Research classified by Journal of Economic Literature (JEL) codes

2018

• Stefano Giglio & Bryan Kelly, 2018, "Excess Volatility: Beyond Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 133, issue 1, pages 71-127.
• Paul Ehling & Alessandro Graniero & Christian Heyerdahl-Larsen, 2018, "Asset Prices and Portfolio Choice with Learning from Experience," The Review of Economic Studies, Review of Economic Studies Ltd, volume 85, issue 3, pages 1752-1780.
• Tim Bollerslev & Jia Li & Yuan Xue, 2018, "Volume, Volatility, and Public News Announcements," The Review of Economic Studies, Review of Economic Studies Ltd, volume 85, issue 4, pages 2005-2041.
• Marc Arnold & Dirk Hackbarth & Tatjana Xenia Puhan, 2018, "Financing Asset Sales and Business Cycles
  [Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries]," Review of Finance, European Finance Association, volume 22, issue 1, pages 243-277.
• Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018, "Corporate Credit Risk Premia
  [Fallen angels and price pressure]," Review of Finance, European Finance Association, volume 22, issue 2, pages 419-454.
• Michael W Brandt & David A Chapman, 2018, "Linear Approximations and Tests of Conditional Pricing Models
  [A new approach to international arbitrage pricing]," Review of Finance, European Finance Association, volume 22, issue 2, pages 455-489.
• Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2018, "Dynamic Dependence and Diversification in Corporate Credit
  [Asymmetric correlations of equity portfolios]," Review of Finance, European Finance Association, volume 22, issue 2, pages 521-560.
• Timothy Johnson & Mo Liang & Yun Liu, 2018, "What Drives Index Options Exposures?
  [Uncertainty and economic activity: evidence from business survey data]," Review of Finance, European Finance Association, volume 22, issue 2, pages 561-593.
• Deniz Anginer & Çelim Yıldızhan, 2018, "Is There a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross-section of Equity Returns
  [The risk-adjusted cost of financial distress]," Review of Finance, European Finance Association, volume 22, issue 2, pages 633-660.
• Menachem Meni Abudy & Avi Wohl, 2018, "Corporate Bond Trading on a Limit Order Book Exchange," Review of Finance, European Finance Association, volume 22, issue 4, pages 1413-1440.
• Patrice Fontaine & Sonia Jimenez-Garcès & Mark S Seasholes, 2018, "Common Factors, Information, and Holdings Dispersion," Review of Finance, European Finance Association, volume 22, issue 4, pages 1441-1467.
• John D Turner & Qing Ye & Clive B Walker, 2018, "Media Coverage and Stock Returns on the London Stock Exchange, 1825–70," Review of Finance, European Finance Association, volume 22, issue 4, pages 1605-1629.
• Kathryn L Dewenter & Xi Han & Jennifer L Koski, 2018, "Who Wins When Exchanges Compete?* Evidence from Competition after Euro Conversion
  [Equity returns and integration: is Europe changing?]," Review of Finance, European Finance Association, volume 22, issue 6, pages 2037-2071.
• Daron Acemoglu & Tarek A. Hassan & Ahmed Tahoun, 2018, "The Power of the Street: Evidence from Egypt’s Arab Spring," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 1, pages 1-42.
• Lifeng Gu & Dirk Hackbarth & Tim Johnson, 2018, "Inflexibility and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 1, pages 278-321.
• Michael D. Bauer & James D. Hamilton, 2018, "Robust Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 399-448.
• Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2018, "The Factor Structure in Equity Options," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 595-637.
• Eric Ghysels & Casidhe Horan & Emanuel Moench, 2018, "Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 678-714.
• Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2018, "Why Does Fast Loan Growth Predict Poor Performance for Banks?," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 1014-1063.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2018, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 1132-1183.
• Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018, "Illiquidity Premia in the Equity Options Market," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 811-851.
• Hui Chen & Rui Cui & Zhiguo He & Konstantin Milbradt, 2018, "Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 852-897.
• Ulf Brüggemann & Aditya Kaul & Christian Leuz & Ingrid M. Werner, 2018, "The Twilight Zone: OTC Regulatory Regimes and Market Quality," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 3, pages 898-942.
• Sven Klingler & David Lando, 2018, "Safe Haven CDS Premiums," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 5, pages 1856-1895.
• David Hirshleifer & Po-Hsuan Hsu & Dongmei Li, 2018, "Innovative Originality, Profitability, and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 7, pages 2553-2605.
• Kralik Lóránd István, 2018, "Conditional Correlation on CEE Stock Markets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 130-136, December.
• Szász Erzsébet, 2018, "About the Similarities and Common Roots of Two Consecutive Financial Crises," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 2, pages 64-69, December.
• Martin Ellison & Andreas Tischbirek, 2018, "Beauty Contests and the Term Structure," Economics Series Working Papers, University of Oxford, Department of Economics, number 846, Feb.
