The European Journal of Finance

1995 - 2025

Current editor(s): Chris Adcock

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Volume 21, issue 15, 2015

The calm after the storm: implied volatility and future stock index returns pp. 1282-1296

Thorben Manfred Lubnau and Neda Todorova

Non-executive compensation in German and Swiss banks before and after the financial crisis pp. 1297-1316

Patrick Kampkötter

A sequential purchasing power parity test for panels of large cross-sections and implications for investors pp. 1317-1333

Joakim Westerlund and Paresh Narayan

Why is timing perverse? pp. 1334-1356

Juan Carlos Matallín-Sáez, David Moreno and Rosa Rodríguez

Risk aversion, prudence, and compensation pp. 1357-1373

Pierre Chaigneau

Volume 21, issue 13-14, 2015

Robust portfolio estimation under skew-normal return processes pp. 1091-1112

Masanobu Taniguchi, Alexandre Petkovic, Takehiro Kase, Thomas DiCiccio and Anna Clara Monti

Modelling multivariate skewness in financial returns: a SGARCH approach pp. 1113-1131

Giovanni De Luca and Nicola Loperfido

Effects of skewness and kurtosis on production and hedging decisions: a skewed t distribution approach pp. 1132-1143

Donald Lien and Yaqin Wang

The role of multivariate skew-Student density in the estimation of stock market crashes pp. 1144-1160

Lei Wu, Qingbin Meng and Julio C. Velazquez

Skewed exchange-rate forecasts pp. 1161-1175

Christian Pierdzioch and Georg Stadtmann

Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model pp. 1176-1194

Taras Bodnar and Arjun K. Gupta

Financial density selection pp. 1195-1213

J. Miguel Marin and Genaro Sucarrat

Multivariate asset return prediction with mixture models pp. 1214-1252

Marc S. Paolella

Skewed distributions in finance and actuarial science: a review pp. 1253-1281

Christopher Adcock, Martin Eling and Nicola Loperfido

Volume 21, issue 12, 2015

Non-homogeneous volatility correlations in the bivariate multifractal model pp. 971-991

Ruipeng Liu and Thomas Lux

A note on a semiparametric approach to estimating financing constraints in firms pp. 992-1004

Sumon Bhaumik, Subal Kumbhakar and Kai Sun

Towards a common Eurozone risk free rate pp. 1005-1022

Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz

Regime-switching models for exchange rates pp. 1023-1069

Ekaterini Panopoulou and Theologos Pantelidis

FT coverage and UK target price run-ups pp. 1070-1089

Antonios Siganos and Marco Papa

Volume 21, issue 10-11, 2015

Financing obstacles and growth: an analysis for euro area non-financial firms pp. 773-790

Chiara Coluzzi, Annalisa Ferrando and Carmen Martinez-Carrascal

High-speed rail transport valuation and conjecture shocks pp. 791-805

Gualter Couto, Cláudia Nunes and Pedro Pimentel

Linking wealth and labour income with stock returns and government bond yields pp. 806-825

Ricardo Sousa

Family control, multiple institutional block-holders, and informed trading pp. 826-847

Xiaoxiang Zhang, Jenifer Piesse and Igor Filatotchev

Do Portuguese private firms follow pecking order financing? pp. 848-866

Jan Bartholdy, Cesario Mateus and Dennis Olson

Sequential real rainbow options pp. 867-892

Jörg Dockendorf and Dean A. Paxson

Real effects of financial market integration: does lower home bias lead to welfare benefits? pp. 893-911

Crina Pungulescu

Is value creation consistent with currency hedging? pp. 912-945

Milagros Vivel Búa, Luis Otero González, Sara Fernández López and Pablo Durán Santomil

Investment style positioning of UK unit trusts pp. 946-970

David Brookfield, Chen Su and Kenbata Bangassa

Volume 21, issue 9, 2015

Emergence of macro-variables by evaluation and clustering of micro- activities pp. 691-713

Otto Loistl

A generalized approach to optimal hedging with option contracts pp. 714-733

Emanuele Bajo, Massimiliano Barbi and Silvia Romagnoli

Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors pp. 734-754

Markus Baltzer, Oscar Stolper and Andreas Walter

Disentangling the link between stock and accounting performance in acquisitions pp. 755-771

André Betzer, Markus Doumet and Marc Goergen

Volume 21, issue 8, 2015

Financial intermediation and the role of price discrimination in the foreign exchange market pp. 629-645

