Research classified by Journal of Economic Literature (JEL) codes

2018

• George, Thomas J. & Hwang, Chuan-Yang & Li, Yuan, 2018, "The 52-week high, q-theory, and the cross section of stock returns," Journal of Financial Economics, Elsevier, volume 128, issue 1, pages 148-163, DOI: 10.1016/j.jfineco.2018.01.005.
• Huang, Jiekun, 2018, "The customer knows best: The investment value of consumer opinions," Journal of Financial Economics, Elsevier, volume 128, issue 1, pages 164-182, DOI: 10.1016/j.jfineco.2018.02.001.
• Li, Xindan & Subrahmanyam, Avanidhar & Yang, Xuewei, 2018, "Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market," Journal of Financial Economics, Elsevier, volume 128, issue 1, pages 38-65, DOI: 10.1016/j.jfineco.2018.01.010.
• Tian, Mary, 2018, "Tradability of output, business cycles and asset prices," Journal of Financial Economics, Elsevier, volume 128, issue 1, pages 86-102, DOI: 10.1016/j.jfineco.2017.02.003.
• Campbell, John Y. & Giglio, Stefano & Polk, Christopher & Turley, Robert, 2018, "An intertemporal CAPM with stochastic volatility," Journal of Financial Economics, Elsevier, volume 128, issue 2, pages 207-233, DOI: 10.1016/j.jfineco.2018.02.011.
• Fama, Eugene F. & French, Kenneth R., 2018, "Choosing factors," Journal of Financial Economics, Elsevier, volume 128, issue 2, pages 234-252, DOI: 10.1016/j.jfineco.2018.02.012.
• Joslin, Scott & Konchitchki, Yaniv, 2018, "Interest rate volatility, the yield curve, and the macroeconomy," Journal of Financial Economics, Elsevier, volume 128, issue 2, pages 344-362, DOI: 10.1016/j.jfineco.2017.12.004.
• Weber, Michael, 2018, "Cash flow duration and the term structure of equity returns," Journal of Financial Economics, Elsevier, volume 128, issue 3, pages 486-503, DOI: 10.1016/j.jfineco.2018.03.003.
• Backus, David & Boyarchenko, Nina & Chernov, Mikhail, 2018, "Term structures of asset prices and returns," Journal of Financial Economics, Elsevier, volume 129, issue 1, pages 1-23, DOI: 10.1016/j.jfineco.2018.04.005.
• Frank, Murray Z. & Sanati, Ali, 2018, "How does the stock market absorb shocks?," Journal of Financial Economics, Elsevier, volume 129, issue 1, pages 136-153, DOI: 10.1016/j.jfineco.2018.04.002.
• Azizpour, S & Giesecke, K. & Schwenkler, G., 2018, "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, volume 129, issue 1, pages 154-183, DOI: 10.1016/j.jfineco.2018.04.008.
• Farago, Adam & Tédongap, Roméo, 2018, "Downside risks and the cross-section of asset returns," Journal of Financial Economics, Elsevier, volume 129, issue 1, pages 69-86, DOI: 10.1016/j.jfineco.2018.03.010.
• Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2018, "Extrapolation and bubbles," Journal of Financial Economics, Elsevier, volume 129, issue 2, pages 203-227, DOI: 10.1016/j.jfineco.2018.04.007.
• Timmer, Yannick, 2018, "Cyclical investment behavior across financial institutions," Journal of Financial Economics, Elsevier, volume 129, issue 2, pages 268-286, DOI: 10.1016/j.jfineco.2018.04.012.
• Malamud, Semyon & Vilkov, Grigory, 2018, "Non-myopic betas," Journal of Financial Economics, Elsevier, volume 129, issue 2, pages 357-381, DOI: 10.1016/j.jfineco.2018.05.004.
• Landoni, Mattia, 2018, "Tax distortions and bond issue pricing," Journal of Financial Economics, Elsevier, volume 129, issue 2, pages 382-393, DOI: 10.1016/j.jfineco.2018.05.005.
