Research classified by Journal of Economic Literature (JEL) codes

2019

• Ordu-Akkaya, Beyza Mina & Ugurlu-Yildirim, Ecenur & Soytas, Ugur, 2019, "The role of trading volume, open interest and trader positions on volatility transmission between spot and futures markets," Resources Policy, Elsevier, volume 61, issue C, pages 410-422, DOI: 10.1016/j.resourpol.2018.02.005.
• Ludwig, Michael, 2019, "Speculation and its impact on liquidity in commodity markets," Resources Policy, Elsevier, volume 61, issue C, pages 532-547, DOI: 10.1016/j.resourpol.2018.05.005.
• Paul, Manas & Bhanja, Niyati & Dar, Arif Billah, 2019, "Gold, gold mining stocks and equities- partial wavelet coherence evidence from developed countries," Resources Policy, Elsevier, volume 62, issue C, pages 378-384, DOI: 10.1016/j.resourpol.2019.04.012.
• Huang, Xiaoyong & Jia, Fei & Xu, Xiangyun & Yu shi,, 2019, "The threshold effect of market sentiment and inflation expectations on gold price," Resources Policy, Elsevier, volume 62, issue C, pages 77-83, DOI: 10.1016/j.resourpol.2019.03.014.
• Kacperczyk, Marcin & Nosal, Jaromir & Stevens, Luminita, 2019, "Investor sophistication and capital income inequality," Journal of Monetary Economics, Elsevier, volume 107, issue C, pages 18-31, DOI: 10.1016/j.jmoneco.2018.11.002.
• Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet S. & Motto, Roberto & Ragusa, Giuseppe, 2019, "Measuring euro area monetary policy," Journal of Monetary Economics, Elsevier, volume 108, issue C, pages 162-179, DOI: 10.1016/j.jmoneco.2019.08.016.
• Baig, Ahmed S. & Blau, Benjamin M. & Whitby, Ryan J., 2019, "Price clustering and economic freedom: The case of cross-listed securities," Journal of Multinational Financial Management, Elsevier, volume 50, issue C, pages 1-12, DOI: 10.1016/j.mulfin.2019.04.002.
• Biswal, P.C. & Jain, Anshul, 2019, "Should central banks use the currency futures market to manage spot volatility? Evidence from India," Journal of Multinational Financial Management, Elsevier, volume 52, issue , DOI: 10.1016/j.mulfin.2019.100596.
• Uddin, Gazi Salah & Arreola Hernandez, Jose & Labidi, Chiraz & Troster, Victor & Yoon, Seong-Min, 2019, "The impact of financial and economic factors on Islamic mutual fund performance: Evidence from multiple fund categories," Journal of Multinational Financial Management, Elsevier, volume 52, issue , DOI: 10.1016/j.mulfin.2019.100607.
• Zhou, Hao & Kalev, Petko S., 2019, "Algorithmic and high frequency trading in Asia-Pacific, now and the future," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 186-207, DOI: 10.1016/j.pacfin.2018.10.006.
• Vo, Xuan Vinh & Phan, Dang Bao Anh, 2019, "Herd behavior and idiosyncratic volatility in a frontier market," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 321-330, DOI: 10.1016/j.pacfin.2018.10.005.
• Eom, Yunsung & Hahn, Jaehoon & Sohn, Wook, 2019, "Individual investors and post-earnings-announcement drift: Evidence from Korea," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 379-398, DOI: 10.1016/j.pacfin.2018.12.002.
• Yao, Shouyu & Wang, Chunfeng & Cui, Xin & Fang, Zhenming, 2019, "Idiosyncratic skewness, gambling preference, and cross-section of stock returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 464-483, DOI: 10.1016/j.pacfin.2019.01.002.
• Jacoby, Gady & Lee, Gemma & Paseka, Alexander & Wang, Yan, 2019, "Asset pricing with an imprecise information set," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 82-93, DOI: 10.1016/j.pacfin.2018.10.001.
• Kim, Dongcheol & Lee, Inro & Na, Haejung, 2019, "Financial distress, short sale constraints, and mispricing," Pacific-Basin Finance Journal, Elsevier, volume 53, issue C, pages 94-111, DOI: 10.1016/j.pacfin.2018.10.008.
• Sun, Sophia Li & Habib, Ahsan & Huang, Hedy Jiaying, 2019, "Tournament incentives and stock price crash risk: Evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 54, issue C, pages 93-117, DOI: 10.1016/j.pacfin.2019.02.005.
• Gong, Yujing & Wang, Mei & Dlugosch, Dennis, 2019, "Impacts of ambiguity aversion and information uncertainty on momentum: An international study," Pacific-Basin Finance Journal, Elsevier, volume 55, issue C, pages 1-28, DOI: 10.1016/j.pacfin.2019.01.011.
• Bahrami, Afsaneh & Shamsuddin, Abul & Uylangco, Katherine, 2019, "Are advanced emerging market stock returns predictable? A regime-switching forecast combination approach," Pacific-Basin Finance Journal, Elsevier, volume 55, issue C, pages 142-160, DOI: 10.1016/j.pacfin.2019.02.003.
