Research classified by Journal of Economic Literature (JEL) codes

2015

• Bertrand, Philippe & Lapointe, Vincent, 2015, "How performance of risk-based strategies is modified by socially responsible investment universe?," International Review of Financial Analysis, Elsevier, volume 38, issue C, pages 175-190, DOI: 10.1016/j.irfa.2014.11.009.
• Dichtl, Hubert & Drobetz, Wolfgang, 2015, "Sell in May and Go Away: Still good advice for investors?," International Review of Financial Analysis, Elsevier, volume 38, issue C, pages 29-43, DOI: 10.1016/j.irfa.2014.09.007.
• Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015, "Focusing on the worst state for robust investing," International Review of Financial Analysis, Elsevier, volume 39, issue C, pages 19-31, DOI: 10.1016/j.irfa.2015.02.001.
• Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015, "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, volume 39, issue C, pages 7-18, DOI: 10.1016/j.irfa.2015.01.015.
• Lee, Boram & Rosenthal, Leonard & Veld, Chris & Veld-Merkoulova, Yulia, 2015, "Stock market expectations and risk aversion of individual investors," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 122-131, DOI: 10.1016/j.irfa.2015.05.011.
• Leite, Paulo & Cortez, Maria Céu, 2015, "Performance of European socially responsible funds during market crises: Evidence from France," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 132-141, DOI: 10.1016/j.irfa.2015.05.012.
• Hudson, Robert & Urquhart, Andrew, 2015, "War and stock markets: The effect of World War Two on the British stock market," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 166-177, DOI: 10.1016/j.irfa.2015.05.015.
• Bohl, Martin T. & Kaufmann, Philipp & Siklos, Pierre L., 2015, "What drove the mid-2000s explosiveness in alternative energy stock prices? Evidence from U.S., European and global indices," International Review of Financial Analysis, Elsevier, volume 40, issue C, pages 194-206, DOI: 10.1016/j.irfa.2015.05.018.
• Jenwittayaroje, Nattawut & Charoenwong, Charlie & Ding, David K. & Yang, Yung Chiang, 2015, "Trading costs on the Stock Exchange of Thailand," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 31-40, DOI: 10.1016/j.irfa.2015.05.008.
• Bredin, Don & Conlon, Thomas & Potì, Valerio, 2015, "Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 320-328, DOI: 10.1016/j.irfa.2015.01.010.
• Białkowski, Jędrzej & Bohl, Martin T. & Stephan, Patrick M. & Wisniewski, Tomasz P., 2015, "The gold price in times of crisis," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 329-339, DOI: 10.1016/j.irfa.2014.07.001.
• Ramiah, Vikash & Xu, Xiaoming & Moosa, Imad A., 2015, "Neoclassical finance, behavioral finance and noise traders: A review and assessment of the literature," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 89-100, DOI: 10.1016/j.irfa.2015.05.021.
• Palaiodimos, George & Tzavalis, Elias, 2015, "The EMU effects on asset market holdings and the recent financial crisis," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 153-161, DOI: 10.1016/j.irfa.2015.04.003.
• Echterling, F. & Eierle, B. & Ketterer, S., 2015, "A review of the literature on methods of computing the implied cost of capital," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 235-252, DOI: 10.1016/j.irfa.2015.08.001.
• López, Raquel, 2015, "Do stylized facts of equity-based volatility indices apply to fixed-income volatility indices? Evidence from the US Treasury market," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 292-303, DOI: 10.1016/j.irfa.2015.08.005.
• Switzer, Lorne N. & Tahaoglu, Cagdas, 2015, "The benefits of international diversification: market development, corporate governance, market cap, and structural change effects," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 76-97, DOI: 10.1016/j.irfa.2014.11.010.
• Hoang, Thi-Hong-Van & Lean, Hooi Hooi & Wong, Wing-Keung, 2015, "Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange," International Review of Financial Analysis, Elsevier, volume 42, issue C, pages 98-108, DOI: 10.1016/j.irfa.2014.11.020.
• Eun, Cheol S. & Kim, Soo-Hyun & Lee, Kyuseok, 2015, "Currency competition between the dollar and euro: Evidence from exchange rate behaviors," Finance Research Letters, Elsevier, volume 12, issue C, pages 100-108, DOI: 10.1016/j.frl.2014.11.003.
• Chow, Victor & Lai, Christine W., 2015, "Conditional Sharpe Ratios," Finance Research Letters, Elsevier, volume 12, issue C, pages 117-133, DOI: 10.1016/j.frl.2014.11.001.
• Peltomäki, Jarkko & Äijö, Janne, 2015, "Cross-sectional anomalies and volatility risk in different economic and market cycles," Finance Research Letters, Elsevier, volume 12, issue C, pages 17-22, DOI: 10.1016/j.frl.2014.12.004.
• Voelzke, Jan, 2015, "Weakening the Gain–Loss-Ratio measure to make it stronger," Finance Research Letters, Elsevier, volume 12, issue C, pages 58-66, DOI: 10.1016/j.frl.2014.11.007.
• Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun, 2015, "Effects of macroeconomic uncertainty on the stock and bond markets," Finance Research Letters, Elsevier, volume 13, issue C, pages 10-16, DOI: 10.1016/j.frl.2015.03.008.
• Han, Nan-Wei & Hung, Mao-Wei, 2015, "The investment management for a downside-protected equity-linked annuity under interest rate risk," Finance Research Letters, Elsevier, volume 13, issue C, pages 113-124, DOI: 10.1016/j.frl.2015.02.006.
• Acker, Daniella & Duck, Nigel W., 2015, "Political risk, investor attention and the Scottish Independence referendum," Finance Research Letters, Elsevier, volume 13, issue C, pages 163-171, DOI: 10.1016/j.frl.2015.01.008.
• Xiang, Hua & Yang, Zhaojun, 2015, "Investment timing and capital structure with loan guarantees," Finance Research Letters, Elsevier, volume 13, issue C, pages 179-187, DOI: 10.1016/j.frl.2015.01.006.
• Boudt, Kris & Lu, Wanbo & Peeters, Benedict, 2015, "Higher order comoments of multifactor models and asset allocation," Finance Research Letters, Elsevier, volume 13, issue C, pages 225-233, DOI: 10.1016/j.frl.2014.12.008.
• Godek, Paul E., 2015, "A simple model of market valuation and trend reversion for U.S. equities: 100 Years of bubbles, non-bubbles, and inverse-bubbles," Finance Research Letters, Elsevier, volume 13, issue C, pages 29-35, DOI: 10.1016/j.frl.2015.03.006.
• Lam, Swee-Sum & Zhang, Weina & Jacob, Gabriel Henry, 2015, "The mispricing of socially ambiguous grey stocks," Finance Research Letters, Elsevier, volume 13, issue C, pages 81-89, DOI: 10.1016/j.frl.2015.02.010.
• Chen, Li-Wen & Yu, Hsin-Yi & Huang, Hsu-Huei, 2015, "Revisiting the earnings–price effect: The importance of future earnings," Finance Research Letters, Elsevier, volume 13, issue C, pages 90-96, DOI: 10.1016/j.frl.2015.02.009.
• Erragraguy, Elias & Revelli, Christophe, 2015, "Should Islamic investors consider SRI criteria in their investment strategies?," Finance Research Letters, Elsevier, volume 14, issue C, pages 11-19, DOI: 10.1016/j.frl.2015.07.003.
• Peltomäki, Jarkko & Vähämaa, Emilia, 2015, "Investor attention to the Eurozone crisis and herding effects in national bank stock indexes," Finance Research Letters, Elsevier, volume 14, issue C, pages 111-116, DOI: 10.1016/j.frl.2015.05.009.
• Fouquau, Julien & Six, Pierre, 2015, "A comparison of the convenience yield and interest-adjusted basis," Finance Research Letters, Elsevier, volume 14, issue C, pages 142-149, DOI: 10.1016/j.frl.2015.05.005.
• Gebka, Bartosz & Hudson, Robert S. & Atanasova, Christina V., 2015, "The benefits of combining seasonal anomalies and technical trading rules," Finance Research Letters, Elsevier, volume 14, issue C, pages 36-44, DOI: 10.1016/j.frl.2015.06.001.
• Liu, Yang & Yang, Jinqiang, 2015, "Optimal investment of private equity," Finance Research Letters, Elsevier, volume 14, issue C, pages 76-86, DOI: 10.1016/j.frl.2015.05.013.
• Park, James L., 2015, "Equity returns of distressed equity issuers," Finance Research Letters, Elsevier, volume 14, issue C, pages 93-103, DOI: 10.1016/j.frl.2015.05.011.
• De Moor, Lieven & Sercu, Piet, 2015, "Measuring the impact of extreme observations on CAPM alphas: Some methodological issues," Finance Research Letters, Elsevier, volume 15, issue C, pages 1-10, DOI: 10.1016/j.frl.2014.05.002.
• Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015, "Minimizing the expected lifetime spent in drawdown under proportional consumption," Finance Research Letters, Elsevier, volume 15, issue C, pages 106-114, DOI: 10.1016/j.frl.2015.08.010.
• Ehsani, Sina & Lien, Donald, 2015, "A note on minimum riskiness hedge ratio," Finance Research Letters, Elsevier, volume 15, issue C, pages 11-17, DOI: 10.1016/j.frl.2015.05.002.
• Hitaj, Asmerilda & Mercuri, Lorenzo & Rroji, Edit, 2015, "Portfolio selection with independent component analysis," Finance Research Letters, Elsevier, volume 15, issue C, pages 146-159, DOI: 10.1016/j.frl.2015.09.005.
• Dodd, Olga & Frijns, Bart, 2015, "Cross-listing decisions and the foreign bias of investors," Finance Research Letters, Elsevier, volume 15, issue C, pages 160-166, DOI: 10.1016/j.frl.2015.09.006.
• Kim, Thomas, 2015, "Does individual-stock skewness/coskewness reflect portfolio risk?," Finance Research Letters, Elsevier, volume 15, issue C, pages 167-174, DOI: 10.1016/j.frl.2015.09.007.