• Rahul Nath, 2018, "Flexible Labour, Income Effects, and Asset Prices," Economics Series Working Papers, University of Oxford, Department of Economics, number 851, May.
• Navarrete Wic, Ana & Di Pietro, Filippo & Martín Marín, José Luis, 2018, "Are the Sovereign CDS Premia Sound Estimators of the Stock Market Returns? Evidence from the Eurozone || ¿Son las primas CDS estimadores sólidos de los rendimientos del mercado de valores? Evidencia d," 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 25, issue 1, pages 130-155, Junio.
• Demir Bektić & Tobias Regele, 2018, "Exploiting uncertainty with market timing in corporate bond markets," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 2, pages 79-92, March, DOI: 10.1057/s41260-017-0063-6.
• Golam Sarwar & Cesario Mateus & Natasa Todorovic, 2018, "US sector rotation with five-factor Fama–French alphas," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 2, pages 116-132, March, DOI: 10.1057/s41260-017-0067-2.
• Mehdi Mili, 2018, "Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 2, pages 133-143, March, DOI: 10.1057/s41260-017-0068-1.
• Kyre Dane Lahtinen & Chris M. Lawrey & Kenneth J. Hunsader, 2018, "Beta dispersion and portfolio returns," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 3, pages 156-161, May, DOI: 10.1057/s41260-017-0071-6.
• Steffen Westermann & Scott Niblock & Michael Kortt, 2018, "Corporate social responsibility and the performance of Australian REITs: a rolling regression approach," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 4, pages 222-234, July, DOI: 10.1057/s41260-018-0079-6.
• Yang Gao & Henry Leung & Stephen Satchell, 2018, "A critique of momentum strategies," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 5, pages 341-350, September, DOI: 10.1057/s41260-018-0080-0.
• Marc Desban & Souad Lajili Jarjir, 2018, "Corporate ownership structure, market anomalies and asset pricing," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 5, pages 316-340, September, DOI: 10.1057/s41260-018-0085-8.
• Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2018, "Success and failure on the corporate bond fund market," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 6, pages 429-443, October, DOI: 10.1057/s41260-018-0086-7.
• Hannes Mohrschladt, 2018, "The impact of size and book-to-market among paired stocks," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 6, pages 384-393, October, DOI: 10.1057/s41260-018-0089-4.
• Andreas Humpe & David G. McMillan, 2018, "Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets," Journal of Asset Management, Palgrave Macmillan, volume 19, issue 6, pages 413-428, October, DOI: 10.1057/s41260-018-0091-x.
• Allen, Franklin & Jagtiani, Julapa & Goldstein, Itay, 2018, "The Interplay between Financial Regulations, Resilience, and Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12861, Apr.
• van Wijnbergen, Sweder & Spreij, Peter & Derksen, Mike, 2018, "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12869, Apr.
• Kacperczyk, Marcin & Nosal, Jaromir & Stevens, Luminita, 2018, "Investor Sophistication and Capital Income Inequality," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12870, Apr.
• Martin, Ian, 2018, "Options and the Gamma Knife," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12883, Apr.
• Chernov, Mikhail & Creal, Drew, 2018, "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12893, Apr.
• Lettau, Martin & Pelger, Markus, 2018, "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12926, May.
• Bayer, Christian & Kim, Chi Hyun & Kriwoluzky, Alexander, 2018, "The term structure of redenomination risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12965, May.
• Taylor, Alan M. & Jordà , Ã’scar & Schularick, Moritz & Ward, Felix, 2018, "Global financial cycles and risk premiums," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12969, Jun.
• Vedolin, Andrea & Leombroni, Matteo & , & Whelan, Paul, 2018, "Central Bank Communication and the Yield Curve," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12970, Jun.
• Trebesch, Christoph & Chamon, Marcos & Schumacher, Julian, 2018, "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13020, Jun.
• Basak, Suleyman & Atmaz, Adem, 2018, "Option Prices and Costly Short-Selling," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13029, Jul.
• Lettau, Martin & Pelger, Markus, 2018, "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13049, Jul.
• Pástor, LuboÅ¡ & Veronesi, Pietro, 2018, "Inequality Aversion, Populism, and the Backlash Against Globalization," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13107, Aug.
• Hugonnier, Julien & Weill, Pierre-Olivier & Lester, Benjamin, 2018, "Frictional intermediation in over-the-counter markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13126, Aug.
• Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2018, "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13137, Aug.
• Gürkaynak, Refet & KısacıkoÄŸlu, Burçin & Wright, Jonathan, 2018, "Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13153, Sep.
• Schoenmaker, Dirk & Schramade, Willem, 2018, "Investing for Long-Term Value Creation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13175, Sep.
