Research classified by Journal of Economic Literature (JEL) codes

2018

• Koulovatianos, Christos & Li, Jian & Weber, Fabienne, 2018, "Market fragility and the paradox of the recent stock-bond dissonance," Economics Letters, Elsevier, volume 162, issue C, pages 162-166, DOI: 10.1016/j.econlet.2017.11.022.
• Brauneis, Alexander & Mestel, Roland, 2018, "Price discovery of cryptocurrencies: Bitcoin and beyond," Economics Letters, Elsevier, volume 165, issue C, pages 58-61, DOI: 10.1016/j.econlet.2018.02.001.
• Ruenzi, Stefan & Weigert, Florian, 2018, "Momentum and crash sensitivity," Economics Letters, Elsevier, volume 165, issue C, pages 77-81, DOI: 10.1016/j.econlet.2018.01.031.
• Urquhart, Andrew, 2018, "What causes the attention of Bitcoin?," Economics Letters, Elsevier, volume 166, issue C, pages 40-44, DOI: 10.1016/j.econlet.2018.02.017.
• Khuntia, Sashikanta & Pattanayak, J.K., 2018, "Adaptive market hypothesis and evolving predictability of bitcoin," Economics Letters, Elsevier, volume 167, issue C, pages 26-28, DOI: 10.1016/j.econlet.2018.03.005.
• Demirer, Riza & Gupta, Rangan, 2018, "Presidential cycles and time-varying bond–stock market correlations: Evidence from more than two centuries of data," Economics Letters, Elsevier, volume 167, issue C, pages 36-39, DOI: 10.1016/j.econlet.2018.03.006.
• Leaño, Miguel & Pedraza, Alvaro, 2018, "Ownership concentration and market liquidity: Evidence from a natural experiment," Economics Letters, Elsevier, volume 167, issue C, pages 56-59, DOI: 10.1016/j.econlet.2018.02.024.
• Koutmos, Dimitrios, 2018, "Bitcoin returns and transaction activity," Economics Letters, Elsevier, volume 167, issue C, pages 81-85, DOI: 10.1016/j.econlet.2018.03.021.
• Lalwani, Vaibhav & Chakraborty, Madhumita, 2018, "Asset pricing factors and future economic growth," Economics Letters, Elsevier, volume 168, issue C, pages 151-154, DOI: 10.1016/j.econlet.2018.04.031.
• Wei, Wang Chun, 2018, "Liquidity and market efficiency in cryptocurrencies," Economics Letters, Elsevier, volume 168, issue C, pages 21-24, DOI: 10.1016/j.econlet.2018.04.003.
• Wang, Wenzhao, 2018, "The mean–variance relation and the role of institutional investor sentiment," Economics Letters, Elsevier, volume 168, issue C, pages 61-64, DOI: 10.1016/j.econlet.2018.04.008.
• Feng, Pan & Qian, Junhui, 2018, "Forecasting the yield curve using a dynamic natural cubic spline model," Economics Letters, Elsevier, volume 168, issue C, pages 73-76, DOI: 10.1016/j.econlet.2018.04.009.
• Park, Seyoung, 2018, "A generalization of Ramsey rule on discount rate with regime switching," Economics Letters, Elsevier, volume 170, issue C, pages 147-150, DOI: 10.1016/j.econlet.2018.06.011.
• Okubo, Masakatsu, 2018, "On the computation of detection error probabilities under normality assumptions," Economics Letters, Elsevier, volume 171, issue C, pages 106-109, DOI: 10.1016/j.econlet.2018.07.014.
• Hachenberg, Britta & Kiesel, Florian & Schiereck, Dirk, 2018, "Dieselgate and its expected consequences on the European auto ABS market," Economics Letters, Elsevier, volume 171, issue C, pages 180-182, DOI: 10.1016/j.econlet.2018.07.044.
• Wei, Wang Chun, 2018, "The impact of Tether grants on Bitcoin," Economics Letters, Elsevier, volume 171, issue C, pages 19-22, DOI: 10.1016/j.econlet.2018.07.001.
• Hedlund, Aaron, 2018, "Credit constraints, house prices, and the impact of life cycle dynamics," Economics Letters, Elsevier, volume 171, issue C, pages 202-207, DOI: 10.1016/j.econlet.2018.07.028.
• Castagnetti, Carolina, 2018, "A novel approach for testing the parity relationship between CDS and credit spread," Economics Letters, Elsevier, volume 172, issue C, pages 115-117, DOI: 10.1016/j.econlet.2018.08.023.
• Lin, Qi & Lin, Xi, 2018, "Expected investment and the cross-section of stock returns," Economics Letters, Elsevier, volume 172, issue C, pages 43-49, DOI: 10.1016/j.econlet.2018.08.012.
• Galai, Dan & Wiener, Zvi, 2018, "Dividend policy relevance in a levered firm—The binomial case," Economics Letters, Elsevier, volume 172, issue C, pages 78-80, DOI: 10.1016/j.econlet.2018.08.021.
