Research classified by Journal of Economic Literature (JEL) codes

2018

• Zugang Liu & Jia Wang, 2018, "Do Style Momentum Strategies Produce Abnormal Returns: Evidence From Index Investing," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 12, issue 2, pages 63-75.
• James L. Kuhle & Eric C. Lin, 2018, "An Evaluation Of Risk And Return Performance Measure Alternatives: Evidence From Real Estate Mutual Funds," Review of Business and Finance Studies, The Institute for Business and Finance Research, volume 9, issue 1, pages 1-11.
• Seema Narayan & Mobeen Ur Rehman, 2018, "Portfolio Diversification Opportunities Within Emerging and Frontier Stock Markets: Evidence from Ten Asian Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 21, issue 1, pages 1-22, July, DOI: https://doi.org/10.21098/bemp.v21i1.
• Guanchun Liu & Chien-Chiang Lee, 2018, "Financialization and Stagnant Capital Accumulation in China," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 21, issue 1, pages 23-32, July, DOI: https://doi.org/10.21098/bemp.v21i1.
• Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018, "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 627.
• Hlouskova, Jaroslava & Fortin, Ines & Tsigaris, Panagiotis, 2018, "The consumption-investment decision of a prospect theory household: A two-period model with an endogenous second period reference level," Economics Series, Institute for Advanced Studies, number 344, Nov.
• Efstathia Korkou, 2018, "Gender Differences in Relative Risk Aversion with Data from the U.S. Federal Reserve Board¡¦s Survey of Consumer Finances," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 17, issue 3, pages 193-211, December.
• Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2018, "Long-run heterogeneity in an exchange economy with fixed-mix traders," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 66, issue 2, pages 407-447, August, DOI: 10.1007/s00199-017-1066-8.
• Zia-ur-Rehman Rao & Tanveer Ahsan & Muhammad Zubair Tauni & Muhammad Umar, 2018, "Performance and Persistence in Performance of Actively Managed Chinese Equity Funds," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 16, issue 3, pages 727-747, September, DOI: 10.1007/s40953-017-0104-5.
• An Chen & Thai Nguyen & Mitja Stadje, 2018, "Risk management with multiple VaR constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 88, issue 2, pages 297-337, October, DOI: 10.1007/s00186-018-0637-1.
• I. Antoniadis & N. Sariannidis & S. Kontsas, 2018, "The Effect of Bitcoin Prices on US Dollar Index Price," Springer Proceedings in Business and Economics, Springer, chapter 0, in: Nicholas Tsounis & Aspasia Vlachvei, "Advances in Time Series Data Methods in Applied Economic Research", DOI: 10.1007/978-3-030-02194-8_34.
• Imlak Shaikh, 2018, "Brexit and Global Implied Volatility Indices," Springer Proceedings in Business and Economics, Springer, chapter 0, in: Nicholas Tsounis & Aspasia Vlachvei, "Advances in Time Series Data Methods in Applied Economic Research", DOI: 10.1007/978-3-030-02194-8_6.
• Yujing Gong & Kung-Cheng Ho, 2018, "Does corporate social responsibility matter for corporate stability? Evidence from China," Quality & Quantity: International Journal of Methodology, Springer, volume 52, issue 5, pages 2291-2319, September, DOI: 10.1007/s11135-017-0665-6.
• Venky Nagar & Madhav V. Rajan & Korok Ray, 2018, "An information-based model for the differential treatment of gains and losses," Review of Accounting Studies, Springer, volume 23, issue 2, pages 622-653, June, DOI: 10.1007/s11142-018-9443-5.
• Jean-Pierre Danthine & Samuel Danthine, 2018, "On the rewards to international investing: a safe haven currency perspective," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 154, issue 1, pages 1-12, December, DOI: 10.1186/s41937-017-0005-8.
• Vasyl Golosnoy, 2018, "Sequential monitoring of portfolio betas," Statistical Papers, Springer, volume 59, issue 2, pages 663-684, June, DOI: 10.1007/s00362-016-0783-6.
• Xiaomin Guo, 2018, "On the Risk Measures of Real Estate Assets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 8, issue 1, pages 1-2.
• Helen Chiappini & Gianfranco A. Vento, 2018, "Socially Responsible Investments and their Anticyclical Attitude during Financial Turmoil Evidence from the Brexit shock," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 8, issue 1, pages 1-4.
• Markus Spiwoks & Kilian Bizer, 2018, "Correlation Neglect and Overconfidence. An Experimental Study," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 8, issue 3, pages 1-5.
• Han-Ching Huang & Shiao-Ru Peng, 2018, "The Impact of the Company's Market Timing on Insider Trading of Repurchase Announcement," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 8, issue 4, pages 1-8.
• Frieder Meyer-Bullerdiek, 2018, "Portfolio rebalancing versus buy-and-hold: A simulation based study with special consideration of portfolio concentration," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 8, issue 5, pages 1-4.
• Han-ching Huang & Yong-chern Su & Hsin-Pei Tu, 2018, "Illiquid Trades on Investment Banks in Financial Crisis," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 8, issue 5, pages 1-5.
