Research classified by Journal of Economic Literature (JEL) codes

2019

• Sergio Albeverio & Francesco Cordoni & Luca Persio & Gregorio Pellegrini, 2019, "Asymptotic expansion for some local volatility models arising in finance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 42, issue 2, pages 527-573, December, DOI: 10.1007/s10203-019-00247-w.
• Kefan Xie & Zimei Liu & Long Chen & Weiyong Zhang & Sishi Liu & Sohail S. Chaudhry, 2019, "Success factors and complex dynamics of crowdfunding: An empirical research on Taobao platform in China," Electronic Markets, Springer;IIM University of St. Gallen, volume 29, issue 2, pages 187-199, June, DOI: 10.1007/s12525-018-0305-6.
• Jascha-Alexander Koch & Michael Siering, 2019, "The recipe of successful crowdfunding campaigns," Electronic Markets, Springer;IIM University of St. Gallen, volume 29, issue 4, pages 661-679, December, DOI: 10.1007/s12525-019-00357-8.
• Joscha Beckmann & Theo Berger & Robert Czudaj & Thi-Hong-Van Hoang, 2019, "Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification," Empirical Economics, Springer, volume 56, issue 3, pages 1117-1144, March, DOI: 10.1007/s00181-017-1381-8.
• Peter N. Posch & Daniel Ullmann & Dominik Wied, 2019, "Detecting structural changes in large portfolios," Empirical Economics, Springer, volume 56, issue 4, pages 1341-1357, April, DOI: 10.1007/s00181-017-1392-5.
• Xunan Feng & Kam C. Chan, 2019, "Mutual funds’ selective participation and subsequent performance of seasoned equity offerings," Empirical Economics, Springer, volume 56, issue 6, pages 1797-1822, June, DOI: 10.1007/s00181-018-1420-0.
• Sercan Demiralay & Selcuk Bayraci & H. Gaye Gencer, 2019, "Time-varying diversification benefits of commodity futures," Empirical Economics, Springer, volume 56, issue 6, pages 1823-1853, June, DOI: 10.1007/s00181-018-1450-7.
• Alex Garivaltis, 2019, "Game-theoretic optimal portfolios in continuous time," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), volume 7, issue 2, pages 235-243, December, DOI: 10.1007/s40505-018-0156-5.
• Roi D. Taussig & Dror Tobi & Moti Zwilling, 2019, "The importance of timing in estimating beta," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 9, issue 1, pages 61-70, March, DOI: 10.1007/s40822-018-0103-7.
• Anoop S Kumar & Taufeeq Ajaz, 2019, "Co-movement in crypto-currency markets: evidences from wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 5, issue 1, pages 1-17, December, DOI: 10.1186/s40854-019-0143-3.
• Christoph Belak & Sören Christensen, 2019, "Utility maximisation in a factor model with constant and proportional transaction costs," Finance and Stochastics, Springer, volume 23, issue 1, pages 29-96, January, DOI: 10.1007/s00780-018-00380-1.
• Alain Bensoussan & Kwok Chuen Wong & Sheung Chi Phillip Yam, 2019, "A paradox in time-consistency in the mean–variance problem?," Finance and Stochastics, Springer, volume 23, issue 1, pages 173-207, January, DOI: 10.1007/s00780-018-00381-0.
• Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019, "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Finance and Stochastics, Springer, volume 23, issue 1, pages 239-273, January, DOI: 10.1007/s00780-018-0377-3.
• Charles-Albert Lehalle & Eyal Neuman, 2019, "Incorporating signals into optimal trading," Finance and Stochastics, Springer, volume 23, issue 2, pages 275-311, April, DOI: 10.1007/s00780-019-00382-7.
• Oleksii Mostovyi & Mihai Sîrbu, 2019, "Sensitivity analysis of the utility maximisation problem with respect to model perturbations," Finance and Stochastics, Springer, volume 23, issue 3, pages 595-640, July, DOI: 10.1007/s00780-019-00388-1.
• Huy N. Chau & Miklós Rásonyi, 2019, "Robust utility maximisation in markets with transaction costs," Finance and Stochastics, Springer, volume 23, issue 3, pages 677-696, July, DOI: 10.1007/s00780-019-00389-0.
• David Hobson & Alex S. L. Tse & Yeqi Zhu, 2019, "A multi-asset investment and consumption problem with transaction costs," Finance and Stochastics, Springer, volume 23, issue 3, pages 641-676, July, DOI: 10.1007/s00780-019-00391-6.
• Claudia Klüppelberg & Miriam Isabel Seifert, 2019, "Financial risk measures for a network of individual agents holding portfolios of light-tailed objects," Finance and Stochastics, Springer, volume 23, issue 4, pages 795-826, October, DOI: 10.1007/s00780-019-00401-7.
• Christoph Kühn & Alexander Molitor, 2019, "Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, volume 23, issue 4, pages 1049-1077, October, DOI: 10.1007/s00780-019-00403-5.
• Christoph Belak & Jörn Sass, 2019, "Finite-horizon optimal investment with transaction costs: construction of the optimal strategies," Finance and Stochastics, Springer, volume 23, issue 4, pages 861-888, October, DOI: 10.1007/s00780-019-00404-4.
• Lixing Mei & Yulei Rao & Mei Wang & Jianxin Wang, 2019, "Do investors post messages differently from mobile devices? The correlation between mobile Internet messages posting and stock returns," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), volume 66, issue 4, pages 423-452, December, DOI: 10.1007/s12232-019-00329-6.
• Francesco Bollazzi & Giuseppe Risalvato & Claudio Venezia, 2019, "Asymmetric information and deal selection: evidence from the Italian venture capital market," International Entrepreneurship and Management Journal, Springer, volume 15, issue 3, pages 721-732, September, DOI: 10.1007/s11365-018-0539-y.
• Maximilian Sturm & Stephan Nüesch, 2019, "Diversification and organizational environment: the effect of resource scarcity and complexity on the valuation of multi-segment firms," Journal of Business Economics, Springer, volume 89, issue 3, pages 251-272, April, DOI: 10.1007/s11573-017-0881-5.