• Barinov, Alexander, 2018, "Stocks with extreme past returns: Lotteries or insurance?," Journal of Financial Economics, Elsevier, volume 129, issue 3, pages 458-478, DOI: 10.1016/j.jfineco.2018.06.007.
• Asness, Clifford & Frazzini, Andrea & Israel, Ronen & Moskowitz, Tobias J. & Pedersen, Lasse H., 2018, "Size matters, if you control your junk," Journal of Financial Economics, Elsevier, volume 129, issue 3, pages 479-509, DOI: 10.1016/j.jfineco.2018.05.006.
• Kallunki, Jenni & Kallunki, Juha-Pekka & Nilsson, Henrik & Puhakka, Mikko, 2018, "Do an insider's wealth and income matter in the decision to engage in insider trading?," Journal of Financial Economics, Elsevier, volume 130, issue 1, pages 135-165, DOI: 10.1016/j.jfineco.2018.06.005.
• Birru, Justin, 2018, "Day of the week and the cross-section of returns," Journal of Financial Economics, Elsevier, volume 130, issue 1, pages 182-214, DOI: 10.1016/j.jfineco.2018.06.008.
• Wagner, Alexander F. & Zeckhauser, Richard J. & Ziegler, Alexandre, 2018, "Company stock price reactions to the 2016 election shock: Trump, taxes, and trade," Journal of Financial Economics, Elsevier, volume 130, issue 2, pages 428-451, DOI: 10.1016/j.jfineco.2018.06.013.
• Brenner, Menachem & Izhakian, Yehuda, 2018, "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, volume 130, issue 3, pages 503-531, DOI: 10.1016/j.jfineco.2018.07.007.
• Badarinza, Cristian & Ramadorai, Tarun, 2018, "Home away from home? Foreign demand and London house prices," Journal of Financial Economics, Elsevier, volume 130, issue 3, pages 532-555, DOI: 10.1016/j.jfineco.2018.07.010.
• Goetzmann, William N. & Huang, Simon, 2018, "Momentum in Imperial Russia," Journal of Financial Economics, Elsevier, volume 130, issue 3, pages 579-591, DOI: 10.1016/j.jfineco.2018.07.008.
• Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2018, "Investment, Tobin’s q, and interest rates," Journal of Financial Economics, Elsevier, volume 130, issue 3, pages 620-640, DOI: 10.1016/j.jfineco.2017.05.013.
• Deng, Yongheng & Liu, Xin & Wei, Shang-Jin, 2018, "One fundamental and two taxes: When does a Tobin tax reduce financial price volatility?," Journal of Financial Economics, Elsevier, volume 130, issue 3, pages 663-692, DOI: 10.1016/j.jfineco.2018.04.009.
• Gomez-Gonzalez, Jose Eduardo & Sanin-Restrepo, Sebastian, 2018, "The maple bubble: A history of migration among Canadian provinces," Journal of Housing Economics, Elsevier, volume 41, issue C, pages 57-71, DOI: 10.1016/j.jhe.2018.03.001.
• Lyons, Ronan C., 2018, "Credit conditions and the housing price ratio: Evidence from Ireland’s boom and bust," Journal of Housing Economics, Elsevier, volume 42, issue C, pages 84-96, DOI: 10.1016/j.jhe.2018.05.002.
• Ito, Takatoshi & Yamada, Masahiro, 2018, "Did the reform fix the London fix problem?," Journal of International Money and Finance, Elsevier, volume 80, issue C, pages 75-95, DOI: 10.1016/j.jimonfin.2017.10.004.
• Fuhrer, Lucas Marc, 2018, "Liquidity in the repo market," Journal of International Money and Finance, Elsevier, volume 84, issue C, pages 1-22, DOI: 10.1016/j.jimonfin.2018.02.005.