• Xiangying Meng & Xianhua Wei, 2018, "Systematic Correlation is Priced as Risk Factor," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 8, issue 6, pages 1-2.
• Gerhard Lechner & Rupert Beinhauer, 2018, "Are Commodity Hedge Funds interesting for institutional investors?," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 7, issue 1, pages 1-1.
• Ariful Hoque & Robin Kämmer & Frieder Meyer-Bullerdiek, 2018, "Portfolio insurance strategies in a low interest rate environment: A simulation based study," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 7, issue 3, pages 1-2.
• Jansson & M. & Trönnberg & C-C. & Hemlin & S., 2018, "The occurrence and importance of pension fund managers’ investment beliefs A web survey and critical incident study," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 7, issue 4, pages 1-1.
• Gordon O. Opuodho & Tobias O. OLweny & Tabitha M. Nasieku, 2018, "Bid Ask Spread and Fama- French Three Factor Model on Excess Return. An Empirical Evidence at Nairobi Securities Exchange," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 7, issue 4, pages 1-2.
• Eveline Mwangi & Zipporah Onsomu, 2018, "Effect of financial literacy on portfolio diversification at the Nairobi securities exchange market, Kenya," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 7, issue 4, pages 1-3.
• Eric Benhamou & Beatrice Guez, 2018, "Incremental Sharpe and other performance ratios," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, volume 7, issue 4, pages 1-2.
• Cronin, David & Dunne, Peter G., 2018, "How effective are sovereign bond-backed securities as a spillover prevention device?," ESRB Working Paper Series, European Systemic Risk Board, number 66, Jan.
• Alogoskoufis, Spyros & Langfield, Sam, 2018, "Regulating the doom loop," ESRB Working Paper Series, European Systemic Risk Board, number 74, May.
• Ellul, Andrew & Jotikasthira, Chotibhak & Kartasheva, Anastasia & Lundblad, Christian T. & Wagner, Wolf, 2018, "Insurers as asset managers and systemic risk," ESRB Working Paper Series, European Systemic Risk Board, number 75, May.
• Timmer, Yannick, 2018, "Cyclical investment behavior across financial institutions," ESRB Working Paper Series, European Systemic Risk Board, number 77, Jul.
• Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2018, "Reconstructing and stress testing credit networks," ESRB Working Paper Series, European Systemic Risk Board, number 84, Sep.
• Duc Thi Luu & Mauro Napoletano & Paolo Barucca & Stefano Battiston, 2018, "Collateral Unchained: Rehypothecation networks, concentration and systemic effects," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2018/05, Feb.
• Awais Ahmed & Rizwan Ali & Abdullah Ejaz & Muhammad Ishfaq Ahmad, 2018, "Sectoral integration and investment diversification opportunities: evidence from Colombo Stock Exchange," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, volume 5, issue 3, pages 514-527, March, DOI: 10.9770/jesi.2018.5.3(8).
• Konstantinos Gavriilidis & Dimos S. Kambouroudis & Katerina Tsakou & Dimitris S. Tsouknidis, 2018, "Volatility forecasting across tanker freight rates: the role of oil price shocks," Working Papers, Swansea University, School of Management, number 2018-27, Mar.
• Martijn A. Boermans & Sweder van Wijnbergen, 2018, "Contingent convertible bonds: Who invests in European CoCos?," Applied Economics Letters, Taylor & Francis Journals, volume 25, issue 4, pages 234-238, February, DOI: 10.1080/13504851.2017.1310995.
• Patty Duijm & Sophie Steins Bisschop, 2018, "Short-termism of long-term investors? The investment behaviour of Dutch insurance companies and pension funds," Applied Economics, Taylor & Francis Journals, volume 50, issue 31, pages 3376-3387, July, DOI: 10.1080/00036846.2017.1420898.
• Panagiotis Mantalos & Lars Hultkrantz, 2018, "Estimating ‘gamma’ for tail-hedge discount rates when project returns are cointegrated with GDP," Applied Economics, Taylor & Francis Journals, volume 50, issue 37, pages 4074-4085, August, DOI: 10.1080/00036846.2018.1441511.
• Renée Fry-McKibbin & Cody Yu-Ling Hsiao, 2018, "Extremal dependence tests for contagion," Econometric Reviews, Taylor & Francis Journals, volume 37, issue 6, pages 626-649, July, DOI: 10.1080/07474938.2015.1122270.
• Eric Jondeau & Emmanuel Jurczenko & Michael Rockinger, 2018, "Moment Component Analysis: An Illustration With International Stock Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 36, issue 4, pages 576-598, October, DOI: 10.1080/07350015.2016.1216851.
• Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018, "Portfolio performance of linear SDF models: an out-of-sample assessment," Quantitative Finance, Taylor & Francis Journals, volume 18, issue 8, pages 1425-1436, August, DOI: 10.1080/14697688.2018.1429646.
• Omokolade Akinsomi & Yener Coskun & Rangan Gupta, 2018, "Analysis of Herding in Reits of an Emerging Market: The Case of Turkey," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, volume 24, issue 1, pages 65-81, January, DOI: 10.1080/10835547.2018.12090007.
• Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler, 2018, "Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications," Financial Analysts Journal, Taylor & Francis Journals, volume 74, issue 1, pages 77-87, February, DOI: 10.2469/faj.v74.n1.8.
• Andrea Frazzini & David Kabiller & Lasse Heje Pedersen, 2018, "Buffett’s Alpha," Financial Analysts Journal, Taylor & Francis Journals, volume 74, issue 4, pages 35-55, September, DOI: 10.2469/faj.v74.n4.3.
• Jonas Löher & Stefan Schneck & Arndt Werner, 2018, "A research note on entrepreneurs’ financial commitment and crowdfunding success," Venture Capital, Taylor & Francis Journals, volume 20, issue 3, pages 309-322, July, DOI: 10.1080/13691066.2018.1480864.
• Zelal Aktas & Yasemin Erduman & Neslihan Kaya Eksi, 2018, "The Effect of Fed�s Future Policy Expectations on Country Shares in Emerging Market Portfolio Flows," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1809.
• Rogelio Mercado Jr., 2018, "Bilateral Capital Flows: Transaction Patterns and Gravity," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0218, Feb, revised Feb 2018.
• Arito Ono, Kosuke Aoki & hinichi Nishioka & Kohei Shintani & Yosuke Yasui, 2018, "Long-term interest rates and bank loan supply: Evidence from firm-bank loan-level data," Working Papers, Tokyo Center for Economic Research, number e119, Feb.
• Andries C. van Vlodrop & Andre (A.) Lucas, 2018, "Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 18-099/III, Dec.
• Laurs, DK & Renneboog, Luc, 2018, "My Kingdom for a Horse (or a Classic Car)," Discussion Paper, Tilburg University, Center for Economic Research, number 2018-037.
• Prast, Henriette & Sanders, José & Leonhard, Olga, 2018, "Can Words Breed or Kill Investment? Metaphors, Imagery, Affect and Investor Behaviour," Discussion Paper, Tilburg University, Center for Economic Research, number 2018-014.
• Pikulina, E.S. & Renneboog, Luc & Tobler, P.N., 2018, "Do confident individuals generally work harder?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 03156258-e14b-4a7e-abdb-7.
• Laurs, DK & Renneboog, Luc, 2018, "My Kingdom for a Horse (or a Classic Car)," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8f244bbd-b78b-491b-9021-d.
• Dirceu Pereira, 2018, "Financial Contagion in the BRICS Stock Markets: An empirical analysis of the Lehman Brothers Collapse and European Sovereign Debt Crisis," Journal of Economics and Financial Analysis, Tripal Publishing House, volume 2, issue 1, pages 1-44, DOI: http://dx.doi.org/10.1991/jefa.v2i1.
• Arina Wischnewsky & Matthias Neuenkirch, 2018, "Shadow Banks and the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area," Research Papers in Economics, University of Trier, Department of Economics, number 2018-03.
• Christian Masiak & Joern H. Block & Tobias Masiak & Matthias Neuenkirch & Katja N. Pielen, 2018, "The Market Cycles of ICOs, Bitcoin, and Ether," Research Papers in Economics, University of Trier, Department of Economics, number 2018-04.
• Cherbonnier, Frédéric & Gollier, Christian, 2018, "Risk-adjusted social discount rates," TSE Working Papers, Toulouse School of Economics (TSE), number 18-972, Oct, revised Dec 2020.
• Fabio C. Bagliano & Raffaele Corvino & Carolina Fugazza & Giovanna Nicodano, 2018, "Hedging Labor Income Risk over the Life-Cycle," Working papers, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino, number 058, Dec.
• Tihana Skrinjaric, 2018, "Rolling Regression Capm On Zagreb Stock Exchange - Can Investors Profit From It?," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 16, issue 2, pages 7-22, November.
• Francesca Carapella & Cyril Monnet, 2018, "Dealers' Insurance, Market Structure, And Liquidity," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp1812, Jul.
• Yoram Halevy & Dotan Persitz & Lanny Zrill, 2018, "Parametric Recoverability of Preferences," Journal of Political Economy, University of Chicago Press, volume 126, issue 4, pages 1558-1593, DOI: 10.1086/697741.
• Hazel Bateman & Ralph Stevens & Jennifer Alonso Garcia & Eduard Ponds, 2018, "Learning to Value Annuities: The Role of Information and Engagement," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/300030, Dec.
• Aaron Hedlund, 2018, "Credit Constraints, House Prices, and the Impact of Life Cycle Dynamics," Working Papers, Department of Economics, University of Missouri, number 1807, Apr.
• Jose Antonio Pedrosa-Garcia & Yasmin Winther De Araujo Consolino Almeida, 2018, "Regulation of Cryptocurrencies: Evidence from Asia and the Pacific," MPDD Working Paper Series, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), number WP/18/03, Aug.
• Aslanidis, Nektarios, & Christiansen, Charlotte, 2018, "Flight to Safety from European Stock Markets," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/306547.
