Research classified by Journal of Economic Literature (JEL) codes

2017

• de Bragança, Gabriel Godofredo Fiuza & Daglish, Toby, 2017, "Investing in vertical integration: electricity retail market participation," Energy Economics, Elsevier, volume 67, issue C, pages 355-365, DOI: 10.1016/j.eneco.2017.07.011.
• Da Fonseca, José & Xu, Yahua, 2017, "Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition," Energy Economics, Elsevier, volume 67, issue C, pages 410-422, DOI: 10.1016/j.eneco.2017.08.024.
• Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Al-Yahyaee, Khamis Hamed & Shahbaz, Muhammad, 2017, "Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas," Energy Economics, Elsevier, volume 67, issue C, pages 476-495, DOI: 10.1016/j.eneco.2017.08.036.
• Maghyereh, Aktham I. & Awartani, Basel & Tziogkidis, Panagiotis, 2017, "Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries," Energy Economics, Elsevier, volume 68, issue C, pages 440-453, DOI: 10.1016/j.eneco.2017.10.025.
• Ernstsen, Rune Ramsdal & Boomsma, Trine Krogh & Tegnér, Martin & Skajaa, Anders, 2017, "Hedging local volume risk using forward markets: Nordic case," Energy Economics, Elsevier, volume 68, issue C, pages 490-514, DOI: 10.1016/j.eneco.2017.10.017.
• Eom, Cheoljun & Park, Jong Won, 2017, "Effects of common factors on stock correlation networks and portfolio diversification," International Review of Financial Analysis, Elsevier, volume 49, issue C, pages 1-11, DOI: 10.1016/j.irfa.2016.11.007.
• Zarrabi, Nima & Snaith, Stuart & Coakley, Jerry, 2017, "FX technical trading rules can be profitable sometimes!," International Review of Financial Analysis, Elsevier, volume 49, issue C, pages 113-127, DOI: 10.1016/j.irfa.2016.12.010.
• Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2017, "Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest," International Review of Financial Analysis, Elsevier, volume 50, issue C, pages 1-26, DOI: 10.1016/j.irfa.2017.01.004.
• Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017, "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, volume 50, issue C, pages 52-66, DOI: 10.1016/j.irfa.2016.12.009.
• Balatti, Mirco & Brooks, Chris & Kappou, Konstantina, 2017, "Fundamental indexation revisited: New evidence on alpha," International Review of Financial Analysis, Elsevier, volume 51, issue C, pages 1-15, DOI: 10.1016/j.irfa.2017.02.010.
• Magkonis, Georgios & Tsouknidis, Dimitris A., 2017, "Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest," International Review of Financial Analysis, Elsevier, volume 52, issue C, pages 104-118, DOI: 10.1016/j.irfa.2017.05.005.
• Duxbury, Darren & Yao, Songyao, 2017, "Are investors consistent in their trading strategies? An examination of individual investor-level data," International Review of Financial Analysis, Elsevier, volume 52, issue C, pages 77-87, DOI: 10.1016/j.irfa.2017.05.001.
• Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017, "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, volume 53, issue C, pages 94-111, DOI: 10.1016/j.irfa.2017.07.007.
• Lee, Eun-Joo, 2017, "Intra- and inter-regional portfolio diversification strategies under regional market integration: Evidence from U.S. global banks," International Review of Financial Analysis, Elsevier, volume 54, issue C, pages 1-22, DOI: 10.1016/j.irfa.2017.08.001.
• Sarwar, Ghulam, 2017, "Examining the flight-to-safety with the implied volatilities," Finance Research Letters, Elsevier, volume 20, issue C, pages 118-124, DOI: 10.1016/j.frl.2016.09.015.
• Bouri, Elie & Molnár, Peter & Azzi, Georges & Roubaud, David & Hagfors, Lars Ivar, 2017, "On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?," Finance Research Letters, Elsevier, volume 20, issue C, pages 192-198, DOI: 10.1016/j.frl.2016.09.025.
• Śmiech, Sławomir & Papież, Monika, 2017, "In search of hedges and safe havens: Revisiting the relations between gold and oil in the rolling regression framework," Finance Research Letters, Elsevier, volume 20, issue C, pages 238-244, DOI: 10.1016/j.frl.2016.10.006.
• Dong, Xi & Feng, Shu & Ling, Leng & Song, Pingping, 2017, "Dynamic autocorrelation of intraday stock returns," Finance Research Letters, Elsevier, volume 20, issue C, pages 274-280, DOI: 10.1016/j.frl.2016.10.008.
• Wiafe, Osei K. & Basu, Anup K. & Chen, John, 2017, "The effects of age pension on retirement drawdown choices," Finance Research Letters, Elsevier, volume 20, issue C, pages 81-87, DOI: 10.1016/j.frl.2016.09.019.
• Liu, Bo & Mu, Congming & Yang, Jinqiang, 2017, "Dynamic agency and investment theory with time-inconsistent preferences," Finance Research Letters, Elsevier, volume 20, issue C, pages 88-95, DOI: 10.1016/j.frl.2016.09.017.
• Bruzda, Joanna, 2017, "Real and complex wavelets in asset classification: An application to the US stock market," Finance Research Letters, Elsevier, volume 21, issue C, pages 115-125, DOI: 10.1016/j.frl.2017.02.004.
• Wang, Haijun, 2017, "Robust asset pricing with stochastic hyperbolic discounting," Finance Research Letters, Elsevier, volume 21, issue C, pages 178-185, DOI: 10.1016/j.frl.2017.01.005.
• Charlin, Ventura & Cifuentes, Arturo, 2017, "On the uncertainty of art market returns," Finance Research Letters, Elsevier, volume 21, issue C, pages 186-189, DOI: 10.1016/j.frl.2016.12.005.