• Chai, Daniel & Chiah, Mardy & Gharghori, Philip, 2019, "Which model best explains the returns of large Australian stocks?," Pacific-Basin Finance Journal, Elsevier, volume 55, issue C, pages 182-191, DOI: 10.1016/j.pacfin.2019.04.002.
• Rahman, Md Lutfur & Shamsuddin, Abul, 2019, "Investor sentiment and the price-earnings ratio in the G7 stock markets," Pacific-Basin Finance Journal, Elsevier, volume 55, issue C, pages 46-62, DOI: 10.1016/j.pacfin.2019.03.003.
• Hong, Xin & Zhuang, Zhuang & Kang, Di & Wang, Zhibin, 2019, "Do corporate site visits impact hedge fund performance?," Pacific-Basin Finance Journal, Elsevier, volume 56, issue C, pages 113-128, DOI: 10.1016/j.pacfin.2019.06.002.
• Long, Huaigang & Zhu, Yanjian & Chen, Lifang & Jiang, Yuexiang, 2019, "Tail risk and expected stock returns around the world," Pacific-Basin Finance Journal, Elsevier, volume 56, issue C, pages 162-178, DOI: 10.1016/j.pacfin.2019.06.001.
• Lv, Dayong & Wu, Wenfeng, 2019, "Margin-trading volatility and stock price crash risk," Pacific-Basin Finance Journal, Elsevier, volume 56, issue C, pages 179-196, DOI: 10.1016/j.pacfin.2019.06.005.
• Zhao, Yang & Yu, Min-Teh, 2019, "Measuring the liquidity impact on catastrophe bond spreads," Pacific-Basin Finance Journal, Elsevier, volume 56, issue C, pages 197-210, DOI: 10.1016/j.pacfin.2019.06.006.
• Chen, Yangyang & Hu, Gang & Yu, Danlei Bonnie & Zhao, Jingran, 2019, "Catastrophic risk and institutional investors: Evidence from institutional trading around 9/11," Pacific-Basin Finance Journal, Elsevier, volume 56, issue C, pages 211-233, DOI: 10.1016/j.pacfin.2019.06.004.
• Su, Xuan-Qi & Lin, Yung-Chieh & Chen, Chin-Ming & Lowe, Alpha, 2019, "Are educational managers credible or overconfident? Evidence from share repurchases in Taiwan," Pacific-Basin Finance Journal, Elsevier, volume 56, issue C, pages 93-112, DOI: 10.1016/j.pacfin.2019.05.008.
• Huang, Alan Guoming & Sun, Kevin Jialin, 2019, "Equity financing restrictions and the asset growth effect: International vs. Asian evidence," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2018.08.007.
• Chen, Zhijuan & Lin, William T. & Ma, Changfeng, 2019, "Do individual investors demand or provide liquidity? New evidence from dividend announcements," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2019.101179.
• Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019, "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, volume 57, issue C, DOI: 10.1016/j.pacfin.2019.101191.
• Cai, Wenwu & Lu, Jing, 2019, "Investors’ financial attention frequency and trading activity," Pacific-Basin Finance Journal, Elsevier, volume 58, issue C, DOI: 10.1016/j.pacfin.2019.101239.
• Dhole, Sandip & Mishra, Sagarika & Pal, Ananda Mohan, 2019, "Efficient working capital management, financial constraints and firm value: A text-based analysis," Pacific-Basin Finance Journal, Elsevier, volume 58, issue C, DOI: 10.1016/j.pacfin.2019.101212.
• Xu, Liao & Yin, Xiangkang & Zhao, Jing, 2019, "The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes," Pacific-Basin Finance Journal, Elsevier, volume 58, issue C, DOI: 10.1016/j.pacfin.2019.101217.
• Liu, Shengnan & Kong, Ao & Gu, Rongbao & Guo, Wenjing, 2019, "Does idiosyncratic volatility matter? — Evidence from Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 516, issue C, pages 393-401, DOI: 10.1016/j.physa.2018.09.184.
• Kosc, Krzysztof & Sakowski, Paweł & Ślepaczuk, Robert, 2019, "Momentum and contrarian effects on the cryptocurrency market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 523, issue C, pages 691-701, DOI: 10.1016/j.physa.2019.02.057.
• Xing, Kai & Yang, Xiaoguang, 2019, "How to detect crashes before they burst: Evidence from Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 528, issue C, DOI: 10.1016/j.physa.2019.121392.
• Zhao, Ruwei, 2019, "Inferring private information from online news and searches: Correlation and prediction in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 528, issue C, DOI: 10.1016/j.physa.2019.121450.
• Zhao, Ruwei, 2019, "Quantifying the correlation and prediction of daily happiness sentiment and stock return: The Case of Singapore," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 533, issue C, DOI: 10.1016/j.physa.2019.122020.
• González-Pla, Francisco & Lovreta, Lidija, 2019, "Persistence in firm’s asset and equity volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 535, issue C, DOI: 10.1016/j.physa.2019.122265.
• Kashyap, Ravi, 2019, "The perfect marriage and much more: Combining dimension reduction, distance measures and covariance," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 536, issue C, DOI: 10.1016/j.physa.2019.04.174.