• Glenn Pettengill & George Chang, 2019, "Validating empirically identified risk factors," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 43, issue 1, pages 162-179, January, DOI: 10.1007/s12197-018-9438-x.
• Arianna Agosto & Alessandra Mainini & Enrico Moretto, 2019, "Stochastic dividend discount model: covariance of random stock prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 43, issue 3, pages 552-568, July, DOI: 10.1007/s12197-018-9455-9.
• Neeraj J. Gupta & Vitaliy Strohush & Reilly White, 2019, "Investor reaction to simultaneous news releases: unemployment vs. earnings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 43, issue 4, pages 735-749, October, DOI: 10.1007/s12197-018-9460-z.
• BenSaïda, Ahmed, 2019, "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, volume 43, issue C, pages 78-95, DOI: 10.1016/j.finmar.2018.12.005.
• Yang, Xuebing & Zhang, Huilan, 2019, "Extreme absolute strength of stocks and performance of momentum strategies," Journal of Financial Markets, Elsevier, volume 44, issue C, pages 71-90, DOI: 10.1016/j.finmar.2019.01.001.
• Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2019, "Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section," Journal of Financial Markets, Elsevier, volume 44, issue C, pages 91-118, DOI: 10.1016/j.finmar.2019.03.001.
• Bernales, Alejandro, 2019, "Make-take decisions under high-frequency trading competition," Journal of Financial Markets, Elsevier, volume 45, issue C, pages 1-18, DOI: 10.1016/j.finmar.2019.05.001.
• Choi, Darwin, 2019, "Disposition sales and stock market liquidity," Journal of Financial Markets, Elsevier, volume 45, issue C, pages 19-36, DOI: 10.1016/j.finmar.2019.04.003.
• Oikonomou, Ioannis & Stancu, Andrei & Symeonidis, Lazaros & Wese Simen, Chardin, 2019, "The information content of short-term options," Journal of Financial Markets, Elsevier, volume 46, issue C, DOI: 10.1016/j.finmar.2019.07.003.
• Strange, Niels & Jacobsen, Jette Bredahl & Thorsen, Bo Jellesmark, 2019, "Afforestation as a real option with joint production of environmental services," Forest Policy and Economics, Elsevier, volume 104, issue C, pages 146-156, DOI: 10.1016/j.forpol.2019.04.015.
• Ebrahimnejad, Ali & Hoseinzade, Saeid, 2019, "Short-sale constraints and stock price informativeness," Global Finance Journal, Elsevier, volume 40, issue C, pages 28-34, DOI: 10.1016/j.gfj.2018.11.002.
• López-Herrera, Francisco & Santillán-Salgado, Roberto J. & Cabello, Alejandra, 2019, "Latin American Corporate Emerging Markets Bond Indices (CEMBIs): Their recent evolution," Global Finance Journal, Elsevier, volume 41, issue C, pages 104-112, DOI: 10.1016/j.gfj.2019.03.002.
• Dharani, M. & Hassan, M. Kabir & Paltrinieri, Andrea, 2019, "Faith-based norms and portfolio performance: Evidence from India," Global Finance Journal, Elsevier, volume 41, issue C, pages 79-89, DOI: 10.1016/j.gfj.2019.02.001.
• Gao, Li & He, Wei & Wang, Qian, 2019, "In search of distress risk in China's stock market," Global Finance Journal, Elsevier, volume 42, issue C, DOI: 10.1016/j.gfj.2018.08.003.
• Cerutti, Eugenio & Claessens, Stijn & Puy, Damien, 2019, "Push factors and capital flows to emerging markets: why knowing your lender matters more than fundamentals," Journal of International Economics, Elsevier, volume 119, issue C, pages 133-149, DOI: 10.1016/j.jinteco.2019.04.006.
• Xue, Xiaole & Wei, Pengyu & Weng, Chengguo, 2019, "Derivatives trading for insurers," Insurance: Mathematics and Economics, Elsevier, volume 84, issue C, pages 40-53, DOI: 10.1016/j.insmatheco.2018.11.001.
• Arai, Takuji & Asano, Takao & Nishide, Katsumasa, 2019, "Optimal initial capital induced by the optimized certainty equivalent," Insurance: Mathematics and Economics, Elsevier, volume 85, issue C, pages 115-125, DOI: 10.1016/j.insmatheco.2019.01.006.
• Bauer, Daniel & Kamiya, Shinichi & Ping, Xiaohu & Zanjani, George, 2019, "Dynamic capital allocation with irreversible investments," Insurance: Mathematics and Economics, Elsevier, volume 85, issue C, pages 138-152, DOI: 10.1016/j.insmatheco.2018.11.003.
• Gatzert, Nadine, 2019, "An analysis of transaction costs in participating life insurance under mean–variance preferences," Insurance: Mathematics and Economics, Elsevier, volume 85, issue C, pages 185-197, DOI: 10.1016/j.insmatheco.2019.01.003.
• Dong, Yinghui & Zheng, Harry, 2019, "Optimal investment of DC pension plan under short-selling constraints and portfolio insurance," Insurance: Mathematics and Economics, Elsevier, volume 85, issue C, pages 47-59, DOI: 10.1016/j.insmatheco.2018.12.005.
• Li, Yuying & Forsyth, Peter A., 2019, "A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, volume 86, issue C, pages 189-204, DOI: 10.1016/j.insmatheco.2019.03.001.
• van Bilsen, Servaas & Linders, Daniël, 2019, "Affordable and adequate annuities with stable payouts: Fantasy or reality?," Insurance: Mathematics and Economics, Elsevier, volume 86, issue C, pages 19-42, DOI: 10.1016/j.insmatheco.2019.01.010.
• Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019, "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, volume 86, issue C, pages 43-50, DOI: 10.1016/j.insmatheco.2019.02.005.
• Brachetta, M. & Ceci, C., 2019, "Optimal proportional reinsurance and investment for stochastic factor models," Insurance: Mathematics and Economics, Elsevier, volume 87, issue C, pages 15-33, DOI: 10.1016/j.insmatheco.2019.03.006.