• Corbet, Shaen & Dowling, Michael & Cummins, Mark, 2015, "Analyst recommendations and volatility in a rising, falling, and crisis equity market," Finance Research Letters, Elsevier, volume 15, issue C, pages 187-194, DOI: 10.1016/j.frl.2015.09.009.
• Fu, Chengbo & Jacoby, Gady & Wang, Yan, 2015, "Investor sentiment and portfolio selection," Finance Research Letters, Elsevier, volume 15, issue C, pages 266-273, DOI: 10.1016/j.frl.2015.11.004.
• Bai, Jushan & Zhou, Guofu, 2015, "Fama–MacBeth two-pass regressions: Improving risk premia estimates," Finance Research Letters, Elsevier, volume 15, issue C, pages 31-40, DOI: 10.1016/j.frl.2015.08.001.
• Haga, Jesper, 2015, "Intermediate-term momentum and credit rating," Finance Research Letters, Elsevier, volume 15, issue C, pages 59-67, DOI: 10.1016/j.frl.2015.08.004.
• Dang, Tung Lam & Moshirian, Fariborz & Wee, Claudia Koon Ghee & Zhang, Bohui, 2015, "Cross-listings and liquidity commonality around the world," Journal of Financial Markets, Elsevier, volume 22, issue C, pages 1-26, DOI: 10.1016/j.finmar.2014.11.003.
• Andonov, Aleksandar & Eichholtz, Piet & Kok, Nils, 2015, "Intermediated investment management in private markets: Evidence from pension fund investments in real estate," Journal of Financial Markets, Elsevier, volume 22, issue C, pages 73-103, DOI: 10.1016/j.finmar.2014.11.002.
• Massa, Massimo & Simonov, Andrei & Stenkrona, Anders, 2015, "Style representation and portfolio choice," Journal of Financial Markets, Elsevier, volume 23, issue C, pages 1-25, DOI: 10.1016/j.finmar.2015.02.001.
• Berger, David & Turtle, Harry J., 2015, "Sentiment bubbles," Journal of Financial Markets, Elsevier, volume 23, issue C, pages 59-74, DOI: 10.1016/j.finmar.2015.01.002.
• Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2015, "Frontier market transaction costs and diversification," Journal of Financial Markets, Elsevier, volume 24, issue C, pages 1-24, DOI: 10.1016/j.finmar.2015.04.002.
• Novotný, Jan & Petrov, Dmitri & Urga, Giovanni, 2015, "Trading price jump clusters in foreign exchange markets," Journal of Financial Markets, Elsevier, volume 24, issue C, pages 66-92, DOI: 10.1016/j.finmar.2015.03.002.
• Yu Zhang & Xiaosong Zheng, 2015, "A Study Of The Investment Behavior Based On Behavioral Finance," European Journal of Business and Economics, Central Bohemia University, volume 10, issue 1, pages 5571:10-557, June, DOI: 10.12955/ejbe.v10i1.557.
• Irina Bondareva & Irina Druzhinina & Róbert Tomčík, 2015, "Selecting A Competitive Strategy For Manufacturing Company Using The Analytic Hierarchy Process," CBU International Conference Proceedings, ISE Research Institute, volume 3, issue 0, pages 056-063, September, DOI: 10.12955/cbup.v3.584.
• Lucia Švábová, 2015, "Estimating The Parameter Delta In The Black Model Using The Finite Difference Method For Futures Options," CBU International Conference Proceedings, ISE Research Institute, volume 3, issue 0, pages 109-114, September, DOI: 10.12955/cbup.v3.591.
• Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2015, "Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-15, Mar.
• Yunus Emre Ergemen & Abderrahim Taamouti, 2015, "Parametric Portfolio Policies with Common Volatility Dynamics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-41, Aug.
• Jonas Nygaard Eriksen, 2015, "Expected Business Conditions and Bond Risk Premia," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2015-44, Sep.
• Shafi A. Khaled & A. Wahhab Khandker, 2015, "Profit-Loss Sharing Contract Formation Under Zero Interest Financial System عقد المشاركة من الأرباح والخسائر في ظل نظام مالي بدون ربا," Journal of King Abdulaziz University: Islamic Economics, King Abdulaziz University, Islamic Economics Institute., volume 28, issue 2, pages 75-107, July, DOI: 10.4197/Islec.28-2.3.
• Hyeongwoo Kim & Deockhyun Ryu, 2015, "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Auburn Economics Working Paper Series, Department of Economics, Auburn University, number auwp2015-08, Jun.
• Marco Ottaviani & Peter Norman Sørensen, 2015, "Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal," American Economic Review, American Economic Association, volume 105, issue 1, pages 1-34, January.
• Alain Cohn & Jan Engelmann & Ernst Fehr & Michel André Maréchal, 2015, "Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals," American Economic Review, American Economic Association, volume 105, issue 2, pages 860-885, February.
• Catherine C. Eckel & Sascha C. Füllbrunn, 2015, "Thar SHE Blows? Gender, Competition, and Bubbles in Experimental Asset Markets," American Economic Review, American Economic Association, volume 105, issue 2, pages 906-920, February.