• Aramonte, Sirio & Jahan-Parvar, Mohammad R. & Shugarman, Justin K., 2019, "Institutions and return predictability in oil-exporting countries," The Quarterly Review of Economics and Finance, Elsevier, volume 71, issue C, pages 14-26, DOI: 10.1016/j.qref.2018.09.002.
• González, María de la O & Jareño, Francisco, 2019, "Testing extensions of Fama & French models: A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, volume 71, issue C, pages 188-204, DOI: 10.1016/j.qref.2018.08.004.
• Kruschwitz, Lutz & Löffler, Andreas & Lorenz, Daniela, 2019, "Divergent interest rates in the theory of financial markets," The Quarterly Review of Economics and Finance, Elsevier, volume 71, issue C, pages 48-55, DOI: 10.1016/j.qref.2018.09.003.
• Žukauskas, Vytautas & Hülsmann, Jörg Guido, 2019, "Financial asset valuations: The total demand approach," The Quarterly Review of Economics and Finance, Elsevier, volume 72, issue C, pages 123-131, DOI: 10.1016/j.qref.2018.11.004.
• Inaba, Kei-Ichiro, 2019, "The behaviour of bidders in quantitative-easing auctions of sovereign bonds in Japan: Determinants of the popularity of the 9 to 10-year maturity segment," The Quarterly Review of Economics and Finance, Elsevier, volume 72, issue C, pages 206-214, DOI: 10.1016/j.qref.2018.12.008.
• Lee, Chia-Hao & Chou, Pei-I, 2019, "Information dissemination and investors’ sensitivity," The Quarterly Review of Economics and Finance, Elsevier, volume 74, issue C, pages 242-250, DOI: 10.1016/j.qref.2019.01.009.
• Pati, Pratap Chandra & Rajib, Prabina & Barai, Parama, 2019, "The role of the volatility index in asset pricing: The case of the Indian stock market," The Quarterly Review of Economics and Finance, Elsevier, volume 74, issue C, pages 336-346, DOI: 10.1016/j.qref.2019.04.010.
• Chang, Chia-Lin & Mai, Te-Ke & McAleer, Michael, 2019, "Establishing national carbon emission prices for China," Renewable and Sustainable Energy Reviews, Elsevier, volume 106, issue C, pages 1-16, DOI: 10.1016/j.rser.2019.01.063.
• Balcilar, Mehmet & Gupta, Rangan & Kim, Won Joong & Kyei, Clement, 2019, "The role of economic policy uncertainties in predicting stock returns and their volatility for Hong Kong, Malaysia and South Korea," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 150-163, DOI: 10.1016/j.iref.2018.08.016.
• Chevapatrakul, Thanaset & Xu, Zhongxiang & Yao, Kai, 2019, "The impact of tail risk on stock market returns: The role of market sentiment," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 289-301, DOI: 10.1016/j.iref.2018.09.005.
• Dar, Arif Billah & Bhanja, Niyati & Paul, Manas, 2019, "Do gold mining stocks behave like gold or equities? Evidence from the UK and the US," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 369-384, DOI: 10.1016/j.iref.2018.10.003.
• Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019, "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, volume 59, issue C, pages 50-70, DOI: 10.1016/j.iref.2018.08.003.
• Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019, "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, volume 60, issue C, pages 165-175, DOI: 10.1016/j.iref.2018.11.005.
• Bohl, Martin T. & Gross, Christian & Souza, Waldemar, 2019, "The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets," International Review of Economics & Finance, Elsevier, volume 60, issue C, pages 203-215, DOI: 10.1016/j.iref.2018.11.002.
• Chen, Chunhua & Li, Tianze & Shao, Ruiqing & Zheng, Steven Xiaofan, 2019, "Dynamics of deterioration in internal control reported under SOX 404," International Review of Economics & Finance, Elsevier, volume 61, issue C, pages 228-240, DOI: 10.1016/j.iref.2019.02.009.
• Bagirov, Miramir & Mateus, Cesario, 2019, "Oil prices, stock markets and firm performance: Evidence from Europe," International Review of Economics & Finance, Elsevier, volume 61, issue C, pages 270-288, DOI: 10.1016/j.iref.2019.02.007.
• Barbopoulos, Leonidas G. & Cheng, Louis T.W. & Cheng, Yi & Marshall, Andrew, 2019, "The role of real options in the takeover premia in mergers and acquisitions," International Review of Economics & Finance, Elsevier, volume 61, issue C, pages 91-107, DOI: 10.1016/j.iref.2019.01.006.
• Muñoz, Fernando, 2019, "The ‘smart money effect’ among socially responsible mutual fund investors," International Review of Economics & Finance, Elsevier, volume 62, issue C, pages 160-179, DOI: 10.1016/j.iref.2019.03.010.
• Yen, Yu-Min, 2019, "Forward-looking information on growth and uncertainty implied by derivative securities: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, volume 62, issue C, pages 240-266, DOI: 10.1016/j.iref.2019.03.008.
• Rahman, Md Lutfur & Shamsuddin, Abul & Lee, Doowon, 2019, "Predictive power of dividend yields and interest rates for stock returns in South Asia: Evidence from a bias-corrected estimator," International Review of Economics & Finance, Elsevier, volume 62, issue C, pages 267-286, DOI: 10.1016/j.iref.2019.04.010.
