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Elsevier Finance Research Letters Contact information of
Elsevier: http://www.elsevier.com/locate/frl
Download restrictions: Full text for ScienceDirect subscribers only Editor: R. Gençay
For technical questions regarding this series, please contact
(Heidi Boesdal) Series handle: repec:eee:finlet
2009, Volume 6, Issue 3 115-121 A test of the widespread-point-shaving theory by Borghesi, Richard & Dare, William [Downloadable! (restricted)]
122-129 Options on portfolios with higher-order moments by Bhandari, Rishabh & Das, Sanjiv R. [Downloadable! (restricted)]
130-137 Bivariate mixed normal GARCH models and out-of-sample hedge performances by Chung, Sang-Kuck [Downloadable! (restricted)]
138-151 Analytical Value-at-Risk and Expected Shortfall under regime-switching by Taamouti, Abderrahim [Downloadable! (restricted)]
152-158 Do firms' earnings management practices affect their equity liquidity? by Chung, Huimin & Sheu, Her-Jiun & Wang, Juo-Lien [Downloadable! (restricted)]
159-170 Do IPO index portfolios improve the investment opportunities for mean-variance investors? by Chen, Hsuan-Chi & Ho, Keng-Yu [Downloadable! (restricted)]
171-178 Degrees-of-freedom problem and implied cost of equity capital by Kryzanowski, Lawrence & Rahman, Abdul H. [Downloadable! (restricted)]
179-185 Automatic variance ratio test under conditional heteroskedasticity by Kim, Jae H. [Downloadable! (restricted)]
2009, Volume 6, Issue 2 56-72 The diversification cost of large, concentrated equity stakes. How big is it? Is it justified? by Ødegaard, Bernt Arne [Downloadable! (restricted)]
73-82 Why disagreement may not matter (much) for asset prices by Söderlind, Paul [Downloadable! (restricted)]
83-94 The leverage effect without leverage by Hens, Thorsten & Steude, Sven C. [Downloadable! (restricted)]
95-105 Value-at-Risk computation by Fourier inversion with explicit error bounds by Siven, Johannes Vitalis & Lins, Jeffrey Todd & Szymkowiak-Have, Anna [Downloadable! (restricted)]
106-113 On the nature of mean-variance spanning by Cheung, C. Sherman & Kwan, Clarence C.Y. & Mountain, Dean C. [Downloadable! (restricted)]
2009, Volume 6, Issue 1 2-12 Why do reputable agents work for safer firms? by Li, Fei & Ueda, Masako [Downloadable! (restricted)]
13-22 Financing constraint, over-investment and market-to-book ratio by Braouezec, Yann [Downloadable! (restricted)]
23-33 Revisiting stock market index correlations by Dalkir, Mehmet [Downloadable! (restricted)]
34-39 Is the information produced in the stock market useful for depositors? by Shimizu, Katsutoshi [Downloadable! (restricted)]
40-46 Time-inconsistency of VaR and time-consistent alternatives by Cheridito, Patrick & Stadje, Mitja [Downloadable! (restricted)]
47-53 Analysis of ultra-high-frequency financial data using advanced Fourier transforms by Giampaoli, Iacopo & Ng, Wing Lon & Constantinou, Nick [Downloadable! (restricted)]
2008, Volume 5, Issue 4 191-203 Time-series predictability in the disaster model by Gourio, François [Downloadable! (restricted)]
204-212 Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin by Bayraktar, Erhan & Young, Virginia R. [Downloadable! (restricted)]
213-220 The value of embedded real options: Evidence from consumer automobile lease contracts--A note by Gamba, Andrea & Rigon, Riccardo [Downloadable! (restricted)]
221-227 Modeling the leverage effect with copulas and realized volatility by Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S. [Downloadable! (restricted)]
228-235 Dollar-weighted returns to stock investors: A new look at the evidence by Keswani, Aneel & Stolin, David [Downloadable! (restricted)]
236-244 Estimation error in the average correlation of security returns and shrinkage estimation of covariance and correlation matrices by Kwan, Clarence C.Y. [Downloadable! (restricted)]
2008, Volume 5, Issue 3 129-136 Consumption growth and time-varying expected stock returns by Møller, Stig Vinther [Downloadable! (restricted)]
137-145 Impact of outsiders and disclosed insider trades by Zhang, Wei David [Downloadable! (restricted)]
