Research classified by Journal of Economic Literature (JEL) codes

2019

• Griffith, Todd G. & Roseman, Brian S., 2019, "Making cents of tick sizes: The effect of the 2016 U.S. SEC tick size pilot on limit order book liquidity," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 104-121, DOI: 10.1016/j.jbankfin.2019.01.017.
• Chan, Konan & Li, Fengfei & Lin, Tse-Chun, 2019, "Earnings management and post-split drift," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 136-146, DOI: 10.1016/j.jbankfin.2019.02.004.
• Huang, Tao & Li, Junye, 2019, "Option-Implied variance asymmetry and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 21-36, DOI: 10.1016/j.jbankfin.2019.02.001.
• Chague, Fernando & De-Losso, Rodrigo & Giovannetti, Bruno, 2019, "The short-selling skill of institutions and individuals," Journal of Banking & Finance, Elsevier, volume 101, issue C, pages 77-91, DOI: 10.1016/j.jbankfin.2019.02.003.
• Ahn, Dong-Hyun & Min, Byoung-Kyu & Yoon, Bohyun, 2019, "Why has the size effect disappeared?," Journal of Banking & Finance, Elsevier, volume 102, issue C, pages 256-276, DOI: 10.1016/j.jbankfin.2019.02.005.
• Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019, "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, volume 102, issue C, pages 43-58, DOI: 10.1016/j.jbankfin.2019.03.009.
• Braun, Alexander & Ben Ammar, Semir & Eling, Martin, 2019, "Asset pricing and extreme event risk: Common factors in ILS fund returns," Journal of Banking & Finance, Elsevier, volume 102, issue C, pages 59-78, DOI: 10.1016/j.jbankfin.2019.02.012.
• Panayides, Marios A. & Shohfi, Thomas D. & Smith, Jared D., 2019, "Bulk volume classification and information detection," Journal of Banking & Finance, Elsevier, volume 103, issue C, pages 113-129, DOI: 10.1016/j.jbankfin.2019.04.001.
• Jain, Ankit & Tantri, Prasanna & Thirumalai, Ramabhadran S., 2019, "Demand curves for stocks do not slope down: Evidence using an exogenous supply shock," Journal of Banking & Finance, Elsevier, volume 104, issue C, pages 19-30, DOI: 10.1016/j.jbankfin.2019.03.012.
• Jiang, Xianfeng & Packer, Frank, 2019, "Credit ratings of Chinese firms by domestic and global agencies: Assessing the determinants and impact," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 178-193, DOI: 10.1016/j.jbankfin.2019.05.011.
• Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019, "Asset prices and “the devil(s) you know”," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 20-35, DOI: 10.1016/j.jbankfin.2019.04.003.
• Siganos, Antonios, 2019, "The daylight saving time anomaly in relation to firms targeted for mergers," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 36-43, DOI: 10.1016/j.jbankfin.2019.05.014.
• Li, Xiangwen & Wu, Wenfeng, 2019, "Portfolio pumping and fund performance ranking: A performance-based compensation contract perspective," Journal of Banking & Finance, Elsevier, volume 105, issue C, pages 94-106, DOI: 10.1016/j.jbankfin.2019.05.020.
• Hu, Xiaolu & Huang, Haozhi & Pan, Zheyao & Shi, Jing, 2019, "Information asymmetry and credit rating: A quasi-natural experiment from China," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 132-152, DOI: 10.1016/j.jbankfin.2019.06.003.
• Lakdawala, Aeimit & Schaffer, Matthew, 2019, "Federal reserve private information and the stock market," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 34-49, DOI: 10.1016/j.jbankfin.2019.05.022.
• Tan, Gary & Cheong, Chee Seng & Zurbruegg, Ralf, 2019, "National culture and individual trading behavior," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 357-370, DOI: 10.1016/j.jbankfin.2019.07.007.
• Li, Yubin & Zhao, Chen & Zhong, Zhaodong, 2019, "Price discrimination against retail Investors: Evidence from mini options," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 50-64, DOI: 10.1016/j.jbankfin.2019.05.012.
• Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2019, "Decomposing global yield curve co-movement," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 500-513, DOI: 10.1016/j.jbankfin.2019.07.018.
• Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019, "The information content of forward moments," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 527-541, DOI: 10.1016/j.jbankfin.2019.07.021.