• Pedraza, Alvaro & Pulga, Fredy, 2019, "Asset price effects of peer benchmarking: Evidence from a natural experiment," International Review of Economics & Finance, Elsevier, volume 62, issue C, pages 53-65, DOI: 10.1016/j.iref.2019.02.012.
• Yu, Lin & Fung, Hung-Gay & Leung, Wai Kin, 2019, "Momentum or contrarian trading strategy: Which one works better in the Chinese stock market," International Review of Economics & Finance, Elsevier, volume 62, issue C, pages 87-105, DOI: 10.1016/j.iref.2019.03.006.
• Gao, Shenghao & Cao, Feng & Fok, Robert (Chi-Wing), 2019, "The anchoring effect of underwriters' proposed price ranges on institutional investors' bid prices in IPO auctions: Evidence from China," International Review of Economics & Finance, Elsevier, volume 63, issue C, pages 111-127, DOI: 10.1016/j.iref.2018.08.013.
• Huang, Guan-Ying & Huang, Henry H. & Lee, Chun I, 2019, "Is CEO pay disparity relevant to seasoned bondholders?," International Review of Economics & Finance, Elsevier, volume 64, issue C, pages 271-289, DOI: 10.1016/j.iref.2019.05.014.
• Lee, Eunhee, 2019, "Asset prices with stochastic volatilities and a UIP puzzle," International Review of Economics & Finance, Elsevier, volume 64, issue C, pages 41-61, DOI: 10.1016/j.iref.2019.05.004.
• Chuan ‘Chewie’ Ang, Tze & Lam, F.Y. Eric C. & Ma, Tai & Wang, Shujing & Wei, K.C. John, 2019, "What is the real relationship between cash holdings and stock returns?," International Review of Economics & Finance, Elsevier, volume 64, issue C, pages 513-528, DOI: 10.1016/j.iref.2019.09.003.
• Claeys, Peter & Vašíček, Bořek, 2019, "Transmission of uncertainty shocks: Learning from heterogeneous responses on a panel of EU countries," International Review of Economics & Finance, Elsevier, volume 64, issue C, pages 62-83, DOI: 10.1016/j.iref.2019.05.012.
• Abreu, Margarida, 2019, "How biased is the behavior of the individual investor in warrants?," Research in International Business and Finance, Elsevier, volume 47, issue C, pages 139-149, DOI: 10.1016/j.ribaf.2018.07.006.
• Chiang, Thomas C., 2019, "Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets," Research in International Business and Finance, Elsevier, volume 47, issue C, pages 264-278, DOI: 10.1016/j.ribaf.2018.08.003.
• Othieno, Ferdinand & Biekpe, Nicholas, 2019, "Estimating the conditional equity risk premium in African frontier markets," Research in International Business and Finance, Elsevier, volume 47, issue C, pages 538-551, DOI: 10.1016/j.ribaf.2018.09.015.
• Zaremba, Adam & Okoń, Szymon & Asyngier, Roman & Schroeter, Lucia, 2019, "Reverse splits in international stock markets: Reconciling the evidence on long-term returns," Research in International Business and Finance, Elsevier, volume 47, issue C, pages 552-562, DOI: 10.1016/j.ribaf.2018.10.001.
• Caporale, Guglielmo Maria & Zekokh, Timur, 2019, "Modelling volatility of cryptocurrencies using Markov-Switching GARCH models," Research in International Business and Finance, Elsevier, volume 48, issue C, pages 143-155, DOI: 10.1016/j.ribaf.2018.12.009.
• Mili, Mehdi, 2019, "The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets," Research in International Business and Finance, Elsevier, volume 48, issue C, pages 187-200, DOI: 10.1016/j.ribaf.2018.12.013.
• McMillan, David G., 2019, "Stock return predictability: Using the cyclical component of the price ratio," Research in International Business and Finance, Elsevier, volume 48, issue C, pages 228-242, DOI: 10.1016/j.ribaf.2018.12.014.
• Liu, Jingzhen, 2019, "Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies," Research in International Business and Finance, Elsevier, volume 48, issue C, pages 243-257, DOI: 10.1016/j.ribaf.2019.01.002.
• Poshakwale, Sunil S. & Chandorkar, Pankaj & Agarwal, Vineet, 2019, "Implied volatility and the cross section of stock returns in the UK," Research in International Business and Finance, Elsevier, volume 48, issue C, pages 271-286, DOI: 10.1016/j.ribaf.2019.01.006.
• Kusen, Alex & Rudolf, Markus, 2019, "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, volume 48, issue C, pages 438-463, DOI: 10.1016/j.ribaf.2019.01.013.
• Swamy, Vighneswara & Dharani, M. & Takeda, Fumiko, 2019, "Investor attention and Google Search Volume Index: Evidence from an emerging market using quantile regression analysis," Research in International Business and Finance, Elsevier, volume 50, issue C, pages 1-17, DOI: 10.1016/j.ribaf.2019.04.010.