• Martin, Ian & Ross, Stephen, 2018, "Notes on the Yield Curve," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13176, Sep.
• Gehrig, Thomas & Sögner, Leopold & Westerkamp, Arne, 2018, "Making Parametric Portfolio Policies Work," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13193, Sep.
• Schmid, Lukas & David, Joel & Zeke, David, 2018, "Risk-Adjusted Capital Allocation and Misallocation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13205, Sep.
• Adam, Klaus & Nagel, Stefan & Matveev, Dmitry, 2018, "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13213, Oct.
• Chernov, Mikhail & Creal, Drew, 2022, "International yield curves and currency puzzles," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13252, Feb.
• Bergemann, Dirk & Heumann, Tibor & Morris, Stephen, 2018, "Information and Market Power," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13295, Nov.
• Schürhoff, Norman & Li, Dan & Cestau, Dario & Hollifield, Burton, 2018, "Municipal Bond Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13301, Nov.
• Balasubramaniam, Vimal & Anagol, Santosh, 2018, "Learning from Noise: Evidence from India’s IPO Lotteries," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13314, Nov.
• Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018, "Volatility Risk Pass-Through," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13325, Nov.
• Friewald, Nils & Nagler, Florian, 2018, "Over-the-Counter Market Frictions and Yield Spread Changes," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13345, Nov.
• Pavlova, Anna & Kashyap, Anil & Kovrijnykh, Natalia & ,, 2018, "The Benchmark Inclusion Subsidy," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13356, Dec.
• Chernov, Mikhail & Lochstoer, Lars & Lundeby, Stig, 2018, "Conditional dynamics and the multi-horizon risk-return trade-off," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13365, Dec.
• Rancière, Romain & Fraiberger, Samuel & , & Puy, Damien, 2018, "Media Sentiment and International Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13366, Dec.
• van Wijnbergen, Sweder & Olijslagers, Stan & Petersen, Annelie & de Vette, Nander, 2018, "What Option Prices tell us about the ECB's Unconventional Monetary Policies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13371, Dec.
• Perri, Fabrizio & Hur, Sewon & Kondo, Illenin, 2018, "Real Interest Rates, Inflation, and Default," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13388, Dec.
• Lettau, Martin & Ludvigson, Sydney & Manoel, Paulo, 2018, "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13395, Dec.
• Zviadadze, Irina, 2018, "Term Structure of Risk in Expected Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13414, Dec.
• Vives, Xavier & Cespa, Giovanni, 2018, "Exchange Competition, Entry, and Welfare," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 13415, Dec.
• Fabian Goessling, 2018, "Human Capital, Growth, and Asset Prices," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6918, Feb.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2018, "Relationships between the stochastic discount factor and the optimal omega ratio," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number 26348, Feb.
• Mariya Gubareva, 2018, "Historical Interest Rate Sensitivity of Emerging Market Sovereign Debt: Evidence of Regime Dependent Behavior," Annals of Economics and Finance, Society for AEF, volume 19, issue 2, pages 405-442, November.
• Afees A. Salisu, 2018, "United we stand, divided we fall: A PANICCA test evidence for stock exchanges in OECD," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 049, Mar.
• Afees A. Salisu & Taofeek O. Ayinde, 2018, "Testing for spillovers in Naira exchange rates: The role of electioneering& global financial crisis," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 050, Mar.
• De Pooter, Michiel & Martin, Robert F. & Pruitt, Seth, 2018, "The Liquidity Effects of Official Bond Market Intervention," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 53, issue 1, pages 243-268, February.
• D’Amico, Stefania & Kim, Don H. & Wei, Min, 2018, "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 53, issue 1, pages 395-436, February.
• Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2018, "Crash Sensitivity and the Cross Section of Expected Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 53, issue 3, pages 1059-1100, June.
• Bargain, Olivier & Cardebat, Jean-Marie & Vignolles, Alexandra, 2018, "Crowdfunding in the Wine Industry," Journal of Wine Economics, Cambridge University Press, volume 13, issue 1, pages 57-82, February.
• Musarrat SHAMSHIR & Mirza Jawwad BAIG & Khalid MUSTAFA, 2018, "Evidence of random walk in Pakistan stock exchange: An emerging stock market study," Journal of Economics Library, EconSciences Journals, volume 5, issue 1, pages 103-117, March.
• Nada I. Abu ALJARAYESH & Lama K. ASFOUR & Shadi Y. Al-ABDALLAH, 2018, "Interest rates volatility and its consequences on stock returns: The case study from Amman Stock Exchange, Jordan," Journal of Economics Library, EconSciences Journals, volume 5, issue 2, pages 149-160, June.
• Victor H. ROSAS MARTINEZ, 2018, "Expectations over durable assets: How to avoid the formation of value bubbles," Journal of Economics Library, EconSciences Journals, volume 5, issue 3, pages 200-210, September.
