Research classified by Journal of Economic Literature (JEL) codes

2019

• Zhang, Yaojie & Ma, Feng & Zhu, Bo, 2019, "Intraday momentum and stock return predictability: Evidence from China," Economic Modelling, Elsevier, volume 76, issue C, pages 319-329, DOI: 10.1016/j.econmod.2018.08.009.
• Oh, Sekyung & Kee, Hyukdo & Park, Kinam, 2019, "Tail risk under price limits," Economic Modelling, Elsevier, volume 77, issue C, pages 113-123, DOI: 10.1016/j.econmod.2018.12.002.
• Chundakkadan, Radeef & Sasidharan, Subash, 2019, "Liquidity pull-back and predictability of government security yield volatility," Economic Modelling, Elsevier, volume 77, issue C, pages 124-132, DOI: 10.1016/j.econmod.2018.07.018.
• Zhou, Liyun & Yang, Chunpeng, 2019, "Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals," Economic Modelling, Elsevier, volume 79, issue C, pages 130-140, DOI: 10.1016/j.econmod.2018.10.008.
• Hu, Yingyi & Prigent, Jean-Luc, 2019, "Information asymmetry, cluster trading, and market efficiency: Evidence from the Chinese stock market," Economic Modelling, Elsevier, volume 80, issue C, pages 11-22, DOI: 10.1016/j.econmod.2018.04.001.
• Fall, Malick & Louhichi, Waël & Viviani, Jean Laurent, 2019, "Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach," Economic Modelling, Elsevier, volume 80, issue C, pages 75-86, DOI: 10.1016/j.econmod.2018.06.008.
• Pavlidis, Efthymios & Martínez-García, Enrique & Grossman, Valerie, 2019, "Detecting periods of exuberance: A look at the role of aggregation with an application to house prices," Economic Modelling, Elsevier, volume 80, issue C, pages 87-102, DOI: 10.1016/j.econmod.2018.07.021.
• Ngene, Geoffrey M. & Lee Kim, Yea & Wang, Jinghua, 2019, "Who poisons the pool? Time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets," Economic Modelling, Elsevier, volume 81, issue C, pages 136-147, DOI: 10.1016/j.econmod.2018.12.017.
• Bu, Hui & Tang, Wenjin & Wu, Junjie, 2019, "Time-varying comovement and changes of comovement structure in the Chinese stock market: A causal network method," Economic Modelling, Elsevier, volume 81, issue C, pages 181-204, DOI: 10.1016/j.econmod.2019.03.002.
• Girardin, Eric & Salimi Namin, Fatemeh, 2019, "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, volume 81, issue C, pages 422-439, DOI: 10.1016/j.econmod.2019.07.021.
• Koubaa, Yosra & Slim, Skander, 2019, "The relationship between trading activity and stock market volatility: Does the volume threshold matter?," Economic Modelling, Elsevier, volume 82, issue C, pages 168-184, DOI: 10.1016/j.econmod.2019.01.003.
• Adewuyi, Adeolu O. & Ogebe, Joseph O., 2019, "The validity of uncovered interest parity: Evidence from african members and non-member of the organisation of petroleum exporting countries (OPEC)," Economic Modelling, Elsevier, volume 82, issue C, pages 229-249, DOI: 10.1016/j.econmod.2019.01.008.
• Hervé, Fabrice & Zouaoui, Mohamed & Belvaux, Bertrand, 2019, "Noise traders and smart money: Evidence from online searches," Economic Modelling, Elsevier, volume 83, issue C, pages 141-149, DOI: 10.1016/j.econmod.2019.02.005.
• Sha, Yezhou & Gao, Ran, 2019, "Which is the best: A comparison of asset pricing factor models in Chinese mutual fund industry," Economic Modelling, Elsevier, volume 83, issue C, pages 8-16, DOI: 10.1016/j.econmod.2019.09.016.
• Rao, Lanlan & Zhou, Liyun, 2019, "The role of stock price synchronicity on the return-sentiment relation," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 119-131, DOI: 10.1016/j.najef.2018.12.008.
• Dang, Tung Lam & Moshirian, Fariborz & Zhang, Bohui, 2019, "Liquidity shocks and institutional investors," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 184-209, DOI: 10.1016/j.najef.2018.12.005.