• Zhang, Sijia & Gregoriou, Andros, 2019, "The price behavior around initial loan announcements: Evidence from zero-leverage firms in the UK," Research in International Business and Finance, Elsevier, volume 50, issue C, pages 191-200, DOI: 10.1016/j.ribaf.2019.05.004.
• Nguyen, Anh Duy, 2019, "Residual return reversals: European evidence," Research in International Business and Finance, Elsevier, volume 50, issue C, pages 392-397, DOI: 10.1016/j.ribaf.2019.06.011.
• Cafferata, Alessia & Tramontana, Fabio, 2019, "A financial market model with confirmation bias," Structural Change and Economic Dynamics, Elsevier, volume 51, issue C, pages 252-259, DOI: 10.1016/j.strueco.2019.08.004.
• Tvedt, Jostein, 2019, "Transport services and the valuation of flexibility over business cycles," Transportation Research Part A: Policy and Practice, Elsevier, volume 130, issue C, pages 517-528, DOI: 10.1016/j.tra.2019.09.057.
• Moutzouris, Ioannis C. & Nomikos, Nikos K., 2019, "Earnings yield and predictability in the dry bulk shipping industry," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 125, issue C, pages 140-159, DOI: 10.1016/j.tre.2019.03.009.
• Basak, Suleyman & Chabakauri, Georgy & Yavuz, M. Deniz, 2019, "Investor protection and asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100241, Dec.
• Makarov, Igor & Schoar, Antoinette, 2020, "Trading and arbitrage in cryptocurrency markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100409, Feb.
• Kondor, Peter & Pinter, Gabor, 2019, "Private information and client connections in government bond markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100931, Jan.
• Todorov, Karamfil, 2020, "Quantify the quantitative easing: impact on bonds and corporate debt issuance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101665, Feb.
• Liao, Jingchi & Peng, Cheng & Zhu, Ning, 2019, "Price and volume dynamics in bubbles," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102057, Apr.
• Kondor, Peter & Pintér, Gábor, 2019, "Clients' connections," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118933, Jul.
• Martin, Ian & Papadimitriou, Dimitris, 2019, "Sentiment and speculation in a market with heterogeneous beliefs," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118936, May.
• Lou, Dong & Polk, Christopher & Skouras, Spyros, 2019, "A tug of war: overnight versus intraday expected returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87481, Oct.
• Beaver, William H & Cascino, Stefano & Correia, Maria & McNichols, Maureen F., 2019, "Group affiliation and default prediction," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 88139, Aug.
• Martin, Ian & Ross, Steve, 2019, "Notes on the yield curve," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90208, Dec.
• Petr Jakubik & Sibel Uguz, 2019, "Impact of Green Bond Policies on Insurers: Evidence from the European Equity Market," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 14, Jun.
• Stefano Battiston & Petr Jakubik & Irene Monasterolo & Keywan Riahi & Bas van Ruijven, 2019, "Climate Risk Assessment of the Sovereign Bond Portfolio of European Insurers," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 15, Dec.
• Alexandra de Jong & Alin Draghiciu & Linda Fache Rousová & Alessandro Fontana & Elisa Letizia, 2019, "Impact of Variation Margining on EU Insurers’ Liquidity: An Analysis of Interest Rate Swaps Positions," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 16, Dec.
• Raphael Espinoza & Dimitrios P. Tsomocos, 2019, "Monetary transaction costs and the term premium," Chapters, Edward Elgar Publishing, chapter 8, "Financial Regulation and Stability".
• Julien Prat & Vincent Danos & Stefania Marcassa, 2019, "Fundamental Pricing of Utility Tokens," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2019-11.
• Raheel Safdar & Mirza Sultan Sikandar & Tanveer Ahsan, 2019, "Market pricing of liquidity risk: evidence from China," China Finance Review International, Emerald Group Publishing Limited, volume 9, issue 4, pages 554-566, September, DOI: 10.1108/CFRI-01-2019-0013.
• Thomas C. Chiang, 2019, "Financial risk, uncertainty and expected returns: evidence from Chinese equity markets," China Finance Review International, Emerald Group Publishing Limited, volume 9, issue 4, pages 425-454, July, DOI: 10.1108/CFRI-09-2018-0129.
• Nurwahida Yaakub & Mohamed Sherif, 2019, "Performance of initial public offerings (IPOs): the case of Shariah-compliant companies," Islamic Economic Studies, Emerald Group Publishing Limited, volume 27, issue 1, pages 65-76, August, DOI: 10.1108/IES-06-2019-0012.
• Hassan F. Gholipour & Hooi Hooi Lean & Reza Tajaddini & Anh Khoi Pham, 2019, "Foreign investment in Australian residential properties," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 12, issue 2, pages 166-180, March, DOI: 10.1108/IJHMA-05-2018-0030.
• Tobias Just & Michael Heinrich & Mark Andreas Maurin & Thomas Schreck, 2019, "Foreclosure discounts for German housing markets," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 13, issue 2, pages 143-163, August, DOI: 10.1108/IJHMA-12-2018-0106.
• Mouna Abdelhedi & Mouna Boujelbène-Abbes, 2019, "Transmission of shocks between Chinese financial market and oil market," International Journal of Emerging Markets, Emerald Group Publishing Limited, volume 15, issue 2, pages 262-286, September, DOI: 10.1108/IJOEM-07-2017-0244.
