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Elsevier

Finance Research Letters

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Web page: http://www.elsevier.com/locate/frl

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Editor: R. Gençay
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Series handle: repec:eee:finlet

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 & TerÃ¤svirta, 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 GenÃ§ay, 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

203-216 Why inexperienced investors do not learn: They do not know their past portfolio performance
by Glaser, Markus & Weber, Martin [Downloadable! (restricted)]
217-226 Time series patterns in credit ratings
by Parnes, Dror [Downloadable! (restricted)]
227-232 S&P 500 implied volatility and monetary policy announcements
by Chen, En-Te (John) & Clements, Adam [Downloadable! (restricted)]
233-241 Equity duration and convexity when firms can fail or stagnate
by Shaffer, Sherrill [Downloadable! (restricted)]
242-253 Investment option under CIR interest rates
by Carmona, Julio & Leon, Angel [Downloadable! (restricted)]
254-260 The MOSUM of squares test for monitoring variance changes
by Hsu, Chih-Chiang [Downloadable! (restricted)]

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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