• Basu, Anup K. & Wiafe, Osei K., 2017, "Impact of persistent bad returns and volatility on retirement outcomes," Finance Research Letters, Elsevier, volume 21, issue C, pages 201-205, DOI: 10.1016/j.frl.2016.12.011.
• Hur, Seok-Kyun & Chung, Chune Young, 2017, "Revisiting CAPM betas in an incomplete market: Evidence from the Korean stock market," Finance Research Letters, Elsevier, volume 21, issue C, pages 241-248, DOI: 10.1016/j.frl.2016.12.018.
• Xu, Qing & Yang, Jinqiang, 2017, "Real option with liquidity constraints under secondary debt illiquidity risk market," Finance Research Letters, Elsevier, volume 21, issue C, pages 57-65, DOI: 10.1016/j.frl.2017.02.003.
• Balder, Sven & Schweizer, Nikolaus, 2017, "Risk aversion vs. the Omega ratio: Consistency results," Finance Research Letters, Elsevier, volume 21, issue C, pages 78-84, DOI: 10.1016/j.frl.2016.12.012.
• Yang, Ann Shawing & Carandang, Craig Alan Uyan, 2017, "Exploring the location and price differentials of cross-listed firms for arbitrage opportunities," Finance Research Letters, Elsevier, volume 21, issue C, pages 85-91, DOI: 10.1016/j.frl.2017.02.010.
• Zakamulin, Valeriy, 2017, "Superiority of optimized portfolios to naive diversification: Fact or fiction?," Finance Research Letters, Elsevier, volume 22, issue C, pages 122-128, DOI: 10.1016/j.frl.2016.12.007.
• Hudson, Robert & McGroarty, Frank & Urquhart, Andrew, 2017, "Sampling frequency and the performance of different types of technical trading rules," Finance Research Letters, Elsevier, volume 22, issue C, pages 136-139, DOI: 10.1016/j.frl.2016.12.015.
• Oehler, Andreas & Horn, Matthias & Wendt, Stefan, 2017, "Brexit: Short-term stock price effects and the impact of firm-level internationalization," Finance Research Letters, Elsevier, volume 22, issue C, pages 175-181, DOI: 10.1016/j.frl.2016.12.024.
• Cadoni, Marinella & Melis, Roberta & Trudda, Alessandro, 2017, "Pension funds rules: Paradoxes in risk control," Finance Research Letters, Elsevier, volume 22, issue C, pages 20-29, DOI: 10.1016/j.frl.2017.05.003.
• Laborda, Ricardo & Laborda, Juan, 2017, "Can tree-structured classifiers add value to the investor?," Finance Research Letters, Elsevier, volume 22, issue C, pages 211-226, DOI: 10.1016/j.frl.2017.06.002.
• Shi, Guangping & Liu, Xiaoxing & Zhang, Xu, 2017, "Time-varying causality between stock and housing markets in China," Finance Research Letters, Elsevier, volume 22, issue C, pages 227-232, DOI: 10.1016/j.frl.2017.06.003.
• Lee, Miyoung & Kim, Daehwan, 2017, "On the use of the Moore–Penrose generalized inverse in the portfolio optimization problem," Finance Research Letters, Elsevier, volume 22, issue C, pages 259-267, DOI: 10.1016/j.frl.2016.12.017.
• Mazur, Mieszko & Salganik-Shoshan, Galla & Zagonov, Maxim, 2017, "Comparing performance sensitivity of retail and institutional mutual funds’ investment flows," Finance Research Letters, Elsevier, volume 22, issue C, pages 66-73, DOI: 10.1016/j.frl.2016.12.031.
• Abourachid, Halim & Kubo, Alexander & Orbach, Sven, 2017, "Momentum strategies in European equity markets: Perspectives on the recent financial and European debt crises," Finance Research Letters, Elsevier, volume 23, issue C, pages 147-151, DOI: 10.1016/j.frl.2017.05.013.
• Baumöhl, Eduard & Lyócsa, Štefan, 2017, "Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis," Finance Research Letters, Elsevier, volume 23, issue C, pages 152-164, DOI: 10.1016/j.frl.2017.02.013.
• Narayan, Seema & Ur Rehman, Mobeen, 2017, "Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets," Finance Research Letters, Elsevier, volume 23, issue C, pages 223-232, DOI: 10.1016/j.frl.2017.06.007.
• Madan, Dilip B., 2017, "Efficient estimation of expected stock price returns," Finance Research Letters, Elsevier, volume 23, issue C, pages 31-38, DOI: 10.1016/j.frl.2017.08.001.
• Adesina, Tola, 2017, "Estimating volatility persistence under a Brexit-vote structural break," Finance Research Letters, Elsevier, volume 23, issue C, pages 65-68, DOI: 10.1016/j.frl.2017.03.004.

2016

• Christian Dreger & Dieter Gerdesmeier & Barbara Roffia, 2016, "Re-vitalizing Money Demand in the Euro Area: Still Valid at the Zero Lower Bound," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1606.
• Jean-Yves Gnabo & Malik Kerkour & Christelle Lecourt & Hélène Raymond-Feingold, 2016, "Understanding the Decision Making Process of Sovereign Wealth Funds: The Case of Temasek," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2016-16.
• Carl Grekou, 2016, "Does the exchange rate regime shape currency misalignments in emerging and developing countries?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2016-26.
• Lauren Stagnol, 2016, "The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2016-27.
• Francisco JAREÑO & Marta TOLENTINO & Loredana NEGRUT, 2016, "A Straightforward Analysis of Sector Portfolios in the US Stock Market," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 16, issue 1, pages 105-114.