• De Giorgi, Enrico G. & Post, Thierry & Yalçın, Atakan, 2019, "A concave security market line," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 65-81, DOI: 10.1016/j.jbankfin.2019.05.010.
• Gemmill, Gordon & Marra, Miriam, 2019, "Explaining CDS prices with Merton’s model before and after the Lehman default," Journal of Banking & Finance, Elsevier, volume 106, issue C, pages 93-109, DOI: 10.1016/j.jbankfin.2019.05.013.
• Dufour, Alfonso & Marra, Miriam & Sangiorgi, Ivan, 2019, "Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos," Journal of Banking & Finance, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jbankfin.2019.105610.
• Huang, Shiyang & Jiang, Ying & Qiu, Zhigang & Ye, Zhiqiang, 2019, "An equilibrium model of risk management spillover," Journal of Banking & Finance, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jbankfin.2019.08.002.
• Borochin, Paul & Zhao, Yanhui, 2019, "Belief heterogeneity in the option markets and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, volume 107, issue C, pages 1-1, DOI: 10.1016/j.jbankfin.2019.07.011.
• Guo, Xu & Wu, Chunchi, 2019, "Short interest, stock returns and credit ratings," Journal of Banking & Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.jbankfin.2019.105617.
• Gao, Shenghao & Lu, Ruichang & Ni, Chenkai, 2019, "Institutional investors’ cognitive constraints during initial public offerings," Journal of Banking & Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.jbankfin.2019.105627.
• Chue, Timothy K. & Gul, Ferdinand A. & Mian, G. Mujtaba, 2019, "Aggregate investor sentiment and stock return synchronicity," Journal of Banking & Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.jbankfin.2019.105628.
• Morelli, Giacomo & Santucci de Magistris, Paolo, 2019, "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.jbankfin.2019.105654.
• Dang, Tung Lam & Dang, Viet Anh & Moshirian, Fariborz & Nguyen, Lily & Zhang, Bohui, 2019, "News media coverage and corporate leverage adjustments," Journal of Banking & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.jbankfin.2019.105666.
• Duarte, Diogo & Saporito, Yuri F., 2019, "Endogenous asymmetric money illusion," Journal of Banking & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.jbankfin.2019.105681.
• Gozluklu, Arie & Morin, Annaïg, 2019, "Stock vs. Bond yields and demographic fluctuations," Journal of Banking & Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.jbankfin.2019.105683.
• Gabriele Foà & Leonardo Gambacorta & Luigi Guiso & Paolo Emilio Mistrulli, 2019, "The Supply Side of Household Finance," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 10, pages 3762-3798.
• Nina Boyarchenko & Andreas Fuster & David O Lucca, 2019, "Understanding Mortgage Spreads," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 10, pages 3799-3850.
• Suleyman Basak & Georgy Chabakauri & M Deniz Yavuz, 2019, "Investor Protection and Asset Prices," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 12, pages 4905-4946.
• Martin C Schmalz & Sergey Zhuk, 2019, "Revealing Downturns," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 1, pages 338-373.
• João F Gomes & Marco Grotteria & Jessica A Wachter, 2019, "Cyclical Dispersion in Expected Defaults," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 4, pages 1275-1308.
• Martin G Kocher & Konstantin E Lucks & David Schindler, 2019, "Unleashing Animal Spirits: Self-Control and Overpricing in Experimental Asset Markets," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 6, pages 2149-2178.
• Frederico Belo & Xiaoji Lin & Fan Yang, 2019, "External Equity Financing Shocks, Financial Flows, and Asset Prices," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 9, pages 3500-3543.
• Gustavo S Cortes & Marc D Weidenmier, 2019, "Stock Volatility and the Great Depression," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 9, pages 3544-3570.
• A Ronald Gallant & Mohammad R Jahan-Parvar & Hening Liu, 2019, "Does Smooth Ambiguity Matter for Asset Pricing?," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 9, pages 3617-3666.
• Rangan Gupta & Mark Wohar, 2019, "The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data," Economics and Business Letters, Oviedo University Press, volume 8, issue 3, pages 138-146.
• Jesus Fernandez-Villaverde & Francesco Zanetti & Federico Mandelman & Yang Yu, 2019, "Search Complementarities, Aggregate Fluctuations, and Fiscal Policy," Economics Series Working Papers, University of Oxford, Department of Economics, number 880, Sep.