• Sebastian Ebert & Philipp Strack, 2015, "Until the Bitter End: On Prospect Theory in a Dynamic Context," American Economic Review, American Economic Association, volume 105, issue 4, pages 1618-1633, April.
• Jacopo Magnani, 2015, "Testing for the Disposition Effect on Optimal Stopping Decisions," American Economic Review, American Economic Association, volume 105, issue 5, pages 371-375, May.
• Nicolae Gârleanu & Stavros Panageas & Jianfeng Yu, 2015, "Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion," American Economic Review, American Economic Association, volume 105, issue 7, pages 1979-2010, July.
• Aurélien Baillon & Han Bleichrodt, 2015, "Testing Ambiguity Models through the Measurement of Probabilities for Gains and Losses," American Economic Journal: Microeconomics, American Economic Association, volume 7, issue 2, pages 77-100, May.
• Kent Daniel & David Hirshleifer, 2015, "Overconfident Investors, Predictable Returns, and Excessive Trading," Journal of Economic Perspectives, American Economic Association, volume 29, issue 4, pages 61-88, Fall.
• Stelios Arvanitis & Mark Hallam & Thierry Post & Nikolas Topaloglou, 2015, "Stochastic Spanning," Working Papers, Athens University Of Economics and Business, Department of Economics, number 201510, Oct.
• Stelios Arvanitis & Nikolas Topaloglou, 2015, "Consistent tests for risk seeking behavior: A stochastic dominance approach," Working Papers, Athens University Of Economics and Business, Department of Economics, number 201511, Nov.
• Songkran Somboon, 2015, "Credit Scoring System for Managing Risk in Agricultural Loan Portfolio of the Thai Rural Financial Market," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, volume 22, issue 1, pages 27-50, June.
• Olivier Niyitegeka & Devi Datt Tewari, 2015, "Short And Long-Term Dynamics Of Herd Behaviour At The Johannesburg Stock Exchange," The African Finance Journal, Africagrowth Institute, volume 17, issue 2, pages 84-102.
• Parajuli, Rajan & Chang, Sun Joseph, 2015, "Real Assets and Inflation: Which Real Assets Hedge Inflation," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California, Agricultural and Applied Economics Association, number 205283, DOI: 10.22004/ag.econ.205283.
• van Kooten, G Cornelis & Guo, Changhao & Sun, Baojing, 2015, "Risking-sharing Efficiency of Hedging Strategies," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California, Agricultural and Applied Economics Association, number 205756, DOI: 10.22004/ag.econ.205756.
• Correia, Leonida & Rebelo, João & Caldas, José, 2015, "Production and Trade of Port Wine: Temporal Dynamics and Pricing," Agricultural Economics Review, Greek Association of Agricultural Economists, volume 16, issue 01, pages 1-15, DOI: 10.22004/ag.econ.253687.
• García-Bernabeu, A. & Pla-Santamaria, D. & Bravo, M. & Pérez-Gladish, B., 2015, "La protección medioambiental como criterio en la selección de inversiones socialmente responsables: una aproximación multicriterio," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, volume 15, issue 01, DOI: 10.22004/ag.econ.211283.
• Berger, Loïc, , "The Impact of Ambiguity Prudence on Insurance and Prevention," Climate Change and Sustainable Development, Fondazione Eni Enrico Mattei (FEEM), number 198893, DOI: 10.22004/ag.econ.198893.
• Martínez, Beatriz & Torró, Hipòlit, , "European Natural Gas Seasonal Effects on Futures Hedging," Energy: Resources and Markets, Fondazione Eni Enrico Mattei (FEEM), number 198462, DOI: 10.22004/ag.econ.198462.
• Zaremba, Adam & Nowak, Andrzej, 2015, "Skewness preference across countries," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), volume 11, issue 2, pages 1-16, DOI: 10.22004/ag.econ.246154.
• Stark, Oded & Zawojska, Ewa, 2015, "Gender differentiation in risk-taking behavior: On the relative risk aversion of single men and single women," Discussion Papers, University of Bonn, Center for Development Research (ZEF), number 212405, Nov, DOI: 10.22004/ag.econ.212405.
• Siddiqi, Hammad, 2015, "Anchoring Adjusted Capital Asset Pricing Model," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 211224, Oct, DOI: 10.22004/ag.econ.211224.
• Mengus, Eric & Roberto Pancrazi, , "The Inequality Accelerator," Economic Research Papers, University of Warwick - Department of Economics, number 270216, DOI: 10.22004/ag.econ.270216.
• Maria Carmen HUIAN, 2015, "Impact Of The Ifrs Adoption On Financial Assets And Liabilities. Empirical Evidence From Bucharest Stock Exchange," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 16, pages 69-90, December.
• Nha D. Bui & Loan T. B. Nguyen & Nhung T. T. Nguyen, 2015, "Herd behaviour in Southeast Asian stock markets — An empirical investigation," Acta Oeconomica, Akadémiai Kiadó, Hungary, volume 65, issue 3, pages 413-429, September.