146-155 Perceived importance of corporate boards in October 1987 by Cheng, Shijun [Downloadable! (restricted)]
156-161 Risk-neutral investors do not acquire information by Muendler, Marc-Andreas [Downloadable! (restricted)]
162-171 On the qualitative effect of volatility and duration on prices of Asian options by Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun [Downloadable! (restricted)]
172-182 Option pricing in a Garch model with tempered stable innovations by Mercuri, Lorenzo [Downloadable! (restricted)]
183-190 A simple nonparametric approach to low-dimension, shortfall-based portfolio selection by Haley, M. Ryan [Downloadable! (restricted)]
2008, Volume 5, Issue 2 69-78 Mutual fund theorems when minimizing the probability of lifetime ruin by Bayraktar, Erhan & Young, Virginia R. [Downloadable! (restricted)]
79-87 Option prices as probabilities by Madan, D. & Roynette, B. & Yor, Marc [Downloadable! (restricted)]
88-95 Positivity constraints on the conditional variances in the family of conditional correlation GARCH models by Nakatani, Tomoaki & Teräsvirta, Timo [Downloadable! (restricted)]
96-103 Modeling duration clusters with dynamic copulas by Ng, Wing Lon [Downloadable! (restricted)]
104-117 Interpreting long-horizon estimates in predictive regressions by Hjalmarsson, Erik [Downloadable! (restricted)]
118-127 Robustness of the risk-return relationship in the U.S. stock market by Lanne, Markku & Luoto, Jani [Downloadable! (restricted)]
2008, Volume 5, Issue 1 1-1 Editorial for "Challenge" by Gençay, Ramo & Bhattacharyya, Sugato & Whited, Toni & Yaron, Amir [Downloadable! (restricted)]
2-10 Patterns in cross market liquidity by Spiegel, Matthew [Downloadable! (restricted)]
11-20 Modeling loan commitments by Chava, Sudheer & Jarrow, Robert [Downloadable! (restricted)]
21-31 On the predictive power of the surplus consumption ratio by Ghattassi, Imen [Downloadable! (restricted)]
32-46 Implementing likelihood-based inference for fat-tailed distributions by Rekkas, M. & Wong, A. [Downloadable! (restricted)]
47-58 The Stambaugh bias in panel predictive regressions by Hjalmarsson, Erik [Downloadable! (restricted)]
59-67 On measuring concentration in banking systems by Alegria, Carlos & Schaeck, Klaus [Downloadable! (restricted)]
2007, Volume 4, Issue 4 2007, Volume 4, Issue 3 137-145 Optimality of the RiskMetrics VaR model by Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Yoldas, Emre [Downloadable! (restricted)]
146-154 The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders by Cotter, John & Dowd, Kevin [Downloadable! (restricted)]
155-164 Learning, price formation and the early season bias in the NBA by Baryla Jr., Edward A. & Borghesi, Richard A. & Dare, William H. & Dennis, Steven A. [Downloadable! (restricted)]
165-171 A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables by In, Francis & Kim, Sangbae [Downloadable! (restricted)]
172-178 The creation of wealth by Hellwig, Klaus [Downloadable! (restricted)]
179-185 What is the correct meaning of implied volatility? by Kim, In Joon & Park, Gun Youb & Hyun, Jung-Soon [Downloadable! (restricted)]
186-195 Putting the dividend-price ratio under the microscope by Nagayasu, Jun [Downloadable! (restricted)]
196-199 Comments on and corrigendum to "Hedging errors with Leland's option model in the presence of transaction costs" [Finance Research Letters 4 (2007) 49-58] by Zhao, Yonggan & Ziemba, William T. [Downloadable! (restricted)]
200-202 Comments on "Hedging errors with Leland's option model in the presence of transactions costs" by Leland, Hayne E. [Downloadable! (restricted)]
2007, Volume 4, Issue 2 68-81 The navigation of an iceberg: The optimal use of hidden orders by Esser, Angelika & Monch, Burkart [Downloadable! (restricted)]
82-91 Rare events and annuity market participation by Lopes, Paula & Michaelides, Alexander [Downloadable! (restricted)]
92-94 Fully modified estimation with nearly integrated regressors by Hjalmarsson, Erik [Downloadable! (restricted)]