• Hałaj, Grzegorz, 2016, "Dynamic balance sheet model with liquidity risk," Working Paper Series, European Central Bank, number 1896, Apr.
• Kok, Christoffer & Darracq Pariès, Matthieu & Hałaj, Grzegorz, 2016, "Bank capital structure and the credit channel of central bank asset purchases," Working Paper Series, European Central Bank, number 1916, Jun.
• Radde, Sören & Cui, Wei, 2016, "Search-based endogenous asset liquidity and the macroeconomy," Working Paper Series, European Central Bank, number 1917, Jun.
• Ari, Anil & Darracq Pariès, Matthieu & Kok, Christoffer & Żochowski, Dawid, 2016, "When shadows grow longer: shadow banking with endogenous entry," Working Paper Series, European Central Bank, number 1943, Aug.
• Darracq Pariès, Matthieu & Kühl, Michael, 2016, "The optimal conduct of central bank asset purchases," Working Paper Series, European Central Bank, number 1973, Nov.
• Andreeva, Desislava & Vlassopoulos, Thomas, 2016, "Home bias in bank sovereign bond purchases and the bank-sovereign nexus," Working Paper Series, European Central Bank, number 1977, Nov.
• Ben-David, Itzhak & Birru, Justin & Rossi, Andrea, 2016, "Trading Skill: Evidence from Trades of Corporate Insiders in Their Personal Portfolios," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-08, Mar.
• Nadauld, Taylor & Sensoy, Berk A. & Vorkink, Keith & Weisbach, Michael S., 2016, "The Liquidity Cost of Private Equity Investments: Evidence from Secondary Market Transactions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-11, Jun.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2016, "Why Does Idiosyncratic Risk Increase with Market Risk?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-13, Jul.
• Cavagnaro, Daniel R. & Sensoy, Berk A. & Wang, Yingdi & Weisbach, Michael S., 2016, "Measuring Institutional Investors' Skill from Their Investments in Private Equity," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-14, Aug.
• Zhang, Shaojun, 2016, "Limited Risk Sharing and International Equity Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-25, Nov.
• Minton, Bernadette A. & Schrand, Catherine M., 2016, "Institutional Investments in Pure Play Stocks and Implications for Hedging Decisions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-3, Jan.
• Lee, Charles M. C. & So, Eric C., 2016, "Uncovering Expected Returns: Information in Analyst Coverage Proxies," Research Papers, Stanford University, Graduate School of Business, number 3367, Jan.
• He, Zhiguo & Krishnamurthy, Arvind & Milbradt, Konstantin, 2016, "What Makes US Government Bonds Safe Assets?," Research Papers, Stanford University, Graduate School of Business, number 3421, Jan.
• Brunnermeier, Markus K. & Sannikov, Yuliy, 2016, "The I Theory of Money," Research Papers, Stanford University, Graduate School of Business, number 3431, Jan.
• Monira Essa Aloud, 2016, "Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 1, pages 55-64.
• Mustabsar Awais & M. Fahad Laber & Nilofer Rasheed & Aisha Khursheed, 2016, "Impact of Financial Literacy and Investment Experience on Risk Tolerance and Investment Decisions: Empirical Evidence from Pakistan," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 1, pages 73-79.
• Monira Essa Aloud, 2016, "Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 1, pages 87-95.
• Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016, "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 551-561.
• Sulaiman Mouselli & Hazem Al-Samman, 2016, "An Examination of the Month-of-the-year Effect at Damascus Securities Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 573-577.
• Georgios Kyriazopoulos, 2016, "Wealth Effects from Banks Mergers and Acquisitions in Eastern Europe," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 588-595.
• E.M. Afsal & Mohammad Imdadul Haque, 2016, "Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 3, pages 1025-1034.
• Charles O. Manasseh & Chukwuka Kenneth Ozuzu & Jonathan E. Ogbuabor, 2016, "Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1474-1490.
• Massimo Mariani & Paola Amoruso, 2016, "The Effectiveness of Catastrophe Bonds in Portfolio Diversification," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1760-1767.
• Prashant Sharma & Prashant Gupta & Anurag Singh, 2016, "Pricing Ability of Four Factor Model using Quantile Regression: Evidences from India," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1815-1826.
• Kwame Osei-Assibey, 2016, "Price of Political Uncertainty: Evidence from Ghanaian Treasury Bills," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1827-1834.
• Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016, "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1884-1894.
• Öykü YÜCEL, 2016, "BÝST Endekslerinin Risk Temelli Performans Karþýlaþtýrmasý," Isletme ve Iktisat Calismalari Dergisi, Econjournals, volume 4, issue 4, pages 151-164.
• Ayben KOY & Güldenur ÇETÝN, 2016, "Metal Vadeli Ýþlem Piyasalarý ve Doðrusal Olmayan Dinamikleri," Isletme ve Iktisat Calismalari Dergisi, Econjournals, volume 4, issue 4, pages 165-176.
• Baur, Dirk G. & McDermott, Thomas K.J., 2016, "Why is gold a safe haven?," Journal of Behavioral and Experimental Finance, Elsevier, volume 10, issue C, pages 63-71, DOI: 10.1016/j.jbef.2016.03.002.
• Dichtl, Hubert & Drobetz, Wolfgang & Kryzanowski, Lawrence, 2016, "Timing the stock market: Does it really make no sense?," Journal of Behavioral and Experimental Finance, Elsevier, volume 10, issue C, pages 88-104, DOI: 10.1016/j.jbef.2016.03.005.