• Marks, Joseph M. & Nam, Kiseok, 2018, "Intertemporal risk-return tradeoff in the short-run," Economics Letters, Elsevier, volume 172, issue C, pages 81-84, DOI: 10.1016/j.econlet.2018.08.031.
• Koutmos, Dimitrios, 2018, "Liquidity uncertainty and Bitcoin’s market microstructure," Economics Letters, Elsevier, volume 172, issue C, pages 97-101, DOI: 10.1016/j.econlet.2018.08.041.
• Koutmos, Dimitrios, 2018, "Return and volatility spillovers among cryptocurrencies," Economics Letters, Elsevier, volume 173, issue C, pages 122-127, DOI: 10.1016/j.econlet.2018.10.004.
• Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018, "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, volume 202, issue 1, pages 18-44, DOI: 10.1016/j.jeconom.2017.09.002.
• Gallant, A. Ronald & Hong, Han & Khwaja, Ahmed, 2018, "A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states," Journal of Econometrics, Elsevier, volume 203, issue 1, pages 19-32, DOI: 10.1016/j.jeconom.2017.04.004.
• Li, Yingying & Zhang, Zhiyuan & Li, Yichu, 2018, "A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 187-222, DOI: 10.1016/j.jeconom.2017.11.006.
• Amengual, Dante & Xiu, Dacheng, 2018, "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, volume 203, issue 2, pages 297-315, DOI: 10.1016/j.jeconom.2017.12.003.
• Ronald Gallant, A. & Tauchen, George, 2018, "Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale," Journal of Econometrics, Elsevier, volume 205, issue 1, pages 140-155, DOI: 10.1016/j.jeconom.2018.03.008.
• Grammig, Joachim & Küchlin, Eva-Maria, 2018, "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, volume 205, issue 1, pages 6-33, DOI: 10.1016/j.jeconom.2018.03.003.
• Li, Yong & Yu, Jun & Zeng, Tao, 2018, "Specification tests based on MCMC output," Journal of Econometrics, Elsevier, volume 207, issue 1, pages 237-260, DOI: 10.1016/j.jeconom.2018.08.001.
• Abdelmonem Oueslati & Yacine Hammami, 2018, "Forecasting stock returns in Saudi Arabia and Malaysia," Review of Accounting and Finance, Emerald Group Publishing Limited, volume 17, issue 2, pages 259-279, May, DOI: 10.1108/RAF-05-2017-0089.
• Tom W. Miller, 2018, "Terminal values for firms with growth opportunities: explaining valuation and IPO price behavior," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 35, issue 2, pages 244-272, June, DOI: 10.1108/SEF-03-2016-0078.
• Thomas Emmerling & Robert Jarrow & Yildiray Yildirim, 2018, "Portfolio balance effects and the Federal Reserve’s large-scale asset purchases," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 35, issue 1, pages 2-24, March, DOI: 10.1108/SEF-10-2017-0284.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018, "Pricing Carbon Emissions in China," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2018-05, Jan.
• Chang, C-L. & Mai, T.K. & McAleer, M.J., 2018, "Establishing National Carbon Emission Prices for China," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number 18-028/III, Mar.
• Chang, C-L. & McAleer, M.J. & Wang, Y-A., 2018, "Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number TI 2018-052/III, May.
• Jaskowski, M. & McAleer, M.J., 2018, "Spurious Cross-Sectional Dependence in Credit Spread Changes," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 208-34, Aug.
• Chang, C-L. & Hsieh, T-L. & McAleer, M.J., 2018, "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2018-37, Sep.
• Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2018, "Dynamic return and volatility spillovers among S&P 500, crude oil and gold," Working Papers, Eastern Mediterranean University, Department of Economics, number 15-46.
• Allou Allou Alfonse & José Carlos Trejo García & Miguel Ángel Martínez García, 2018, "Opción climática para la producción de café en México. (Climate Option of Coffee Production in Mexico)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, volume 0, issue 2, pages 135-154, October.
• D.A. Milenkova, 2018, "Risk Management: Comprehensive Analysis of Key Approaches on Academic Literature and Professional Certifications," European Research Studies Journal, European Research Studies Journal, volume 0, issue Special1, pages 273-286.
• Brian BARNARD, 2018, "Rating Migration and Bond Valuation: Ahistorical Interest Rate and Default Probability Term Structures," Expert Journal of Finance, Sprint Investify, volume 6, issue 1, pages 16-30.
• Mary Nelima LYANI SINDANI, 2018, "Effects of Accounts Receivable Financing Practices on Growth of SMEs in Kakamega County, Kenya," Expert Journal of Finance, Sprint Investify, volume 6, issue , pages 1-11.
• Joao Dionisio Monteiro & Jose Luis Miralles-Quiros & Jose Ramos Pires Manso, 2018, "Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 68, issue 1, pages 71-98, February.