• Hintermaier, Thomas & Koeniger, Winfried, 2018, "Differences in Euro-Area Household Finances and their Relevance for Monetary-Policy Transmission," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1806, May, revised Nov 2019.
• Florian Fuchs & Roland Füss & Tim Jenkisnon & Stefan Morkoetter, 2018, "Should Investors Care Where Private Equity Managers Went To School?," Working Papers on Finance, University of St. Gallen, School of Finance, number 1806, Jan.
• Frank Graef & Pascal Vogt & Volker Vonhoff & Florian Weigert, 2018, "Cash Holdings and the Performance of European Mutual Funds," Working Papers on Finance, University of St. Gallen, School of Finance, number 1807, Feb.
• Thomas Walther & Tony Klein & Hien Pham Thu, 2018, "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," Working Papers on Finance, University of St. Gallen, School of Finance, number 1812, Mar.
• Thomas Walther & Tony Klein, 2018, "Exogenous Drivers of Cryptocurrency Volatility - A Mixed Data Sampling Approach To Forecasting," Working Papers on Finance, University of St. Gallen, School of Finance, number 1815, Jun.
• Manuel Ammann & Sebastian Fischer & Florian Weigert, 2018, "Risk Factor Exposure Variation and Mutual Fund Performance," Working Papers on Finance, University of St. Gallen, School of Finance, number 1817, Aug, revised Nov 2018.
• Vikas Agarwal & Stefan Ruenzi & Florian Weigert, 2018, "Unobserved Performance of Hedge Funds," Working Papers on Finance, University of St. Gallen, School of Finance, number 1825, Dec.
• Alexander Cochard & Stephan Heller & Vitaly Orlov, 2018, "In Military We Trust: The Effect of Managers' Military Background on Mutual Fund Flows," Working Papers on Finance, University of St. Gallen, School of Finance, number 1826, Dec.
• Turan G. Bali & Florian Weigert, 2018, "Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?," Working Papers on Finance, University of St. Gallen, School of Finance, number 1827, Dec.
• Mikhail Anufriev & Te Bao & Angela Sutan & Jan Tuinstra, 2018, "Fee Structure and Mutual Fund Choice: An Experiment," Working Paper Series, Economics Discipline Group, UTS Business School, University of Technology, Sydney, number 45, Jun.
• Fausto Corradin & Domenico Sartore, 2018, "Risk Aversion: Differential Conditions for the Iso-Utility Curves with Positive Slope in Transformed Two-Parameter Distributions," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2018:24.
• DUȚĂ, Violeta, 2018, "Using The Symmetric Models Garch (1.1) And Garch-M (1.1) To Investigate Volatility And Persistence For The European And Us Financial Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 22, issue 1, pages 64-86.
• AROSKAR, Rajarshi (Raj) & OGDEN, A. William, 2018, "A Comparative Study Of The Volatility And Efficiency Of Commodity Futures Index Roll Methods," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 22, issue 3, pages 27-40, September.
• HAILU, Aregu Asmare & TASSEW, Abel Worku, 2018, "The Impact Of Investment Diversification On Financial Performance Of Commercial Banks In Ethiopia," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 22, issue 3, pages 41-55, September.
• Hao Fang & Yen-Hsien Lee & William S. Chang, 2018, "Nonlinear Short-Run Adjustments between House and Stock Prices in Emerging Asian Regions," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 65, issue 1, pages 37-63.
• Aleksandar Naumoski & Metodija Nestorovski, 2018, "Ex-ante Equity Risk Premia: Expectational Estimates Using Stock Market Returns Forecasts in the Emerging Equity Market," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 65, issue 4, pages 479-507.
• Donath Liliana Eva & Ioan Roxana & Mandimutsira Tatenda, 2018, "Evaluating the Performance of Socially Responsible Investment Funds," Scientific Annals of Economics and Business, Paradigm, volume 65, issue 2, pages 139-158, June, DOI: 10.2478/saeb-2018-0008.
• Lobão Júlio, 2018, "Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies," Scientific Annals of Economics and Business, Paradigm, volume 65, issue 3, pages 283-301, September, DOI: 10.2478/saeb-2018-0023.
• Dubova Ekaterina & Volodin Sergey & Borenko Irina, 2018, "High-Dividend Portfolios with Filters on the Financial Performance and an Optimization of Assets Weights in a Portfolio," Scientific Annals of Economics and Business, Paradigm, volume 65, issue 3, pages 347-363, September, DOI: 10.2478/saeb-2018-0015.
• Brito Rui Pedro & Sebastião Helder & Godinho Pedro, 2018, "On the Gains of Using High Frequency Data in Portfolio Selection," Scientific Annals of Economics and Business, Paradigm, volume 65, issue 4, pages 365-383, December, DOI: 10.2478/saeb-2018-0030.
• Ryś Przemysław & Ślepaczuk Robert, 2018, "Machine Learning Methods in Algorithmic Trading Strategy Optimization – Design and Time Efficiency," Central European Economic Journal, Paradigm, volume 5, issue 52, pages 206-229, January, DOI: 10.1515/ceej-2018-0021.