95-103 The impact of keeping up with the Joneses behavior on asset prices and portfolio choice by Gomez, Juan-Pedro [Downloadable! (restricted)]
104-115 Temporal aggregation and risk-return relation by Jin, Xing & Wang, Leping & Yu, Jun [Downloadable! (restricted)]
116-126 An analytic approximation formula for pricing zero-coupon bonds by Choi, Youngsoo & Wirjanto, Tony S. [Downloadable! (restricted)]
127-136 A note on myopic loss aversion and the equity premium puzzle by Zeisberger, Stefan & Langer, Thomas & Trede, Mark [Downloadable! (restricted)]
2007, Volume 4, Issue 1 2-9 Pitfalls in static superhedging of barrier options by Kraft, Holger [Downloadable! (restricted)]
10-18 Exploring the components of credit risk in credit default swaps by Fabozzi, Frank J. & Cheng, Xiaolin & Chen, Ren-Raw [Downloadable! (restricted)]
19-27 Asymmetric wealth gains in joint ventures: Theory and evidence by Shyam Kumar, M.V. [Downloadable! (restricted)]
28-32 On the use of the Box-Cox transformation on conditional variance models by Tsiotas, G. [Downloadable! (restricted)]
33-48 Closed-form valuation of American call options on stocks paying multiple dividends by Cassimon, D. & Engelen, P.J. & Thomassen, L. & Van Wouwe, M. [Downloadable! (restricted)]
49-58 Hedging errors with Leland's option model in the presence of transaction costs by Zhao, Yonggan & Ziemba, William T. [Downloadable! (restricted)]
59-66 Underlying assets for which options complete the market by Galvani, Valentina [Downloadable! (restricted)]
2006, Volume 3, Issue 4 235-243 Exchange rates and order flow in the long run by Boyer, M. Martin & van Norden, Simon [Downloadable! (restricted)]
244-252 The value, size, and momentum spread during distressed economic periods by Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William [Downloadable! (restricted)]
253-266 On the relation between the market-to-book ratio, growth opportunity, and leverage ratio by Chen, Long & Zhao, Xinlei [Downloadable! (restricted)]
267-272 A note on generalized distortion risk measures by Hurlimann, Werner [Downloadable! (restricted)]
273-276 The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class by Christodoulakis, George & Peel, David [Downloadable! (restricted)]
277-289 Quadratic term structure models in discrete time by Realdon, Marco [Downloadable! (restricted)]
2006, Volume 3, Issue 3 165-172 Modeling default risk: A new structural approach by Yildirim, Yildiray [Downloadable! (restricted)]
173-180 Tilting safety first and the Sharpe portfolio by Haley, M. Ryan & McGee, M. Kevin [Downloadable! (restricted)]
181-193 Disentangling risk aversion and intertemporal substitution through a reference level by Garcia, Rene & Renault, Eric & Semenov, Andrei [Downloadable! (restricted)]
194-206 Expanding the frontier one asset at a time by Ukhov, Andrey D. [Downloadable! (restricted)]
207-211 A note on a barrier exchange option: The world's simplest option formula? by Lindset, Snorre & Persson, Svein-Arne [Downloadable! (restricted)]
212-233 The interaction between technical currency trading and exchange rate fluctuations by Schulmeister, Stephan [Downloadable! (restricted)]
2006, Volume 3, Issue 2 79-95 From default probabilities to credit spreads: Credit risk models do explain market prices by Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J. [Downloadable! (restricted)]
96-101 Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment by Bossaerts, Peter & Zame, William R. [Downloadable! (restricted)]
102-105 Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment" by Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl [Downloadable! (restricted)]
106-113 Markowitz meets Kahneman: Portfolio selection under divided attention by Nocetti, Diego [Downloadable! (restricted)]
114-132 Modeling dynamic conditional correlations in WTI oil forward and futures returns by Lanza, Alessandro & Manera, Matteo & McAleer, Michael [Downloadable! (restricted)]
133-146 The robustness of asset pricing models: Coskewness and cokurtosis by Ando, Masakazu & Hodoshima, Jiro [Downloadable! (restricted)]