• Muhammad Zubair Mumtaz & Zachary Alexander Smith, 2018, "IPOs in the U.S. from 2005 to 2015: Using the Spline Regression Technique to Estimate Aggregate Issuance and Performance," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 68, issue 2, pages 165-199, April.
• Adam Zaremba, 2018, "Country Risk and Expected Returns Across Global Equity Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 68, issue 4, pages 374-398, September.
• Karel Janda, 2018, "Earnings Stability and Peer Selection for Indirect Valuation," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2018/14, Jul, revised Jul 2018.
• Onrej Tobek & Martin Hronec, 2018, "Does the Source of Fundamental Data Matter?," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2018/15, Aug, revised Aug 2018.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2018, "Monetary Policy and Asset Price Bubbles," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE), number 2018-37, Nov.
• Jianjun Miao & Bin Wei & Hao Zhou, 2018, "Ambiguity Aversion and Variance Premium," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2018-14, Dec, DOI: 10.29338/wp2018-14.
• J. Christina Wang, 2018, "Technology, the nature of information, and fintech marketplace lending," Current Policy Perspectives, Federal Reserve Bank of Boston, number 18-3, Oct.
• Dongho Song & Jenny Tang, 2018, "News-driven uncertainty fluctuations," Working Papers, Federal Reserve Bank of Boston, number 18-3, Jan.
• Sewon Hur & Illenin O. Kondo & Fabrizio Perri, 2018, "Inflation, Debt, and Default," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1812, Sep, DOI: 10.26509/frbc-wp-201812.
• Valerie Grossman & Enrique Martínez García, 2018, "Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 342, Jul, DOI: 10.24149/gwp342r1.
• Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018, "Valuation Risk Revalued," Working Papers, Federal Reserve Bank of Dallas, number 1808, Jul, DOI: 10.24149/wp1808.
• Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018, "Global Trends in Interest Rates," Working Papers, Federal Reserve Bank of Dallas, number 1812, Oct, DOI: 10.24149/wp1812.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2018, "Global Financial Cycles and Risk Premiums," Working Paper Series, Federal Reserve Bank of San Francisco, number 2018-5, Jun, DOI: 10.24148/wp2018-05.
• Jens H. E. Christensen & Jose A. Lopez & Paul Mussche, 2019, "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Working Paper Series, Federal Reserve Bank of San Francisco, number 2018-9, Mar, DOI: 10.24148/wp2018-09.
• Kevin J. Lansing & Stephen F. LeRoy & Jun Ma, 2022, "Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?," Working Paper Series, Federal Reserve Bank of San Francisco, number 2018-14, Jan, DOI: 10.24148/wp2018-14.
• Andrew Y. Chen & Tom Zimmermann, 2018, "Publication Bias and the Cross-Section of Stock Returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-033, May, DOI: 10.17016/FEDS.2018.033.
• Andrew C. Chang, 2018, "Nothing is Certain Except Death and Taxes : The Lack of Policy Uncertainty from Expiring \"Temporary\" Taxes," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-041, Jun, DOI: 10.17016/FEDS.2018.041.
• Eric Engstrom & Steven A. Sharpe, 2018, "The Near-Term Forward Yield Spread as a Leading Indicator : A Less Distorted Mirror," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-055, Aug, DOI: 10.17016/FEDS.2018.055.
• Martin M. Andreasen & Andrew C. Meldrum, 2018, "A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-056, Aug, DOI: 10.17016/FEDS.2018.056.
• Song Han & Alan G. Huang & Madhu Kalimipalli & Ke Wang, 2018, "Information and Liquidity of OTC Securities : Evidence from Public Registration of Rule 144A Bonds," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-061, Aug, DOI: 10.17016/FEDS.2018.061.
• Scott Mixon & Tugkan Tuzun, 2018, "Price Pressure and Price Discovery in the Term Structure of Interest Rates," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-065, Sep, DOI: 10.17016/FEDS.2018.065.
• Andrew Phin & Todd Prono & Jonathan J. Reeves & Konark Saxena, 2018, "Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-081, Nov, DOI: 10.17016/FEDS.2018.081.
• A. Ronald Gallant & Mohammad Jahan-Parvar & Hening Liu, 2018, "Does Smooth Ambiguity Matter for Asset Pricing?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1221, Jan, DOI: 10.17016/IFDP.2018.1221.
• Donald B. Keim & Massimo Massa & Bastian von Beschwitz, 2018, "First to \"Read\" the News: New Analytics and Algorithmic Trading," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1233, Jul, DOI: 10.17016/IFDP.2018.1233.
• Olivier Jean Blanchard & Christopher G. Collins & Mohammad Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018, "Why Has the Stock Market Risen So Much Since the US Presidential Election?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1235, Aug, DOI: 10.17016/IFDP.2018.1235.