• Ślusarz Grzegorz & Cierpiał-Wolan Marek, 2018, "Investment Activity of Local Administrative Units and the Level of Entrepreneurship Development in the Rzeszów Functional Area," Central European Economic Journal, Paradigm, volume 5, issue 52, pages 40-55, DOI: 10.1515/ceej-2018-0007.
• Ślusarz Grzegorz & Cierpiał-Wolan Marek, 2018, "Investment Activity of Local Administrative Units and the Level of Entrepreneurship Development in the Rzeszów Functional Area," Central European Economic Journal, Paradigm, volume 5, issue 52, pages 40-55, January, DOI: 10.1515/ceej-2018-0007.
• Radović Milica & Radukić Snežana & Njegomir Vladimir, 2018, "The Application of the Markowitz’s Model in Efficient Portfolio Forming on the Capital Market in the Republic of Serbia," Economic Themes, Paradigm, volume 56, issue 1, pages 17-34, April, DOI: 10.2478/ethemes-2018-0002.
• Jasiniak Magdalena, 2018, "Determinants of Investment Decisions on the Capital Market," Financial Internet Quarterly (formerly e-Finanse), Paradigm, volume 14, issue 2, pages 1-8, June, DOI: 10.2478/fiqf-2018-0007.
• Potrykus Marcin, 2018, "Comparison of Investment Performance Measures Using the Example of Selected Stock Exchanges," Financial Sciences. Nauki o Finansach, Paradigm, volume 23, issue 2, pages 30-46, June, DOI: 10.15611/fins.2018.2.03.
• Fraś Alicja, 2018, "Expensive and Cheap Funds – Polish Stock Mutual Fund Fees in 2017," Financial Sciences. Nauki o Finansach, Paradigm, volume 23, issue 4, pages 38-49, December, DOI: 10.15611/fins.2018.4.03.
• Krzysztof Kość & Paweł Sakowski & Robert Ślepaczuk, 2018, "Momentum and contrarian effects on the cryptocurrency market," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2018-09.
• Damian Zięba & Katarzyna Śledziewska, 2018, "Are demand shocks in Bitcoin contagious?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2018-17.
• Małgorzata Jabłczyńska & Krzysztof Kosc & Przemysław Ryś & Robert Ślepaczuk & Paweł Sakowski & Grzegorz Zakrzewski, 2018, "Why you should not invest in mining endeavour? The efficiency of BTC mining under current market conditions," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2018-18.
• Calomiris,Charles W. & Larrain,Mauricio & Schmukler,Sergio L., 2018, "Capital inflows, equity issuance activity, and corporate investment," Policy Research Working Paper Series, The World Bank, number 8405, Apr.
• Jie Zhou, 2018, "Household Stock Market Participation During the Great Financial Crisis," Departmental Working Papers, The University of Winnipeg, Department of Economics, number 2018-02, Dec.
• Marcel Fratzscher & Marco Lo Duca & Roland Straub, 2018, "On the International Spillovers of US Quantitative Easing," Economic Journal, Royal Economic Society, volume 128, issue 608, pages 330-377, February, DOI: 10.1111/ecoj.12435.
• Omar Rachedi, 2018, "Portfolio Rebalancing And Asset Pricing With Heterogeneous Inattention," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 59, issue 2, pages 699-726, May, DOI: 10.1111/iere.12285.
• Jesus Crespo Cuaresma & Ines Fortin & Jaroslava Hlouskova, 2018, "Exchange rate forecasting and the performance of currency portfolios," Journal of Forecasting, John Wiley & Sons, Ltd., volume 37, issue 5, pages 519-540, August, DOI: 10.1002/for.2518.
• Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2018, "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 38, issue 2, pages 219-242, February, DOI: 10.1002/fut.21866.
• DAVID E. ALLEN & MICHAEL McALEER & ROBERT J. POWELL & ABHAY K. SINGH, 2018, "Non-Parametric Multiple Change Point Analysis Of The Global Financial Crisis," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 13, issue 02, pages 1-23, June, DOI: 10.1142/S2010495218500082.
• Richard Lu & Chen-Chen Yang & Wing-Keung Wong, 2018, "Time Diversification: Perspectives From The Economic Index Of Riskiness," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 13, issue 03, pages 1-15, September, DOI: 10.1142/S2010495218500112.
• Charles-Albert Lehalle & Sophie Laruelle (ed.), 2018, "Market Microstructure in Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10739, ISBN: ARRAY(0x55703f28), March.
• Charles-Albert Lehalle & Sophie Laruelle, 2018, "Monitoring the Fragmentation at Any Scale," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Charles-Albert Lehalle & Sophie Laruelle, "Market Microstructure in Practice".
• Charles-Albert Lehalle & Sophie Laruelle, 2018, "Understanding the Stakes and the Roots of Fragmentation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Charles-Albert Lehalle & Sophie Laruelle, "Market Microstructure in Practice".
• Charles-Albert Lehalle & Sophie Laruelle, 2018, "Optimal Organizations for Optimal Trading," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Charles-Albert Lehalle & Sophie Laruelle, "Market Microstructure in Practice".