• Choi, Paul Moon Sub & Choi, Joung Hwa, 2018, "Is individual trading priced in stocks?," Journal of International Money and Finance, Elsevier, volume 85, issue C, pages 76-92, DOI: 10.1016/j.jimonfin.2018.03.004.
• Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018, "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, volume 86, issue C, pages 1-30, DOI: 10.1016/j.jimonfin.2018.04.005.
• de Groot, Wilma & Huij, Joop, 2018, "Are the Fama-French factors really compensation for distress risk?," Journal of International Money and Finance, Elsevier, volume 86, issue C, pages 50-69, DOI: 10.1016/j.jimonfin.2018.03.002.
• Berg, Kimberly A. & Mark, Nelson C., 2018, "Measures of global uncertainty and carry-trade excess returns," Journal of International Money and Finance, Elsevier, volume 88, issue C, pages 212-227, DOI: 10.1016/j.jimonfin.2017.07.010.
• Binner, Jane M. & Chaudhry, Sajid & Kelly, Logan & Swofford, James L., 2018, "“Risky” monetary aggregates for the UK and US," Journal of International Money and Finance, Elsevier, volume 89, issue C, pages 127-138, DOI: 10.1016/j.jimonfin.2018.08.015.
• Chuliá, Helena & Fernández, Julián & Uribe, Jorge M., 2018, "Currency downside risk, liquidity, and financial stability," Journal of International Money and Finance, Elsevier, volume 89, issue C, pages 83-102, DOI: 10.1016/j.jimonfin.2018.09.009.
• Hu, Yang & Oxley, Les, 2018, "Bubble contagion: Evidence from Japan’s asset price bubble of the 1980-90s," Journal of the Japanese and International Economies, Elsevier, volume 50, issue C, pages 89-95, DOI: 10.1016/j.jjie.2018.09.002.
• Fausch, Jürg & Sigonius, Markus, 2018, "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, volume 55, issue C, pages 46-63, DOI: 10.1016/j.jmacro.2017.09.001.
• Griffin, Paul A. & Lont, David H., 2018, "Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers’ equity and credit markets," Journal of Contemporary Accounting and Economics, Elsevier, volume 14, issue 2, pages 179-196, DOI: 10.1016/j.jcae.2018.05.004.
• Main, Scott & Irwin, Scott H. & Sanders, Dwight R. & Smith, Aaron, 2018, "Financialization and the returns to commodity investments," Journal of Commodity Markets, Elsevier, volume 10, issue C, pages 22-28, DOI: 10.1016/j.jcomm.2018.05.004.
• Haase, Marco & Huss, Matthias, 2018, "Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures," Journal of Commodity Markets, Elsevier, volume 10, issue C, pages 29-46, DOI: 10.1016/j.jcomm.2017.10.001.
• Misund, Bård, 2018, "Common and fundamental risk factors in shareholder returns of Norwegian salmon producing companies," Journal of Commodity Markets, Elsevier, volume 12, issue C, pages 19-30, DOI: 10.1016/j.jcomm.2017.12.007.
• Stöckl, Thomas & Palan, Stefan, 2018, "Catch me if you can. Can human observers identify insiders in asset markets?," Journal of Economic Psychology, Elsevier, volume 67, issue C, pages 1-17, DOI: 10.1016/j.joep.2018.04.004.
• Wagner, Rodrigo, 2018, "Can the market value state-owned enterprises without privatizing them? An application to natural resources companies," Resources Policy, Elsevier, volume 59, issue C, pages 282-290, DOI: 10.1016/j.resourpol.2018.07.015.
• Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018, "Financial bubbles and capital accumulation in altruistic economies," Journal of Mathematical Economics, Elsevier, volume 75, issue C, pages 125-139, DOI: 10.1016/j.jmateco.2018.01.003.
• Choi, Jaewon & Kim, Yongjun, 2018, "Anomalies and market (dis)integration," Journal of Monetary Economics, Elsevier, volume 100, issue C, pages 16-34, DOI: 10.1016/j.jmoneco.2018.06.003.