• Sahar IDREES & Abdul QAYYUM, 2018, "The impact of financial distress risk on equity returns: A case study of non-financial firms of Pakistan Stock Exchange," Journal of Economics Bibliography, EconSciences Journals, volume 5, issue 2, pages 49-59, June.
• Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2018, "Speculation and Price Indeterminacy in Financial Markets: An Experimental Study," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2134, May.
• Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2018, "Speculation and Price Indeterminacy in Financial Markets: An Experimental Study," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2134R, May, revised Apr 2020.
• John Geanakoplos & Kieran Haobin Wang, 2018, "Quantitative Easing, Collateral Constraints, and Financial Spillovers," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2154, Dec.
• Snezana Eminidou & Marios Zachariadis & Elena Andreou, 2018, "Inflation Expectations and Monetary Policy Surprises," Working Papers, Central Bank of Cyprus, number 2018-1, Mar.
• Martin T. Bohl & Badye Essid & Pierre L. Siklos, 2018, "Short-Selling Bans and the Global Financial Crisis: Are They Interconnected?," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, volume 64, issue 2, pages 159-177, DOI: 10.3790/aeq.64.2.159.
• Даниел Николаев, 2018, "Изменения Във Франчизната Стойност На Международните Банки В Европа След Базел Iii," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 14, issue 14 Year 2, pages 147-161.
• Кристи Маринова, 2018, "Балансовите Позиции И Кредитната Политика Като Фактори За Превенция Срещу Банкова Несъстоятелност," Almanac of PhD Students, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, volume 14, issue 14 Year 2, pages 262-273.
• Stefan SIMEONOV & Teodor TODOROV, 2018, "Designing The Investment Profile Of The Shares Traded On The Bulgarian Stock Exchange In The Period From August 2016 To December 2017," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 70-100.
• Стефан Симеонов & Теодор Тодоров, 2018, "Формиране На Инвестиционен Профил За Акции, Търгувани На Българската Фондова Борса За Периода Август 2016 – Декември 2017," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 85-116.
• Tobias N. Glas & Thorsten Poddig, 2018, "Kryptowährungen in der Asset- Allokation: eine empirische Untersuchung auf Basis eines beispielhaften deutschen Multi-Asset-Portfolios," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 87, issue 3, pages 107-128, DOI: 10.3790/vjh.87.3.107.
• Guglielmo Maria Caporale & Alex Plastun, 2018, "Price Overreactions in the Cryptocurrency Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1718.
• Daniel Bierbaumer & Malte Rieth & Anton Velinov, 2018, "Nonlinear Intermediary Pricing in the Oil Futures Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1722.
• Febi Wulandari & Dorothea Schäfer & Andreas Stephan & Chen Sun, 2018, "Liquidity Risk and Yield Spreads of Green Bonds," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1728.
• Christian Bayer & Chi Hyun Kim & Alexander Kriwoluzky, 2018, "The Term Structure of Redenomination Risk," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1740.
• Jean-Baptiste Michau & Yoshiyasu Ono & Matthias Schlegl, 2018, "Wealth Preference and Rational Bubbles," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 1035, Jun.
• Sessi Tokpavi & Christophe Boucher, 2018, "Stocks and Bonds: Flight-to-Safety for Ever?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2018-39.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2018, "Monetary Policy and Asset Price Bubbles," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2018-5.
• Christopher E.S. WARBURTON, 2018, "Covered Interest Parity And Frictions In Currency And Money Markets: Analysis Of British Pound And Dollar For The Period 1999-2006," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 18, issue 1, pages 55-72.
• Francisco JAREÑO & Marta TOLENTINO & María de la O GONZÁLEZ, 2018, "The Us Stock Market At Sector Level: Inflation News, 1990-2013," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 18, issue 1, pages 73-86.
• Langlois, Hugues, 2018, "Measuring Skewness Premia," HEC Research Papers Series, HEC Paris, number 1256, Mar, revised 29 May 2019.
• Foucault, Thierry & Benamar, Hedi & Vega, Clara, 2018, "Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News," HEC Research Papers Series, HEC Paris, number 1263, Apr, revised 03 May 2018.
• Cvijanovic, Dragana & Spaenjers, Christophe, 2018, "'We'll Always Have Paris': Out-of-Country Buyers in the Housing Market," HEC Research Papers Series, HEC Paris, number 1311, Oct, DOI: 10.2139/ssrn.3248902.
• De Santis, Roberto A. & Geis, André & Juskaite, Aiste & Cruz, Lia Vaz, 2018, "The impact of the corporate sector purchase programme on corporate bond markets and the financing of euro area non-financial corporations," Economic Bulletin Articles, European Central Bank, volume 3.