• Sung Jun Park & Ki Young Park, 2018, "Can Investors Profit from Security Analyst Recommendations?," Working papers, Yonsei University, Yonsei Economics Research Institute, number 2018rwp-131, Oct.
• Hugonnier, J.; & Pelgrin, F.; & St-Amour, P.;, 2018, "Valuing Life as an Asset, as a Statistic and at Gunpoint," Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York, number 18/20, Aug.
• Olga Almabekova Roman Kuzmich Elena Antosik, 2018, "Income Approach to Business Valuation: Russian Perspective," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 21, issue 2, pages 115-128, November, DOI: 10.2478/zireb-2018-0017.
• Davor Zorièiæ Denis Dolinar Zrinka Lovretin Golubiæ, 2018, "Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, volume 21, issue SCI, pages 43-53, December.
• Eichfelder, Sebastian & Schneider, Kerstin, 2018, "How do tax incentives affect business investment? Evidence from German bonus depreciation," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 231.
• Korkeamäki, Timo & Virk, Nader & Wang, Haizhi & Wang, Peng, 2018, "Learning Chinese? The changing investment behavior of foreign institutions in the Chinese stock market," BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT), number 19/2018.
• Faria, Gonçalo & Verona, Fabio, 2018, "The equity risk premium and the low frequency of the term spread," Bank of Finland Research Discussion Papers, Bank of Finland, number 7/2018.
• Klein, Arne C. & Pliszka, Kamil, 2018, "The time-varying impact of systematic risk factors on corporate bond spreads," Discussion Papers, Deutsche Bundesbank, number 14/2018.
• Tischer, Johannes, 2018, "Quantitative easing, portfolio rebalancing and credit growth: Micro evidence from Germany," Discussion Papers, Deutsche Bundesbank, number 20/2018.
• Gündüz, Yalin, 2018, "Mitigating counterparty risk," Discussion Papers, Deutsche Bundesbank, number 35/2018.
• Luu, Duc Thi & Lux, Thomas, 2018, "Multilayer overlaps and correlations in the bank-firm credit network of Spain," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics, number 2018-04.
• Gábor-Tóth, Enikő & Georgarakos, Dimitris, 2018, "Economic policy uncertainty and stock market participation," CFS Working Paper Series, Center for Financial Studies (CFS), number 590.
• Andonov, Aleksandar & Kräussl, Roman & Rauh, Joshua, 2018, "The subsidy to infrastructure as an asset class," CFS Working Paper Series, Center for Financial Studies (CFS), number 599.
• Horneff, Vanya & Maurer, Raimond & Mitchell, Olivia S., 2018, "Putting the pension back in 401(k) retirement plans: Optimal versus default longevity income annuities," CFS Working Paper Series, Center for Financial Studies (CFS), number 607.
• Leuz, Christian & Meyer, Steffen & Muhn, Maximilian & Soltes, Eugene & Hackethal, Andreas, 2018, "Who falls prey to the Wolf of Wall Street? Investor participation in market manipulation," CFS Working Paper Series, Center for Financial Studies (CFS), number 609.
• Das, Nandita & Chatterje, Swarn & Ruf, Bernadette & Sunder, Aman, 2018, "ESG Ratings and the Performance of Socially Responsible Mutual Funds: A Panel Study," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 17, issue 1, pages 49-57.
• Khan, Kanwal Iqbal & Ghafoor, Muhammad Mudassar & Sheeraz, Muhammad & Mahmood, Shahid, 2018, "Pay or not to Pay Dividends: Company Policy and Investor Expectations," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 7, issue 1, pages 137-157.
• Mause, Karsten, 2018, "Investitionen," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, pages 1039-1048.
• Baumöhl, Eduard, 2018, "Are cryptocurrencies connected to forex? A quantile cross-spectral approach," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 174884.
• Li, Jianbiao & Niu, Xiaofei & Li, Dahui & Cao, Qian, 2018, "Using Non-Invasive Brain Stimulation to Test the Role of Self-Control in Investor Behavior," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 177890.
• Výrost, Tomas & Lyócsa, Štefan & Baumöhl, Eduard, 2018, "Network-based asset allocation strategies," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 180063.
• Saha, Kunal, 2018, "An investigation into the dependence structure of major cryptocurrencies," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 181878.
• Gangwar, Rachna & Singh, Ritvik, 2018, "Analyzing Factors Affecting Financial Literacy and its Impact on Investment Behavior among Adults in India," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 183168.
• Chen, Xi, 2018, "Smog, Cognition and Real-World Decision Making," GLO Discussion Paper Series, Global Labor Organization (GLO), number 266.
• Bertocchi, Graziella & Brunetti, Marianna & Zaiceva, Anzelika, 2018, "The Financial Decisions of Immigrant and Native Households: Evidence from Italy," GLO Discussion Paper Series, Global Labor Organization (GLO), number 280.
• Löher, Jonas & Schneck, Stefan & Werner, Arndt, 2018, "A research note on entrepreneurs' financial commitment and crowdfunding success," Working Papers, Institut für Mittelstandsforschung (IfM) Bonn, number 03/18.