• Li, Jinfang, 2019, "Sentiment trading, informed trading and dynamic asset pricing," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 210-222, DOI: 10.1016/j.najef.2018.11.015.
• Umutlu, Mehmet, 2019, "Does idiosyncratic volatility matter at the global level?," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 252-268, DOI: 10.1016/j.najef.2018.12.015.
• Cafiso, Gianluca, 2019, "Sovereign bond markets when auctions take place: Evidence from Italy," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 406-430, DOI: 10.1016/j.najef.2018.06.004.
• Qadan, Mahmoud & Kliger, Doron & Chen, Nir, 2019, "Idiosyncratic volatility, the VIX and stock returns," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 431-441, DOI: 10.1016/j.najef.2018.06.003.
• Jung Park, Yuen & Kutan, Ali M. & Ryu, Doojin, 2019, "The impacts of overseas market shocks on the CDS-option basis," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 622-636, DOI: 10.1016/j.najef.2018.07.003.
• Kang, Hankil & Ryu, Doojin, 2019, "Information in mispricing factors for future investment opportunities," The North American Journal of Economics and Finance, Elsevier, volume 47, issue C, pages 657-668, DOI: 10.1016/j.najef.2018.07.006.
• Kim, See-Woo & Kim, Jeong-Hoon, 2019, "Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 149-169, DOI: 10.1016/j.najef.2019.01.018.
• Camilleri, Silvio John & Scicluna, Nicolanne & Bai, Ye, 2019, "Do stock markets lead or lag macroeconomic variables? Evidence from select European countries," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 170-186, DOI: 10.1016/j.najef.2019.01.019.
• Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2019, "Firm-specific investor sentiment and the stock market response to earnings news," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 221-240, DOI: 10.1016/j.najef.2019.01.014.
• Ono, Sadayuki, 2019, "Term structure dynamics in a monetary economy with learning," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 730-745, DOI: 10.1016/j.najef.2018.08.005.
• Stona, Filipe & Caldeira, João F., 2019, "Do U.S. factors impact the Brazilian yield curve? Evidence from a dynamic factor model," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 76-89, DOI: 10.1016/j.najef.2019.01.010.
• Wang, Ximei & Zhao, Yanlong & Bao, Ying, 2019, "Arbitrage-free conditions for implied volatility surface by Delta," The North American Journal of Economics and Finance, Elsevier, volume 48, issue C, pages 819-834, DOI: 10.1016/j.najef.2018.08.011.
• Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2019, "Rise and fall of calendar anomalies over a century," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 181-205, DOI: 10.1016/j.najef.2019.04.011.
• Haas Ornelas, José Renato, 2019, "Expected currency returns and volatility risk premia," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 206-234, DOI: 10.1016/j.najef.2019.03.015.
• Wang, Ling, 2019, "Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 235-251, DOI: 10.1016/j.najef.2019.03.020.
• Gomes, Matheus da Costa & Magnani, Vinícius Medeiros & Albanez, Tatiana & Valle, Mauricio Ribeiro do, 2019, "Effects of market timing on primary share issues in the Brazilian capital market," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 361-377, DOI: 10.1016/j.najef.2019.03.022.
• Gregori, Wildmer Daniel & Sacchi, Agnese, 2019, "Has the Grexit news affected euro area financial markets?," The North American Journal of Economics and Finance, Elsevier, volume 49, issue C, pages 71-84, DOI: 10.1016/j.najef.2019.04.007.
• Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019, "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101008.
• Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2019, "Firm-specific investor sentiment and daily stock returns," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2018.10.005.
• Wu, Zhen-Xing & Chen, Tsung-Yu, 2019, "Information asymmetry, market state, and implementation risk," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101007.
• Yang, Chunpeng & Wu, Huihui, 2019, "Chasing investor sentiment in stock market," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.04.018.
• Chan, Tat Lung (Ron), 2019, "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.100984.
• Rao, Lanlan & Zhou, Liyun, 2019, "Crash risk, institutional investors and stock returns," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.100987.
• Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019, "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101036.
• Zaremba, Adam & Mikutowski, Mateusz & Karathanasopoulos, Andreas & Osman, Mohamed, 2019, "Picking winners to pick your winners: The momentum effect in commodity risk factors," The North American Journal of Economics and Finance, Elsevier, volume 50, issue C, DOI: 10.1016/j.najef.2019.101017.