147-153 Explaining inertia in closed-end fund prices by Bleaney, Michael & Smith, R. Todd [Downloadable! (restricted)]
154-162 Explosive bubbles in the cointegrated VAR model by Engsted, Tom [Downloadable! (restricted)]
2006, Volume 3, Issue 1 2-13 Revisiting cumulative preferred stock valuation by Realdon, Marco [Downloadable! (restricted)]
14-22 The Fed model: A note by Estrada, Javier [Downloadable! (restricted)]
23-39 On the sequencing of projects, reputation building, and relationship finance by Egli, Dominik & Ongena, Steven & Smith, David C. [Downloadable! (restricted)]
40-48 Do insiders crowd out analysts? by Gilbert, Aaron & Tourani-Rad, Alireza & Wisniewski, Tomasz Piotr [Downloadable! (restricted)]
49-56 Moments of the estimated Sharpe ratio when the observations are not IID by Bao, Yong & Ullah, Aman [Downloadable! (restricted)]
57-64 On the robustness of cointegration tests when assessing market efficiency by Kellard, Neil [Downloadable! (restricted)]
65-72 Options to expand: Some remarks by Agliardi, Rossella [Downloadable! (restricted)]
73-78 A note on the relationship between industry returns and inflation through a multiscaling approach by Kim, Sangbae & In, Francis [Downloadable! (restricted)]
2005, Volume 2, Issue 4 185-194 The long-run equity risk premium by Graham, John R. & Harvey, Campbell R. [Downloadable! (restricted)]
195-200 Hedging the smirk by Bates, David S. [Downloadable! (restricted)]
201-209 Bayesian range-based estimation of stochastic volatility models by Brandt, Michael W. & Jones, Christopher S. [Downloadable! (restricted)]
210-226 Solving models with external habit by Wachter, Jessica A. [Downloadable! (restricted)]
227-233 Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis by Christodoulakis, George A. [Downloadable! (restricted)]
234-247 Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities by Govindaraj, Suresh [Downloadable! (restricted)]
248-259 Cointegration analysis of the Fed model by Koivu, Matti & Pennanen, Teemu & Ziemba, William T. [Downloadable! (restricted)]
260-269 The price-dividend relationship in inflationary and deflationary regimes by Madsen, Jakob B. & Milas, Costas [Downloadable! (restricted)]
2005, Volume 2, Issue 3 107-124 Industry momentum and common factors by Du, Ding & Denning, Karen [Downloadable! (restricted)]
125-130 A note on sufficient conditions for no arbitrage by Carr, Peter & Madan, Dilip B. [Downloadable! (restricted)]
131-151 Proxy-quality thresholds: Theory and applications by Erickson, Timothy & Whited, Toni M. [Downloadable! (restricted)]
152-164 Portfolio selection with two-stage preferences by Taboga, Marco [Downloadable! (restricted)]
165-172 A theory of loan syndication by Schure, Paul & Scoones, David & Gu, Qinghua [Downloadable! (restricted)]
173-184 Risk aversion and price limits in futures markets by Chou, Pin-Huang & Lin, Mei-Chen & Yu, Min-Teh [Downloadable! (restricted)]
2005, Volume 2, Issue 2 51-57 Insider trading with private information and moral hazard by Yung, Chris [Downloadable! (restricted)]
59-66 A market microstructure model with random overlapping information asymmetries by Owens, John P. [Downloadable! (restricted)]
67-74 The generalized asymmetric dynamic covariance model by de Goeij, Peter & Marquering, Wessel [Downloadable! (restricted)]
75-88 Another look at the relationship between cross-market correlation and volatility by Bartram, Sohnke M. & Wang, Yaw-Huei [Downloadable! (restricted)]
89-96 Changes in stockholding behavior: Evidence from household survey data by Chapman, Kenneth & Dow, James Jr. & Hariharan, Govind [Downloadable! (restricted)]
97-106 Power exchange options by Blenman, Lloyd P. & Clark, Steven P. [Downloadable! (restricted)]
2005, Volume 2, Issue 1 1-14 tay's as good as cay by Brennan, Michael J. & Xia, Yihong [Downloadable! (restricted)]
15-22 tay's as good as cay: Reply by Lettau, Martin & Ludvigson, Sydney C. [Downloadable! (restricted)]
23-29 A generalized coherent risk measure: The firm's perspective by Jarrow, Robert A. & Purnanandam, Amiyatosh K. [Downloadable! (restricted)]