• Ahmad Hakimi Tajuddin & Rasidah Mohd Rashid & Karren Lee-Hwei Khaw & Norliza Che Yahya, 2019, "Shariah-compliant status and investors’ demand for IPOs: the effects of information asymmetry," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 12, issue 4, pages 489-508, August, DOI: 10.1108/IMEFM-01-2019-0026.
• Salman Ahmed Shaikh & Mohd Adib Ismail & Abdul Ghafar Ismail & Shahida Shahimi & Muhammad Hakimi Mohd. Shafiai, 2019, "Cross section of stock returns onShari’ah-compliant stocks: evidence from Pakistan," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 12, issue 2, pages 282-302, June, DOI: 10.1108/IMEFM-04-2017-0100.
• Youssef Riahi & Yacine Hammami, 2019, "Accounting information and financial institutions’ credit spreads: the case of Tunisia," Journal of Applied Accounting Research, Emerald Group Publishing Limited, volume 20, issue 1, pages 2-21, May, DOI: 10.1108/JAAR-06-2017-0065.
• Vikas Gupta & Shveta Singh & Surendra S. Yadav, 2019, "Impact of anchor investors on IPO returns during pre-market and aftermarket: evidence from India," Journal of Advances in Management Research, Emerald Group Publishing Limited, volume 17, issue 3, pages 351-368, November, DOI: 10.1108/JAMR-07-2019-0131.
• Silvio John Camilleri & Francelle Galea, 2019, "The determinants of securities trading activity: evidence from four European equity markets," Journal of Capital Markets Studies, Emerald Group Publishing Limited, volume 3, issue 1, pages 47-67, June, DOI: 10.1108/JCMS-02-2019-0007.
• Halil Kiymaz, 2019, "Factors influencing SRI fund performance," Journal of Capital Markets Studies, Emerald Group Publishing Limited, volume 3, issue 1, pages 68-81, June, DOI: 10.1108/JCMS-04-2019-0016.
• Alejandra Olivares Rios & Gabriel Rodríguez & Miguel Ataurima Arellano, 2019, "Estimation of Peru’s sovereign yield curve: the role of macroeconomic and latent factors," Journal of Economic Studies, Emerald Group Publishing Limited, volume 46, issue 3, pages 533-563, August, DOI: 10.1108/JES-04-2017-0089.
• Guglielmo Maria Caporale & Alex Plastun, 2019, "Price overreactions in the cryptocurrency market," Journal of Economic Studies, Emerald Group Publishing Limited, volume 46, issue 5, pages 1137-1155, August, DOI: 10.1108/JES-09-2018-0310.
• Serkan Karadas & William McAndrew & Minh Tam Tammy Schlosky, 2019, "Local corruption and local stock returns," Journal of Financial Crime, Emerald Group Publishing Limited, volume 26, issue 4, pages 1065-1077, October, DOI: 10.1108/JFC-01-2018-0011.
• Saji Thazhugal Govindan Nair, 2019, "Sovereign credit ratings and bond yield spreads in emerging markets," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 12, issue 2, pages 263-277, December, DOI: 10.1108/JFEP-04-2019-0068.
• Serdar Ongan & Ismet Gocer, 2019, "Testing fisher effect for the USA: application of nonlinear ARDL model," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 12, issue 2, pages 293-304, December, DOI: 10.1108/JFEP-09-2018-0127.
• Dharani Munusamy, 2019, "Does Ramadan influence the returns and volatility? Evidence from Shariah index in India," Journal of Islamic Accounting and Business Research, Emerald Group Publishing Limited, volume 10, issue 4, pages 565-579, July, DOI: 10.1108/JIABR-03-2016-0025.
• Alain Coën & Patrick Lecomte, 2019, "International listed real estate returns: evidence from the global financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 37, issue 1, pages 72-91, January, DOI: 10.1108/JPIF-03-2018-0021.
• Vladimir Michaletz & Andrey I. Artemenkov, 2019, "The transactional asset pricing approach," Journal of Property Investment & Finance, Emerald Group Publishing Limited, volume 37, issue 3, pages 255-288, March, DOI: 10.1108/JPIF-10-2018-0078.
• Giuseppe Orlando & Rosa Maria Mininni & Michele Bufalo, 2019, "Interest rates calibration with a CIR model," Journal of Risk Finance, Emerald Group Publishing Limited, volume 20, issue 4, pages 370-387, September, DOI: 10.1108/JRF-05-2019-0080.
• Christian Fieberg & Armin Varmaz & Thorsten Poddig, 2019, "Risk models vs characteristic models from an investor’s perspective," Journal of Risk Finance, Emerald Group Publishing Limited, volume 20, issue 2, pages 201-222, July, DOI: 10.1108/JRF-10-2018-0163.
• Omaima Hassan & Gianluigi Giorgioni, 2018, "The impact of corruption on analyst coverage," Managerial Auditing Journal, Emerald Group Publishing Limited, volume 34, issue 3, pages 305-323, October, DOI: 10.1108/MAJ-01-2018-1783.