• Wang, Jianli & Wang, Hongxia & Yick, Ho Yin, 2019, "How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences?," Insurance: Mathematics and Economics, Elsevier, volume 88, issue C, pages 1-6, DOI: 10.1016/j.insmatheco.2019.05.004.
• Jang, Bong-Gyu & Koo, Hyeng Keun & Park, Seyoung, 2019, "Optimal consumption and investment with insurer default risk," Insurance: Mathematics and Economics, Elsevier, volume 88, issue C, pages 44-56, DOI: 10.1016/j.insmatheco.2019.04.007.
• Ye, Jinchun, 2019, "Stochastic utilities with subsistence and satiation: Optimal life insurance purchase, consumption and investment," Insurance: Mathematics and Economics, Elsevier, volume 89, issue C, pages 193-212, DOI: 10.1016/j.insmatheco.2019.10.008.
• Guan, Guohui & Liang, Zongxia, 2019, "Robust optimal reinsurance and investment strategies for an AAI with multiple risks," Insurance: Mathematics and Economics, Elsevier, volume 89, issue C, pages 63-78, DOI: 10.1016/j.insmatheco.2019.09.004.
• Selmi, Refk & Bouoiyour, Jamal & Miftah, Amal, 2019, "China's “New normal”: Will China's growth slowdown derail the BRICS stock markets?," International Economics, Elsevier, volume 159, issue C, pages 121-139, DOI: 10.1016/j.inteco.2019.07.001.
• Laurs, Dries & Renneboog, Luc, 2019, "My kingdom for a horse (or a classic car)," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 58, issue C, pages 184-207, DOI: 10.1016/j.intfin.2018.10.002.
• Suh, Sangwon, 2019, "Unexploited currency carry trade profit opportunity," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 58, issue C, pages 236-254, DOI: 10.1016/j.intfin.2018.11.002.
• Lee, Seungho & Switzer, Lorne N. & Wang, Jun, 2019, "Risk, culture and investor behavior in small (but notorious) Eurozone countries," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 60, issue C, pages 89-110, DOI: 10.1016/j.intfin.2018.12.010.
• Bu, Ruijun & Fu, Xi & Jawadi, Fredj, 2019, "Does the volatility of volatility risk forecast future stock returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 61, issue C, pages 16-36, DOI: 10.1016/j.intfin.2019.02.001.
• Erdemlioglu, Deniz & Joliet, Robert, 2019, "Long-term asset allocation, risk tolerance and market sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 62, issue C, pages 1-19, DOI: 10.1016/j.intfin.2019.04.004.
• Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019, "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 63, issue C, DOI: 10.1016/j.intfin.2019.101140.
• Buncic, Daniel & Stern, Cord, 2019, "Forecast ranked tailored equity portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 63, issue C, DOI: 10.1016/j.intfin.2019.101138.
• Walther, Thomas & Klein, Tony & Bouri, Elie, 2019, "Exogenous drivers of Bitcoin and Cryptocurrency volatility – A mixed data sampling approach to forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 63, issue C, DOI: 10.1016/j.intfin.2019.101133.
• Wang, Yaping & Paek, Miyoun & Ko, Kwangsoo, 2019, "The performance of Chinese equity funds: An extension of DGTW model," Japan and the World Economy, Elsevier, volume 51, issue C, pages 1-1, DOI: 10.1016/j.japwor.2019.100964.
• Kraft, Holger & Munk, Claus & Weiss, Farina, 2019, "Predictors and portfolios over the life cycle," Journal of Banking & Finance, Elsevier, volume 100, issue C, pages 1-27, DOI: 10.1016/j.jbankfin.2018.12.015.
• Fischer, Marcel & Jensen, Bjarne Astrup, 2019, "The debt tax shield in general equilibrium," Journal of Banking & Finance, Elsevier, volume 100, issue C, pages 151-166, DOI: 10.1016/j.jbankfin.2018.12.014.
• Pysarenko, Sergiy & Alexeev, Vitali & Tapon, Francis, 2019, "Predictive blends: Fundamental Indexing meets Markowitz," Journal of Banking & Finance, Elsevier, volume 100, issue C, pages 28-42, DOI: 10.1016/j.jbankfin.2018.12.016.
• Armstrong, John & Brigo, Damiano, 2019, "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 122-135, DOI: 10.1016/j.jbankfin.2019.01.010.
• Alserda, Gosse A.G. & Dellaert, Benedict G.C. & Swinkels, Laurens & van der Lecq, Fieke S.G., 2019, "Individual pension risk preference elicitation and collective asset allocation with heterogeneity," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 206-225, DOI: 10.1016/j.jbankfin.2019.02.014.
• Huang, Tao & Li, Junye, 2019, "Option-Implied variance asymmetry and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 21-36, DOI: 10.1016/j.jbankfin.2019.02.001.
• Chan, Kalok & Wang, Baolian & Yang, Zhishu, 2019, "Why investors do not buy cheaper securities: Evidence from a natural experiment," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 59-76, DOI: 10.1016/j.jbankfin.2019.02.002.
• Packham, N. & Woebbeking, C.F., 2019, "A factor-model approach for correlation scenarios and correlation stress testing," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 92-103, DOI: 10.1016/j.jbankfin.2019.01.020.
• Buccioli, Alice & Kokholm, Thomas & Nicolosi, Marco, 2019, "Expected shortfall and portfolio management in contagious markets," Journal of Banking & Finance, Elsevier, volume 102, issue C, pages 100-115, DOI: 10.1016/j.jbankfin.2019.03.003.
• Gutsche, Gunnar & Ziegler, Andreas, 2019, "Which private investors are willing to pay for sustainable investments? Empirical evidence from stated choice experiments," Journal of Banking & Finance, Elsevier, volume 102, issue C, pages 193-214, DOI: 10.1016/j.jbankfin.2019.03.007.
• Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019, "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, volume 102, issue C, pages 43-58, DOI: 10.1016/j.jbankfin.2019.03.009.