• Augustin, Patrick, 2018, "The term structure of CDS spreads and sovereign credit risk," Journal of Monetary Economics, Elsevier, volume 96, issue C, pages 53-76, DOI: 10.1016/j.jmoneco.2018.04.001.
• Hasler, Michael & Ornthanalai, Chayawat, 2018, "Fluctuating attention and financial contagion," Journal of Monetary Economics, Elsevier, volume 99, issue C, pages 106-123, DOI: 10.1016/j.jmoneco.2018.07.002.
• Ghadhab, Imen, 2018, "Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks," Journal of Multinational Financial Management, Elsevier, volume 46, issue C, pages 1-10, DOI: 10.1016/j.mulfin.2018.07.002.
• Qian, Meifen & Sun, Ping-Wen & Yu, Bin, 2018, "Top managerial power and stock price efficiency: Evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 47, issue C, pages 20-38, DOI: 10.1016/j.pacfin.2017.11.004.
• Alhashel, Bader S. & Almudhaf, Fahad W. & Hansz, J. Andrew, 2018, "Can technical analysis generate superior returns in securitized property markets? Evidence from East Asia markets," Pacific-Basin Finance Journal, Elsevier, volume 47, issue C, pages 92-108, DOI: 10.1016/j.pacfin.2017.12.005.
• Zhong, Angel & Chai, Daniel & Li, Bob & Chiah, Mardy, 2018, "Volume shocks and stock returns: An alternative test," Pacific-Basin Finance Journal, Elsevier, volume 48, issue C, pages 1-16, DOI: 10.1016/j.pacfin.2018.01.001.
• Chung, San-Lin & Liu, Wenchien & Liu, Wen-Rang & Tseng, Kevin, 2018, "Investor network: Implications for information diffusion and asset prices," Pacific-Basin Finance Journal, Elsevier, volume 48, issue C, pages 186-209, DOI: 10.1016/j.pacfin.2018.02.004.
• Yang, Nien-Tzu & Chu, Hsiang-Hui & Ko, Kuan-Cheng & Lee, Shiou-Wen, 2018, "Continuing overreaction and momentum in a market with price limits," Pacific-Basin Finance Journal, Elsevier, volume 48, issue C, pages 56-71, DOI: 10.1016/j.pacfin.2018.01.005.
• Li, Xiao & Shen, Dehua & Zhang, Wei, 2018, "Do Chinese internet stock message boards convey firm-specific information?," Pacific-Basin Finance Journal, Elsevier, volume 49, issue C, pages 1-14, DOI: 10.1016/j.pacfin.2018.03.003.
• Huang, Tzu-Lun, 2018, "The puzzling media effect in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, volume 49, issue C, pages 129-146, DOI: 10.1016/j.pacfin.2018.04.005.
• Ma, Rui & Anderson, Hamish D. & Marshall, Ben R., 2018, "Market volatility, liquidity shocks, and stock returns: Worldwide evidence," Pacific-Basin Finance Journal, Elsevier, volume 49, issue C, pages 164-199, DOI: 10.1016/j.pacfin.2018.04.008.
• Pan, Zheyao & Chan, Kam Fong, 2018, "A new government bond volatility index predictor for the U.S. equity premium," Pacific-Basin Finance Journal, Elsevier, volume 50, issue C, pages 200-215, DOI: 10.1016/j.pacfin.2016.12.007.
• Nadarajah, Sivathaasan & Ali, Searat & Liu, Benjamin & Huang, Allen, 2018, "Stock liquidity, corporate governance and leverage: New panel evidence," Pacific-Basin Finance Journal, Elsevier, volume 50, issue C, pages 216-234, DOI: 10.1016/j.pacfin.2016.11.004.
• Docherty, Paul & Easton, Steve, 2018, "State-varying illiquidity risk in sovereign bond spreads," Pacific-Basin Finance Journal, Elsevier, volume 50, issue C, pages 235-248, DOI: 10.1016/j.pacfin.2016.11.003.
