Annals of Financial Economics (AFE)

2005 - 2026

Current editor(s): Michael McAleer

From World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

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THE INTERACTION BETWEEN THE FINANCIAL SECTOR AND THE REAL SECTOR: A STOCHASTIC MODEL pp. 1-4: Moawia Alghalith and Tracy Polius
ESTIMATING PROSPECT THEORY'S DECISION WEIGHTS WITH STOCHASTIC DOMINANCE: THE SMALL PROBABILITY CASE pp. 1-27: Haim Levy and Michal Orkan
MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS pp. 1-27: Chia-Lin Chang, Michael McAleer and Roengchai Tansuchat
THE THIRD FUNDAMENTAL THEOREM OF ASSET PRICING pp. 1-11: Robert Jarrow
THE EFFECTS OF PRICE DYNAMICS ON OPTIMAL FUTURES HEDGING pp. 1-10: Donald Lien and Keshab Shrestha

EXECUTIVE SHORT-TERM INCENTIVE, RISK-TAKING AND LEVERAGE-NEUTRAL INCENTIVE SCHEME pp. 1-45: Guy Kaplanski and Haim Levy
MEAN-VARIANCE APPROXIMATIONS TO THE GEOMETRIC MEAN pp. 1-30: Harry Markowitz
STOCHASTIC DOMINANCE AND BEHAVIOR TOWARDS RISK: THE MARKET FOR ISHARES pp. 1-20: Dominic Gasbarro, Wing-Keung Wong and J. Kenton Zumwalt
SELECTIVE ASYMMETRIC CAPITAL FINANCING BEHAVIOR: PREFERENCE TOWARDS EQUITY FINANCING pp. 1-29: Donald Lien, Melody Lo and Jinlan Ni
EXECUTION COSTS AND EFFICIENT EXECUTION FRONTIERS pp. 1-18: Dilip B. Madan

QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS pp. 1-19: David Allen, Robert Powell and A. K. Singh
THE BEAR MARKET IN CHINA: WHICH TRADES PUSH THE STOCK PRICES DOWN? pp. 1-22: Jinghan Cai, Hongbing Ouyang and Michael Wong
THE PRESENT VALUE MODEL WITH STOCHASTIC DISCOUNT RATE AND AN ANN PROCESS FOR BROAD DIVIDENDS pp. 1-20: Man Fu and Prasad V. Bidarkota
THAI FIRMS' HISTORIES AND THEIR CAPITAL STRUCTURE pp. 1-14: Tak Yan Law and Terence Tai Leung Chong

PRICING DEFAULT RISK WITH PARISIAN OPTIONS: EMPIRICAL EVIDENCE FROM HIGH GROWTH COMPANIES pp. 1-18: Ephraim Clark and Sélima Baccar
ARE NONLINEAR TRADING RULES PROFITABLE IN THE CHINESE STOCK MARKET? pp. 1-20: Terence Tai Leung Chong, Tau-Hing Lam and Melvin Hinich
GARCH AND VOLUME EFFECTS IN THE AUSTRALIAN STOCK MARKETS pp. 1-20: Jingliang Xiao, Robert D Brooks and Wing-Keung Wong
MONETARY POLICY AND ASSET PRICES IN A SMALL OPEN ECONOMY: A FACTOR-AUGMENTED VAR ANALYSIS FOR SINGAPORE pp. 1-23: Hwee Kwan Chow and Keen Meng Choy
DYNAMIC HEDGING OF INFLATION RISK pp. 1-13: Udo Broll and Stefan Schubert

WILL PULLING OUT THE RUG HELP? UNCERTAINTY ABOUT FANNIE AND FREDDIE'S FEDERAL GUARANTEE AND THE COST OF THE SUBSIDY pp. 1-28: Karan Bhanot, Donald Lien and Margot Quijano
"HOW IS THE STOCK MARKET DOING?" USING ABSENCE OF ARBITRAGE TO MEASURE STOCK MARKET PERFORMANCE pp. 1-27: Geoffrey Poitras and John Heaney
VOLATILITY DYNAMICS IN FOREIGN EXCHANGE RATES: FURTHER EVIDENCE FROM THE MALAYSIAN RINGGIT AND SINGAPORE DOLLAR pp. 1-27: Kin-Yip Ho and Albert Tsui
THE NEW BASEL ACCORD AND THE NATURE OF RISK: A GAME THEORETIC PERSPECTIVE pp. 1-22: Volker Bieta, Udo Broll, Hellmuth Milde and Wilfried Siebe

A TIMEWISE SPECIFICATION SENSITIVE LOOK AT MONEY DEMAND: AN ANALYSIS OF US DATA pp. 1-17: Ismail Genc
THE CAUSAL RELATIONSHIP BETWEEN BANK CAPITAL AND PROFITABILITY pp. 1-11: David E. Hutchison and Raymond Cox
MANAGING CREDIT RISK WITH CREDIT DERIVATIVES pp. 1-13: Udo Broll, Bernard Gilroy and Elmar Lukas
BANKING RISKS AND INTEREST RATE BEHAVIOR: A STOCHASTIC ORDER APPROACH pp. 1-20: Alexander Karmann
PREFERENCES, LÉVY JUMPS AND OPTION PRICING pp. 1-33: Chenghu Ma

ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950–2005 pp. 1-10: Steven Cook
BANKING AND THE ADVANTAGE OF HEDGING pp. 1-11: Udo Broll and Jack Wahl
THE STOCHASTIC COMPONENT OF REALIZED VOLATILITY pp. 1-34: Wai Mun Fong and Wing-Keung Wong
PREDICTING FINANCIAL FAILURE OF THE TURKISH BANKS pp. 1-19: M. Mete Doğanay, Nildag Ceylan and Ramazan Aktaş
THE IMPACT OF EVOLVING MARKET INTEGRATION ON APEC EMERGING STOCK MARKETS' WORLD BETAS pp. 1-17: Xiao-Ming Li and Lawrence Rose

EFFECTS OF RETURN PREDICTABILITY ON OPTION PRICES WITH STOCHASTIC VOLATILITY FOR THE MARKET PORTFOLIO pp. 1-36: Melanie Cao
THE LOG-NORMAL ASSET PRICING MODEL (LAPM) pp. 1-34: Allon Cohen and Haim Levy
MOTIVES FOR CORPORATE HEDGING: EVIDENCE FROM THE UK pp. 1-20: Ephraim Clark and Amrit Judge
THE "FIRM-SPECIFIC RETURN VARIATION": A MEASURE OF PRICE INFORMATIVENESS OR INFORMATION ASYMMETRY? pp. 1-20: Radu Burlacu, Patrice Fontaine and Sonia Jimenez-Garcès
FEYNMAN AND FREUD, WHAT GRADUATE SCHOOLS DO NOT TEACH YOU pp. 1-4: Emanuel Derman