• Panayides, Marios A. & Shohfi, Thomas D. & Smith, Jared D., 2019, "Bulk volume classification and information detection," Journal of Banking & Finance, Elsevier, volume 103, issue C, pages 113-129, DOI: 10.1016/j.jbankfin.2019.04.001.
• Kenchington, David & Wan, Chi & Yüksel, H. Zafer, 2019, "Gross profitability and mutual fund performance," Journal of Banking & Finance, Elsevier, volume 104, issue C, pages 31-49, DOI: 10.1016/j.jbankfin.2019.05.001.
• Rossi, Mariacristina & Sansone, Dario & van Soest, Arthur & Torricelli, Costanza, 2019, "Household preferences for socially responsible investments," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 107-120, DOI: 10.1016/j.jbankfin.2019.05.018.
• Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019, "Asset prices and “the devil(s) you know”," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 20-35, DOI: 10.1016/j.jbankfin.2019.04.003.
• Siganos, Antonios, 2019, "The daylight saving time anomaly in relation to firms targeted for mergers," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 36-43, DOI: 10.1016/j.jbankfin.2019.05.014.
• Li, Xiangwen & Wu, Wenfeng, 2019, "Portfolio pumping and fund performance ranking: A performance-based compensation contract perspective," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 94-106, DOI: 10.1016/j.jbankfin.2019.05.020.
• Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019, "The information content of forward moments," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 527-541, DOI: 10.1016/j.jbankfin.2019.07.021.
• Huang, Shiyang & Jiang, Ying & Qiu, Zhigang & Ye, Zhiqiang, 2019, "An equilibrium model of risk management spillover," Journal of Banking & Finance, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jbankfin.2019.08.002.
• Zareei, Abalfazl, 2019, "Network origins of portfolio risk," Journal of Banking & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.jbankfin.2019.105663.
• Gozluklu, Arie & Morin, Annaïg, 2019, "Stock vs. Bond yields and demographic fluctuations," Journal of Banking & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.jbankfin.2019.105683.
• Chou, Pin-Huang & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2019, "Asset growth, style investing, and momentum," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 108-124, DOI: 10.1016/j.jbankfin.2018.11.008.
• Capelle-Blancard, Gunther & Crifo, Patricia & Diaye, Marc-Arthur & Oueghlissi, Rim & Scholtens, Bert, 2019, "Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 156-169, DOI: 10.1016/j.jbankfin.2018.11.011.
• Ashour, Samar & Hao, (Grace) Qing, 2019, "Do analysts really anchor? Evidence from credit risk and suppressed negative information," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 183-197, DOI: 10.1016/j.jbankfin.2018.11.006.
• Bali, Turan G. & Brown, Stephen J. & Caglayan, Mustafa O., 2019, "Upside potential of hedge funds as a predictor of future performance," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 212-229, DOI: 10.1016/j.jbankfin.2018.11.003.
• Bradbury, Meike A.S. & Hens, Thorsten & Zeisberger, Stefan, 2019, "How persistent are the effects of experience sampling on investor behavior?," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 61-79, DOI: 10.1016/j.jbankfin.2018.10.014.
• Gregoriou, Andros & Healy, Jerome V. & Le, Huong, 2019, "Prospect theory and stock returns: A seven factor pricing model," Journal of Business Research, Elsevier, volume 101, issue C, pages 315-322, DOI: 10.1016/j.jbusres.2019.04.038.
• Lee, Suin & Pantzalis, Christos & Park, Jung Chul, 2019, "Does local culture trigger speculative investment behavior?," Journal of Business Research, Elsevier, volume 103, issue C, pages 71-88, DOI: 10.1016/j.jbusres.2019.06.011.
• Fisch, Christian, 2019, "Initial coin offerings (ICOs) to finance new ventures," Journal of Business Venturing, Elsevier, volume 34, issue 1, pages 1-22, DOI: 10.1016/j.jbusvent.2018.09.007.
• Selten, Reinhard & Neugebauer, Tibor, 2019, "Experimental stock market dynamics: Excess bids, directional learning, and adaptive style-investing in a call-auction with multiple multi-period lived assets," Journal of Economic Behavior & Organization, Elsevier, volume 157, issue C, pages 209-224, DOI: 10.1016/j.jebo.2018.04.012.
• Anufriev, Mikhail & Bao, Te & Sutan, Angela & Tuinstra, Jan, 2019, "Fee structure and mutual fund choice: An experiment," Journal of Economic Behavior & Organization, Elsevier, volume 158, issue C, pages 449-474, DOI: 10.1016/j.jebo.2018.12.013.
• Capasso, Salvatore & Neanidis, Kyriakos C., 2019, "Domestic or foreign currency? Remittances and the composition of deposits and loans," Journal of Economic Behavior & Organization, Elsevier, volume 160, issue C, pages 168-183, DOI: 10.1016/j.jebo.2019.01.023.
• Pelster, Matthias, 2019, "Attracting attention from peers: Excitement in social trading," Journal of Economic Behavior & Organization, Elsevier, volume 161, issue C, pages 158-179, DOI: 10.1016/j.jebo.2019.03.010.
• Dierick, Nicolas & Heyman, Dries & Inghelbrecht, Koen & Stieperaere, Hannes, 2019, "Financial attention and the disposition effect," Journal of Economic Behavior & Organization, Elsevier, volume 163, issue C, pages 190-217, DOI: 10.1016/j.jebo.2019.04.019.
• Brooks, Chris & Sangiorgi, Ivan & Hillenbrand, Carola & Money, Kevin, 2019, "Experience wears the trousers: Exploring gender and attitude to financial risk," Journal of Economic Behavior & Organization, Elsevier, volume 163, issue C, pages 483-515, DOI: 10.1016/j.jebo.2019.04.026.
• Rzakhanov, Zaur & Jetley, Gaurav, 2019, "Competition, scale and hedge fund performance: Evidence from merger arbitrage," Journal of Economics and Business, Elsevier, volume 105, issue C, DOI: 10.1016/j.jeconbus.2019.04.002.