• Köchling, Gerrit & Müller, Janis & Posch, Peter N., 2019, "Price delay and market frictions in cryptocurrency markets," Economics Letters, Elsevier, volume 174, issue C, pages 39-41, DOI: 10.1016/j.econlet.2018.10.025.
• Caliendo, Frank N., 2019, "CDS trading and bond interest rates," Economics Letters, Elsevier, volume 174, issue C, pages 52-54, DOI: 10.1016/j.econlet.2018.10.029.
• Mikutowski, Mateusz & Karathanasopoulos, Andreas & Zaremba, Adam, 2019, "Return seasonalities in government bonds and macroeconomic risk," Economics Letters, Elsevier, volume 176, issue C, pages 114-116, DOI: 10.1016/j.econlet.2019.01.012.
• Kim, Jin Yeub & Shim, Myungkyu, 2019, "Does higher firm profit dispersion reflect greater micro uncertainty?," Economics Letters, Elsevier, volume 176, issue C, pages 35-38, DOI: 10.1016/j.econlet.2018.10.027.
• Schmitt, Noemi & Westerhoff, Frank, 2019, "Short-run momentum, long-run mean reversion and excess volatility: An elementary housing model," Economics Letters, Elsevier, volume 176, issue C, pages 43-46, DOI: 10.1016/j.econlet.2018.12.013.
• Grobys, Klaus & Sapkota, Niranjan, 2019, "Cryptocurrencies and momentum," Economics Letters, Elsevier, volume 180, issue C, pages 6-10, DOI: 10.1016/j.econlet.2019.03.028.
• Chou, Pin-Huang & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2019, "Asset growth, style investing, and momentum," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 108-124, DOI: 10.1016/j.jbankfin.2018.11.008.
• Lee, Hwang Hee & Hyun, Jung-Soon, 2019, "The asymmetric effect of equity volatility on credit default swap spreads," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 125-136, DOI: 10.1016/j.jbankfin.2018.11.001.
• Ashour, Samar & Hao, (Grace) Qing, 2019, "Do analysts really anchor? Evidence from credit risk and suppressed negative information," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 183-197, DOI: 10.1016/j.jbankfin.2018.11.006.
• Zerbib, Olivier David, 2019, "The effect of pro-environmental preferences on bond prices: Evidence from green bonds," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 39-60, DOI: 10.1016/j.jbankfin.2018.10.012.
• Zaremba, Adam, 2019, "Cross-sectional seasonalities in international government bond returns," Journal of Banking & Finance, Elsevier, volume 98, issue C, pages 80-94, DOI: 10.1016/j.jbankfin.2018.11.004.
• Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019, "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, volume 99, issue C, pages 1-20, DOI: 10.1016/j.jbankfin.2018.11.012.
• Liao, Yin & Anderson, Heather M., 2019, "Testing for cojumps in high-frequency financial data: An approach based on first-high-low-last prices," Journal of Banking & Finance, Elsevier, volume 99, issue C, pages 252-274, DOI: 10.1016/j.jbankfin.2018.12.005.
• Da Fonseca, José & Ignatieva, Katja, 2019, "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market," Journal of Banking & Finance, Elsevier, volume 99, issue C, pages 45-62, DOI: 10.1016/j.jbankfin.2018.11.014.
• Gregoriou, Andros & Healy, Jerome V. & Le, Huong, 2019, "Prospect theory and stock returns: A seven factor pricing model," Journal of Business Research, Elsevier, volume 101, issue C, pages 315-322, DOI: 10.1016/j.jbusres.2019.04.038.
• Garay, Urbi & González, Maximiliano & Rosso, John, 2019, "Country and industry effects in corporate bond spreads in emerging markets," Journal of Business Research, Elsevier, volume 102, issue C, pages 191-200, DOI: 10.1016/j.jbusres.2017.09.021.
• Khalil, Samer & Mansi, Sattar & Mazboudi, Mohamad & Zhang, Andrew (Jianzhong), 2019, "Information asymmetry and the wealth appropriation effect in the bond market: Evidence from late disclosures," Journal of Business Research, Elsevier, volume 95, issue C, pages 49-61, DOI: 10.1016/j.jbusres.2018.09.022.