• Best, Michael J. & Grauer, Robert R., 2016, "Prospect theory and portfolio selection," Journal of Behavioral and Experimental Finance, Elsevier, volume 11, issue C, pages 13-17, DOI: 10.1016/j.jbef.2016.05.002.
• Lawal, Tolulola, 2016, "Clustering of annual general meetings and stock returns: UK evidence," Journal of Behavioral and Experimental Finance, Elsevier, volume 11, issue C, pages 9-12, DOI: 10.1016/j.jbef.2016.05.001.
• Kiymaz, Halil & Öztürkkal, Belma & Akkemik, K. Ali, 2016, "Behavioral biases of finance professionals: Turkish evidence," Journal of Behavioral and Experimental Finance, Elsevier, volume 12, issue C, pages 101-111, DOI: 10.1016/j.jbef.2016.10.001.
• Hoffmann, Arvid O.I. & Post, Thomas, 2016, "How does investor confidence lead to trading? Linking investor return experiences, confidence, and investment beliefs," Journal of Behavioral and Experimental Finance, Elsevier, volume 12, issue C, pages 65-78, DOI: 10.1016/j.jbef.2016.09.003.
• Warsame, Mohammed Hersi & Ireri, Edward Mugambi, 2016, "Does the theory of planned behaviour (TPB) matter in Sukuk investment decisions?," Journal of Behavioral and Experimental Finance, Elsevier, volume 12, issue C, pages 93-100, DOI: 10.1016/j.jbef.2016.10.002.
• Yang, Xiaolan & Zhu, Li, 2016, "Ambiguity vs risk: An experimental study of overconfidence, gender and trading activity," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 125-131, DOI: 10.1016/j.jbef.2016.01.003.
• Fasano, Antonio & Galloppo, Giuseppe, 2016, "Emerging market active managers: Skilled or stubborn?," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 132-135, DOI: 10.1016/j.jbef.2015.11.001.
• Zaremba, Adam, 2016, "Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 136-163, DOI: 10.1016/j.jbef.2015.11.007.
• Almamy, Jeehan & Aston, John & Ngwa, Leonard N., 2016, "An evaluation of Altman's Z-score using cash flow ratio to predict corporate failure amid the recent financial crisis: Evidence from the UK," Journal of Corporate Finance, Elsevier, volume 36, issue C, pages 278-285, DOI: 10.1016/j.jcorpfin.2015.12.009.
• Clarke, Jonathan & Khurshed, Arif & Pande, Alok & Singh, Ajai K., 2016, "Sentiment traders & IPO initial returns: The Indian evidence," Journal of Corporate Finance, Elsevier, volume 37, issue C, pages 24-37, DOI: 10.1016/j.jcorpfin.2015.10.007.
• Kryzanowski, Lawrence & Mohebshahedin, Mahmood, 2016, "Board governance, monetary interest, and closed-end fund performance," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 196-217, DOI: 10.1016/j.jcorpfin.2016.01.010.
• Ayash, Brian & Schütt, Harm, 2016, "Does going private add value through operating improvements?," Journal of Corporate Finance, Elsevier, volume 40, issue C, pages 192-215, DOI: 10.1016/j.jcorpfin.2016.07.015.
• Carosi, Andrea, 2016, "Do local causations matter? The effect of firm location on the relations of ROE, R&D, and firm SIZE with MARKET-TO-BOOK," Journal of Corporate Finance, Elsevier, volume 41, issue C, pages 388-409, DOI: 10.1016/j.jcorpfin.2016.10.008.
• de Quidt, Jonathan & Fetzer, Thiemo & Ghatak, Maitreesh, 2016, "Group lending without joint liability," Journal of Development Economics, Elsevier, volume 121, issue C, pages 217-236, DOI: 10.1016/j.jdeveco.2014.11.006.
• Cong, F. & Oosterlee, C.W., 2016, "Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, volume 64, issue C, pages 23-38, DOI: 10.1016/j.jedc.2016.01.001.
• Tian, Yuan, 2016, "Optimal capital structure and investment decisions under time-inconsistent preferences," Journal of Economic Dynamics and Control, Elsevier, volume 65, issue C, pages 83-104, DOI: 10.1016/j.jedc.2016.02.001.
• Desmettre, Sascha & Seifried, Frank Thomas, 2016, "Optimal asset allocation with fixed-term securities," Journal of Economic Dynamics and Control, Elsevier, volume 66, issue C, pages 1-19, DOI: 10.1016/j.jedc.2016.03.001.
• Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016, "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, volume 69, issue C, pages 152-178, DOI: 10.1016/j.jedc.2016.05.010.
• Gliksberg, Baruch, 2016, "Equilibria under monetary and fiscal policy interactions in a portfolio choice model," Journal of Economic Dynamics and Control, Elsevier, volume 69, issue C, pages 209-228, DOI: 10.1016/j.jedc.2016.05.014.
• Liu, Xuan & Yang, Fang & Cai, Zongwu, 2016, "Does relative risk aversion vary with wealth? Evidence from households׳ portfolio choice data," Journal of Economic Dynamics and Control, Elsevier, volume 69, issue C, pages 229-248, DOI: 10.1016/j.jedc.2016.05.015.
• Li, Bin & Li, Danping & Xiong, Dewen, 2016, "Alpha-robust mean-variance reinsurance-investment strategy," Journal of Economic Dynamics and Control, Elsevier, volume 70, issue C, pages 101-123, DOI: 10.1016/j.jedc.2016.07.001.
• Ben Abdallah, Skander & Lasserre, Pierre, 2016, "Asset retirement with infinitely repeated alternative replacements: Harvest age and species choice in forestry," Journal of Economic Dynamics and Control, Elsevier, volume 70, issue C, pages 144-164, DOI: 10.1016/j.jedc.2016.07.008.