Stefan Reitz, Markus A. Schmidt and Mark Taylor

Timing, earnings management and over-reaction around pure placings pp. 646-671

Dionysia Dionysiou

The short-term impact of director trading in UK closed-end funds pp. 672-690

Dimitris Andriosopoulos, Michael Steliaros and Dylan C. Thomas

Volume 21, issue 7, 2015

Wealth effects of the Securities and Exchange Commission's 'terror tool' pp. 527-547

Wolfgang Breuer and Moritz Felde

Risk management in the energy markets and Value-at-Risk modelling: a hybrid approach pp. 548-574

Kostas Andriosopoulos and Nikos Nomikos

One index fits none: the conundrum of euro area inflation-linked bonds pp. 575-583

Ivo Arnold

The disappearance of momentum pp. 584-607

Soosung Hwang and Alexandre Rubesam

VC investments and global exits pp. 608-628

Susanne Espenlaub, Arif Khurshed and Abdulkadir Mohamed

Volume 21, issue 6, 2015

Market quality of dealer versus hybrid markets for illiquid securities: new evidence from the FTSE AIM Index pp. 466-485

Andros Gregoriou

How candlestick features affect the performance of volatility forecasts: evidence from the stock market pp. 486-506

Jung-Bin Su

When times get tough, gold is golden pp. 507-526

Nelson Areal, Benilde Oliveira and Raquel Sampaio

Volume 21, issue 5, 2015

The relationship between conditional value at risk and option prices with a closed-form solution pp. 400-425

Sovan Mitra

The dynamics of US bank profitability pp. 426-443

Dimitris K. Chronopoulos, Hong Liu, Fiona J. McMillan and John Wilson

Mispricing and risk of R&D investment in European firms pp. 444-465

Andi Duqi, Aziz Jaafar and Giuseppe Torluccio

Volume 21, issue 4, 2015

Markowitz versus Michaud: portfolio optimization strategies reconsidered pp. 269-291

Franziska Becker, Marc Gürtler and Martin Hibbeln

Modeling electricity spot prices: combining mean reversion, spikes, and stochastic volatility pp. 292-315

Klaus Mayer, Thomas Schmid and Florian Weber

Modelling commodity value at risk with Psi Sigma neural networks using open-high-low-close data pp. 316-336

Georgios Sermpinis, Jason Laws and Christian L. Dunis

Adaptive universal portfolios pp. 337-351

Patrick O'Sullivan and David Edelman

Trading and hedging the corn/ethanol crush spread using time-varying leverage and nonlinear models pp. 352-375

Christian L. Dunis, Jason Laws, Peter W. Middleton and Andreas Karathanasopoulos

Forecasting the daily dynamic hedge ratios by GARCH models: evidence from the agricultural futures markets pp. 376-399

Yuanyuan Zhang and Taufiq Choudhry

Volume 21, issue 3, 2015

The information content of three credit ratings: the case of European residential mortgage-backed securities pp. 172-194

Frank Fabozzi and Dennis Vink

Spanish savings banks in the credit crunch: could distress have been predicted before the crisis? A multivariate statistical analysis pp. 195-214

Marti Sagarra, Cecilio Mar-Molinero and Miguel García-Cestona

Value-at-risk capital requirement regulation, risk taking and asset allocation: a mean-variance analysis pp. 215-241

Guy Kaplanski and Haim Levy

Earnings management, forecast guidance and the banking crisis pp. 242-268

Elena Beccalli, Saverio Bozzolan, Andrea Menini and Philip Molyneux

Volume 21, issue 2, 2015

A pricing kernel approach to valuing options on interest rate futures pp. 93-110

Xiaoquan Liu, Jing-Ming Kuo and Jerry Coakley

The European sovereign debt market: from integration to segmentation pp. 111-128

Andrea Cipollini, Jerry Coakley and Hyunchul Lee

Time varying costs of capital and the expected present value of future cash flows pp. 129-146

Ian Davidson, Xiaojing Song and Mark Tippett

Impact of exchange rate regime reform on asset returns in China pp. 147-171

Xiuping Hua, Laixiang Sun and Tianyi Wang

Volume 21, issue 1, 2015

Does the investment opportunities bias affect the investment-cash flow sensitivities of unlisted SMEs? pp. 1-25

Bert D'Espallier and Alessandra Guariglia

Earnings and capital management and signaling: the use of loan-loss provisions by European banks pp. 26-50

Domenico Curcio and Iftekhar Hasan

The smallest stocks are not just smaller: global evidence pp. 51-70

Lieven De Moor and Piet Sercu

Firm innovation and institutional investment: the role of the Sarbanes-Oxley Act pp. 71-92

Nida Abdioglu, Arif Khurshed and Konstantinos Stathopoulos