• Dindo, Pietro, 2019, "Survival in speculative markets," Journal of Economic Theory, Elsevier, volume 181, issue C, pages 1-43, DOI: 10.1016/j.jet.2019.02.002.
• Aragon, George O. & Li, Lei & Qian, Jun ‘QJ’, 2019, "The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk," Journal of Financial Economics, Elsevier, volume 131, issue 1, pages 168-185, DOI: 10.1016/j.jfineco.2018.07.014.
• Greenwood, Robin & Shleifer, Andrei & You, Yang, 2019, "Bubbles for Fama," Journal of Financial Economics, Elsevier, volume 131, issue 1, pages 20-43, DOI: 10.1016/j.jfineco.2018.09.002.
• Sun, Lin & Teo, Melvyn, 2019, "Public hedge funds," Journal of Financial Economics, Elsevier, volume 131, issue 1, pages 44-60, DOI: 10.1016/j.jfineco.2018.09.004.
• Hong, Harrison & Xu, Jiangmin, 2019, "Inferring latent social networks from stock holdings," Journal of Financial Economics, Elsevier, volume 131, issue 2, pages 323-344, DOI: 10.1016/j.jfineco.2017.08.005.
• Aragon, George O. & Martin, J. Spencer & Shi, Zhen, 2019, "Who benefits in a crisis? Evidence from hedge fund stock and option holdings," Journal of Financial Economics, Elsevier, volume 131, issue 2, pages 345-361, DOI: 10.1016/j.jfineco.2017.09.008.
• Huang, Xing, 2019, "Mark Twain’s Cat: Investment experience, categorical thinking, and stock selection," Journal of Financial Economics, Elsevier, volume 131, issue 2, pages 404-432, DOI: 10.1016/j.jfineco.2018.08.003.
• Moreira, Alan & Muir, Tyler, 2019, "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 507-527, DOI: 10.1016/j.jfineco.2018.09.011.
• Phelan, Gregory & Toda, Alexis Akira, 2019, "Securitized markets, international capital flows, and global welfare," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 571-592, DOI: 10.1016/j.jfineco.2018.08.011.
• Bai, Jennie & Bali, Turan G. & Wen, Quan, 2019, "Common risk factors in the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 619-642, DOI: 10.1016/j.jfineco.2018.08.002.
• Lu, Zhongjin & Murray, Scott, 2019, "Bear beta," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 736-760, DOI: 10.1016/j.jfineco.2018.09.006.
• Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019, "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 126-149, DOI: 10.1016/j.jfineco.2018.10.001.
• Pyun, Sungjune, 2019, "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 150-174, DOI: 10.1016/j.jfineco.2018.10.002.
• Bai, John (Jianqiu) & Ma, Linlin & Mullally, Kevin A. & Solomon, David H., 2019, "What a difference a (birth) month makes: The relative age effect and fund manager performance," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 200-221, DOI: 10.1016/j.jfineco.2018.10.003.
• Jang, Jeewon & Kang, Jangkoo, 2019, "Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 222-247, DOI: 10.1016/j.jfineco.2018.10.005.
• Ben-David, Itzhak & Birru, Justin & Rossi, Andrea, 2019, "Industry familiarity and trading: Evidence from the personal portfolios of industry insiders," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 49-75, DOI: 10.1016/j.jfineco.2018.08.007.
• Schneider, Paul, 2019, "An anatomy of the market return," Journal of Financial Economics, Elsevier, volume 132, issue 2, pages 325-350, DOI: 10.1016/j.jfineco.2018.10.015.
• Huang, Shiyang & Huang, Yulin & Lin, Tse-Chun, 2019, "Attention allocation and return co-movement: Evidence from repeated natural experiments," Journal of Financial Economics, Elsevier, volume 132, issue 2, pages 369-383, DOI: 10.1016/j.jfineco.2018.10.006.
• Pandolfi, Lorenzo & Williams, Tomas, 2019, "Capital flows and sovereign debt markets: Evidence from index rebalancings," Journal of Financial Economics, Elsevier, volume 132, issue 2, pages 384-403, DOI: 10.1016/j.jfineco.2018.10.008.
• Heimer, Rawley & Simsek, Alp, 2019, "Should retail investors’ leverage be limited?," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 1-21, DOI: 10.1016/j.jfineco.2018.10.017.
• Nadauld, Taylor D. & Sensoy, Berk A. & Vorkink, Keith & Weisbach, Michael S., 2019, "The liquidity cost of private equity investments: Evidence from secondary market transactions," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 158-181, DOI: 10.1016/j.jfineco.2018.11.007.
• Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019, "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 182-204, DOI: 10.1016/j.jfineco.2018.11.011.
• Lee, Charles M.C. & Sun, Stephen Teng & Wang, Rongfei & Zhang, Ran, 2019, "Technological links and predictable returns," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 76-96, DOI: 10.1016/j.jfineco.2018.11.008.
• Andersen, Steffen & Hanspal, Tobin & Nielsen, Kasper Meisner, 2019, "Once bitten, twice shy: The power of personal experiences in risk taking," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 97-117, DOI: 10.1016/j.jfineco.2018.10.018.
• Chen, Zhanhui & Yang, Bowen, 2019, "In search of preference shock risks: Evidence from longevity risks and momentum profits," Journal of Financial Economics, Elsevier, volume 133, issue 1, pages 225-249, DOI: 10.1016/j.jfineco.2019.01.004.
• Jegadeesh, Narasimhan & Noh, Joonki & Pukthuanthong, Kuntara & Roll, Richard & Wang, Junbo, 2019, "Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation," Journal of Financial Economics, Elsevier, volume 133, issue 2, pages 273-298, DOI: 10.1016/j.jfineco.2019.02.010.
• Demirci, Irem & Huang, Jennifer & Sialm, Clemens, 2019, "Government debt and corporate leverage: International evidence," Journal of Financial Economics, Elsevier, volume 133, issue 2, pages 337-356, DOI: 10.1016/j.jfineco.2019.03.009.
• Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019, "Average skewness matters," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 29-47, DOI: 10.1016/j.jfineco.2019.03.003.
• Harvey, Campbell R. & Liu, Yan, 2019, "Cross-sectional alpha dispersion and performance evaluation," Journal of Financial Economics, Elsevier, volume 134, issue 2, pages 273-296, DOI: 10.1016/j.jfineco.2019.04.005.
• Kelly, Bryan T. & Pruitt, Seth & Su, Yinan, 2019, "Characteristics are covariances: A unified model of risk and return," Journal of Financial Economics, Elsevier, volume 134, issue 3, pages 501-524, DOI: 10.1016/j.jfineco.2019.05.001.
• Ha, Yeonjeong & Ko, Kwangsoo, 2019, "Misspecifications in the fund flow-performance relationship," Journal of Financial Intermediation, Elsevier, volume 38, issue C, pages 69-81, DOI: 10.1016/j.jfi.2018.11.001.
• Fan, Ying & Yang, Zan & Yavas, Abdullah, 2019, "Understanding real estate price dynamics: The case of housing prices in five major cities of China✰," Journal of Housing Economics, Elsevier, volume 43, issue C, pages 37-55, DOI: 10.1016/j.jhe.2018.09.003.
• Boero, Gianna & Mandalinci, Zeyyad & Taylor, Mark P., 2019, "Modelling portfolio capital flows in a global framework: Multilateral implications of capital controls," Journal of International Money and Finance, Elsevier, volume 90, issue C, pages 142-160, DOI: 10.1016/j.jimonfin.2018.09.006.
• Cantú, Carlos, 2019, "Effects of capital controls on foreign exchange liquidity," Journal of International Money and Finance, Elsevier, volume 93, issue C, pages 201-222, DOI: 10.1016/j.jimonfin.2019.01.006.
• Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019, "International tail risk and World Fear," Journal of International Money and Finance, Elsevier, volume 93, issue C, pages 244-259, DOI: 10.1016/j.jimonfin.2019.01.004.
• Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2019, "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," Journal of International Money and Finance, Elsevier, volume 93, issue C, pages 299-312, DOI: 10.1016/j.jimonfin.2019.02.010.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019, "The risk premium of gold," Journal of International Money and Finance, Elsevier, volume 94, issue C, pages 140-159, DOI: 10.1016/j.jimonfin.2019.02.011.
• Heipertz, Jonas & Rancière, Romain & Valla, Natacha, 2019, "Domestic and external sectoral portfolios: Network structure and balance-sheet contagion," Journal of International Money and Finance, Elsevier, volume 94, issue C, pages 206-226, DOI: 10.1016/j.jimonfin.2019.02.003.
• Fischer, Andreas M. & Groeger, Henrike & Sauré, Philip & Yeşin, Pınar, 2019, "Current account adjustment and retained earnings," Journal of International Money and Finance, Elsevier, volume 94, issue C, pages 246-259, DOI: 10.1016/j.jimonfin.2019.02.002.
• Ammer, John & Claessens, Stijn & Tabova, Alexandra & Wroblewski, Caleb, 2019, "Home country interest rates and international investment in U.S. bonds," Journal of International Money and Finance, Elsevier, volume 95, issue C, pages 212-227, DOI: 10.1016/j.jimonfin.2018.06.010.
• Boucher, Christophe & Tokpavi, Sessi, 2019, "Stocks and bonds: Flight-to-safety for ever?," Journal of International Money and Finance, Elsevier, volume 95, issue C, pages 27-43, DOI: 10.1016/j.jimonfin.2019.03.002.
• Cao, Shuo & Huang, Huichou & Liu, Ruirui & MacDonald, Ronald, 2019, "The term structure of exchange rate predictability: Commonality, scapegoat, and disagreement," Journal of International Money and Finance, Elsevier, volume 95, issue C, pages 379-401, DOI: 10.1016/j.jimonfin.2018.03.013.
• Mselmi, Nada & Hamza, Taher & Lahiani, Amine & Shahbaz, Muhammad, 2019, "Pricing corporate financial distress: Empirical evidence from the French stock market," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 13-27, DOI: 10.1016/j.jimonfin.2019.04.008.
• Chen, Jian & Jiang, Fuwei & Xue, Shuyu & Yao, Jiaquan, 2019, "The world predictive power of U.S. equity market skewness risk," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 210-227, DOI: 10.1016/j.jimonfin.2019.05.003.
• Cronin, David & Dunne, Peter G., 2019, "How effective are sovereign bond-backed securities as a spillover prevention device?," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 49-66, DOI: 10.1016/j.jimonfin.2019.05.001.
• Niţoi, Mihai & Pochea, Maria Miruna, 2019, "What drives European Union stock market co-movements?," Journal of International Money and Finance, Elsevier, volume 97, issue C, pages 57-69, DOI: 10.1016/j.jimonfin.2019.06.004.
• Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2019, "Global downside risk and equity returns," Journal of International Money and Finance, Elsevier, volume 98, issue C, pages 1-1, DOI: 10.1016/j.jimonfin.2019.102065.
• Kellner, Ralf & Rösch, Daniel, 2019, "A country specific point of view on international diversification," Journal of International Money and Finance, Elsevier, volume 98, issue C, pages 1-1, DOI: 10.1016/j.jimonfin.2019.102064.
• Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019, "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, volume 98, issue C, pages 1-1, DOI: 10.1016/j.jimonfin.2019.102066.
• Alderighi, Stefano & Cleary, Siobhan & Varanasi, Padmasai, 2019, "Do institutional factors influence cross-border portfolio equity flows? New evidence from emerging markets," Journal of International Money and Finance, Elsevier, volume 99, issue C, DOI: 10.1016/j.jimonfin.2019.102070.
• Bagliano, Fabio C. & Fugazza, Carolina & Nicodano, Giovanna, 2019, "Life-cycle portfolios, unemployment and human capital loss," Journal of Macroeconomics, Elsevier, volume 60, issue C, pages 325-340, DOI: 10.1016/j.jmacro.2019.03.006.