• Chaliasos, Michael & Jansson, Thomas & Karabulut, Yigitcan, 2018, "Financial literacy externalities," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 127.
• Roth, Christopher & Wohlfart, Johannes, 2018, "How do expectations about the macroeconomy affect personal expectations and behavior?," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 128.
• Goldfayn-Frank, Olga & Wohlfart, Johannes, 2018, "How do consumers adapt to a new environment in their economic forecasting? Evidence from the German reunification," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 129.
• Klein, Tony & Thu, Hien Pham & Walther, Thomas, 2018, "Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-015.
• Packham, Natalie & Papenbrock, Jochen & Schwendner, Peter & Woebbeking, Fabian, 2018, "Tail-Risk Protection Trading Strategies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-038.
• Chiu, Hsin-Yu & Chiang, Mi-Hsiu & Kuo, Wei-Yu, 2018, "Predicative Ability of Similarity-based Futures Trading Strategies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-045.
• Petukhina, Alla & Trimborn, Simon & Härdle, Wolfgang Karl & Elendner, Hermann, 2018, "Investing with cryptocurrencies - evaluating the potential of portfolio allocation strategies," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2018-058.
• Littke, Helge C. N., 2018, "Channeling the Iron Ore Super-Cycle: The role of regional bank branch networks in emerging markets," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2018.
• Littke, Helge C. N. & Ossandon Busch, Matias, 2018, "Banks fearing the drought? Liquidity hoarding as a response to idiosyncratic interbank funding dry-ups," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 12/2018.
• Müller, Carola, 2018, "Basel III capital requirements and heterogeneous banks," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 14/2018, revised 2018.
• Voigtländer, Michael, 2018, "Die Modernisierungsumlage zwischen Investitionshemmnis und Mieterüberforderung," IW policy papers, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 11/2018.
• Demary, Markus & Neligan, Adriana, 2018, "Are green bonds a viable way to finance environmental goals? An analysis of chances and risks of green bonds," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 28/2018.
• Voigtländer, Michael, 2018, "Balance halten in der Mietpreisregulierung: Stellungnahme zum Mietrechtsanpassungsgesetz (Drucksache 19/4672) sowie zu weiteren Anträgen zur Mietpreisregulierung (Drucksachen 19/2976, 19/4829, 19/4885)," IW-Reports, Institut der deutschen Wirtschaft (IW) / German Economic Institute, number 43/2018.
• Klein, Tony & Hien, Pham Thu & Walther, Thomas, 2018, "Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2018/01, DOI: 10.2139/ssrn.3146845.
• Walther, Thomas & Klein, Tony & Bouri, Elie, 2018, "Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting," QBS Working Paper Series, Queen's University Belfast, Queen's Business School, number 2018/02, DOI: 10.2139/ssrn.3192474.
• Hackethal, Andreas & Laudenbach, Christine & Meyer, Steffen & Weber, Annika, 2018, "Client involvement in expert advice: Antibiotics in finance?," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 219, DOI: 10.2139/ssrn.3178664.
• Girardi, Giulio & Hanley, Kathleen Weiss & Nikolova, Stanislava & Pelizzon, Loriana & Getmansky, Mila, 2018, "Portfolio similarity and asset liquidation in the insurance industry," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 224, DOI: 10.2139/ssrn.3239362.
• Stark, Oded, 2018, "On social preferences and the intensity of risk aversion," University of Tübingen Working Papers in Business and Economics, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics, number 105, DOI: 10.15496/publikation-23182.
• Jaspersen, Stefan & Limbach, Peter, 2018, "Knowing Me, Knowing You? Similarity to the CEO and Fund Managers' Investment Decisions," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181501.
• Hofmann, Maurice & Fehr, Hans, 2018, "Tenure Choice, Portfolio Structure and Long-term Care - Optimal Risk Management in Retirement," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181517.
• Baumann, Michael Heinrich & Herz, Bernhard & Baumann, Michaela, 2018, "Exchange-traded Funds, Investment Strategies, and Financial Stability," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181542.
• Avdiu, Besart & Gruhle, Tobias, 2018, "Contagion and Information Frictions in Emerging Markets: The Role of Joint Signals," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy, Verein für Socialpolitik / German Economic Association, number 181570.
• Eidam, Frederik, 2018, "Gap-filling government debt maturity choice," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 18-025.
• Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2018, "Factor models for portfolio selection in large dimensions: the good, the better and the ugly," ECON - Working Papers, Department of Economics - University of Zurich, number 290, Jun, revised Dec 2018.

2017

• Gregory Phelan, 2017, "Collateralized borrowing and increasing risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 63, issue 2, pages 471-502, February, DOI: 10.1007/s00199-015-0943-2.
• Thiagu Ranganathan & Usha Ananthakumar, 2017, "Hedging in Presence of Crop Yield, Crop Revenue and Rainfall Insurance," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 15, issue 1, pages 151-171, March, DOI: 10.1007/s40953-016-0041-8.
• Dirk Becherer & Klebert Kentia, 2017, "Hedging under generalized good-deal bounds and model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 86, issue 1, pages 171-214, August, DOI: 10.1007/s00186-017-0588-y.