• Teodor Hada & Emil Olteanu & Iulian Bogdan Dobra, 2015, "Analysis Of The Average Share Price Of Companies Listed On Bse Depending On The Profit And Exchange Segment. Different Techniques Of General Least Square And Computing Coefficient Covariance For Mean ," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 17, pages 1-7.
• Michele Fratianni & Francesco Marchionne, 2015, "De-leveraging, de-risking and moral suasion in the banking sector," Mo.Fi.R. Working Papers, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences, number 103, Jan.
• André A.P. Santos, 2015, "Beating the market with small portfolios: Evidence from Brazil," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], volume 16, issue 1, pages 22-31.
• Jerry Tsai & Jessica A. Wachter, 2015, "Disaster Risk and Its Implications for Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 219-252, December, DOI: 10.1146/annurev-financial-111914-04.
• David Geltner, 2015, "Real Estate Price Indices and Price Dynamics: An Overview from an Investments Perspective," Annual Review of Financial Economics, Annual Reviews, volume 7, issue 1, pages 615-633, December, DOI: 10.1146/annurev-financial-111914-04.
• Jonathan Zinman, 2015, "Household Debt: Facts, Puzzles, Theories, and Policies," Annual Review of Economics, Annual Reviews, volume 7, issue 1, pages 251-276, August.
• Erhan Bayraktar & Virginia R. Young, 2015, "Optimally Investing to Reach a Bequest Goal," Papers, arXiv.org, number 1503.00961, Mar, revised May 2016.
• Franc{c}ois Legendre & Djibril Togola, 2015, "Explicit solution to dynamic portfolio choice problem : The continuous-time detour," Papers, arXiv.org, number 1504.03079, Apr.
• Matthias Raddant & Friedrich Wagner, 2015, "Transitions in the Stock Markets of the US, UK, and Germany," Papers, arXiv.org, number 1504.06113, Apr.
• Enrico G. De Giorgi & Ola Mahmoud, 2015, "Diversification Preferences in the Theory of Choice," Papers, arXiv.org, number 1507.02025, Jul, revised Oct 2016.
• Christoph Aymanns & Fabio Caccioli & J. Doyne Farmer & Vincent W. C. Tan, 2015, "Taming the Basel Leverage Cycle," Papers, arXiv.org, number 1507.04136, Jul.
• Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015, "Minimizing the Probability of Lifetime Drawdown under Constant Consumption," Papers, arXiv.org, number 1507.08713, Jul, revised May 2016.
• Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015, "Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption," Papers, arXiv.org, number 1508.01914, Aug, revised Aug 2015.
• Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015, "An Application of Correlation Clustering to Portfolio Diversification," Papers, arXiv.org, number 1511.07945, Nov.
• Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015, "A Comparision of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones," Papers, arXiv.org, number 1512.01905, Dec.
• Libin Yang & William Rea & and Alethea Rea, 2015, "Identifying Highly Correlated Stocks Using the Last Few Principal Components," Papers, arXiv.org, number 1512.03537, Dec.
• Joao da Gama Batista & Domenico Massaro & Jean-Philippe Bouchaud & Damien Challet & Cars Hommes, 2015, "Do investors trade too much? A laboratory experiment," Papers, arXiv.org, number 1512.03743, Dec.
• Libin Yang & William Rea & Alethea Rea, 2015, "How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange," Papers, arXiv.org, number 1512.06486, Dec.
• Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis & Panagiotis Samartzis, 2015, "Factor Models as 'Explanatory Unifiers' versus 'Explanatory Ideals' of Empirical Regularities of Stock Returns," DEOS Working Papers, Athens University of Economics and Business, number 1507, Feb.
• Marija Simic, 2015, "The Attractiveness Of Croatia In Terms Of Attracting Vc Investors," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 24, issue 1, pages 267-294, june.
• Wong, Max C. Y., 2015, "Exploring the use of the Kelly criterion for Basel capital requirement: An optimal and countercyclical approach," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 8, issue 1, pages 45-61, January.
• Walter Beckert, 2015, "Choice in the Presence of Experts," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics, number 1503, Apr.
• Ionut Traian Luca, 2015, "Portfolio Optimization Algorithms," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Jie Zhou, 2015, "Household Stockholding Behavior During the Great Financial Crisis," Staff Working Papers, Bank of Canada, number 15-15, DOI: 10.34989/swp-2015-15.
• Dimitris Christelis & Michael Ehrmann & Dimitris Georgarakos, 2015, "Exploring Differences in Household Debt Across Euro Area Countries and the United States," Staff Working Papers, Bank of Canada, number 15-16, DOI: 10.34989/swp-2015-16.
• Shaofeng Xu, 2015, "On the Welfare Cost of Rare Housing Disasters," Staff Working Papers, Bank of Canada, number 15-26, DOI: 10.34989/swp-2015-26.
• Raphaël Janssen & Romuald Morhs, 2015, "The interest rate sensitivity of Luxembourg bond funds: results from a time-varying model," BCL working papers, Central Bank of Luxembourg, number 98, Aug.
• Eduardo Ariel Corso, 2015, "Ambiguity, Ambiguity Aversion and Reserve of Value in Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 73, pages 91-115, December.