• Marszk, Adam & Lechman, Ewa, 2019, "New technologies and diffusion of innovative financial products: Evidence on exchange-traded funds in selected emerging and developed economies," Journal of Macroeconomics, Elsevier, volume 62, issue C, DOI: 10.1016/j.jmacro.2018.10.001.
• Bishnu, Monisankar & Guo, Nick L. & Kumru, Cagri S., 2019, "Social security with differential mortality," Journal of Macroeconomics, Elsevier, volume 62, issue C, DOI: 10.1016/j.jmacro.2018.11.005.
• Döpke, Jörg & Fritsche, Ulrich & Müller, Karsten, 2019, "Has macroeconomic forecasting changed after the Great Recession? Panel-based evidence on forecast accuracy and forecaster behavior from Germany," Journal of Macroeconomics, Elsevier, volume 62, issue C, DOI: 10.1016/j.jmacro.2019.103135.
• Shy, Oz & Stenbacka, Rune, 2019, "An OLG model of common ownership: Effects on consumption and investments," Journal of Macroeconomics, Elsevier, volume 62, issue C, DOI: 10.1016/j.jmacro.2019.103155.
• Liang, Jian & Dong, Zhi, 2019, "The impact of the stapled security structure on the quality of financial disclosure: Evidence from Australian Real Estate Investment Trusts and Listed Infrastructure Funds," Journal of Contemporary Accounting and Economics, Elsevier, volume 15, issue 2, pages 206-223, DOI: 10.1016/j.jcae.2019.100155.
• Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019, "Jumps in commodity markets," Journal of Commodity Markets, Elsevier, volume 13, issue C, pages 55-70, DOI: 10.1016/j.jcomm.2018.10.002.
• Dimitrios, Kousenidis & Eirini, Lazaridou & Trifon, Papapanagiotou, 2019, "The asymmetric performance of industry concentrated funds," The Journal of Economic Asymmetries, Elsevier, volume 20, issue C, DOI: 10.1016/j.jeca.2019.e00124.
• Posavac, Steven S. & Ratchford, Mark & Bollen, Nicolas P.B. & Sanbonmatsu, David M., 2019, "Premature infatuation and commitment in individual investing decisions," Journal of Economic Psychology, Elsevier, volume 72, issue C, pages 245-259, DOI: 10.1016/j.joep.2019.04.006.
• Nassios, Jason & Giesecke, James A. & Dixon, Peter B. & Rimmer, Maureen T., 2019, "Mandated superannuation contributions and the structure of the financial sector in Australia," Journal of Policy Modeling, Elsevier, volume 41, issue 5, pages 859-881, DOI: 10.1016/j.jpolmod.2019.05.004.
• Singhal, Shelly & Choudhary, Sangita & Biswal, Pratap Chandra, 2019, "Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico," Resources Policy, Elsevier, volume 60, issue C, pages 255-261, DOI: 10.1016/j.resourpol.2019.01.004.
• Dutta, Anupam & Bouri, Elie & Roubaud, David, 2019, "Nonlinear relationships amongst the implied volatilities of crude oil and precious metals," Resources Policy, Elsevier, volume 61, issue C, pages 473-478, DOI: 10.1016/j.resourpol.2018.04.009.
• Sarwar, Suleman & Khalfaoui, Rabeh & Waheed, Rida & Dastgerdi, Hamidreza Ghorbani, 2019, "Volatility spillovers and hedging: Evidence from Asian oil-importing countries," Resources Policy, Elsevier, volume 61, issue C, pages 479-488, DOI: 10.1016/j.resourpol.2018.04.010.
• Hoang, Thi-Hong-Van & Zhu, Zhenzhen & El Khamlichi, Abdelbari & Wong, Wing-Keung, 2019, "Does the Shari’ah screening impact the gold-stock nexus? A sectorial analysis," Resources Policy, Elsevier, volume 61, issue C, pages 617-626, DOI: 10.1016/j.resourpol.2018.10.002.
• Qadan, Mahmoud, 2019, "Risk appetite and the prices of precious metals," Resources Policy, Elsevier, volume 62, issue C, pages 136-153, DOI: 10.1016/j.resourpol.2019.03.007.
• Akbar, Muhammad & Iqbal, Farhan & Noor, Farzana, 2019, "Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan," Resources Policy, Elsevier, volume 62, issue C, pages 154-164, DOI: 10.1016/j.resourpol.2019.03.003.
• Khalfaoui, Rabeh & Sarwar, Suleman & Tiwari, Aviral Kumar, 2019, "Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management," Resources Policy, Elsevier, volume 62, issue C, pages 22-32, DOI: 10.1016/j.resourpol.2019.03.004.
• Troster, Victor & Bouri, Elie & Roubaud, David, 2019, "A quantile regression analysis of flights-to-safety with implied volatilities," Resources Policy, Elsevier, volume 62, issue C, pages 482-495, DOI: 10.1016/j.resourpol.2018.10.004.
• Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Uddin, Gazi Salah & Kang, Sang Hoon, 2019, "Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach," Resources Policy, Elsevier, volume 62, issue C, pages 588-601, DOI: 10.1016/j.resourpol.2018.11.007.
• Huang, Xiaoyong & Jia, Fei & Xu, Xiangyun & Yu shi,, 2019, "The threshold effect of market sentiment and inflation expectations on gold price," Resources Policy, Elsevier, volume 62, issue C, pages 77-83, DOI: 10.1016/j.resourpol.2019.03.014.
• Ahmadi, Maryam & Manera, Matteo & Sadeghzadeh, Mehdi, 2019, "The investment-uncertainty relationship in the oil and gas industry," Resources Policy, Elsevier, volume 63, issue C, pages 1-1, DOI: 10.1016/j.resourpol.2019.101439.
• Hlouskova, Jaroslava & Fortin, Ines & Tsigaris, Panagiotis, 2019, "The consumption–investment decision of a prospect theory household: A two-period model with an endogenous second period reference level," Journal of Mathematical Economics, Elsevier, volume 85, issue C, pages 93-108, DOI: 10.1016/j.jmateco.2019.10.003.