• Raurich, Xavier & Seegmuller, Thomas, 2019, "On the interplay between speculative bubbles and productive investment," European Economic Review, Elsevier, volume 111, issue C, pages 400-420, DOI: 10.1016/j.euroecorev.2018.11.002.
• Oliviero, Tommaso & Scognamiglio, Annalisa, 2019, "Property tax and property values: Evidence from the 2012 Italian tax reform," European Economic Review, Elsevier, volume 118, issue C, pages 227-251, DOI: 10.1016/j.euroecorev.2019.05.015.
• Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2019, "Pricing sin stocks: Ethical preference vs. risk aversion," European Economic Review, Elsevier, volume 118, issue C, pages 69-100, DOI: 10.1016/j.euroecorev.2019.04.006.
• Han, Han & Julien, Benoît & Petursdottir, Asgerdur & Wang, Liang, 2019, "Asset liquidity and indivisibility," European Economic Review, Elsevier, volume 119, issue C, pages 236-250, DOI: 10.1016/j.euroecorev.2019.07.008.
• Li, Shaoyu & Zhang, Teng & Li, Yingxiang, 2019, "Flight-to-liquidity: Evidence from China's stock market," Emerging Markets Review, Elsevier, volume 38, issue C, pages 159-181, DOI: 10.1016/j.ememar.2019.01.001.
• Zaremba, Adam & Maydybura, Alina, 2019, "The cross-section of returns in frontier equity markets: Integrated or segmented pricing?," Emerging Markets Review, Elsevier, volume 38, issue C, pages 219-238, DOI: 10.1016/j.ememar.2019.02.003.
• Dupuis, Daniel, 2019, "Ex-dividend day price behavior and liquidity in a tax-free emerging market," Emerging Markets Review, Elsevier, volume 38, issue C, pages 239-250, DOI: 10.1016/j.ememar.2019.02.001.
• Hanauer, Matthias X. & Lauterbach, Jochim G., 2019, "The cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, volume 38, issue C, pages 265-286, DOI: 10.1016/j.ememar.2018.11.009.
• Park, Cheol & Choi, Paul Moon Sub & Choi, Joung Hwa, 2019, "Is individual trading priced in the preferred stock discount?," Emerging Markets Review, Elsevier, volume 38, issue C, pages 326-346, DOI: 10.1016/j.ememar.2018.03.006.
• Figlioli, Bruno & Lima, Fabiano Guasti, 2019, "Stock pricing in Latin America: The synchronicity effect," Emerging Markets Review, Elsevier, volume 39, issue C, pages 1-17, DOI: 10.1016/j.ememar.2019.03.002.
• Lee, Jieun & Ryu, Doojin, 2019, "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, volume 39, issue C, pages 101-119, DOI: 10.1016/j.ememar.2019.04.001.
• Ali, Heba, 2019, "Does downside risk matter more in asset pricing? Evidence from China," Emerging Markets Review, Elsevier, volume 39, issue C, pages 154-174, DOI: 10.1016/j.ememar.2019.05.001.
• Ding, Mingfa & Suardi, Sandy, 2019, "Government ownership and stock liquidity: Evidence from China," Emerging Markets Review, Elsevier, volume 40, issue C, pages 1-1, DOI: 10.1016/j.ememar.2019.100625.
• Borri, Nicola, 2019, "Conditional tail-risk in cryptocurrency markets," Journal of Empirical Finance, Elsevier, volume 50, issue C, pages 1-19, DOI: 10.1016/j.jempfin.2018.11.002.
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• Liu, Clark & Wang, Shujing & Wei, K.C. John & Zhong, Ninghua, 2019, "The demand effect of yield-chasing retail investors: Evidence from the Chinese enterprise bond market," Journal of Empirical Finance, Elsevier, volume 50, issue C, pages 57-77, DOI: 10.1016/j.jempfin.2018.12.001.
• Yan, Cheng & Cheng, Tingting, 2019, "In search of the optimal number of fund subgroups," Journal of Empirical Finance, Elsevier, volume 50, issue C, pages 78-92, DOI: 10.1016/j.jempfin.2018.12.002.
• Horvath, Jaroslav, 2019, "Isolating the disaster risk premium with equity options," Journal of Empirical Finance, Elsevier, volume 51, issue C, pages 138-148, DOI: 10.1016/j.jempfin.2019.02.005.
• Brandt, Michael W. & Gao, Lin, 2019, "Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil," Journal of Empirical Finance, Elsevier, volume 51, issue C, pages 64-94, DOI: 10.1016/j.jempfin.2019.01.007.
• Roh, Tai-Yong & Lee, Changjun & Min, Byoung-Kyu, 2019, "Consumption growth predictability and asset prices," Journal of Empirical Finance, Elsevier, volume 51, issue C, pages 95-118, DOI: 10.1016/j.jempfin.2019.02.001.
• Zhu, Zhaobo & Sun, Licheng & Chen, Min, 2019, "Fundamental strength and short-term return reversal," Journal of Empirical Finance, Elsevier, volume 52, issue C, pages 22-39, DOI: 10.1016/j.jempfin.2019.02.006.