• Geis, André & Kapp, Daniel & Kristiansen, Kristian, 2018, "Measuring and interpreting the cost of equity in the euro area," Economic Bulletin Articles, European Central Bank, volume 4.
• Böninghausen, Benjamin & Kidd, Gregory & de Vincent-Humphreys, Rupert, 2018, "Interpreting recent developments in market based indicators of longer term inflation expectations," Economic Bulletin Articles, European Central Bank, volume 6.
• Jurkšas, Linas & Kapp, Daniel & Nyholm, Ken & von Landesberger, Julian, 2018, "Euro area sovereign bond market liquidity since the start of the PSPP," Economic Bulletin Boxes, European Central Bank, volume 2.
• De Santis, Roberto A. & Roos, Madelaine & Hettler, Katja & Tamburrini, Fabio, 2018, "Purchases of green bonds under the Eurosystem’s asset purchase programme," Economic Bulletin Boxes, European Central Bank, volume 7.
• Breckenfelder, Johannes, 2018, "How is a firm’s credit risk affected by sovereign risk?," Research Bulletin, European Central Bank, volume 53.
• Grasso, Adriana & Natoli, Filippo, 2018, "Consumption volatility risk and the inversion of the yield curve," Working Paper Series, European Central Bank, number 2141, Apr.
• Chamon, Marcos & Schumacher, Julian & Trebesch, Christoph, 2018, "Foreign-law bonds: can they reduce sovereign borrowing costs?," Working Paper Series, European Central Bank, number 2162, Jun.
• Sigaux, Jean-David, 2018, "Trading ahead of treasury auctions," Working Paper Series, European Central Bank, number 2208, Nov.
• Brumm, Johannes & Grill, Michael & Kubler, Felix & Schmedders, Karl, 2018, "Re-use of collateral: leverage, volatility, and welfare," Working Paper Series, European Central Bank, number 2218, Dec.
• Schwert, Michael, 2018, "Is Borrowing from Banks More Expensive than Borrowing from the Market?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-23, Mar.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2018, "Why Has Idiosyncratic Risk Been Historically Low in Recent Years?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-02, Jan.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2018, "Motivating Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-03, Jan.
• Ben-David, Itzhak & Li, Zhi & Wang, Zexi, 2018, "Financial Constraints and Industry Dynamics," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-09, Mar.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2018, "Q5," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-10, Mar.
• Karnaukh, Nina, 2018, "The Dollar Ahead of FOMC Target Rate Changes," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-14, Mar.
• Li, Ye & Wang, Chen, 2018, "Rediscover Predictability: Information from the Relative Prices of Long-Term and Short-Term Dividends," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-16, Mar.
• Nguyen, Thien T., 2018, "Public Debt and the Slope of the Term Structure," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2018-23, Nov.
• Duffie, Darrell & Andersen, Leif & Song, Yang, 2018, "Funding Value Adjustments," Research Papers, Stanford University, Graduate School of Business, number 3571, Mar.
• Krishnamurthy, Arvind & Archarya, Viral V., 2018, "Capital Flow Management with Multiple Instruments," Research Papers, Stanford University, Graduate School of Business, number 3646, Feb.
• Lee, Charles M. C. & Qu, Yuanyu & Shen, Tao, 2018, "Going Public in China: Reverse Mergers versus IPOs," Research Papers, Stanford University, Graduate School of Business, number 3655, Mar.
• Francisco Jare o & Marta Tolentino & M del Camino Torrecillas, 2018, "The Relevance of the Market and News Direction When Analyzing the Inflation News Impact on the US Stock Market," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 2, pages 113-127.
• Ozkan Haykir, 2018, "Does MAX Anomaly Exist in Emerging Market: Evidence from the Turkish Stock Market?," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 2, pages 148-153.
• Bamanga Umar & Sabri Nayan, 2018, "Does Regulatory Quality Matters for Stock Market Development? Evidence from Africa," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 4, pages 10-15.
• Ritika Jaiswal & Rashmi Uchil, 2018, "An Analysis of Gold Futures as an Alternative Asset: Evidence from India," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 6, pages 144-150.
• Haris Djayadi & Henricus Judi Adrianto & Dini Arifian, 2018, "The Model of Insurance Companies Risk Based Capital," International Journal of Economics and Financial Issues, Econjournals, volume 8, issue 6, pages 61-64.
• Nicholas Lee & Hsiang-Jane Su & Ming-Chin Lin, 2018, "Electricity Consumption and Green Mortgage: New Insights into the Threshold Cointegration Relationship," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 2, pages 39-46.
• Alexey Yurievich Mikhaylov, 2018, "Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 3, pages 321-326.
• Anthony Msafiri Nyangarika & Alexey Yurievich Mikhaylov & Bao-jun Tang, 2018, "Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 5, pages 42-48.
• Aziza Syzdykova, 2018, "The Relationship between the Oil Price Shocks and the Stock Markets: The Example of Commonwealth of Independent States Countries," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 6, pages 161-166.