• Eduardo Corso, 2015, "Ambiguity and portfolio decisions," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201567, Nov.
• Mirta González & María Cecilia Pérez, 2015, "Simulation of the term structure. An application for measuring the interest rate risk," BCRA Working Paper Series, Central Bank of Argentina, Economic Research Department, number 201570, Nov.
• Batu TUNAY, 2015, "Sectoral Concentration in Loan Portfolio and Risk Relationship: An Analysis on The Turkish Commercial Banking Sector," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 9, issue 1, pages 127-147.
• Trino-Manuel Ñíguez & Ivan Paya & David Peel & Javier Perote, 2015, "Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation," Working Papers, Banco de España, number 1520, Jul.
• Franco Panfili & Francesco Daini & Francesco Potente & Giuseppe Reale, 2015, "Gold as a safe haven asset? Empirical evidence from a comparison of different financial assets," Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area, number 277, Jun.
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2015, "The supply side of household finance," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 1044, Nov.
• Ciril Bosch-Rosa & Thomas Meissner & Antoni Bosch-Domènech, , "Cognitive Bubbles," BDPEMS Working Papers, Berlin School of Economics, number 2015006.
• Carlos A. Arango & Oscar M. Valencia, 2015, "Macro-Prudential Policy under Moral Hazard and Financial Fragility," Borradores de Economia, Banco de la Republica de Colombia, number 878, Apr, DOI: 10.32468/be.878.
• Julián David García-Pulgarín & Javier Gómez-Restrepo & Daniel Vela-Barón, 2015, "An Asset Allocation Framework with Tranches for Foreign Reserves," Borradores de Economia, Banco de la Republica de Colombia, number 899, Aug, DOI: 10.32468/be.899.
• M. Debbich, 2015, "Why Financial Advice Cannot Substitute for Financial Literacy?," Working papers, Banque de France, number 534.
• Fourel, G. & Potier, V., 2015, "Fonds d’investissement non monétaires français Faits saillants pour l’année 2014 et le premier trimestre 2015," Bulletin de la Banque de France, Banque de France, issue 201, pages 41-49.
• Bui Quang, P., 2015, "Le portefeuille-titres des résidents entre 2008 et 2015," Bulletin de la Banque de France, Banque de France, issue 202, pages 35-42.
• F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015, "Main determinants of profit sharing policy in the French life insurance industry," Débats Economiques et financiers, Banque de France, number 17.
• Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2015, "The hunt for duration: not waving but drowning?," BIS Working Papers, Bank for International Settlements, number 519, Oct.
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2015, "The supply side of household finance," BIS Working Papers, Bank for International Settlements, number 531, Dec.
• Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2015, "Mortgage risk and the yield curve," BIS Working Papers, Bank for International Settlements, number 532, Dec.
• Dumičić Ksenija & Žmuk Berislav, 2015, "Statistical Control Charts: Performances of Short Term Stock Trading in Croatia," Business Systems Research, Sciendo, volume 6, issue 1, pages 22-35, March, DOI: 10.1515/bsrj-2015-0002.
• Ron Bird & Paolo Pellizzari & Danny Yeung & David Gallagher, 2015, "Performance implications of active management of institutional mutual funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 55, issue 1, pages 1-27, March.
• Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid, 2015, "Understanding The Effects Of Marriage And Divorce On Financial Investments: The Role Of Background Risk Sharing," Economic Inquiry, Western Economic Association International, volume 53, issue 1, pages 431-447, January, DOI: 10.1111/ecin.12113.
• Michael A. Goldstein & Abhinav Goyal & Brian M. Lucey & Cal B. Muckley, 2015, "The Global Preference for Dividends in Declining Markets," The Financial Review, Eastern Finance Association, volume 50, issue 4, pages 575-609, November.
• Nicola Gennaioli & Andrei Shleifer & Robert Vishny, 2015, "Money Doctors," Journal of Finance, American Finance Association, volume 70, issue 1, pages 91-114, February.
• Philipp Krüger & Augustin Landier & David Thesmar, 2015, "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," Journal of Finance, American Finance Association, volume 70, issue 3, pages 1253-1285, June.
• Bo Becker & Victoria Ivashina, 2015, "Reaching for Yield in the Bond Market," Journal of Finance, American Finance Association, volume 70, issue 5, pages 1863-1902, October.
• Camelia M. Kuhnen, 2015, "Asymmetric Learning from Financial Information," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2029-2062, October.
• Jakub W. Jurek & Erik Stafford, 2015, "The Cost of Capital for Alternative Investments," Journal of Finance, American Finance Association, volume 70, issue 5, pages 2185-2226, October.
• Philipp Harms & Mathias Hoffmann & Christina Ortseifer, 2015, "The Home Bias in Equities and Distribution Costs," Scandinavian Journal of Economics, Wiley Blackwell, volume 117, issue 3, pages 983-1018, July.
• BALTES Nicolae & DRAGOE Alexandra-Gabriela-Maria, 2015, "Study Regarding The Markowitz Model Of Portfolio Selection," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, volume 67, issue Supplemen, pages 195-206, September.