• Aitoutouhen, Latifa & Hamza, Faris, 2019, "Strategic Allocation of Pension Reserve Funds: Application of ALM Model and LDI Technique || Asignación Estratégica de Fondos de Reserva de Pensiones: Aplicación del Modelo ALM y LDI Técnica," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, volume 28, issue 1, pages 381-425, December.
• Chris M. Lawrey & Brandon C. L. Morris, 2019, "Corporate diversification and abnormal returns," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 1, pages 31-37, February, DOI: 10.1057/s41260-018-0100-0.
• Irina Bezhentseva Mateus & Cesario Mateus & Natasa Todorovic, 2019, "Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 1, pages 15-30, February, DOI: 10.1057/s41260-018-0101-z.
• Ernest N. Biktimirov & Yuanbin Xu, 2019, "Asymmetric stock price and investor awareness reactions to changes in the Nasdaq 100 index," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 2, pages 134-145, March, DOI: 10.1057/s41260-019-00108-6.
• Bingxin Li & Natalia Piqueira, 2019, "State-dependent size and value premium: evidence from a regime-switching asset pricing model," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 3, pages 229-249, May, DOI: 10.1057/s41260-019-00113-9.
• Irina Bezhentseva Mateus & Cesario Mateus & Natasa Todorovic, 2019, "Correction to: Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 3, pages 250-250, May, DOI: 10.1057/s41260-019-00114-8.
• Niall O’Sullivan & Sheng Zhu & Jason Foran, 2019, "Sentiment versus liquidity pricing effects in the cross-section of UK stock returns," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 4, pages 317-329, July, DOI: 10.1057/s41260-019-00119-3.
• James S. Ang & Kenneth J. Hunsader & Shaojun Zhang, 2019, "Order dynamics during the flash crash," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 5, pages 365-383, September, DOI: 10.1057/s41260-019-00129-1.
• Charles Chevalier & Serge Darolles, 2019, "Trends everywhere? The case of hedge fund styles," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 6, pages 442-468, October, DOI: 10.1057/s41260-019-00141-5.
• Wolfgang Drobetz & Rebekka Haller & Christian Jasperneite & Tizian Otto, 2019, "Predictability and the cross section of expected returns: evidence from the European stock market," Journal of Asset Management, Palgrave Macmillan, volume 20, issue 7, pages 508-533, December, DOI: 10.1057/s41260-019-00138-0.
• Xian Gu & Iftekhar Hasan & Haitian Lu, 2019, "Corporate Misconduct and the Cost of Private Debt: Evidence from China," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, volume 61, issue 3, pages 443-463, September, DOI: 10.1057/s41294-019-00099-8.
• Tobias Adrian & Daniel Stackman & Erik Vogt, 2019, "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 67, issue 1, pages 215-260, March, DOI: 10.1057/s41308-019-00075-3.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2019, "Global Financial Cycles and Risk Premiums," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 67, issue 1, pages 109-150, March, DOI: 10.1057/s41308-019-00077-1.
• Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019, "Determinants of CDS trading on major banks," Working Papers Dissertations, Paderborn University, Faculty of Business Administration and Economics, number 51, Aug.
• Jesus Fernandez-Villaverde & Federico Mandelman & Yang Yu & Francesco Zanetti, 2019, "Search Complementarities, Aggregate Fluctuations, and Fiscal Policy," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 19-016, Sep.
• Joanna Olbrys, 2019, "Intra-market commonality in liquidity: new evidence from the Polish stock exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 14, issue 2, pages 251-275, June, DOI: 10.24136/eq.2019.012.
• Magas, István, 2019, "Ten Years after The Global Economic Crisis — A Retrospective Analysis," Public Finance Quarterly, Corvinus University of Budapest, volume 64, issue 1, pages 93-109.
• Abdul Rashid & Saba Kausar, 2019, "Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 58, issue 1, pages 83-104.
• Cao, Charles & Simin, Timothy & Xiao, Han, 2019, "Predicting the equity premium with the implied volatility spread," MPRA Paper, University Library of Munich, Germany, number 103651, Dec.
• Basistha, Arabinda & Kurov, Alexander & Wolfe, Marketa Halova, 2019, "Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility," MPRA Paper, University Library of Munich, Germany, number 111037.