• Luca Benzoni & Olena Chyruk & David Kelley, 2018, "Why Does the Yield-Curve Slope Predict Recessions?," Chicago Fed Letter, Federal Reserve Bank of Chicago, DOI: 10.21033/cfl-2018-404.
• Francois R. Velde, 2018, "Lottery Loans in the Eighteenth Century," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2018-7, May, DOI: 10.21033/wp-2018-07.
• Luca Benzoni & Olena Chyruk & David Kelley, 2018, "Why Does the Yield-Curve Slope Predict Recessions?," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2018-15, Sep, DOI: doi.org/10.21033/wp-2018-15.
• Emmanuel Farhi & François Gourio, 2018, "Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2018-19, Nov, DOI: 10.21033/wp-2018-19.
• Stefania D'Amico & N. Aaron Pancost, 2018, "Special Repo Rates and the Cross-Section of Bond Prices: the Role of the Special Collateral Risk Premium," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2018-21, Dec, DOI: 10.21033/wp-2018-21.
• Tomas Breach & Thomas B. King, 2018, "Securities Financing and Asset Markets: New Evidence," Working Paper Series, Federal Reserve Bank of Chicago, number WP-2018-22, Nov, DOI: 10.21033/wp-2018-22.
• YiLi Chien & Junsang Lee, 2018, "The Real Term Premium in a Stationary Economy with Segmented Asset Markets," Working Papers, Federal Reserve Bank of St. Louis, number 2018-30, Apr, DOI: 10.20955/wp.2018.030.
• Sewon Hur & Illenin O. Kondo & Fabrizio Perri, 2018, "Real Interest Rates, Inflation, and Default," Staff Report, Federal Reserve Bank of Minneapolis, number 574, Dec, DOI: 10.21034/sr.574.
• V. V. Chari, 2018, "The Role of Uncertainty and Risk in Climate Change Economics," Staff Report, Federal Reserve Bank of Minneapolis, number 576, Dec, DOI: 10.21034/sr.576.
• Fernando Alvarez & Andrew Atkeson, 2018, "The Risk of Becoming Risk Averse: A Model of Asset Pricing and Trade Volumes," Staff Report, Federal Reserve Bank of Minneapolis, number 577, Dec, DOI: 10.21034/sr.577.
• Nina Boyarchenko & Pooja Gupta & Nick Steele & Jacqueline Yen, 2018, "Negative swap spreads," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 1-14.
• Nina Boyarchenko & Pooja Gupta & Nick Steele & Jacqueline Yen, 2018, "Trends in credit basis spreads," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 15-37.
• Michael J. Fleming & Amanda Wahlers, 2018, "Dealer Trading and Positioning in Floating Rate Notes," Liberty Street Economics, Federal Reserve Bank of New York, number 20180326, Mar.
• Anna Kovner & Peter Van Tassel, 2018, "Evaluating regulatory reform: banks’ cost of capital and lending," Staff Reports, Federal Reserve Bank of New York, number 854, Jun.
• Samuel Antill & Asani Sarkar, 2018, "Is size everything?," Staff Reports, Federal Reserve Bank of New York, number 864, Aug.
• Thomas M. Mertens & John C. Williams, 2018, "What to expect from the lower bound on interest rates: evidence from derivatives prices," Staff Reports, Federal Reserve Bank of New York, number 865, Aug.
• Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018, "Global trends in interest rates," Staff Reports, Federal Reserve Bank of New York, number 866, Sep.
• Peter Van Tassel, 2018, "Equity Volatility Term Premia," Staff Reports, Federal Reserve Bank of New York, number 867, Sep.
• Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018, "Flighty liquidity," Staff Reports, Federal Reserve Bank of New York, number 870, Oct.
• Franklin Allen & Itay Goldstein & Julapa Jagtiani, 2018, "The Interplay Among Financial Regulations, Resilience, and Growth," Working Papers, Federal Reserve Bank of Philadelphia, number 18-9, Feb, DOI: 10.21799/frbp.wp.2018.09.
• Gözde YILDIRIM, Zafer ADALI, 2018, "Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
• Mustafa UYSAL, Zafer ADALI, 2018, "Performance Measurement of Pension Investment Funds in Turkey: Comparing Performance of Traditional and Islamic Pension Investment Funds," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 3.
• Giuliano Curatola & Stefano Colonnello & Alessandro Gioffré, 2018, "Pricing Sin Stocks: Ethical Preference vs. Risk Aversion," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2018_05.rdf.
• Abramov Alexander, 2018, "Financial Markets and Financial Institutions in Russia in 2017," Published Papers, Gaidar Institute for Economic Policy, number ppaper-2018-305, revised 2018.
• Mark J. Jensen & John M. Maheu, 2018, "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," JRFM, MDPI, volume 11, issue 3, pages 1-29, September.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018, "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," JRFM, MDPI, volume 11, issue 4, pages 1-25, September.