• Leal, Sandrine Jacob & Napoletano, Mauro, 2019, "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, volume 157, issue C, pages 15-41, DOI: 10.1016/j.jebo.2017.04.013.
• Selten, Reinhard & Neugebauer, Tibor, 2019, "Experimental stock market dynamics: Excess bids, directional learning, and adaptive style-investing in a call-auction with multiple multi-period lived assets," Journal of Economic Behavior & Organization, Elsevier, volume 157, issue C, pages 209-224, DOI: 10.1016/j.jebo.2018.04.012.
• Chaudhry, Sajid M. & Bajoori, Elnaz & Nandeibam, Shasi, 2019, "Clustered pricing in the corporate loan market: Theory and empirical evidence," Journal of Economic Behavior & Organization, Elsevier, volume 157, issue C, pages 275-296, DOI: 10.1016/j.jebo.2017.12.019.
• Wegener, Christoph & Kruse, Robinson & Basse, Tobias, 2019, "The walking debt crisis," Journal of Economic Behavior & Organization, Elsevier, volume 157, issue C, pages 382-402, DOI: 10.1016/j.jebo.2017.10.008.
• Pelster, Matthias, 2019, "Attracting attention from peers: Excitement in social trading," Journal of Economic Behavior & Organization, Elsevier, volume 161, issue C, pages 158-179, DOI: 10.1016/j.jebo.2019.03.010.
• Sun, Xiaojin & Tsang, Kwok Ping, 2019, "Large price movements in housing markets," Journal of Economic Behavior & Organization, Elsevier, volume 163, issue C, pages 1-23, DOI: 10.1016/j.jebo.2019.05.012.
• Teplova, Tamara V. & Sokolova, Tatiana V., 2019, "Surprises of corporate governance and Russian firms debt," Journal of Economics and Business, Elsevier, volume 102, issue C, pages 39-56, DOI: 10.1016/j.jeconbus.2018.10.001.
• Gollier, Christian, 2019, "Valuation of natural capital under uncertain substitutability," Journal of Environmental Economics and Management, Elsevier, volume 94, issue C, pages 54-66, DOI: 10.1016/j.jeem.2019.01.003.
• Rüdiger, Jesper & Vigier, Adrien, 2019, "Learning about analysts," Journal of Economic Theory, Elsevier, volume 180, issue C, pages 304-335, DOI: 10.1016/j.jet.2019.01.001.
• Dindo, Pietro, 2019, "Survival in speculative markets," Journal of Economic Theory, Elsevier, volume 181, issue C, pages 1-43, DOI: 10.1016/j.jet.2019.02.002.
• Herrenbrueck, Lucas, 2019, "Frictional asset markets and the liquidity channel of monetary policy," Journal of Economic Theory, Elsevier, volume 181, issue C, pages 82-120, DOI: 10.1016/j.jet.2019.02.003.
• Sihvonen, Markus, 2019, "Market selection with idiosyncratic uncertainty," Journal of Economic Theory, Elsevier, volume 182, issue C, pages 143-160, DOI: 10.1016/j.jet.2019.04.005.
• Altermatt, Lukas, 2019, "Savings, asset scarcity, and monetary policy," Journal of Economic Theory, Elsevier, volume 182, issue C, pages 329-359, DOI: 10.1016/j.jet.2019.04.004.
• Meyer-Gohde, Alexander, 2019, "Generalized entropy and model uncertainty," Journal of Economic Theory, Elsevier, volume 183, issue C, pages 312-343, DOI: 10.1016/j.jet.2019.06.004.
• Bloise, G. & Citanna, A., 2019, "Asset shortages, liquidity and speculative bubbles," Journal of Economic Theory, Elsevier, volume 183, issue C, pages 952-990, DOI: 10.1016/j.jet.2019.07.011.
• Cai, Zhifeng, 2019, "Dynamic information acquisition and time-varying uncertainty," Journal of Economic Theory, Elsevier, volume 184, issue C, DOI: 10.1016/j.jet.2019.104947.
• Cai, Fang & Han, Song & Li, Dan & Li, Yi, 2019, "Institutional herding and its price impact: Evidence from the corporate bond market," Journal of Financial Economics, Elsevier, volume 131, issue 1, pages 139-167, DOI: 10.1016/j.jfineco.2018.07.012.