• Piergallini, Alessandro, 2019, "Demographic Change and Real House Prices: A General Equilibrium Perspective," MPRA Paper, University Library of Munich, Germany, number 112073, Mar.
• Wang, Zijian, 2019, "Trading Motives in Asset Markets," MPRA Paper, University Library of Munich, Germany, number 91401, Jan.
• Olkhov, Victor, 2019, "Econophysics of Asset Price, Return and Multiple Expectations," MPRA Paper, University Library of Munich, Germany, number 91587, Jan.
• Zvezdin, Nikolay, 2019, "Tranched Value Securities," MPRA Paper, University Library of Munich, Germany, number 92302, Feb.
• Colasante, Annarita & Alfarano, Simone & Camacho-Cuena, Eva, 2019, "Heuristic Switching Model and Exploration-Explotation Algorithm to describe long-run expectations in LtFEs: a comparison," MPRA Paper, University Library of Munich, Germany, number 92391.
• Sandoval Paucar, Giovanny, 2019, "Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH
  [Modeling of the conditional correlation for the Colombian stock market: a DCC application - MGARCH]," MPRA Paper, University Library of Munich, Germany, number 92534, Mar, revised 04 Mar 2019.
• Siddiqi, Hammad, 2019, "CAPM: A Tale of Two Versions," MPRA Paper, University Library of Munich, Germany, number 92798, Mar.
• Olkhov, Victor, 2019, "New Essentials of Economic Theory I. Assumptions, Economic Space and Variables," MPRA Paper, University Library of Munich, Germany, number 93085, Mar.
• Yang, Bill Huajian, 2019, "Resolutions to flip-over credit risk and beyond," MPRA Paper, University Library of Munich, Germany, number 93389, Mar.
• Abramova, Inna & Core, John & Sutherland, Andrew, 2019, "Institutional Investor Attention and Firm Disclosure," MPRA Paper, University Library of Munich, Germany, number 93665, Apr.
• Fitri Amalia, Rizki, 2019, "Analisis Perbandingan Financial Distresspada Perusahaan Konstruksi Di Bursa Efek Indonesia Tahun 2014 –2018
  [Comparative Analysis Of Financial Distress In Construction Companies In Indonesia Stock Exchange In 2014 –2018]," MPRA Paper, University Library of Munich, Germany, number 93962, Mar, revised 03 Feb 2019.
• Rodríguez Batres, Axel & Flores Sánchez, Edgar Mauricio & Flores Delgado, Javier Antonio, 2019, "Risk assessment for micro companies belonging to selected branches of the non-financial private services sector in Mexico through the Beta coefficient," MPRA Paper, University Library of Munich, Germany, number 94039.
• Olkhov, Victor, 2019, "New Essentials of Economic Theory III. Economic Applications," MPRA Paper, University Library of Munich, Germany, number 94053, May.
• Xiao, Tim, 2019, "Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment," MPRA Paper, University Library of Munich, Germany, number 94135, Mar.
• Xiao, Tim, 2019, "Pricing Interest Rate Swap Subject to Bilateral Counterparty Risk," MPRA Paper, University Library of Munich, Germany, number 94233, May.
• Xiao, Tim, 2019, "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 94441, Mar.
• Xiao, Tim, 2019, "Incremental Risk Charge Methodology," MPRA Paper, University Library of Munich, Germany, number 94581, May, revised 08 May 2019.
• Tim, Xiao, 2019, "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper, University Library of Munich, Germany, number 94701, Mar.
• Mikkelsen, Jakob & Poeschl, Johannes, 2019, "Banking Panic Risk and Macroeconomic Uncertainty," MPRA Paper, University Library of Munich, Germany, number 94729, Jun.
• Xiao, Tim, 2019, "The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," MPRA Paper, University Library of Munich, Germany, number 94861, Jul.
• Olkhov, Victor, 2019, "New Essentials of Economic Theory I. Assumptions, Economic Space and Variables," MPRA Paper, University Library of Munich, Germany, number 94874, Mar.
• Olkhov, Victor, 2019, "New Essentials of Economic Theory," MPRA Paper, University Library of Munich, Germany, number 95065, Jul.
• Gauthier, Laurent, 2019, "Securitization Structures and Security Design," MPRA Paper, University Library of Munich, Germany, number 95168, Jul.