• Gordon, Narelle & Wu, Qiongbing, 2018, "The high-volume return premium and changes in investor recognition," Pacific-Basin Finance Journal, Elsevier, volume 51, issue C, pages 121-136, DOI: 10.1016/j.pacfin.2018.06.006.
• Casavecchia, Lorenzo & Loudon, Geoffrey F. & Wu, Eliza, 2018, "What moves benchmark money market rates? Evidence from the BBSW market," Pacific-Basin Finance Journal, Elsevier, volume 51, issue C, pages 137-154, DOI: 10.1016/j.pacfin.2018.06.005.
• Cheon, Yong-Ho & Lee, Kuan-Hui, 2018, "Time variation of MAX-premium with market volatility: Evidence from Korean stock market," Pacific-Basin Finance Journal, Elsevier, volume 51, issue C, pages 32-46, DOI: 10.1016/j.pacfin.2018.05.007.
• Karabiyik, Hande & Narayan, Paresh Kumar & Phan, Dinh Hoang Bach & Westerlund, Joakim, 2018, "Islamic spot and index futures markets: Where is the price discovery?," Pacific-Basin Finance Journal, Elsevier, volume 52, issue C, pages 123-133, DOI: 10.1016/j.pacfin.2017.04.003.
• MengYun, Wu & Imran, Muhammad & Zakaria, Muhammad & Linrong, Zhang & Farooq, Muhammad Umer & Muhammad, Shah Khalid, 2018, "Impact of terrorism and political instability on equity premium: Evidence from Pakistan," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 492, issue C, pages 1753-1762, DOI: 10.1016/j.physa.2017.11.095.
• Su, Zhi & Fang, Tong & Yin, Libo, 2018, "Does NVIX matter for market volatility? Evidence from Asia-Pacific markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 492, issue C, pages 506-516, DOI: 10.1016/j.physa.2017.10.025.
• Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2018, "Testing CEV stochastic volatility models using implied volatility index data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 499, issue C, pages 224-232, DOI: 10.1016/j.physa.2018.02.001.
• Charfeddine, Lanouar & Khediri, Karim Ben & Aye, Goodness C. & Gupta, Rangan, 2018, "Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 505, issue C, pages 632-647, DOI: 10.1016/j.physa.2018.04.004.
• Kirkulak-Uludag, Berna & Safarzadeh, Omid, 2018, "The interactions between OPEC oil price and sectoral stock returns: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 508, issue C, pages 631-641, DOI: 10.1016/j.physa.2018.02.185.
• Lehrer, Nimrod David, 2018, "The value of political connections in a multiparty parliamentary democracy: Evidence from the 2015 elections in Israel," European Journal of Political Economy, Elsevier, volume 53, issue C, pages 13-58, DOI: 10.1016/j.ejpoleco.2017.07.001.
• Li, Hong, 2018, "Residual state ownership and stock market integration: Evidence from Chinese partly-privatised firms," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 100-112, DOI: 10.1016/j.qref.2017.05.004.
• Wasiuzzaman, Shaista, 2018, "Seasonality in the Saudi stock market: The Hajj effect," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 273-281, DOI: 10.1016/j.qref.2017.07.007.
• Ben Sita, Bernard, 2018, "Estimating the beta-return relationship by considering the sign and the magnitude of daily returns," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 28-35, DOI: 10.1016/j.qref.2017.04.010.
• Zheng, Yao & Osmer, Eric & Zheng, Liancun, 2018, "The relative pricing of cross-listed securities: The case of Chinese A- and H-share," The Quarterly Review of Economics and Finance, Elsevier, volume 67, issue C, pages 297-310, DOI: 10.1016/j.qref.2017.07.010.
• Ichkitidze, Yuri, 2018, "Temporary price trends in the stock market with rational agents," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 103-117, DOI: 10.1016/j.qref.2017.11.014.