• Aragon, George O. & Li, Lei & Qian, Jun ‘QJ’, 2019, "The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk," Journal of Financial Economics, Elsevier, volume 131, issue 1, pages 168-185, DOI: 10.1016/j.jfineco.2018.07.014.
• Greenwood, Robin & Shleifer, Andrei & You, Yang, 2019, "Bubbles for Fama," Journal of Financial Economics, Elsevier, volume 131, issue 1, pages 20-43, DOI: 10.1016/j.jfineco.2018.09.002.
• Sun, Lin & Teo, Melvyn, 2019, "Public hedge funds," Journal of Financial Economics, Elsevier, volume 131, issue 1, pages 44-60, DOI: 10.1016/j.jfineco.2018.09.004.
• Bai, Hang & Hou, Kewei & Kung, Howard & Li, Erica X.N. & Zhang, Lu, 2019, "The CAPM strikes back? An equilibrium model with disasters," Journal of Financial Economics, Elsevier, volume 131, issue 2, pages 269-298, DOI: 10.1016/j.jfineco.2018.08.009.
• Aragon, George O. & Martin, J. Spencer & Shi, Zhen, 2019, "Who benefits in a crisis? Evidence from hedge fund stock and option holdings," Journal of Financial Economics, Elsevier, volume 131, issue 2, pages 345-361, DOI: 10.1016/j.jfineco.2017.09.008.
• Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019, "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 593-618, DOI: 10.1016/j.jfineco.2018.09.008.
• Bai, Jennie & Bali, Turan G. & Wen, Quan, 2019, "Common risk factors in the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 619-642, DOI: 10.1016/j.jfineco.2018.08.002.
• Kapadia, Nishad & Zekhnini, Morad, 2019, "Do idiosyncratic jumps matter?," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 666-692, DOI: 10.1016/j.jfineco.2018.08.014.
• Lu, Zhongjin & Murray, Scott, 2019, "Bear beta," Journal of Financial Economics, Elsevier, volume 131, issue 3, pages 736-760, DOI: 10.1016/j.jfineco.2018.09.006.
• Hameed, Allaudeen & Xie, Jing, 2019, "Preference for dividends and return comovement," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 103-125, DOI: 10.1016/j.jfineco.2018.09.012.
• Jiang, Fuwei & Lee, Joshua & Martin, Xiumin & Zhou, Guofu, 2019, "Manager sentiment and stock returns," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 126-149, DOI: 10.1016/j.jfineco.2018.10.001.
• Pyun, Sungjune, 2019, "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 150-174, DOI: 10.1016/j.jfineco.2018.10.002.
• Jang, Jeewon & Kang, Jangkoo, 2019, "Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 222-247, DOI: 10.1016/j.jfineco.2018.10.005.
• le Bris, David & Goetzmann, William N. & Pouget, Sébastien, 2019, "The present value relation over six centuries: The case of the Bazacle company," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 248-265, DOI: 10.1016/j.jfineco.2017.03.011.
• Baltussen, Guido & van Bekkum, Sjoerd & Da, Zhi, 2019, "Indexing and stock market serial dependence around the world," Journal of Financial Economics, Elsevier, volume 132, issue 1, pages 26-48, DOI: 10.1016/j.jfineco.2018.07.016.
• Schneider, Paul, 2019, "An anatomy of the market return," Journal of Financial Economics, Elsevier, volume 132, issue 2, pages 325-350, DOI: 10.1016/j.jfineco.2018.10.015.
• Huang, Shiyang & Huang, Yulin & Lin, Tse-Chun, 2019, "Attention allocation and return co-movement: Evidence from repeated natural experiments," Journal of Financial Economics, Elsevier, volume 132, issue 2, pages 369-383, DOI: 10.1016/j.jfineco.2018.10.006.
• Pandolfi, Lorenzo & Williams, Tomas, 2019, "Capital flows and sovereign debt markets: Evidence from index rebalancings," Journal of Financial Economics, Elsevier, volume 132, issue 2, pages 384-403, DOI: 10.1016/j.jfineco.2018.10.008.