• Adedoyin Isola Lawal & Abiola A. Babajide & Tony Ikechukwu Nwanji & Damilola Eluyela, 2018, "Are Oil Prices Mean Reverting? Evidence from Unit Root Tests with Sharp and Smooth Breaks," International Journal of Energy Economics and Policy, Econjournals, volume 8, issue 6, pages 292-298.
• Ayman Mahmoud Maaitah, 2018, "The Role of Leadership Style on Turnover Intention," International Review of Management and Marketing, Econjournals, volume 8, issue 5, pages 24-29.
• Songül Kakýllý Acaravcý & Yunus Karaömer, 2018, "The Comparative Performance Evaluation of the Fama-French Five Factor Model in Turkey," Isletme ve Iktisat Calismalari Dergisi, Econjournals, volume 6, issue 3, pages 1-12.
• Bohl, Martin T. & Siklos, Pierre L. & Wellenreuther, Claudia, 2018, "Speculative activity and returns volatility of Chinese agricultural commodity futures," Journal of Asian Economics, Elsevier, volume 54, issue C, pages 69-91, DOI: 10.1016/j.asieco.2017.12.003.
• Kumar, Gaurav & Misra, Arun Kumar, 2018, "Commonality in liquidity: Evidence from India’s National Stock Exchange," Journal of Asian Economics, Elsevier, volume 59, issue C, pages 1-15, DOI: 10.1016/j.asieco.2018.09.001.
• Hattori, Takahiro, 2018, "Decomposing Japanese municipal bond spreads: Default and liquidity premiums in times of crisis," Journal of Asian Economics, Elsevier, volume 59, issue C, pages 16-28, DOI: 10.1016/j.asieco.2018.09.002.
• Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2018, "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Journal of Asian Economics, Elsevier, volume 59, issue C, pages 29-47, DOI: 10.1016/j.asieco.2018.09.004.
• Abreu, Margarida & Mendes, Victor, 2018, "The investor in structured retail products: Advice driven or gambling oriented?," Journal of Behavioral and Experimental Finance, Elsevier, volume 17, issue C, pages 1-9, DOI: 10.1016/j.jbef.2017.12.001.
• Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018, "Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests," Journal of Behavioral and Experimental Finance, Elsevier, volume 18, issue C, pages 50-53, DOI: 10.1016/j.jbef.2018.01.005.
• Afego, Pyemo N., 2018, "Index shocks, investor action and long-run stock performance in Japan: A case of cultural behaviouralism?," Journal of Behavioral and Experimental Finance, Elsevier, volume 18, issue C, pages 54-66, DOI: 10.1016/j.jbef.2018.01.006.
• Breitmayer, Bastian & Pelster, Matthias, 2018, "Affect and stock returns," Journal of Behavioral and Experimental Finance, Elsevier, volume 18, issue C, pages 76-84, DOI: 10.1016/j.jbef.2018.01.009.
• König-Kersting, Christian & Trautmann, Stefan T., 2018, "Countercyclical risk aversion: Beyond financial professionals," Journal of Behavioral and Experimental Finance, Elsevier, volume 18, issue C, pages 94-101, DOI: 10.1016/j.jbef.2018.03.001.
• Papadovasilaki, Dimitra & Guerrero, Federico & Sundali, James, 2018, "The effect of early and salient investment experiences on subsequent asset allocations—An experimental study," Journal of Behavioral and Experimental Finance, Elsevier, volume 19, issue C, pages 1-19, DOI: 10.1016/j.jbef.2018.03.002.
• Dash, Saumya Ranjan & Maitra, Debasish, 2018, "Does Shariah index hedge against sentiment risk? Evidence from Indian stock market using time–frequency domain approach," Journal of Behavioral and Experimental Finance, Elsevier, volume 19, issue C, pages 20-35, DOI: 10.1016/j.jbef.2018.03.003.
• Li, Kun, 2018, "Reaction to news in the Chinese stock market: A study on Xiong’an New Area Strategy," Journal of Behavioral and Experimental Finance, Elsevier, volume 19, issue C, pages 36-38, DOI: 10.1016/j.jbef.2018.03.004.
• Blau, Benjamin M., 2018, "Does religiosity affect liquidity in financial markets?," Journal of Behavioral and Experimental Finance, Elsevier, volume 19, issue C, pages 72-83, DOI: 10.1016/j.jbef.2018.05.002.
• Hsu, Ching-Chi & Chen, Miao-Ling, 2018, "Timing of advertising and the MAX effect," Journal of Behavioral and Experimental Finance, Elsevier, volume 20, issue C, pages 105-114, DOI: 10.1016/j.jbef.2018.09.001.