• Corbet, Shaen & Gurdgiev, Constantin & Meegan, Andrew, 2018, "Long-term stock market volatility and the influence of terrorist attacks in Europe," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 118-131, DOI: 10.1016/j.qref.2017.11.012.
• Staer, Arsenio & Sottile, Pedro, 2018, "Equivalent volume and comovement," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 143-157, DOI: 10.1016/j.qref.2017.11.001.
• Markellos, Raphael N. & Psychoyios, Dimitris, 2018, "Interest rate volatility and risk management: Evidence from CBOE Treasury options," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 190-202, DOI: 10.1016/j.qref.2017.08.005.
• Fang, Sheng & Egan, Paul, 2018, "Measuring contagion effects between crude oil and Chinese stock market sectors," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 31-38, DOI: 10.1016/j.qref.2017.11.010.
• Mishra, Ajay Kumar & Tripathy, Trilochan, 2018, "Price and trade size clustering: Evidence from the national stock exchange of India," The Quarterly Review of Economics and Finance, Elsevier, volume 68, issue C, pages 63-72, DOI: 10.1016/j.qref.2017.11.006.
• You, Leyuan & Payne, Janet D. & Lin, Steve Wen-Jen, 2018, "Do multiple foreign listings create value for firms?," The Quarterly Review of Economics and Finance, Elsevier, volume 69, issue C, pages 134-143, DOI: 10.1016/j.qref.2017.12.006.
• Lengua Lafosse, Patricia & Rodríguez, Gabriel, 2018, "An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns," The Quarterly Review of Economics and Finance, Elsevier, volume 69, issue C, pages 155-173, DOI: 10.1016/j.qref.2018.01.002.
• Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018, "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, volume 69, issue C, pages 217-231, DOI: 10.1016/j.qref.2018.03.005.
• Raza, Hamid & Wu, Weiou, 2018, "Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, volume 69, issue C, pages 286-296, DOI: 10.1016/j.qref.2018.03.009.
• Lawrenz, Jochen & Zorn, Josef, 2018, "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, volume 70, issue C, pages 137-149, DOI: 10.1016/j.qref.2018.04.012.
• Hayashi, Fumio, 2018, "Computing equilibrium bond prices in the Vayanos-Vila model," Research in Economics, Elsevier, volume 72, issue 2, pages 181-195, DOI: 10.1016/j.rie.2018.04.003.
• Basse Mama, Houdou, 2018, "Nonlinear capital market payoffs to science-led innovation," Research Policy, Elsevier, volume 47, issue 6, pages 1084-1095, DOI: 10.1016/j.respol.2018.03.013.
• Wan, Xiaoyuan, 2018, "Is the idiosyncratic volatility anomaly driven by the MAX or MIN effect? Evidence from the Chinese stock market," International Review of Economics & Finance, Elsevier, volume 53, issue C, pages 1-15, DOI: 10.1016/j.iref.2017.10.015.
• Malagon, Juliana & Moreno, David & Rodríguez, Rosa, 2018, "Idiosyncratic volatility, conditional liquidity and stock returns," International Review of Economics & Finance, Elsevier, volume 53, issue C, pages 118-132, DOI: 10.1016/j.iref.2017.10.011.
• Sowmya, Subramaniam & Prasanna, Krishna, 2018, "Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets," International Review of Economics & Finance, Elsevier, volume 54, issue C, pages 178-192, DOI: 10.1016/j.iref.2017.08.006.
• Wang, Jai-Jen & Lee, Jin-Ping & Zhao, Yang, 2018, "Pair-trading profitability and short-selling restriction: Evidence from the Taiwan stock market," International Review of Economics & Finance, Elsevier, volume 55, issue C, pages 173-184, DOI: 10.1016/j.iref.2017.07.021.
• Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2018, "Benchmarking liquidity proxies: The case of EU sovereign bonds," International Review of Economics & Finance, Elsevier, volume 56, issue C, pages 321-329, DOI: 10.1016/j.iref.2017.11.002.
