Jos� Azevedo-Pereira, Gualter Couto and Cl�udia Nunes

Organisational change and performance in long-lived small firms: a real options approach pp. 791-809

Bernadette Power and Gavin Reid

Volume 19, issue 6, 2013

A note on institutional hierarchy and volatility in financial markets pp. 449-465

Simone Alfarano, Mishael Milaković and Matthias Raddant

Identifying reference companies using the book-to-market ratio: a minimum spanning tree approach pp. 466-490

David Brookfield, Halim Boussabaine and Chen Su

Risk sharing in a financial market with endogenous option prices pp. 491-517

Jan Wenzelburger

Performance analysis of a collateralized fund obligation (CFO) equity tranche pp. 518-553

Shady Aboul-Enein, Georges Dionne and Nicolas Papageorgiou

Optimal liquidation strategies regularize portfolio selection pp. 554-571

Fabio Caccioli, Susanne Still, Matteo Marsili and Imre Kondor

Nonlinear dynamics in economics and finance and unit root testing pp. 572-588

Efthymios Pavlidis, Ivan Paya, David Peel and Costas Siriopoulos

Volume 19, issue 5, 2013

Editorial introduction: ‘new facets of the economic complexity in modern financial markets’ pp. 337-343

Catherine Kyrtsou and D. Sornette

Diagnostics of rational expectation financial bubbles with stochastic mean-reverting termination times pp. 344-365

L. Lin and D. Sornette

Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask pp. 366-391

Petr Geraskin and Dean Fantazzini

Heterogeneous expectations and exchange rate dynamics pp. 392-419

Carl Chiarella, Xuezhong (Tony) He and Min Zheng

Asymmetric returns, gradual bubbles and sudden crashes pp. 420-437

Weihong Huang, Huanhuan Zheng and Wai-Mun Chia

Epidemics of rules, rational negligence and market crashes pp. 438-447

Kartik Anand, Alan Kirman and Matteo Marsili

Volume 19, issue 4, 2013

Forecasting hedge fund volatility: a Markov regime-switching approach pp. 243-275

Szabolcs Blazsek and Anna Downarowicz

Investigating the stationarity of insurance premiums: international evidence pp. 276-297

Chien-Chiang Lee, Ching-Chuan Tsong, Shih-Jui Yang and Chi-Hung Chang

Arbitrage violations and implied valuations: the option market pp. 298-317

Ioulia D. Ioffe and Eliezer Z. Prisman

Game hoarding in Europe: stock-price consequences of local bias? pp. 318-335

Tom Aabo, Christos Pantzalis and Maja Stoholm S?rensen

Volume 19, issue 3, 2013

Modelling and trading the realised volatility of the FTSE100 futures with higher order neural networks pp. 165-179

Georgios Sermpinis, Jason Laws and Christian L. Dunis

GP algorithm versus hybrid and mixed neural networks pp. 180-205

Christian L. Dunis, Jason Laws and Andreas Karathanasopoulos

Optimal portfolio selection in nonlinear arbitrage spreads pp. 206-227

Hamad Alsayed and Frank McGroarty

Football championships and jersey sponsors’ stock prices: an empirical investigation pp. 228-241

Michael Hanke and Michael Kirchler

Volume 19, issue 2, 2013

The determinants of foreign exchange hedging in Alternative Investment Market firms pp. 89-111

Andrew Marshall, Martin Kemmitt and Helena Pinto

Central bank coordinated intervention: a microstructure approach pp. 113-126

Montserrat Ferr� and Carolina Manzano

Purchase and redemption decisions of mutual fund investors and the role of fund families pp. 127-144

Stephan Jank and Michael Wedow

On risk management determinants: what really matters? pp. 145-164

Georges Dionne and Thouraya Triki

Volume 19, issue 1, 2013

Competition and risk in Japanese banking pp. 1-18

Hong Liu and John Wilson

Short-selling constraints and ‘quantitative’ investment strategies pp. 19-35

Panagiotis Andrikopoulos, James Clunie and Antonios Siganos

A formula for the economic value of return predictability pp. 37-53

Nick Taylor

Asset correlations and bank capital adequacy pp. 55-74

Giampaolo Gabbi and Pietro Vozzella

On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas pp. 75-88

Sebastian Garmann and Peter Grundke