• Ilomäki, Jukka & Laurila, Hannu, 2018, "Animal spirits in financial markets: Experimental evidence," Journal of Behavioral and Experimental Finance, Elsevier, volume 20, issue C, pages 99-104, DOI: 10.1016/j.jbef.2018.08.005.
• Huang, Winifred & Mazouz, Khelifa, 2018, "Excess cash, trading continuity, and liquidity risk," Journal of Corporate Finance, Elsevier, volume 48, issue C, pages 275-291, DOI: 10.1016/j.jcorpfin.2017.11.005.
• Khurshed, Arif & Kostas, Dimitris & Mohamed, Abdulkadir & Saadouni, Brahim, 2018, "Initial public offerings on the UK when-issued market," Journal of Corporate Finance, Elsevier, volume 49, issue C, pages 1-14, DOI: 10.1016/j.jcorpfin.2017.12.018.
• Li, Yuanpeng & Sun, Qian & Tian, Shu, 2018, "The impact of IPO approval on the price of existing stocks: Evidence from China," Journal of Corporate Finance, Elsevier, volume 50, issue C, pages 109-127, DOI: 10.1016/j.jcorpfin.2018.03.002.
• Hu, Gang & Jo, Koren M. & Wang, Yi Alex & Xie, Jing, 2018, "Institutional trading and Abel Noser data," Journal of Corporate Finance, Elsevier, volume 52, issue C, pages 143-167, DOI: 10.1016/j.jcorpfin.2018.08.005.
• Jia, Ning, 2018, "Corporate innovation strategy and stock price crash risk," Journal of Corporate Finance, Elsevier, volume 53, issue C, pages 155-173, DOI: 10.1016/j.jcorpfin.2018.10.006.
• Branger, Nicole & Rodrigues, Paulo & Schlag, Christian, 2018, "Level and slope of volatility smiles in long-run risk models," Journal of Economic Dynamics and Control, Elsevier, volume 86, issue C, pages 95-122, DOI: 10.1016/j.jedc.2017.10.007.
• Breton, Michèle & Marzouk, Oussama, 2018, "Evaluation of counterparty risk for derivatives with early-exercise features," Journal of Economic Dynamics and Control, Elsevier, volume 88, issue C, pages 1-20, DOI: 10.1016/j.jedc.2018.01.014.
• Jermann, Urban J. & Yue, Vivian Z., 2018, "Interest rate swaps and corporate default," Journal of Economic Dynamics and Control, Elsevier, volume 88, issue C, pages 104-120, DOI: 10.1016/j.jedc.2018.01.022.
• Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2018, "Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns," Journal of Economic Dynamics and Control, Elsevier, volume 90, issue C, pages 1-29, DOI: 10.1016/j.jedc.2018.01.040.
• Suzuki, Masataka, 2018, "Continuous-time smooth ambiguity preferences," Journal of Economic Dynamics and Control, Elsevier, volume 90, issue C, pages 30-44, DOI: 10.1016/j.jedc.2018.01.042.
• Liu, Qi & Sun, Bo, 2018, "Managerial manipulation, corporate governance, and limited market participation," Journal of Economic Dynamics and Control, Elsevier, volume 90, issue C, pages 98-117, DOI: 10.1016/j.jedc.2017.12.004.
• Mertens, Thomas M. & Judd, Kenneth L., 2018, "Solving an incomplete markets model with a large cross-section of agents," Journal of Economic Dynamics and Control, Elsevier, volume 91, issue C, pages 349-368, DOI: 10.1016/j.jedc.2018.01.025.
• Lux, Thomas, 2018, "Estimation of agent-based models using sequential Monte Carlo methods," Journal of Economic Dynamics and Control, Elsevier, volume 91, issue C, pages 391-408, DOI: 10.1016/j.jedc.2018.01.021.
• Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018, "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, volume 91, issue C, pages 43-70, DOI: 10.1016/j.jedc.2018.05.001.
• He, Xue-Zhong & Li, Kai & Li, Youwei, 2018, "Asset allocation with time series momentum and reversal," Journal of Economic Dynamics and Control, Elsevier, volume 91, issue C, pages 441-457, DOI: 10.1016/j.jedc.2018.02.004.
• Agliari, Anna & Naimzada, Ahmad & Pecora, Nicolò, 2018, "Boom-bust dynamics in a stock market participation model with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, volume 91, issue C, pages 458-468, DOI: 10.1016/j.jedc.2018.04.007.
• Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018, "Local volatility and the recovery rate of credit default swaps," Journal of Economic Dynamics and Control, Elsevier, volume 92, issue C, pages 1-29, DOI: 10.1016/j.jedc.2018.04.002.
• Dindo, Pietro & Staccioli, Jacopo, 2018, "Asset prices and wealth dynamics in a financial market with random demand shocks," Journal of Economic Dynamics and Control, Elsevier, volume 95, issue C, pages 187-210, DOI: 10.1016/j.jedc.2018.08.009.