• Dimic, Nebojsa & Neudl, Manfred & Orlov, Vitaly & Äijö, Janne, 2018, "Investor sentiment, soccer games and stock returns," Research in International Business and Finance, Elsevier, volume 43, issue C, pages 90-98, DOI: 10.1016/j.ribaf.2017.07.134.
• Zhu, Yanhui & Fan, Jingwen & Tucker, Jon, 2018, "The impact of monetary policy on gold price dynamics," Research in International Business and Finance, Elsevier, volume 44, issue C, pages 319-331, DOI: 10.1016/j.ribaf.2017.07.100.
• Economou, Fotini & Panagopoulos, Yannis & Tsouma, Ekaterini, 2018, "Uncovering asymmetries in the relationship between fear and the stock market using a hidden co-integration approach," Research in International Business and Finance, Elsevier, volume 44, issue C, pages 459-470, DOI: 10.1016/j.ribaf.2017.07.116.
• Dinh, Minh Thi Hong, 2018, "The relationship between volume imbalance and spread," Research in International Business and Finance, Elsevier, volume 44, issue C, pages 76-87, DOI: 10.1016/j.ribaf.2017.03.003.
• Karaa, Rabaa & Slim, Skander & Hmaied, Dorra Mezzez, 2018, "Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange," Research in International Business and Finance, Elsevier, volume 44, issue C, pages 88-99, DOI: 10.1016/j.ribaf.2017.01.010.
• Azad, A.S.M. Sohel & Chazi, Abdelaziz & Cooper, Peter & Ahsan, Amirul, 2018, "What determines the Japanese corporate credit spread? A new evidence," Research in International Business and Finance, Elsevier, volume 45, issue C, pages 349-356, DOI: 10.1016/j.ribaf.2017.07.168.
• Tony-Okeke, Uchenna & Ahmadu-Bello, Jaliyyah & Niklewski, Jacek & Rodgers, Timothy, 2018, "Financial contagion and capital asset pricing in Africa: The impact of the 2007–09 and Euro-Zone crises on natural resources sector Beta in African emerging markets," Research in International Business and Finance, Elsevier, volume 45, issue C, pages 54-61, DOI: 10.1016/j.ribaf.2017.07.131.
• Boubaker, Sabri & Hamza, Taher & Vidal-García, Javier, 2018, "Financial distress and equity returns: A leverage-augmented three-factor model," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 1-15, DOI: 10.1016/j.ribaf.2016.09.003.
• Zaremba, Adam & Shemer, Jacob, 2018, "Is there momentum in factor premia? Evidence from international equity markets," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 120-130, DOI: 10.1016/j.ribaf.2017.12.002.
• Fan, Minyou & Li, Youwei & Liu, Jiadong, 2018, "Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 131-140, DOI: 10.1016/j.ribaf.2017.12.004.
• Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018, "Persistence in the cryptocurrency market," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 141-148, DOI: 10.1016/j.ribaf.2018.01.002.
• Wang, Wenzhao, 2018, "Investor sentiment and the mean-variance relationship: European evidence," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 227-239, DOI: 10.1016/j.ribaf.2018.02.006.
• Jitmaneeroj, Boonlert, 2018, "Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 324-341, DOI: 10.1016/j.ribaf.2018.04.006.
• Fassas, Athanasios P. & Papadamou, Stephanos, 2018, "Variance risk premium and equity returns," Research in International Business and Finance, Elsevier, volume 46, issue C, pages 462-470, DOI: 10.1016/j.ribaf.2018.06.003.
• Gavriilidis, Konstantinos & Kambouroudis, Dimos S. & Tsakou, Katerina & Tsouknidis, Dimitris A., 2018, "Volatility forecasting across tanker freight rates: The role of oil price shocks," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 118, issue C, pages 376-391, DOI: 10.1016/j.tre.2018.08.012.