• Constantino Hevia & Martin Sola, 2018, "Bond Risk Premia and Restrictions on Risk Prices," JRFM, MDPI, volume 11, issue 4, pages 1-22, October.
• Guillaume Horny & Simone Manganelli & Benoit Mojon, 2018, "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," JRFM, MDPI, volume 11, issue 4, pages 1-19, October.
• Ana Sofia Monteiro & Hélder Sebastião & Nuno Silva, 2018, "Predictability of stock returns and dividend growth using dividend yields: An international approach," CeBER Working Papers, Centre for Business and Economics Research (CeBER), University of Coimbra, number 2018-10, Oct.
• Barras, Laurent & Gagliardini, Patrick & Scaillet, Olivier, 2018, "The Cross-Sectional Distribution of Fund Skill Measures," Working Papers, University of Geneva, Geneva School of Economics and Management, number unige:110006.
• Ferikawita M. Sembiring, 2018, "Three-Factor and Five-Factor Models: Implementation of Fama and French Model on Market Overreaction Conditions," GATR Journals, Global Academy of Training and Research (GATR) Enterprise, number jfbr150, Dec.
• Stefano Bosi & Thai Ha-Huy & Cuong Le Van & Cao-Tung Pham & Ngoc-Sang Pham, 2018, "Financial bubbles and capital accumulation in altruistic economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-02878049, Mar, DOI: 10.1016/j.jmateco.2018.01.003.
• Abdelkader Derbali & Lamia Jamel, 2018, "Dependence of default probability and recovery rate in structural credit risk models: Case of Greek banks," Post-Print, HAL, number hal-01695998, DOI: 10.1007/s13132-017-0473-1.
• Refk Selmi & Walid Mensi & Shawkat Hammoudeh & Jamal Bouoiyour, 2018, "Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold," Post-Print, HAL, number hal-01879667, Aug, DOI: 10.1016/j.eneco.2018.07.007.
• Jamal Bouoiyour & Refk Selmi & Mark Wohar, 2018, "Are Islamic Stock Markets Efficient? A Multifractal Detrended Fluctuation Analysis," Post-Print, HAL, number hal-01879668, DOI: 10.1016/j.frl.2017.12.008.
• Zia-Ur-Rehman Rao & Tanveer Ahsan & Muhammad Zubair Tauni & Muhammad Umar, 2018, "Performance and Persistence in Performance of Actively Managed Chinese Equity Funds," Post-Print, HAL, number hal-01959131, Sep, DOI: 10.1007/s40953-017-0104-5.
• Amal Aouadi & Mohamed Arouri & David Roubaud, 2018, "Information demand and stock market liquidity: International evidence," Post-Print, HAL, number hal-02011044, Apr, DOI: 10.1016/j.econmod.2017.11.005.
• François-Éric Racicot & William Rentz & Alfred Kahl & Olivier Mesly, 2018, "Examining the dynamics of illiquidity risks within the phases of the business cycle," Post-Print, HAL, number hal-02014700, Dec, DOI: 10.1016/j.bir.2018.12.001.
• Sangram Keshari Jena & Aviral Kumar Tiwari & David Roubaud & Muhammad Shahbaz, 2018, "Index futures volatility and trading activity: Measuring causality at a multiple horizon," Post-Print, HAL, number hal-02061357, Mar, DOI: 10.1016/j.frl.2017.09.012.
• Mohamed Arouri & Guillaume Pijourlet & Benjamin Williams, 2018, "Unpleasant Arithmetic of Socially Responsible Investment," Post-Print, HAL, number hal-02080105, Jun.
• Vivien Lespagnol & Juliette Rouchier, 2018, "Trading Volume and Price Distortion: An Agent-Based Model with Heterogenous Knowledge of Fundamentals," Post-Print, HAL, number hal-02084910, Apr, DOI: 10.1007/s10614-017-9655-y.
• Douglas J. Cumming & Alexander Groh & Sofia A. Johan, 2018, "Same Rules, Different Enforcement : Market Abuse in Europe," Post-Print, HAL, number hal-02312132, May, DOI: 10.1016/j.intfin.2018.03.006.
• Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018, "“On the (Ab)use of Omega?”," Post-Print, HAL, number hal-02312145, Mar, DOI: 10.1016/j.jempfin.2017.11.007.
• Stefano Bosi & Thai Ha-Huy & Cuong Le Van & Cao-Tung Pham & Ngoc-Sang Pham, 2018, "Financial bubbles and capital accumulation in altruistic economies," Post-Print, HAL, number hal-02878049, Mar, DOI: 10.1016/j.jmateco.2018.01.003.
• Mardi Dungey & Deniz Erdemlioglu & Marius Matei & Xiye Yang, 2018, "Testing for mutually exciting jumps and financial flights in high frequency data," Post-Print, HAL, number hal-02995949, Jan, DOI: 10.1016/j.jeconom.2017.09.002.