• Ruan, Xinfeng & Zhang, Jin E., 2018, "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, volume 96, issue C, pages 42-60, DOI: 10.1016/j.jedc.2018.08.011.
• Mukherjee, Raja & Paul, Satya & Shankar, Sriram, 2018, "Equity home bias—A global perspective from the shrunk frontier," Economic Analysis and Policy, Elsevier, volume 57, issue C, pages 9-21, DOI: 10.1016/j.eap.2017.10.003.
• Yıldırım-Karaman, Seçil, 2018, "Uncertainty in financial markets and business cycles," Economic Modelling, Elsevier, volume 68, issue C, pages 329-339, DOI: 10.1016/j.econmod.2017.08.001.
• Shen, Dehua & Li, Xiao & Zhang, Wei, 2018, "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, volume 69, issue C, pages 127-133, DOI: 10.1016/j.econmod.2017.09.012.
• Gupta, Jairaj & Gregoriou, Andros, 2018, "Impact of market-based finance on SMEs failure," Economic Modelling, Elsevier, volume 69, issue C, pages 13-25, DOI: 10.1016/j.econmod.2017.09.004.
• Zhang, Wei & Wang, Guanying & Wang, Xingchun & Xiong, Xiong & Lei, Xuan, 2018, "Profitability of reversal strategies: A modified version of the Carhart model in China," Economic Modelling, Elsevier, volume 69, issue C, pages 26-37, DOI: 10.1016/j.econmod.2017.09.003.
• Aouadi, Amal & Arouri, Mohamed & Roubaud, David, 2018, "Information demand and stock market liquidity: International evidence," Economic Modelling, Elsevier, volume 70, issue C, pages 194-202, DOI: 10.1016/j.econmod.2017.11.005.
• Mi, Lin & Benson, Karen & Faff, Robert, 2018, "A specialised volatility index for the new GICS sector - Real estate," Economic Modelling, Elsevier, volume 70, issue C, pages 438-446, DOI: 10.1016/j.econmod.2017.08.025.
• Liu, Feng & Kalotay, Egon & Trück, Stefan, 2018, "Assessing sovereign default risk: A bottom-up approach," Economic Modelling, Elsevier, volume 70, issue C, pages 525-542, DOI: 10.1016/j.econmod.2017.09.013.
• Kruse, Robinson & Kaufmann, Hendrik & Wegener, Christoph, 2018, "Bias-corrected estimation for speculative bubbles in stock prices," Economic Modelling, Elsevier, volume 73, issue C, pages 354-364, DOI: 10.1016/j.econmod.2018.04.014.
• Chaudhuri, Kausik & Sen, Rituparna & Tan, Zheng, 2018, "Testing extreme dependence in financial time series," Economic Modelling, Elsevier, volume 73, issue C, pages 378-394, DOI: 10.1016/j.econmod.2018.04.016.
• Zaremba, Adam & Umutlu, Mehmet, 2018, "Size matters everywhere: Decomposing the small country and small industry premia," The North American Journal of Economics and Finance, Elsevier, volume 43, issue C, pages 1-18, DOI: 10.1016/j.najef.2017.09.002.
• Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2018, "How money illusions and heterogeneous beliefs affect asset prices," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 167-192, DOI: 10.1016/j.najef.2018.01.003.
• Liu, Qiang & Liu, Yiqi & Liu, Zhi & Wang, Li, 2018, "Estimation of spot volatility with superposed noisy data," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 62-79, DOI: 10.1016/j.najef.2017.11.004.
• Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2018, "Foreign equity flows: Boon or bane to the liquidity of Malaysian stock market?," The North American Journal of Economics and Finance, Elsevier, volume 45, issue C, pages 161-181, DOI: 10.1016/j.najef.2018.02.007.
• Fletcher, Jonathan, 2018, "Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns?," The North American Journal of Economics and Finance, Elsevier, volume 46, issue C, pages 114-129, DOI: 10.1016/j.najef.2018.04.003.
• Jeong, Giho & Kang, Jangkoo & Kwon, Kyung Yoon, 2018, "Liquidity skewness premium," The North American Journal of Economics and Finance, Elsevier, volume 46, issue C, pages 130-150, DOI: 10.1016/j.najef.2018.04.015.
• Marcato, Gianluca & Sebehela, Tumellano & Campani, Carlos Heitor, 2018, "Volatility smiles when information is lagged in prices," The North American Journal of Economics and Finance, Elsevier, volume 46, issue C, pages 151-165, DOI: 10.1016/j.najef.2018.03.004.
• Park, Hyun Woong & Bernardin, Thomas, 2018, "Liquidity, bank runs, and fire sales under local thinking," The North American Journal of Economics and Finance, Elsevier, volume 46, issue C, pages 89-102, DOI: 10.1016/j.najef.2018.04.001.