• Marco Belmonte Fagalde & Martín Villegas Tufiño, 2015, "Regulación del crédito y tasas máximas: un análisis de sus efectos sobre las entidades de intermediación financiera," Serie de Documentos de Trabajo, Banco Central de Bolivia, number 2015/05, Dec.
• Davide Pettenuzzo & Francesco Ravazzolo, 2015, "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School, number No 9/2015, Aug.
• Michael Chin & Christopher Polk, 2015, "A forecast evaluation of expected equity return measures," Bank of England working papers, Bank of England, number 520, Jan.
• Richard D. F. Harris & Linh H Nguyen & Evarist Stoja, 2015, "Extreme downside risk and financial crises," Bank of England working papers, Bank of England, number 547, Sep.
• Philippe Bracke & Christian Hilber & Olmo Silva, 2015, "Mortgage debt and entrepreneurship," Bank of England working papers, Bank of England, number 560, Oct.
• Imlak Shaikh & Puja Padhi, 2015, "The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 1, pages 44-52, March.
• Nasif Ozkan & Mustafa Mesut Kayali, 2015, "The accrual anomaly: Evidence from Borsa Istanbul," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 2, pages 115-125, June.
• Mouna Boujelbene Abbes & Yousra Trichilli, 2015, "Islamic stock markets and potential diversification benefits," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, volume 15, issue 2, pages 93-105, June.
• Al-Ississ Mohamad, 2015, "The Cross-Border Impact of Political Violence," Peace Economics, Peace Science, and Public Policy, De Gruyter, volume 21, issue 2, pages 239-272, April, DOI: 10.1515/peps-2014-0046.
• Elif Sisli Ciamarra & Abigail Hornstein, 2015, "Board Overlaps in Mutual Fund Families," Working Papers, Brandeis University, Department of Economics and International Business School, number 92, Sep.
• Gabriel Matos Pereira & Leonardo Riegel Sant'Anna & Tiago Pascoal Filomena & João Luiz Becker, 2015, "Liquidity Constraint for Portfolio Selection Models," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 2, pages 288-324.
• Paulo Rogério Faustino Matos & Wandermon Silva & Felipe Silva, 2015, "Do Brazilian mutual stock fund managers have sufficient skill?," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 2, pages 325-366.
• Melquiades Pereira Lima & Vinicio de Souza Almeida, 2015, "Sell-side analysts make good predictions in Brazil?," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 3, pages 365-393.
• Paulo Ferreira Naibert & João Caldeira, 2015, "Selection of optimal portfolios under norm constraints in the allocation vectors: an empirical evaluation with data from BM&FBovespa," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 3, pages 504-543.
• Antonio Zoratto Sanvicente, 2015, "The Price-Trading Volume Relationship in the Brazilian Stock Market, the Impact of Stock Lending and a Role for Technical Analysis," Brazilian Review of Finance, Brazilian Society of Finance, volume 13, issue 4, pages 631-649.
• Philippe Bertrand & Jean-Luc Prigent, 2015, "On Path-Dependent Structured Funds: Complexity Does Not Always Pay (Asian versus Average Performance Funds)," Finance, Presses universitaires de Grenoble, volume 36, issue 2, pages 67-105.
• Zoe Knight, 2015, "Le développement d'une « finance 2 °C » et l'exemple des green bonds," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 155-174.
• Mats Andersson & Patrick Bolton & Frédéric Samama, 2015, "Les indices low carbon : entrée des investisseurs institutionnels dans la lutte contre le réchauffement climatique," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 175-188.
• Hannah Cheng Juan Zhan & William Rea & Alethea Rea, 2015, "A Comparison of Three Network Portfolio Selection Methods -- Evidence from the Dow Jones," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/02, Jan.
• Libin Yang & William Rea & Alethea Rea, 2015, "Stock Selection with Principal Component Analysis," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/03, Feb.
• Libin Yang & William Rea & Alethea Rea, 2015, "How much diversification potential is there in a single market? Evidence from the Australian Stock Exchange," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/07, Mar.
• Libin Yang & William Rea & Alethea Rea, 2015, "Identifying Highly Correlated Stocks Using the Last Few Principal Components," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/08, Mar.
• Libin Yang & William Rea & Alethea Rea, 2015, "Can PCA Structure Changes Indicate that it is Time to Trade?," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 15/13, Jun.
• Roberto Marfè, 2015, "Survey Expectations and the Equilibrium Risk-Return Trade Off," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 408.
• Relwende SAWADOGO & Samuel GUERINEAU, 2015, "Les déterminants du développement de l'assurance-vie dans les pays d’Afrique Subsaharienne: le rôle de la qualité du système juridique et politique," Working Papers, CERDI, number 201519, Jun.
• Roth Tran, Brigitte, 2015, "Divest, Disregard, or Double Down?," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt1hw1k2ps, Jul.
• José P. Dapena & Julian R. Siri, 2015, "Index options realized returns distributions from passive investment strategies," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 580, Dec.
• Inaki Aldasoro & Domenico Delli Gatti & Ester Faia, 2015, "Bank Networks: Contagion, Systemic Risk and Prudential Policy," CESifo Working Paper Series, CESifo, number 5182.