• Khalil, Makram, 2019, "Cross-border portfolio diversification under trade linkages," Journal of Monetary Economics, Elsevier, volume 104, issue C, pages 114-128, DOI: 10.1016/j.jmoneco.2018.10.001.
• Kacperczyk, Marcin & Nosal, Jaromir & Stevens, Luminita, 2019, "Investor sophistication and capital income inequality," Journal of Monetary Economics, Elsevier, volume 107, issue C, pages 18-31, DOI: 10.1016/j.jmoneco.2018.11.002.
• Onishchenko, Olena & Ülkü, Numan, 2019, "Foreign investor trading behavior has evolved," Journal of Multinational Financial Management, Elsevier, volume 51, issue C, pages 98-115, DOI: 10.1016/j.mulfin.2019.04.005.
• Sharma, Shahil & Rodriguez, Ivan, 2019, "The diminishing hedging role of crude oil: Evidence from time varying financialization," Journal of Multinational Financial Management, Elsevier, volume 52, issue , DOI: 10.1016/j.mulfin.2019.100593.
• Uddin, Gazi Salah & Arreola Hernandez, Jose & Labidi, Chiraz & Troster, Victor & Yoon, Seong-Min, 2019, "The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories," Journal of Multinational Financial Management, Elsevier, volume 52, issue , DOI: 10.1016/j.mulfin.2019.100607.
• Lu, Xin & Liu, Qiong & Xue, Fengxin, 2019, "Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints," Operations Research Perspectives, Elsevier, volume 6, issue C, DOI: 10.1016/j.orp.2018.100094.
• Wu, Xuan & Tian, Gaoliang & Li, Yueting & Zhou, Qing, 2019, "On the pricing of the persistence of earnings components in China," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 112-132, DOI: 10.1016/j.pacfin.2018.10.017.
• Gad, Samar & Andrikopoulos, Panagiotis, 2019, "Diversification benefits of Shari'ah compliant equity ETFs in emerging markets," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 133-144, DOI: 10.1016/j.pacfin.2018.10.009.
• Gong, Yujing & Wang, Mei & Dlugosch, Dennis, 2019, "Impacts of ambiguity aversion and information uncertainty on momentum: An international study," Pacific-Basin Finance Journal, Elsevier, volume 55, issue C, pages 1-28, DOI: 10.1016/j.pacfin.2019.01.011.
• Cai, Mingchao & Chen, Zhihong, 2019, "Does country background risk matter to the strategic asset allocation of sovereign wealth funds?," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2018.10.015.
• Gregory-Allen, Russell & Balli, Hatice Ozer & Thompson, Kathleen, 2019, "The impact of portfolio holdings disclosure on fund returns," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2019.101172.
• Chen, Chin-Ho, 2019, "Downside jump risk and the levels of futures-cash basis," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2019.101200.
• Chen, Zhijuan & Lin, William T. & Ma, Changfeng, 2019, "Do individual investors demand or provide liquidity? New evidence from dividend announcements," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2019.101179.
• Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019, "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2019.101191.
• Tang, Huoqing & Zhang, Chengsi, 2019, "Investment risk, return gap, and financialization of non-listed non-financial firms in China⁎," Pacific-Basin Finance Journal, Elsevier, volume 58, issue C, DOI: 10.1016/j.pacfin.2019.101213.
• Fei, Tianlun & Liu, Xiaoquan & Wen, Conghua, 2019, "Cross-sectional return dispersion and volatility prediction," Pacific-Basin Finance Journal, Elsevier, volume 58, issue C, DOI: 10.1016/j.pacfin.2019.101218.
• Omane-Adjepong, Maurice & Alagidede, Paul & Akosah, Nana Kwame, 2019, "Wavelet time-scale persistence analysis of cryptocurrency market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 514, issue C, pages 105-120, DOI: 10.1016/j.physa.2018.09.013.
• Basak, Gopal K. & Das, Pranab Kumar & Rohit, Allena, 2019, "Coupled dynamics with an external system and application to international finance," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 520, issue C, pages 409-432, DOI: 10.1016/j.physa.2019.01.012.
• Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert, 2019, "Momentum and contrarian effects on the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 523, issue C, pages 691-701, DOI: 10.1016/j.physa.2019.02.057.
• Cerqueti, Roy & Giacalone, Massimiliano & Panarello, Demetrio, 2019, "A Generalized Error Distribution Copula-based method for portfolios risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 524, issue C, pages 687-695, DOI: 10.1016/j.physa.2019.04.077.
• Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019, "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 525, issue C, pages 466-477, DOI: 10.1016/j.physa.2019.03.097.
• Jiang, Yonghong & Fu, Yuyuan & Ruan, Weihua, 2019, "Risk spillovers and portfolio management between precious metal and BRICS stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 534, issue C, DOI: 10.1016/j.physa.2019.04.229.
• Karmous, Aida & Boubaker, Heni & Belkacem, Lotfi, 2019, "A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 534, issue C, DOI: 10.1016/j.physa.2019.122191.
• Zheng, Zhong-Liang & Gao, Xiang & Ruan, Xing-Liang, 2019, "Does economic financialization lead to the alienation of enterprise investment behavior? Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 536, issue C, DOI: 10.1016/j.physa.2019.04.094.
• Isah, Kazeem O. & Raheem, Ibrahim D., 2019, "The hidden predictive power of cryptocurrencies and QE: Evidence from US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 536, issue C, DOI: 10.1016/j.physa.2019.04.268.
• Al Janabi, Mazin A.M. & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2019, "Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 536, issue C, DOI: 10.1016/j.physa.2019.122579.
• Chan, Wing Hong & Le, Minh & Wu, Yan Wendy, 2019, "Holding Bitcoin longer: The dynamic hedging abilities of Bitcoin," The Quarterly Review of Economics and Finance, Elsevier, volume 71, issue C, pages 107-113, DOI: 10.1016/j.qref.2018.07.004.