• Antell, Jan & Vaihekoski, Mika, 2019, "Expected and realized returns in conditional asset pricing models: A new testing approach," Journal of Empirical Finance, Elsevier, volume 52, issue C, pages 220-236, DOI: 10.1016/j.jempfin.2019.04.001.
• Gu, Ming & Jiang, George J. & Xu, Bu, 2019, "The role of analysts: An examination of the idiosyncratic volatility anomaly in the Chinese stock market," Journal of Empirical Finance, Elsevier, volume 52, issue C, pages 237-254, DOI: 10.1016/j.jempfin.2019.03.007.
• Lee, Eunju & Piqueira, Natalia, 2019, "Behavioral biases of informed traders: Evidence from insider trading on the 52-week high," Journal of Empirical Finance, Elsevier, volume 52, issue C, pages 56-75, DOI: 10.1016/j.jempfin.2019.02.007.
• Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr, 2019, "Using extracted forward rate term structure information to forecast foreign exchange rates," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 1-14, DOI: 10.1016/j.jempfin.2019.05.002.
• Zaremba, Adam & Umutlu, Mehmet & Karathanasopoulos, Andreas, 2019, "Alpha momentum and alpha reversal in country and industry equity indexes," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 144-161, DOI: 10.1016/j.jempfin.2019.07.003.
• Lekniūtė, Zina & Beetsma, Roel & Ponds, Eduard, 2019, "U.S. municipal yields and unfunded state pension liabilities," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 15-32, DOI: 10.1016/j.jempfin.2019.05.003.
• Caporin, Massimiliano & Natvik, Gisle J. & Ravazzolo, Francesco & Santucci de Magistris, Paolo, 2019, "The bank-sovereign nexus: Evidence from a non-bailout episode," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 181-196, DOI: 10.1016/j.jempfin.2019.07.001.
• Al-Zoubi, Haitham A., 2019, "Bond and option prices with permanent shocks," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 272-290, DOI: 10.1016/j.jempfin.2019.07.010.
• De Sola Perea, Maite & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas, 2019, "Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 33-52, DOI: 10.1016/j.jempfin.2019.06.001.
• Eriksen, Jonas N., 2019, "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, volume 53, issue C, pages 91-108, DOI: 10.1016/j.jempfin.2019.07.002.
• Ren, Yu & Tu, Yundong & Yi, Yanping, 2019, "Balanced predictive regressions," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 118-142, DOI: 10.1016/j.jempfin.2019.09.001.
• Wu, Ying, 2019, "Asset pricing with extreme liquidity risk," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 143-165, DOI: 10.1016/j.jempfin.2019.09.002.
• Borup, Daniel, 2019, "Asset pricing model uncertainty," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 166-189, DOI: 10.1016/j.jempfin.2019.07.005.
• Chung, Y. Peter & Hong, Hyun A. & Kim, S. Thomas, 2019, "What causes the asymmetric correlation in stock returns?," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 190-212, DOI: 10.1016/j.jempfin.2019.10.001.
• Chalamandaris, George & Pagratis, Spyros, 2019, "Limits to arbitrage and CDS–bond dynamics around the financial crisis," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 213-235, DOI: 10.1016/j.jempfin.2019.10.003.
• Huang, Shiyang & Liu, Xin & Yin, Chengxi, 2019, "Investor target prices," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 39-57, DOI: 10.1016/j.jempfin.2019.07.009.
• Kang, Wenjin & Li, Nan & Zhang, Huiping, 2019, "Information uncertainty and the pricing of liquidity," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 77-96, DOI: 10.1016/j.jempfin.2019.08.005.
• Ramiah, Vikash & Wallace, Damien & Veron, Jose Francisco & Reddy, Krishna & Elliott, Robert, 2019, "The effects of recent terrorist attacks on risk and return in commodity markets," Energy Economics, Elsevier, volume 77, issue C, pages 13-22, DOI: 10.1016/j.eneco.2018.10.025.
• Gupta, Kartick & Banerjee, Rajabrata, 2019, "Does OPEC news sentiment influence stock returns of energy firms in the United States?," Energy Economics, Elsevier, volume 77, issue C, pages 34-45, DOI: 10.1016/j.eneco.2018.03.017.
• Kang, Wensheng & de Gracia, Fernando Perez & Ratti, Ronald A., 2019, "The asymmetric response of gasoline prices to oil price shocks and policy uncertainty," Energy Economics, Elsevier, volume 77, issue C, pages 66-79, DOI: 10.1016/j.eneco.2018.09.007.
• Sarwar, Suleman & Shahbaz, Muhammad & Anwar, Awais & Tiwari, Aviral Kumar, 2019, "The importance of oil assets for portfolio optimization: The analysis of firm level stocks," Energy Economics, Elsevier, volume 78, issue C, pages 217-234, DOI: 10.1016/j.eneco.2018.11.021.
• Li, Bingxin, 2019, "Pricing dynamics of natural gas futures," Energy Economics, Elsevier, volume 78, issue C, pages 91-108, DOI: 10.1016/j.eneco.2018.10.024.
• Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019, "A branching process approach to power markets," Energy Economics, Elsevier, volume 79, issue C, pages 144-156, DOI: 10.1016/j.eneco.2018.03.002.