• Cong, F. & Oosterlee, C.W., 2016, "On pre-commitment aspects of a time-consistent strategy for a mean-variance investor," Journal of Economic Dynamics and Control, Elsevier, volume 70, issue C, pages 178-193, DOI: 10.1016/j.jedc.2016.07.010.
• Peijnenburg, Kim & Nijman, Theo & Werker, Bas J.M., 2016, "The annuity puzzle remains a puzzle," Journal of Economic Dynamics and Control, Elsevier, volume 70, issue C, pages 18-35, DOI: 10.1016/j.jedc.2016.05.023.
• Ewald, Christian-Oliver & Zhang, Hai, 2016, "Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk," Journal of Economic Dynamics and Control, Elsevier, volume 71, issue C, pages 45-59, DOI: 10.1016/j.jedc.2016.07.007.
• Gormus, N. Alper & Atinc, Guclu, 2016, "Volatile oil and the U.S. economy," Economic Analysis and Policy, Elsevier, volume 50, issue C, pages 62-73, DOI: 10.1016/j.eap.2016.02.001.
• Hentati-Kaffel, R. & Prigent, J.-L., 2016, "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, volume 52, issue PA, pages 115-124, DOI: 10.1016/j.econmod.2015.02.021.
• Bertrand, Philippe & Prigent, Jean-luc, 2016, "Equilibrium of financial derivative markets under portfolio insurance constraints," Economic Modelling, Elsevier, volume 52, issue PA, pages 278-291, DOI: 10.1016/j.econmod.2014.10.009.
• Switzer, Lorne N. & Picard, Alan, 2016, "Stock market liquidity and economic cycles: A non-linear approach," Economic Modelling, Elsevier, volume 57, issue C, pages 106-119, DOI: 10.1016/j.econmod.2016.04.006.
• Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016, "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, volume 57, issue C, pages 36-46, DOI: 10.1016/j.econmod.2016.04.014.
• Chang, Guang-Di & Cheng, Po-Ching, 2016, "Evidence of cross-asset contagion in U.S. markets," Economic Modelling, Elsevier, volume 58, issue C, pages 219-226, DOI: 10.1016/j.econmod.2016.05.014.
• Eraslan, Sercan, 2016, "Safe-haven demand for housing in London," Economic Modelling, Elsevier, volume 58, issue C, pages 482-493, DOI: 10.1016/j.econmod.2015.12.022.
• Pouliot, William, 2016, "Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry," Economic Modelling, Elsevier, volume 58, issue C, pages 523-534, DOI: 10.1016/j.econmod.2016.03.011.
• Amédée-Manesme, Charles-Olivier & Barthélémy, Fabrice & Prigent, Jean-Luc, 2016, "Real estate investment: Market volatility and optimal holding period under risk aversion," Economic Modelling, Elsevier, volume 58, issue C, pages 543-555, DOI: 10.1016/j.econmod.2015.10.033.
• Legendre, François & Togola, Djibril, 2016, "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Economic Modelling, Elsevier, volume 58, issue C, pages 627-641, DOI: 10.1016/j.econmod.2016.03.029.
• Feng, Xunan & Chan, Kam C., 2016, "Information advantage, short sales, and stock returns: Evidence from short selling reform in China," Economic Modelling, Elsevier, volume 59, issue C, pages 131-142, DOI: 10.1016/j.econmod.2016.07.007.
• Soumaré, Issouf & Lai, Van Son, 2016, "An analysis of government loan guarantees and direct investment through public-private partnerships," Economic Modelling, Elsevier, volume 59, issue C, pages 508-519, DOI: 10.1016/j.econmod.2016.08.012.
• Chen, Chen & Lee, Hsiu-Chuan & Liao, Tzu-Hsiang, 2016, "Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 203-225, DOI: 10.1016/j.najef.2015.10.010.
• Chen, Hsuan-Chi & Lai, Christine W. & Wu, Sheng-Ching, 2016, "Mutual fund selection and performance persistence in 401(k) Plans," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 78-100, DOI: 10.1016/j.najef.2015.10.004.
• Matallín-Sáez, Juan Carlos & Soler-Domínguez, Amparo & Tortosa-Ausina, Emili, 2016, "On the robustness of persistence in mutual fund performance," The North American Journal of Economics and Finance, Elsevier, volume 36, issue C, pages 192-231, DOI: 10.1016/j.najef.2016.01.002.
• Tsai, I-Chun, 2016, "Wealth effect and investor sentiment," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 111-123, DOI: 10.1016/j.najef.2016.09.001.
• Ayadi, Mohamed A. & Chaibi, Anis & Kryzanowski, Lawrence, 2016, "Performance of Canadian hybrid mutual funds," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 124-147, DOI: 10.1016/j.najef.2016.09.003.
• Tian, Shuairu & Hamori, Shigeyuki, 2016, "Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 163-171, DOI: 10.1016/j.najef.2016.09.004.
• Asano, Koji, 2016, "Reputation acquisition in imperfect financial markets," Economics Letters, Elsevier, volume 139, issue C, pages 76-78, DOI: 10.1016/j.econlet.2016.01.001.
• Boermans, Martijn Adriaan & Frost, Jon & Steins Bisschop, Sophie, 2016, "European bond markets: Do illiquidity and concentration aggravate price shocks?," Economics Letters, Elsevier, volume 141, issue C, pages 143-146, DOI: 10.1016/j.econlet.2016.02.023.
• Berlemann, Michael & Salland, Jan, 2016, "The Joneses’ income and debt market participation: Empirical evidence from bank account data," Economics Letters, Elsevier, volume 142, issue C, pages 6-9, DOI: 10.1016/j.econlet.2016.02.030.