• Simone Farinelli & Luisa Tibiletti, 2017, "Portfolio Management and Stochastic Optimization in Discrete Time: An Application to Intraday Electricity Trading and Water Values for Hydroassets," Operations Research Proceedings, Springer, in: Karl Franz Dörner & Ivana Ljubic & Georg Pflug & Gernot Tragler, "Operations Research Proceedings 2015", DOI: 10.1007/978-3-319-42902-1_85.
• Michail Chronopoulos & Verena Hagspiel & Stein-Erik Fleten, 2017, "Stepwise investment and capacity sizing under uncertainty," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., volume 39, issue 2, pages 447-472, March, DOI: 10.1007/s00291-016-0460-0.
• Grzegorz Tchorek & Michał Brzozowski & Paweł Śliwiński, 2017, "Determinants of capital flows to emerging and advanced economies between 1990 and 2011," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 16, issue 1, pages 17-48, April, DOI: 10.1007/s10258-016-0126-5.
• R. P. Brito & H. Sebastião & P. Godinho, 2017, "Portfolio choice with high frequency data: CRRA preferences and the liquidity effect," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 16, issue 2, pages 65-86, August, DOI: 10.1007/s10258-017-0131-3.
• I. Antoniadis & C. Gkasis & S. Kontsas, 2017, "Corporate Governance, Insider Trading, and Stock Returns in the Greek Technology Sector," Springer Proceedings in Business and Economics, Springer, chapter 0, in: Nicholas Tsounis & Aspasia Vlachvei, "Advances in Applied Economic Research", DOI: 10.1007/978-3-319-48454-9_46.
• Suresh Nallareddy & Maria Ogneva, 2017, "Accrual quality, skill, and the cross-section of mutual fund returns," Review of Accounting Studies, Springer, volume 22, issue 2, pages 503-542, June, DOI: 10.1007/s11142-017-9389-z.
• Gavin Cassar & Joseph Gerakos, 2017, "Do risk management practices work? Evidence from hedge funds," Review of Accounting Studies, Springer, volume 22, issue 3, pages 1084-1121, September, DOI: 10.1007/s11142-017-9403-5.
• Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2017, "Analysing the information embedded in the optimal mean–variance weights: CAPM versus Bamberg and Dorfleitner model," Review of Managerial Science, Springer, volume 11, issue 4, pages 789-814, October, DOI: 10.1007/s11846-016-0205-0.
• Manuel Ammann & Christian Ehmann, 2017, "Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, volume 153, issue 3, pages 293-339, July, DOI: 10.1007/BF03399510.
• Manuel Rupprecht & Christine Annuß, 2017, "Sparen in Zeiten niedriger Zinsen — wirtschaftspolitische Unterstützung nötig?
  [Savings in Times of Low Interest Rates — Are German Households in Need of Public Support?]," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 97, issue 2, pages 130-134, February, DOI: 10.1007/s10273-017-2095-4.
• Jun-Biao Lina & Ping-Yeh Su, 2017, "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 1, pages 1-2.
• Chongsoo An & John J. Cheh & Il-woon Kim, 2017, "Do Value Stocks Outperform Growth Stocks in the U.S. Stock Market?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 2, pages 1-7.
• Martua Eliakim Tambunan & Hermanto Siregar & Adler Haymans Manurung & Dominicus Savio Priyarsono, 2017, "Related Party Transactions and Firm Value in the Business Groups in the Indonesia Stock Exchange," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 3, pages 1-1.
• Bing Li, 2017, "Network Evolution of the Chinese Stock Market: A Study based on the CSI 300 Index," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 3, pages 1-5.
• Yujie Zhu & Tieqi Wang, 2017, "Deriving momentum strategies in Chinese stock Market: Using Gene Expression Programming," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 6, pages 1-4.
• Frieder Meyer-Bullerdiek, 2017, "Rebalancing and Diversification Return – Evidence from the German Stock Market," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 6, issue 2, pages 1-1.
• Ian McDermott & Mark Mulcahy, 2017, "Merger Arbitrage in Germany," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, volume 6, issue 2, pages 1-2.
• Vasilios Sogiakas, 2017, "Option trading for optimizing volatility forecasting," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, volume 6, issue 3, pages 1-3.
• Pietro Dindo & Jacopo Staccioli, 2017, "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2017/33, Dec.
• Jose Arreola Hernandez & Shawkat Hammoudeh & Duc Khuong Nguyen & Mazin A. M. Al Janabi & Juan Carlos Reboredo, 2017, "Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach," Applied Economics, Taylor & Francis Journals, volume 49, issue 25, pages 2409-2427, May, DOI: 10.1080/00036846.2016.1240346.
• Sofiane Aboura & Y. Eser Arisoy, 2017, "Does aggregate uncertainty explain size and value anomalies?," Applied Economics, Taylor & Francis Journals, volume 49, issue 32, pages 3214-3230, July, DOI: 10.1080/00036846.2016.1257107.
• Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo, 2017, "Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 1, pages 110-129, January, DOI: 10.1080/07350015.2015.1061436.