• Gao, Pengjie & Lee, Chang & Murphy, Dermot, 2019, "Municipal borrowing costs and state policies for distressed municipalities," Journal of Financial Economics, Elsevier, volume 132, issue 2, pages 404-426, DOI: 10.1016/j.jfineco.2018.10.009.
• Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019, "Too good to be true? Fallacies in evaluating risk factor models," Journal of Financial Economics, Elsevier, volume 132, issue 2, pages 451-471, DOI: 10.1016/j.jfineco.2018.10.012.
• Donangelo, Andres & Gourio, François & Kehrig, Matthias & Palacios, Miguel, 2019, "The cross-section of labor leverage and equity returns," Journal of Financial Economics, Elsevier, volume 132, issue 2, pages 497-518, DOI: 10.1016/j.jfineco.2018.10.016.
• Heimer, Rawley & Simsek, Alp, 2019, "Should retail investors’ leverage be limited?," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 1-21, DOI: 10.1016/j.jfineco.2018.10.017.
• Scanlon, Paul, 2019, "New goods and asset prices," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 140-157, DOI: 10.1016/j.jfineco.2018.11.006.
• Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019, "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 182-204, DOI: 10.1016/j.jfineco.2018.11.011.
• Huang, Darien & Kilic, Mete, 2019, "Gold, platinum, and expected stock returns," Journal of Financial Economics, Elsevier, volume 132, issue 3, pages 50-75, DOI: 10.1016/j.jfineco.2018.11.004.
• Schultz, Paul & Song, Zhaogang, 2019, "Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage backed security market," Journal of Financial Economics, Elsevier, volume 133, issue 1, pages 113-133, DOI: 10.1016/j.jfineco.2019.01.007.
• Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019, "Generalized recovery," Journal of Financial Economics, Elsevier, volume 133, issue 1, pages 154-174, DOI: 10.1016/j.jfineco.2018.12.003.
• Chen, Zhanhui & Yang, Bowen, 2019, "In search of preference shock risks: Evidence from longevity risks and momentum profits," Journal of Financial Economics, Elsevier, volume 133, issue 1, pages 225-249, DOI: 10.1016/j.jfineco.2019.01.004.
• Jegadeesh, Narasimhan & Noh, Joonki & Pukthuanthong, Kuntara & Roll, Richard & Wang, Junbo, 2019, "Empirical tests of asset pricing models with individual assets: Resolving the errors-in-variables bias in risk premium estimation," Journal of Financial Economics, Elsevier, volume 133, issue 2, pages 273-298, DOI: 10.1016/j.jfineco.2019.02.010.
• Calomiris, Charles W. & Mamaysky, Harry, 2019, "How news and its context drive risk and returns around the world," Journal of Financial Economics, Elsevier, volume 133, issue 2, pages 299-336, DOI: 10.1016/j.jfineco.2018.11.009.
• Chung, Kee H. & Wang, Junbo & Wu, Chunchi, 2019, "Volatility and the cross-section of corporate bond returns," Journal of Financial Economics, Elsevier, volume 133, issue 2, pages 397-417, DOI: 10.1016/j.jfineco.2019.02.002.
• Wang, Baolian, 2019, "The cash conversion cycle spread," Journal of Financial Economics, Elsevier, volume 133, issue 2, pages 472-497, DOI: 10.1016/j.jfineco.2019.02.008.
• Atmaz, Adem & Basak, Suleyman, 2019, "Option prices and costly short-selling," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 1-28, DOI: 10.1016/j.jfineco.2019.04.004.
• Segal, Gill, 2019, "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 110-140, DOI: 10.1016/j.jfineco.2019.03.002.
• Lou, Dong & Polk, Christopher & Skouras, Spyros, 2019, "A tug of war: Overnight versus intraday expected returns," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 192-213, DOI: 10.1016/j.jfineco.2019.03.011.
• Jondeau, Eric & Zhang, Qunzi & Zhu, Xiaoneng, 2019, "Average skewness matters," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 29-47, DOI: 10.1016/j.jfineco.2019.03.003.
• Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu, 2019, "Size and value in China," Journal of Financial Economics, Elsevier, volume 134, issue 1, pages 48-69, DOI: 10.1016/j.jfineco.2019.03.008.
• Rehse, Dominik & Riordan, Ryan & Rottke, Nico & Zietz, Joachim, 2019, "The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy," Journal of Financial Economics, Elsevier, volume 134, issue 2, pages 318-332, DOI: 10.1016/j.jfineco.2019.04.006.