• Choi, Sujung, 2016, "Herding among local individual investors: Evidence from online and offline trading," Economics Letters, Elsevier, volume 144, issue C, pages 4-6, DOI: 10.1016/j.econlet.2016.04.030.
• Bannier, Christina E. & Neubert, Milena, 2016, "Gender differences in financial risk taking: The role of financial literacy and risk tolerance," Economics Letters, Elsevier, volume 145, issue C, pages 130-135, DOI: 10.1016/j.econlet.2016.05.033.
• Alper Gormus, N., 2016, "Do different time-horizons in volatility have any significance for the emerging markets?," Economics Letters, Elsevier, volume 145, issue C, pages 29-32, DOI: 10.1016/j.econlet.2016.04.035.
• Lee, Daeyong, 2016, "Effects of dependent coverage mandate on household precautionary savings: Evidence from the 2010 Affordable Care Act," Economics Letters, Elsevier, volume 147, issue C, pages 32-37, DOI: 10.1016/j.econlet.2016.08.002.
• Dumitrescu, Ariadna & Gil-Bazo, Javier, 2016, "Information and investment under uncertainty," Economics Letters, Elsevier, volume 148, issue C, pages 17-22, DOI: 10.1016/j.econlet.2016.08.043.
• Liu, Bo & Lu, Lei & Mu, Congming & Yang, Jinqiang, 2016, "Time-inconsistent preferences, investment and asset pricing," Economics Letters, Elsevier, volume 148, issue C, pages 48-52, DOI: 10.1016/j.econlet.2016.09.015.
• Ibragimov, Rustam & Prokhorov, Artem, 2016, "Heavy tails and copulas: Limits of diversification revisited," Economics Letters, Elsevier, volume 149, issue C, pages 102-107, DOI: 10.1016/j.econlet.2016.10.024.
• Maller, Ross & Roberts, Steven & Tourky, Rabee, 2016, "The large-sample distribution of the maximum Sharpe ratio with and without short sales," Journal of Econometrics, Elsevier, volume 194, issue 1, pages 138-152, DOI: 10.1016/j.jeconom.2016.04.003.
• Mykland, Per A. & Zhang, Lan, 2016, "Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 242-262, DOI: 10.1016/j.jeconom.2016.05.005.
• Sensoy, Ahmet & Eraslan, Veysel & Erturk, Mutahhar, 2016, "Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe," Economic Systems, Elsevier, volume 40, issue 4, pages 552-567, DOI: 10.1016/j.ecosys.2016.02.003.
• van den Bremer, Ton & van der Ploeg, Frederick & Wills, Samuel, 2016, "The Elephant In The Ground: Managing Oil And Sovereign Wealth," European Economic Review, Elsevier, volume 82, issue C, pages 113-131, DOI: 10.1016/j.euroecorev.2015.10.005.
• Cociuba, Simona E. & Shukayev, Malik & Ueberfeldt, Alexander, 2016, "Collateralized borrowing and risk taking at low interest rates," European Economic Review, Elsevier, volume 85, issue C, pages 62-83, DOI: 10.1016/j.euroecorev.2016.02.005.
• Guastaroba, G. & Mansini, R. & Ogryczak, W. & Speranza, M.G., 2016, "Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem," European Journal of Operational Research, Elsevier, volume 251, issue 3, pages 938-956, DOI: 10.1016/j.ejor.2015.11.037.
• Neaime, Simon, 2016, "Financial crises and contagion vulnerability of MENA stock markets," Emerging Markets Review, Elsevier, volume 27, issue C, pages 14-35, DOI: 10.1016/j.ememar.2016.03.002.
• Deng, Qi & Zhou, Zhong-guo, 2016, "Overreaction in ChiNext IPOs' initial returns: How much and what caused it?," Emerging Markets Review, Elsevier, volume 29, issue C, pages 82-103, DOI: 10.1016/j.ememar.2016.08.012.
• Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016, "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 110-135, DOI: 10.1016/j.jempfin.2015.10.004.
• Lepori, Gabriele M., 2016, "Air pollution and stock returns: Evidence from a natural experiment," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 25-42, DOI: 10.1016/j.jempfin.2015.10.008.
• Cejnek, Georg & Randl, Otto, 2016, "Risk and return of short-duration equity investments," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 181-198, DOI: 10.1016/j.jempfin.2016.01.017.
• Aboulamer, Anas & Kryzanowski, Lawrence, 2016, "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 20-36, DOI: 10.1016/j.jempfin.2016.02.005.
• Karagiannidis, Iordanis & Vozlyublennaia, Nadia, 2016, "Limits to mutual funds' ability to rely on mean/variance optimization," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 282-292, DOI: 10.1016/j.jempfin.2016.01.008.
• Luik, Marc-André & Steinhardt, Max Friedrich, 2016, "Immigrant-native differences in stockholding – The role of cognitive and non-cognitive skills," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 103-119, DOI: 10.1016/j.jempfin.2016.05.008.
• Paya, Ivan & Wang, Peng, 2016, "Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 221-235, DOI: 10.1016/j.jempfin.2016.07.003.
• Peñaranda, Francisco & Sentana, Enrique, 2016, "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 762-785, DOI: 10.1016/j.jempfin.2016.03.008.
• Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2016, "Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk," Energy Economics, Elsevier, volume 54, issue C, pages 159-172, DOI: 10.1016/j.eneco.2015.11.003.
• Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016, "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, volume 57, issue C, pages 128-139, DOI: 10.1016/j.eneco.2016.05.004.