30-40 Single stock futures: Listing selection and trading volume by Ang, James S. & Cheng, Yingmei [Downloadable! (restricted)]
41-50 Dynamic, nonparametric hedging of European style contingent claims using canonical valuation by Alcock, Jamie & Gray, Philip [Downloadable! (restricted)]
2004, Volume 1, Issue 4 203-214 The generality of spurious predictability by Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep [Downloadable! (restricted)]
215-225 Reported and secret interventions in the foreign exchange markets by Beine, Michel & Lecourt, Christelle [Downloadable! (restricted)]
226-235 Optimal investment with fixed financing costs by Cummins, Jason G. & Nyman, Ingmar [Downloadable! (restricted)]
236-240 Allen and Gale on risk-taking and competition in banking by Grochulski, Borys & Kareken, John [Downloadable! (restricted)]
241-249 Bias of a Value-at-Risk estimator by Bao, Yong & Ullah, Aman [Downloadable! (restricted)]
250-260 A multivariate nonparametric test for return and volatility timing by Marquering, Wessel & Verbeek, Marno [Downloadable! (restricted)]
2004, Volume 1, Issue 3 143-153 On the consequences of state dependent preferences for the pricing of financial assets by Danthine, Jean-Pierre & Donaldson, John B. & Giannikos, Christos & Guirguis, Hany [Downloadable! (restricted)]
154-170 Decomposing the persistence of international equity flows by Froot, Kenneth A. & Donohue, Jessica Tjornhom [Downloadable! (restricted)]
171-177 Myopic loss aversion and the equity premium puzzle reconsidered by Durand, Robert B. & Lloyd, Paul & Wee Tee, Hong [Downloadable! (restricted)]
178-189 Institutional trading and stock returns by Cai, Fang & Zheng, Lu [Downloadable! (restricted)]
190-195 Attainability of European path-independent claims in incomplete markets by Branger, Nicole & Esser, Angelika & Schlag, Christian [Downloadable! (restricted)]
196-201 Iterative method for exponentially weighted rolling regression by Kanatani, Taro [Downloadable! (restricted)]
2004, Volume 1, Issue 2 85-89 Maximizing the expected net future value as an alternative strategy to gamma discounting by Gollier, Christian [Downloadable! (restricted)]
90-99 How do stock prices respond to fundamental shocks? by Binswanger, Mathias [Downloadable! (restricted)]
100-105 Risky coupon bonds as a portfolio of zero-coupon bonds by Jarrow, Robert A. [Downloadable! (restricted)]
106-112 Positive hurdle rates without asymmetric information by Chen, Qi & Jiang, Wei [Downloadable! (restricted)]
113-118 Preference for early resolution and commitment by Miyazaki, Kenji & Saito, Makoto [Downloadable! (restricted)]
119-126 Betting on long shots in NCAA basketball games and implications for skew loving behavior by Colquitt, L. Lee & Godwin, Norman H. & Swidler, Steve [Downloadable! (restricted)]
127-134 Scale-consistent Value-at-Risk by Lehnert, Thorsten & Wolff, Christian C. P. [Downloadable! (restricted)]
135-142 A closed form solution for pricing defaultable bonds by Moraux, Franck [Downloadable! (restricted)]
2004, Volume 1, Issue 1 1-1 Editorial by Gencay, Ramo & Bhattacharyya, Sugato & Whited, Toni [Downloadable! (restricted)]
2-10 Shareholder activism is non-monotonic in market liquidity by Mello, Antonio S. & Repullo, Rafael [Downloadable! (restricted)]
11-23 Asymmetric information, bank lending and implicit contracts: the winner's curse by von Thadden, Ernst-Ludwig [Downloadable! (restricted)]
24-34 Limited stock market participation and the equity premium by Polkovnichenko, Valery [Downloadable! (restricted)]
35-46 A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution by Kissell, Robert & Glantz, Morton & Malamut, Roberto [Downloadable! (restricted)]
47-55 The effect of market conditions on capital structure adjustment by Frank, Murray Z. & Goyal, Vidhan K. [Downloadable! (restricted)]
56-73 On more robust estimation of skewness and kurtosis by Kim, Tae-Hwan & White, Halbert [Downloadable! (restricted)]
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This page was last updated on 2009-11-7.
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