• Olivier Bargain & Jean Marie Cardebat & A. Vignolles, 2018, "Crowdfunding in the Wine Industry," Post-Print, HAL, number hal-03173593, Feb, DOI: 10.1017/jwe.2018.3.
• Roman Mestre & Michel Terraza, 2018, "Time-Frequency Analysis of CAPM: Application to the CAC 40," Post-Print, HAL, number hal-03195177, Jun, DOI: 10.26493/1854-6935.16.141-157.
• Massimiliano Caporin & Michele Costola & Gregory Jannin & Bertrand Maillet, 2018, "“On the (Ab)use of Omega ?”," Post-Print, HAL, number hal-03549448, Mar, DOI: 10.1016/j.jempfin.2017.11.007.
• Amine Tarazi & Céline Meslier & I Hasan, 2018, "Does It Pay To Get Connected ? An Examination Of Bank Alliance Network And Bond Spread," Post-Print, HAL, number hal-03560125, Jan.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018, "Ambiguity and the historical equity premium," Post-Print, HAL, number halshs-01886571, Jul, DOI: 10.3982/QE708.
• Khaled Guesmi & Abderrazak Dhaoui & Stéphane Goutte & Ilyes Abid, 2018, "On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting," Post-Print, HAL, number halshs-02148926, Sep, DOI: 10.1016/j.intfin.2018.01.005.
• Stefano Bosi & Thai Ha-Huy & Cuong Le Van & Cao-Tung Pham & Ngoc-Sang Pham, 2018, "Financial bubbles and capital accumulation in altruistic economies," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-02878049, Mar, DOI: 10.1016/j.jmateco.2018.01.003.
• Fabrice Collard & Sujoy Mukerji & Kevin Sheppard & Jean-Marc Tallon, 2018, "Ambiguity and the historical equity premium," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-01886571, Jul, DOI: 10.3982/QE708.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2018, "Monetray policy and asset price bubbles," Sciences Po Economics Publications (main), HAL, number hal-03471562, Nov.
• David Lee, 2018, "Pricing Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment," Working Papers, HAL, number hal-01758922, Apr.
• Hedi Benamar & Thierry Foucault & Clara Vega, 2018, "Demand for Information, Macroeconomic Uncertainty, and the Response of U.S. Treasury Securities to News," Working Papers, HAL, number hal-01933891, Apr, DOI: 10.2139/ssrn.3162292.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2018, "Monetray policy and asset price bubbles," Working Papers, HAL, number hal-03471562, Nov.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2018, "Monetary Policy and Asset Price Bubbles," Working Papers, HAL, number hal-04141787.
• Becker, Janis & Leschinski, Christian, 2018, "Directional Predictability of Daily Stock Returns," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-624, Jan.
• Becker, Janis & Leschinski, Christian, 2018, "Estimating the Volatility of Asset Pricing Factors," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-631, May.
• Becker, Janis & Leschinski, Christian, 2018, "The Bias of Realized Volatility," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, number dp-642, Nov.
• Daniel L. Tortorice & Arben Kita, 2018, "Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries," Working Papers, College of the Holy Cross, Department of Economics, number 1801, Apr.
• Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018, "Stock Market Returns and Consumption," Working Paper Series, Research Institute of Industrial Economics, number 1198, Feb.
• Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018, "Stock Market Returns and Consumption," Working Papers, Lund University, Department of Economics, number 2018:1, Feb.
• Polakova, Aija, 2018, "Name and shame? Evidence from the European Union tax haven blacklist," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2018/18, Dec.
• Gavrilova, Evelina & Polakova, Aija, 2018, "Stairway to (Secrecy) Heaven: Market Attitudes towards Secrecy Shopping," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2018/19, Dec.
• Wulandaria, Febi & Schäfer, Dorothea & Stephan, Andreas & Sun, Chen, 2018, "Liquidity risk and yield spreads of green bonds," Ratio Working Papers, The Ratio Institute, number 305, Jan.
• Souza, Thiago de Oliveira, 2018, "Size-related premiums," Discussion Papers on Economics, University of Southern Denmark, Department of Economics, number 3/2018, Apr.
• Klova, Valeriia & Odegaard, Bernt Arne, 2018, "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance, University of Stavanger, number 2018/4, May, revised 2019.
• Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2018, "Cross-stock market spillovers through variance risk premiums and equity flows," CIS Discussion paper series, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 667, Feb.
• Lee, Kyuseok & Kim, Soo-Hyun, 2018, "Do Leveraged/Inverse Etfs Wag The Underlying Market? : Evidence From The Korean Stock Market," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 59, issue 2, pages 83-94, December, DOI: 10.15057/29713.
• Esther Eiling & Raymond Kan & Ali Sharifkhani, 2018, "Sectoral Labor Reallocation and Return Predictability," Working Papers, Human Capital and Economic Opportunity Working Group, number 2018-006.