• Nagayev, Ruslan & Disli, Mustafa & Inghelbrecht, Koen & Ng, Adam, 2016, "On the dynamic links between commodities and Islamic equity," Energy Economics, Elsevier, volume 58, issue C, pages 125-140, DOI: 10.1016/j.eneco.2016.06.011.
• Inzunza, Andrés & Moreno, Rodrigo & Bernales, Alejandro & Rudnick, Hugh, 2016, "CVaR constrained planning of renewable generation with consideration of system inertial response, reserve services and demand participation," Energy Economics, Elsevier, volume 59, issue C, pages 104-117, DOI: 10.1016/j.eneco.2016.07.020.
• Zhang, M.M. & Zhou, P. & Zhou, D.Q., 2016, "A real options model for renewable energy investment with application to solar photovoltaic power generation in China," Energy Economics, Elsevier, volume 59, issue C, pages 213-226, DOI: 10.1016/j.eneco.2016.07.028.
• Zhang, Dayong & Cao, Hong & Zou, Peijiang, 2016, "Exuberance in China's renewable energy investment: Rationality, capital structure and implications with firm level evidence," Energy Policy, Elsevier, volume 95, issue C, pages 468-478, DOI: 10.1016/j.enpol.2015.12.005.
• Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016, "The Christmas effect—Special dividend announcements," International Review of Financial Analysis, Elsevier, volume 43, issue C, pages 15-30, DOI: 10.1016/j.irfa.2015.10.004.
• Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2016, "Recent advances in hedge funds' performance attribution: Performance persistence and fundamental factors," International Review of Financial Analysis, Elsevier, volume 43, issue C, pages 48-61, DOI: 10.1016/j.irfa.2015.11.001.
• Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2016, "Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures," International Review of Financial Analysis, Elsevier, volume 43, issue C, pages 96-114, DOI: 10.1016/j.irfa.2015.09.004.
• Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016, "Another January effect—Evidence from stock split announcements," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 123-138, DOI: 10.1016/j.irfa.2016.01.007.
• Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016, "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 162-176, DOI: 10.1016/j.irfa.2016.01.016.
• O'Hagan-Luff, Martha & Berrill, Jenny, 2016, "US firms – How global are they? A longitudinal study," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 205-216, DOI: 10.1016/j.irfa.2016.01.021.
• Boako, Gideon & Alagidede, Paul, 2016, "Global commodities and African stocks: A ‘market of one?’," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 226-237, DOI: 10.1016/j.irfa.2016.02.009.
• Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2016, "UK equity mutual fund alphas make a comeback," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 98-110, DOI: 10.1016/j.irfa.2016.01.004.
• Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016, "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 31-38, DOI: 10.1016/j.irfa.2016.01.019.
• Oehler, Andreas & Horn, Matthias & Wendt, Stefan, 2016, "Benefits from social trading? Empirical evidence for certificates on wikifolios," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 202-210, DOI: 10.1016/j.irfa.2016.05.007.
• Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016, "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 239-256, DOI: 10.1016/j.irfa.2015.11.013.
• Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2016, "Risk-return trade-off for European stock markets," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 84-103, DOI: 10.1016/j.irfa.2016.03.018.
• Fletcher, Jonathan & Basu, Devraj, 2016, "An examination of the benefits of dynamic trading strategies in U.K. closed-end funds," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 109-118, DOI: 10.1016/j.irfa.2016.04.012.
• Olkhov, Victor, 2016, "On Economic Space notion," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 372-381, DOI: 10.1016/j.irfa.2016.01.001.
• Dang, Ha V. & Lin, Mi, 2016, "Herd mentality in the stock market: On the role of idiosyncratic participants with heterogeneous information," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 247-260, DOI: 10.1016/j.irfa.2016.10.005.
• Li, Lingxiang, 2016, "New findings on repurchase anomaly — The first-month effect," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 331-349, DOI: 10.1016/j.irfa.2015.05.023.
• Antonakakis, Nikolaos & Floros, Christos & Kizys, Renatas, 2016, "Dynamic spillover effects in futures markets: UK and US evidence," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 406-418, DOI: 10.1016/j.irfa.2015.03.008.
• Jang, Bong-Gyu & Lee, Ho-Seok, 2016, "Retirement with risk aversion change and borrowing constraints," Finance Research Letters, Elsevier, volume 16, issue C, pages 112-124, DOI: 10.1016/j.frl.2015.10.003.
• Sensoy, Ahmet, 2016, "Commonality in liquidity: Effects of monetary policy and macroeconomic announcements," Finance Research Letters, Elsevier, volume 16, issue C, pages 125-131, DOI: 10.1016/j.frl.2015.10.021.
• Dyhrberg, Anne Haubo, 2016, "Hedging capabilities of bitcoin. Is it the virtual gold?," Finance Research Letters, Elsevier, volume 16, issue C, pages 139-144, DOI: 10.1016/j.frl.2015.10.025.
• Park, Heungju & Sohn, Bumjean, 2016, "Long-term perspective on the stock market matters in asset pricing," Finance Research Letters, Elsevier, volume 16, issue C, pages 162-170, DOI: 10.1016/j.frl.2015.10.022.
• Lesser, Kathrin & Rößle, Felix & Walkshäusl, Christian, 2016, "Socially responsible, green, and faith-based investment strategies: Screening activity matters!," Finance Research Letters, Elsevier, volume 16, issue C, pages 171-178, DOI: 10.1016/j.frl.2015.11.001.
• Lim, Byung Hwa & Kwak, Minsuk, 2016, "Bequest motive and incentive to retire: Consumption, investment, retirement, and life insurance strategies," Finance Research Letters, Elsevier, volume 16, issue C, pages 19-27, DOI: 10.1016/j.frl.2015.10.018.