• Camilleri, Silvio John & Galea, Francelle, 2019, "The Determinants of Securities Trading Activity: Evidence from four European Equity Markets," MPRA Paper, University Library of Munich, Germany, number 95298.
• Silvio John, Camilleri & Nicolanne, Scicluna & Ye, Bai, 2019, "Do Stock Markets Lead or Lag Macroeconomic Variables? Evidence from Select European Countries," MPRA Paper, University Library of Munich, Germany, number 95299.
• Bago, Jean-Louis & Souratié, Wamadini M. & Ouédraogo, Moussa & Ouédraogo, Ernest & Dembélé, Alou, 2019, "Financial Bubbles : New Evidence from South Africa’s Stock Market," MPRA Paper, University Library of Munich, Germany, number 95685, Aug.
• Giudice, Gabriele & de Manuel Aramendía, Mirzha & Kontolemis, Zenon & Monteiro, Daniel P., 2019, "A European safe asset to complement national government bonds," MPRA Paper, University Library of Munich, Germany, number 95748, Aug.
• Fantazzini, Dean & Zimin, Stephan, 2019, "A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies," MPRA Paper, University Library of Munich, Germany, number 95988.
• Angerer, Martin & Neugebauer, Tibor & Shachat, Jason, 2019, "Arbitrage bots in experimental asset markets," MPRA Paper, University Library of Munich, Germany, number 96224, Jun.
• Beaumont, Paul & Smallwood, Aaron, 2019, "Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models," MPRA Paper, University Library of Munich, Germany, number 96314, Sep.
• Kouadio, Jean Joel & Mwamba, Muteba & Bonga-Bonga, Lumengo, 2019, "Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange," MPRA Paper, University Library of Munich, Germany, number 96570, Oct.
• Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019, "Overnight Momentum, Informational Shocks, and Late-Informed Trading in China," MPRA Paper, University Library of Munich, Germany, number 96784, Sep.
• Pham, Ngoc-Sang & Le Van, Cuong & Bosi, Stefano, 2019, "Real indeterminacy and dynamics of asset price bubbles in general equilibrium," MPRA Paper, University Library of Munich, Germany, number 96834, Nov.
• Pincheira, Pablo & Hardy, Nicolás, 2019, "Forecasting Aluminum Prices with Commodity Currencies," MPRA Paper, University Library of Munich, Germany, number 97005, Nov.
• Jin, Muzhao & Kearney, Fearghal & Li, Youwei & Yang, Yung Chiang, 2019, "Intraday Time-series Momentum: Evidence from China," MPRA Paper, University Library of Munich, Germany, number 97134.
• Muteba Mwamba, John Weirstrass & Mhlophe, Bongani, 2019, "Modelling Asset Correlations of Revolving Loan Defaults in South Africa," MPRA Paper, University Library of Munich, Germany, number 97340, Aug.
• Barbosa, António, 2019, "Optimal Learning, Overvaluation and Overinvestment," MPRA Paper, University Library of Munich, Germany, number 97411, Sep.
• Barbosa, António, 2019, "The Role of Information in the Discrepancy Between Average Prices and Expectations," MPRA Paper, University Library of Munich, Germany, number 97416, Dec.
• Correia, Ricardo & Barbosa, António, 2019, "Can Post-Earnings Announcement Drift and Momentum Explain Reversal?," MPRA Paper, University Library of Munich, Germany, number 97458, Nov.
• Saculsan, Phoebe & Kanamura, Takashi, 2019, "Examining risk and return profiles of renewable energy investment in developing countries: The Case of the Philippines," MPRA Paper, University Library of Munich, Germany, number 97473, Dec.
• Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019, "Rise and Fall of Calendar Anomalies over a Century," Working Papers, University of Pretoria, Department of Economics, number 201902, Jan.
• Oguzhan Cepni & Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2019, "Time-Varying Risk Aversion and the Predictability of Bond Premia," Working Papers, University of Pretoria, Department of Economics, number 201906, Jan.
• Oguzhan Cepni & Rangan Gupta & Mark E. Wohar, 2019, "Variants of Consumption-Wealth Ratios and Predictability of U.S. Government Bond Risk Premia: Old is still Gold," Working Papers, University of Pretoria, Department of Economics, number 201912, Feb.
• Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019, "Halloween Effect in Developed Stock Markets: A US Perspective," Working Papers, University of Pretoria, Department of Economics, number 201914, Feb.