• Michael Stimmelmayr, 2015, "Investors' Portfolio Choice and Tax Reforms: The 2008 German Corporate Tax Reform Reconsidered," CESifo Working Paper Series, CESifo, number 5311.
• Jozef Baruník & Evžen Kocenda & Lukáš Vácha & Evžen Kočenda, 2015, "Gold, Oil, and Stocks: Dynamic Correlations," CESifo Working Paper Series, CESifo, number 5333.
• Nadjeschda Arnold & Ray Rees, 2015, "The Sovereign Default Problem in the Eurozone: An Insurance-Based Approach," CESifo Working Paper Series, CESifo, number 5389.
• Steffen Huck & Tobias Schmidt & Georg Weizsäcker, 2015, "The Standard Portfolio Choice Problem in Germany," CESifo Working Paper Series, CESifo, number 5441.
• Leo Kaas & Georgi Kocharkov & Edgar Preugschat, 2015, "Wealth Inequality and Homeownership in Europe," CESifo Working Paper Series, CESifo, number 5498.
• Jenny Simon, 2015, "Optimal Debt Bias in Corporate Income Taxation," CESifo Working Paper Series, CESifo, number 5561.
• Stefano Giglio & Matteo Maggiori & Johannes Ströbel & Andreas Weber, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," CESifo Working Paper Series, CESifo, number 5608.
• Gadi S. Perets & Eran Yashiv, 2015, "The Fundamental Nature of HARA Utility," Discussion Papers, Centre for Macroeconomics (CFM), number 1522, Sep.
• Yuki SATO, 2015, "Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-06, Feb.
• Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU, 2015, "History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-11, Feb, revised Jul 2015.
• Marc S. PAOLELLA & Pawel POLAK, 2015, "Portfolio Selection with Active Risk Monitoring," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-17, Jun.
• Martin Herdegen & Johannes Muhle-Karbe, 2015, "Sensitivity of Optimal Consumption Streams," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-27, Aug.
• Diego ARDILA-ALVAREZ & Zalàn FORRÒ & Didier SORNETTE, 2015, "The Acceleration Effect and Gamma Factor in Asset Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-30, Aug.
• Johannes Muhle-Karbe & Kevin Webster, 2015, "Information and Inventories in High-Frequency Trading," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-35, Sep.
• Johannes Muhle-Karbe & Ibrahim Ekren & Ren Liu, 2015, "Optimal Rebalancing Frequencies for Multidimensional Portfolios," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-44, Oct.
• Eric JONDEAU & Qunzi ZHANG, 2015, "Average Skewness Matters!," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-47, Nov.
• Carlo Sala & Giovanni Barone-Adesi, 2015, "Conditioning the Information in Portfolio Optimization," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-50, Oct, revised Apr 2016.
• Ciprian Necula & Elise Gourier & Robert Huitema & Walter Farkas, 2015, "A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-54, Oct, revised Jun 2016.
• Paul Schneider & Fabio Trojani, 2015, "Divergence and the Price of Uncertainty," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 15-60, Nov.
• Meike Bradbury & Thorsten Hens & Stefan Zeisberger, 2017, "How Persistent are the Effects of Experience Sampling on Investor Behavior?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 17-43, Dec.
• Luis Franjo, 2015, "International Interest Rates and Housing Markets," Working Papers, Center for Fiscal Policy, Swiss Federal Institute of Technology Lausanne, number 201501, Feb, revised Feb 2015.
• Kevin Moran & Benoît Carmichael & Gilles Boevi Koumou, 2015, "Unifying Portfolio Diversification Measures Using Rao's Quadratic Entropy," CIRANO Working Papers, CIRANO, number 2015s-16, Apr.
• Kate Rybczynski, 2015, "Gender differences in portfolio risk across birth cohort and marital status," Canadian Journal of Economics, Canadian Economics Association, volume 48, issue 1, pages 28-63, February, DOI: 10.1111/caje.12118.
• Dante Amengual & Enrique Sentana, 2015, "Is a Normal Copula the Right Copula?," Working Papers, CEMFI, number wp2015_1504, Aug.
• Natacha Postel-Vinay, 2015, "What caused Chicago bank failures in the Great Depression? A look at the 1920s," Working Papers, Department of Economic and Social History at the University of Cambridge, number 22, Apr.
• Carlos A. Arango & Oscar M. Valencia, 2015, "Macro-Prudential Policy under Moral Hazard and Financial Fragility," Borradores de Economia, Banco de la Republica, number 12695, Apr.
• Juli�n David Garc�a-Pulgar�n & Javier G�mez-Restrepo & Daniel Vela-Bar�n, 2015, "An Asset Allocation Framework with Tranches for Foreign Reserves," Borradores de Economia, Banco de la Republica, number 13440, Aug.
• Orlando E. Contreras & Roberto Stein Bronfman & Carlos E. Vecino Arenas, 2015, "Estrategia de inversión optimizando la relación rentabilidad-riesgo: evidencia en el mercado accionario colombiano," Estudios Gerenciales, Universidad Icesi, volume 31, issue 137, pages 383-392.