• Soler-Domínguez, Amparo & Matallín-Sáez, Juan Carlos, 2016, "Socially (ir)responsible investing? The performance of the VICEX Fund from a business cycle perspective," Finance Research Letters, Elsevier, volume 16, issue C, pages 190-195, DOI: 10.1016/j.frl.2015.11.003.
• Guo, Biao & Xiao, Yugu, 2016, "A note on why doesn't the choice of performance measure matter?," Finance Research Letters, Elsevier, volume 16, issue C, pages 248-254, DOI: 10.1016/j.frl.2015.12.001.
• Buchner, Axel & Wagner, Niklas, 2016, "The betting against beta anomaly: Fact or fiction?," Finance Research Letters, Elsevier, volume 16, issue C, pages 283-289, DOI: 10.1016/j.frl.2015.12.010.
• Castañeda, Pablo & Devoto, Benjamín, 2016, "On the structural estimation of an optimal portfolio rule," Finance Research Letters, Elsevier, volume 16, issue C, pages 290-300, DOI: 10.1016/j.frl.2015.12.012.
• Chen, An-Sing & Yang, Wayne, 2016, "Echo effects and the returns from 52-week high strategies," Finance Research Letters, Elsevier, volume 16, issue C, pages 38-46, DOI: 10.1016/j.frl.2015.10.015.
• de Paulo, Wanderlei Lima & de Oliveira, Estela Mara & do Valle Costa, Oswaldo Luiz, 2016, "Enhanced index tracking optimal portfolio selection," Finance Research Letters, Elsevier, volume 16, issue C, pages 93-102, DOI: 10.1016/j.frl.2015.10.005.
• Rivieccio, Giorgia & De Luca, Giovanni, 2016, "Copula function approaches for the analysis of serial and cross dependence in stock returns," Finance Research Letters, Elsevier, volume 17, issue C, pages 55-61, DOI: 10.1016/j.frl.2016.01.006.
• Boermans, Martijn A. & Vermeulen, Robert, 2016, "Newton meets Van Leeuwenhoek: Identifying international investors’ common currency preferences," Finance Research Letters, Elsevier, volume 17, issue C, pages 62-65, DOI: 10.1016/j.frl.2016.01.005.
• Fong, Wai Mun, 2016, "Stochastic dominance and the omega ratio," Finance Research Letters, Elsevier, volume 17, issue C, pages 7-9, DOI: 10.1016/j.frl.2015.10.026.
• Kourtis, Apostolos, 2016, "The Sharpe ratio of estimated efficient portfolios," Finance Research Letters, Elsevier, volume 17, issue C, pages 72-78, DOI: 10.1016/j.frl.2016.01.009.
• Alkhareif, Ryadh, 2016, "Are there significant premiums in the Saudi stock market?," Finance Research Letters, Elsevier, volume 18, issue C, pages 108-115, DOI: 10.1016/j.frl.2016.04.007.
• Jang, Bong-Gyu & Park, Seyoung, 2016, "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, volume 18, issue C, pages 158-176, DOI: 10.1016/j.frl.2016.04.013.
• Frömmel, Michael & Lampaert, Kevin, 2016, "Does frequency matter for intraday technical trading?," Finance Research Letters, Elsevier, volume 18, issue C, pages 177-183, DOI: 10.1016/j.frl.2016.04.014.
• Moreno, Antonio & Orlando, James & Redin, Dulce M., 2016, "The macro-finance environment and asset allocation: A simultaneous equation approach," Finance Research Letters, Elsevier, volume 18, issue C, pages 199-204, DOI: 10.1016/j.frl.2016.04.017.
• Ji, Xiuqing, 2016, "Momentum: Further Evidence from Australia," Finance Research Letters, Elsevier, volume 18, issue C, pages 234-236, DOI: 10.1016/j.frl.2016.04.021.
• Rubtsov, Alexey, 2016, "Model misspecification and pricing of illiquid claims," Finance Research Letters, Elsevier, volume 18, issue C, pages 242-249, DOI: 10.1016/j.frl.2016.04.023.
• Chen, Chien-Hua & Su, Xuan-Qi & Lin, Jun-Biao, 2016, "The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan," Finance Research Letters, Elsevier, volume 18, issue C, pages 263-272, DOI: 10.1016/j.frl.2016.04.026.
• Gan, Liu & Luo, Pengfei & Yang, Zhaojun, 2016, "Real option, debt maturity and equity default swaps under negotiation," Finance Research Letters, Elsevier, volume 18, issue C, pages 278-284, DOI: 10.1016/j.frl.2016.04.028.
• Boako, Gideon & Alagidede, Paul, 2016, "African stock markets convergence: Regional and global analysis," Finance Research Letters, Elsevier, volume 18, issue C, pages 317-321, DOI: 10.1016/j.frl.2016.05.007.
• Erragragui, Elias & Lagoarde-Segot, Thomas, 2016, "Solving the SRI puzzle? A note on the mainstreaming of ethical investment," Finance Research Letters, Elsevier, volume 18, issue C, pages 32-42, DOI: 10.1016/j.frl.2016.03.018.
• Li, Ping & Han, Yingwei & Xia, Yong, 2016, "Portfolio optimization using asymmetry robust mean absolute deviation model," Finance Research Letters, Elsevier, volume 18, issue C, pages 353-362, DOI: 10.1016/j.frl.2016.05.014.
• Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2016, "Portfolio selection with conservative short-selling," Finance Research Letters, Elsevier, volume 18, issue C, pages 363-369, DOI: 10.1016/j.frl.2016.05.015.