• Cheedradevi Narayanasamy & Izani Ibrahim & Yeoh Ken Kyid, 2018, "Individual Investors Participation And Divergence Of Opinion In New Issue Markets: Evidence From Malaysia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 12, issue 1, pages 1-22.
• Chun-An Li & Min-Ching Lee & Ju-Hua Liu, 2018, "Label Co-Movement: Component Stock Inclusion And Exclusion Between Different Exchange-Traded Funds," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 12, issue 1, pages 39-56.
• Eric C. Lin, 2018, "The Effect Of Dow Jones Industrial Average Index Component Changes On Stock Returns And Trading Volumes," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 12, issue 1, pages 81-92.
• Lan Liu, 2018, "Seasonal Variations In Two-Year Treasury Note Yields," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 12, issue 2, pages 27-37.
• Jin-Gil Jeong & Sandip Mukherji, 2018, "Flexible Optimal Models For Predicting Stock Market Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 12, issue 2, pages 39-48.
• Chun-An Li & Min-Ching Lee & Chin-Sheng Huang, 2018, "Taiwan And U.S. Equity Market Interdependence And Contagion: Evidence From Four-Factor Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 12, issue 2, pages 95-115.
• Abraham Sanchez Gil & Omar Ernesto Teran Varela, 2018, "Criptomonedas, As A Business Opportunity For Microenterprise Of The Tourism Sector In The South East Zone Of The State Of Mexico, Criptomonedas, Como Oportunidad De Negocio De Microempresas Del Sector," Revista Global de Negocios, The Institute for Business and Finance Research, volume 6, issue 1, pages 93-104.
• Samih Antoine Azar, 2018, "Forward Unbiasedness in the Short End of the Interest Rate Market," International Business Research, Canadian Center of Science and Education, volume 11, issue 2, pages 70-78, February.
• Fuertes, Alberto & Gimeno, Ricardo & Marqués, José Manuel, 2018, "Extraction of Inflation Expectations from Financial Instruments," IDB Publications (Working Papers), Inter-American Development Bank, number 8941, Jun, DOI: http://dx.doi.org/10.18235/0001161.
• Solikin M. Juhro & Dinh Hoang Bach Phan, 2018, "Can Economic Policy Uncertainty Predict Exchange Rate And Its Volatility? Evidence From Asean Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, volume 21, issue 2, pages 251-268, October, DOI: https://doi.org/10.21098/bemp.v21i2.
• Zaafri A. Husodo & M. Budi Prasetyo & Rizky Luxianto & Theresia Silitonga & Januar Hafidz & M. Harris Muhajir & Inna Firindra, 2018, "Mispricing And Risk Taking In The Indonesian Stock Market," Working Papers, Bank Indonesia, number WP/28/2018.
• Chamil W. Senarathne & Wei Jianguo, 2018, "The Stochastic Implications of Permanent Income Hypothesis for US Speculative Traders: Implications for Consumption-Based Asset Pricing," Croatian Economic Survey, The Institute of Economics, Zagreb, volume 20, issue 2, pages 5-32, December.
• Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018, "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 627.
• Olivier J Blanchard & Christopher G. Collins & Mohammad R. Jahan-Parvar & Thomas Pellet & Beth Anne Wilson, 2018, "Why Has the Stock Market Risen So Much Since the US Presidential Election?," Policy Briefs, Peterson Institute for International Economics, number PB18-4, Feb.
• Jeromin Zettelmeyer & Christoph Trebesch, 2018, "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," Working Paper Series, Peterson Institute for International Economics, number WP18-1, Jan.
• Jeromin Zettelmeyer & Álvaro Leandro, 2018, "The Search for a Euro Area Safe Asset," Working Paper Series, Peterson Institute for International Economics, number WP18-3, Mar.
• Vaneesha Boney & Christos Giannikos & Hany Guirguis, 2018, "Pricing Dynamics between Single Stock Futures and the Underlying Spot Security," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 17, issue 2, pages 179-191, September.
• Mirko Abbritti & Salvatore Dell’Erba & Antonio Moreno & Sergio Sola, 2018, "Global Factors in the Term Structure of Interest Rates," International Journal of Central Banking, International Journal of Central Banking, volume 14, issue 2, pages 301-340, March.
• Athanasios Orphanides, 2018, "Independent Central Banks and the Interplay between Monetary and Fiscal Policy," International Journal of Central Banking, International Journal of Central Banking, volume 14, issue 3, pages 447-470, June.
• Koichiro Kamada & Tetsuo Kurosaki & Ko Miura & Tetsuya Yamada, 2018, "Central Bank Policy Announcements and Changes in Trading Behavior: Evidence from Bond Futures High Frequency Price Data," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 18-E-02, Mar.
• Masayuki Kazato & Tetsuya Yamada, 2018, "The Implied Bail-in Probability in the Contingent Convertible Securities Market," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 18-E-03, May.