• Mehmet Balcilar & Rangan Gupta & Shixuan Wang & Mark E. Wohar, 2019, "Oil Price Uncertainty and Movements in the US Government Bond Risk Premia," Working Papers, University of Pretoria, Department of Economics, number 201919, Mar.
• Saban Nazlioglu & Rangan Gupta & Elie Bouri, 2019, "Movements in International Bond Markets: The Role of Oil Prices," Working Papers, University of Pretoria, Department of Economics, number 201935, Apr.
• Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019, "Historical Evolution of Monthly Anomalies in International Stock Markets," Working Papers, University of Pretoria, Department of Economics, number 201950, Jun.
• Elie Bouri & Rangan Gupta, 2019, "Predicting Bitcoin Returns: Comparing the Roles of Newspaper- and Internet Search-Based Measures of Uncertainty," Working Papers, University of Pretoria, Department of Economics, number 201955, Jul.
• Oguzhan Cepni & Rangan Gupta & I. Ethem Guney & M. Hasan Yilmaz, 2019, "Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages," Working Papers, University of Pretoria, Department of Economics, number 201957, Jul.
• Abdulnasser Hatemi-J & Mohamed A. Hajji & Elie Bouri & Rangan Gupta, 2019, "The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction," Working Papers, University of Pretoria, Department of Economics, number 201959, Aug.
• Alex Plastun & Xolani Sibande & Rangan Gupta & Mark E. Wohar, 2019, "Price Gap Anomaly in the US Stock Market: The Whole Story," Working Papers, University of Pretoria, Department of Economics, number 201963, Aug.
• Elie Bouri & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2019, "Gold, Platinum and the Predictability of Bond Risk Premia," Working Papers, University of Pretoria, Department of Economics, number 201967, Aug.
• Oguzhan Cepni & I. Ethem Guney & Rangan Gupta & Mark E. Wohar, 2019, "The Role of an Aligned Investor Sentiment Index in Predicting Bond Risk Premia of the United States," Working Papers, University of Pretoria, Department of Economics, number 201973, Sep.
• Afees A. Salisu & Rangan Gupta, 2019, "Oil Shocks and Stock Market Volatility of the BRICS: A GARCH-MIDAS Approach," Working Papers, University of Pretoria, Department of Economics, number 201976, Oct.
• Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna, 2019, "A Moving Average Heterogeneous Autoregressive Model for Forecasting the Realized Volatility of the US Stock Market: Evidence from Over a Century of Data," Working Papers, University of Pretoria, Department of Economics, number 201978, Nov.
• Milan Fičura, 2019, "Forecasting Cross-Section of Stock Returns with Realised Moments," European Financial and Accounting Journal, Prague University of Economics and Business, volume 2019, issue 2, pages 71-84, DOI: 10.18267/j.efaj.227.
• Jaromír Antoch & Jan Hanousek & Marie Hušková & Jiří Trešl, 2019, "Detekce změn v panelových datech: Změna parametrů Fama-French modelu u vybraných evropských akcií v období finanční krize
  [Detection of Changes in Panel Data: Change in Fama-French Model Parameters for Selected European Stocks During the Financial," Politická ekonomie, Prague University of Economics and Business, volume 2019, issue 1, pages 3-19, DOI: 10.18267/j.polek.1233.
• Atif Mian & Amir Sufi, 2019, "Credit Supply and Housing Speculation," Working Papers, Princeton University. Economics Department., number 2019-23, Mar.
• Eurico Ferreira, 2019, "ECB, BoE and Fed Monetary-Policy announcements: price and volume effects on European securities markets," Working Papers, Banco de Portugal, Economics and Research Department, number w201914.
• Voraprapa Nakavachara & Tanapong Potipiti & Thanawan Lertmongkolnam, 2019, "Should All Blockchain-Based Digital Assets Be Classified Under the Same Asset Class?," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 113, Aug.
• Bodin Civilize & Thaisiri Watewai & Sakkapop Panyanukul & Kaipichit Ruengsrichaiya, 2019, "Mapping Thailand's Financial Landscape: A Perspective through Balance Sheet Linkages and Contagion," PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research, number 114, Aug.
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• Ali Bendob & Naima Bentouir, 2019, "Options Pricing by Monte Carlo Simulation, Binomial Tree and BMS Model: a comparative study of Nifty50 options index," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 1, issue 11, pages 79-95, January.
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