• Malceniece, Laura & Malcenieks, Kārlis & Putniņš, Tālis J., 2019, "High frequency trading and comovement in financial markets," Journal of Financial Economics, Elsevier, volume 134, issue 2, pages 381-399, DOI: 10.1016/j.jfineco.2018.02.015.
• Maggio, Marco Di & Franzoni, Francesco & Kermani, Amir & Sommavilla, Carlo, 2019, "The relevance of broker networks for information diffusion in the stock market," Journal of Financial Economics, Elsevier, volume 134, issue 2, pages 419-446, DOI: 10.1016/j.jfineco.2019.04.002.
• Albagli, Elias & Ceballos, Luis & Claro, Sebastian & Romero, Damian, 2019, "Channels of US monetary policy spillovers to international bond markets," Journal of Financial Economics, Elsevier, volume 134, issue 2, pages 447-473, DOI: 10.1016/j.jfineco.2019.04.007.
• Kelly, Bryan T. & Pruitt, Seth & Su, Yinan, 2019, "Characteristics are covariances: A unified model of risk and return," Journal of Financial Economics, Elsevier, volume 134, issue 3, pages 501-524, DOI: 10.1016/j.jfineco.2019.05.001.
• Barras, Laurent, 2019, "A large-scale approach for evaluating asset pricing models," Journal of Financial Economics, Elsevier, volume 134, issue 3, pages 549-569, DOI: 10.1016/j.jfineco.2019.05.007.
• Shi, Zhan, 2019, "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, volume 134, issue 3, pages 617-646, DOI: 10.1016/j.jfineco.2019.04.013.
• Martin, Ian W. R. & Ross, Stephen A., 2019, "Notes on the yield curve," Journal of Financial Economics, Elsevier, volume 134, issue 3, pages 689-702, DOI: 10.1016/j.jfineco.2019.04.014.
• King, Thomas B., 2019, "Expectation and duration at the effective lower bound," Journal of Financial Economics, Elsevier, volume 134, issue 3, pages 736-760, DOI: 10.1016/j.jfineco.2019.05.009.
• Hadhri, Sinda & Ftiti, Zied, 2019, "Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis," Journal of International Money and Finance, Elsevier, volume 93, issue C, pages 187-200, DOI: 10.1016/j.jimonfin.2019.01.002.
• Yun, Jaeho, 2019, "Bond risk premia in a small open economy with volatile capital flows: The case of Korea," Journal of International Money and Finance, Elsevier, volume 93, issue C, pages 223-243, DOI: 10.1016/j.jimonfin.2019.01.007.
• Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019, "International tail risk and World Fear," Journal of International Money and Finance, Elsevier, volume 93, issue C, pages 244-259, DOI: 10.1016/j.jimonfin.2019.01.004.
• Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2019, "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," Journal of International Money and Finance, Elsevier, volume 93, issue C, pages 299-312, DOI: 10.1016/j.jimonfin.2019.02.010.
• Mirkov, Nikola & Pozdeev, Igor & Söderlind, Paul, 2019, "Verbal interventions and exchange rate policies: The case of Swiss franc cap," Journal of International Money and Finance, Elsevier, volume 93, issue C, pages 42-54, DOI: 10.1016/j.jimonfin.2018.12.010.
• Reyes-Heroles, Ricardo & Tenorio, Gabriel, 2019, "Regime-switching in emerging market business cycles: Interest rate volatility and sudden stops," Journal of International Money and Finance, Elsevier, volume 93, issue C, pages 81-100, DOI: 10.1016/j.jimonfin.2018.12.012.
• Boucher, Christophe & Tokpavi, Sessi, 2019, "Stocks and bonds: Flight-to-safety for ever?," Journal of International Money and Finance, Elsevier, volume 95, issue C, pages 27-43, DOI: 10.1016/j.jimonfin.2019.03.002.
• Berg, Kimberly A. & Mark, Nelson C., 2019, "Where’s the Risk? The Forward Premium Bias, the Carry-Trade Premium, and Risk-Reversals in General Equilibrium," Journal of International Money and Finance, Elsevier, volume 95, issue C, pages 297-316, DOI: 10.1016/j.jimonfin.2018.03.011.
• Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2019, "Carry trades and commodity risk factors," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 121-129, DOI: 10.1016/j.jimonfin.2019.04.004.
• Mselmi, Nada & Hamza, Taher & Lahiani, Amine & Shahbaz, Muhammad, 2019, "Pricing corporate financial distress: Empirical evidence from the French stock market," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 13-27, DOI: 10.1016/j.jimonfin.2019.04.008.
• Chen, Jian & Jiang, Fuwei & Xue, Shuyu & Yao, Jiaquan, 2019, "The world predictive power of U.S. equity market skewness risk," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 210-227, DOI: 10.1016/j.jimonfin.2019.05.003.
• Cronin, David & Dunne, Peter G., 2019, "How effective are sovereign bond-backed securities as a spillover prevention device?," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 49-66, DOI: 10.1016/j.jimonfin.2019.05.001.
• Geranio, Manuela & Lazzari, Valter, 2019, "Stress testing the equity home bias: A turnover analysis of Eurozone markets," Journal of International Money and Finance, Elsevier, volume 97, issue C, pages 70-85, DOI: 10.1016/j.jimonfin.2019.06.002.
• Gronwald, Marc, 2019, "Is Bitcoin a Commodity? On price jumps, demand shocks, and certainty of supply," Journal of International Money and Finance, Elsevier, volume 97, issue C, pages 86-92, DOI: 10.1016/j.jimonfin.2019.06.006.
• Xu, Zhongxiang & Chevapatrakul, Thanaset & Li, Xiafei, 2019, "Return asymmetry and the cross section of stock returns," Journal of International Money and Finance, Elsevier, volume 97, issue C, pages 93-110, DOI: 10.1016/j.jimonfin.2019.06.005.
• Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2019, "Global downside risk and equity returns," Journal of International Money and Finance, Elsevier, volume 98, issue C, pages 1-1, DOI: 10.1016/j.jimonfin.2019.102065.
• Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019, "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, volume 98, issue C, pages 1-1, DOI: 10.1016/j.jimonfin.2019.102063.
• Stotz, Olaf, 2019, "The response of equity prices to monetary policy announcements: Decomposing the announcement day return into cash-flow news, interest rate news, and risk premium news," Journal of International Money and Finance, Elsevier, volume 99, issue C, DOI: 10.1016/j.jimonfin.2019.102069.
• Ciccarone, Giuseppe & Giuli, Francesco & Marchetti, Enrico, 2019, "Should central banks lean against the bubble? The monetary policy conundrum under credit frictions and capital accumulation," Journal of Macroeconomics, Elsevier, volume 59, issue C, pages 195-216, DOI: 10.1016/j.jmacro.2018.12.003.
• Marszk, Adam & Lechman, Ewa, 2019, "New technologies and diffusion of innovative financial products: Evidence on exchange-traded funds in selected emerging and developed economies," Journal of Macroeconomics, Elsevier, volume 62, issue C, DOI: 10.1016/j.jmacro.2018.10.001.
• Chung, Dennis Y. & Hrazdil, Karel & Novak, Jiri & Suwanyangyuan, Nattavut, 2019, "Does the large amount of information in corporate disclosures hinder or enhance price discovery in the capital market?," Journal of Contemporary Accounting and Economics, Elsevier, volume 15, issue 1, pages 36-52, DOI: 10.1016/j.jcae.2018.12.001.
• Nikkinen, Jussi & Rothovius, Timo, 2019, "Market specific seasonal trading behavior in NASDAQ OMX electricity options," Journal of Commodity Markets, Elsevier, volume 13, issue C, pages 16-29, DOI: 10.1016/j.jcomm.2018.05.002.
• Schroeder, Ted C. & Tonsor, Glynn T. & Coffey, Brian K., 2019, "Commodity futures with thinly traded cash markets: The case of live cattle," Journal of Commodity Markets, Elsevier, volume 15, issue C, pages 1-1, DOI: 10.1016/j.jcomm.2018.09.005.
• Dimitrios, Kousenidis & Eirini, Lazaridou & Trifon, Papapanagiotou, 2019, "The asymmetric performance of industry concentrated funds," The Journal of Economic Asymmetries, Elsevier, volume 20, issue C, DOI: 10.1016/j.jeca.2019.e00124.
• 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.