• Kenji Suganuma & Yoichi Ueno, 2018, "The Effects of the Bank of Japan's Corporate and Government Bond Purchases on Credit Spreads," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 18-E-04, Jun.
• Loriana Pelizzon & Marti G. Subrahmanyam & Reiko Tobe & Jun Uno, 2018, "Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 18-E-14, Sep.
• Mr. Divya Kirti, 2018, "Lending Standards and Output Growth," IMF Working Papers, International Monetary Fund, number 2018/023, Jan.
• Nidhaleddine Ben Cheikh & Sami Ben Naceur & Mr. Oussama Kanaan & Christophe Rault, 2018, "Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models," IMF Working Papers, International Monetary Fund, number 2018/098, May.
• Mr. Anil Ari & Giancarlo Corsetti & Luca Dedola, 2018, "Debt Seniority and Sovereign Debt Crises," IMF Working Papers, International Monetary Fund, number 2018/104, May.
• Samuel P. Fraiberger & Dongyeol Lee & Mr. Damien Puy & Mr. Romain Ranciere, 2018, "Media Sentiment and International Asset Prices," IMF Working Papers, International Monetary Fund, number 2018/274, Dec.
• Fernando Cruz-Aranda & Claudia Estrella Castillo Ramírez & Citlalli Pérez Flores, 2018, "Financiamiento del sistema de pensiones mexicano por medio de bonos de longevidad," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 13, issue 3, pages 387-417, Julio-Sep.
• David Hirshleifer & Ming Jian & Huai Zhang, 2018, "Superstition and Financial Decision Making," Management Science, INFORMS, volume 64, issue 1, pages 235-252, January, DOI: 10.1287/mnsc.2016.2584.
• Ahmet Sensoy & Duc Khuong Nguyen & Erk Hacihasanoglu & Ahmed Rostom, 2018, "Dynamic Integration and Network Structure of the EMU Sovereign Bond Markets," Working Papers, Department of Research, Ipag Business School, number 2018-009, Jan.
• Jorge M. Uribe, 2018, "“Scaling Down Downside Risk with Inter-Quantile Semivariances”," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201826, Oct, revised Oct 2018.
• Tomomi Miyazaki & Kazuki Hiraga & Masafumi Kozuka, 2018, "Stock Market Response to Public Investment under the Zero Lower Bound: Cross-industry Evidence from Japan," Working Papers, University of California-Irvine, Department of Economics, number 171806, Apr.
• Margarida Abreu & Victor Mendes, 2018, "Do Individual Investors Trade Differently in Different Markets?," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2018/01, Jan.
• Margarida Abreu & Victor Mendes, 2018, "Do Individual Investors Trade Differently in Different Markets?," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2018/26, Feb.
• Maria Teresa Medeiros Garcia & Vítor Hugo Ferreira Carvalho, 2018, "A static approach to the Nelson-Siegel-Svensson model: an application for several negative yield cases," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2018/35, Mar.
• Francisco Buera & Sudipto Karmakar, 2018, "Real Effects of Financial Distress: The Role of Heterogeneity," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2018/36, Apr.
• Di Maggio, Marco & Kermani, Amir & Majlesi, Kaveh, 2018, "Stock Market Returns and Consumption," IZA Discussion Papers, Institute of Labor Economics (IZA), number 11357, Feb.
• Butler, David & Cheung, Stephen L., 2018, "Mind, Body, Bubble! Psychological and Biophysical Dimensions of Behavior in Experimental Asset Markets," IZA Discussion Papers, Institute of Labor Economics (IZA), number 11563, May.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena, 2018, "The term structure of cross-sectional dispersion of expectations in a Learning-to-Forecast Experiment," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2018/02.
• Pramod Kumar Naik & Rangan Gupta & Puja Padhi, 2018, "The Relationship Between Stock Market Volatility And Trading Volume: Evidence From South Africa," Journal of Developing Areas, Tennessee State University, College of Business, volume 52, issue 1, pages 99-114, January-M.
• Wasim K. Al-Shattarat & Basiem K. Al-Shattarat, 2018, "Charateristics of Stocks That Frequentley Hit Price Limits Empirical Evidence from Japan," Journal of Developing Areas, Tennessee State University, College of Business, volume 52, issue 3, pages 97-108, July-Sept.
• William A. Barnett & Qing Han & Jianbo Zhang, 2018, "Monetary Services Aggregation under Uncertainty: A Behavioral Economics Extension Using Choquet Expectation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS, University of Kansas, Department of Economics, number 201806, Aug, revised Aug 2018.
• José Fajardo, 2018, "Barrier style contracts under Lévy processes once again," Annals of Finance, Springer, volume 14, issue 1, pages 93-103, February, DOI: 10.1007/s10436-017-0303-2.
• Dilip B. Madan, 2018, "Financial equilibrium with non-linear valuations," Annals of Finance, Springer, volume 14, issue 2, pages 211-221, May, DOI: 10.1007/s10436-017-0312-1.