• Anthony Remy, 2018, "Stochastic Differential Equations with Brownian Motion," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 61, issue 1, pages 62-95.
• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2018, "The Price of BitCoin: GARCH Evidence from High Frequency Data," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2018/14, Dec.
• Martin T. Bohl & Pierre L. Siklos & Claudia Wellenreuther, 2018, "Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-06, Jan.
• Gunda-Alexandra Detmers & Özer Karagedikli & Richhild Moessner, 2018, "Quantitative or Qualitative Forward Guidance: Does It Matter?," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2018-36, Aug.
• Makarov, Igor & Schoar, Antoinette, 2018, "Trading and Arbitrage in Cryptocurrency Markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118909, Dec.
• Cho, Thummim, 2018, "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118915, Nov.
• Basak, Suleyman & Chabakauri, Georgy & Yavuz, M., 2018, "Investor protection and asset prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118917, Oct.
• Lleo, Sebastien & Ziemba, William, 2018, "A tale of two indexes: predicting equity market downturns in China," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118923, Sep.
• Choi, Darwin & Lou, Dong & Mukherjee, Abhiroop, 2018, "The effect of superstar firms on college major choice," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118941, Apr.
• Bahar, Dany & Molina, Carlos A. & Santos, Miguel Angel, 2018, "Fool's gold: the impact of Venezuelan currency devaluations on multinational stock prices," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123056, Oct.
• Ellison, Martin & Tischbirek, Andreas, 2018, "Beauty contests and the term structure," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87384, Feb.
• Lyons, Ronan C., 2018, "Credit conditions and the housing price ratio: evidence from Ireland’s boom and bust," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 88773, Jun.
• Kremens, Lukas & Martin, Ian, 2019, "The quanto theory of exchange rates," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 89839, Mar.
• Pinter, Gabor, 2018, "Macroeconomic shocks and risk premia," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 90370, Aug.
• Hilber, Christian A. L. & Schöni, Olivier, 2018, "The economic impacts of constraining second home investments," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 91677, Jul.
• Petr Jakubik & Eveline Turturescu, 2018, "Potential drivers of insurers equity investments," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 12, Jun.
• Lorenzo Danieli & Petr Jakubik, 2018, "Early warning system for the European Insurance Sector," EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department, number 13, Dec.
• Juheon Seok & B. Wade Brorsen & Bart Niyibizi, 2018, "Modeling calendar spread options," Agricultural Finance Review, Emerald Group Publishing Limited, volume 78, issue 5, pages 551-570, July, DOI: 10.1108/AFR-09-2017-0088.
• Elda du Toit & John Henry Hall & Rudra Prakash Pradhan, 2018, "The day-of-the-week effect: South African stock market indices," African Journal of Economic and Management Studies, Emerald Group Publishing Limited, volume 9, issue 2, pages 197-212, June, DOI: 10.1108/AJEMS-07-2017-0163.
• Pan Feng & Junhui Qian, 2018, "Analyzing and forecasting the Chinese term structure of interest rates using functional principal component analysis," China Finance Review International, Emerald Group Publishing Limited, volume 8, issue 3, pages 275-296, April, DOI: 10.1108/CFRI-06-2017-0065.
• George Gao & Qingzhong Ma & David Ng, 2018, "The informativeness of short sellers: an insider’s perspective," China Finance Review International, Emerald Group Publishing Limited, volume 8, issue 4, pages 354-386, January, DOI: 10.1108/CFRI-08-2017-0193.
• Hongquan Zhu & Lingling Jiang, 2017, "Investor recognition and stock returns: evidence from China," China Finance Review International, Emerald Group Publishing Limited, volume 8, issue 2, pages 199-215, December, DOI: 10.1108/CFRI-11-2016-0127.
• Schmalz, Martin & Zhuk, Sergey, 2018, "Revealing Downturns," CEPR Discussion Papers, Centre for Economic Policy Research, number 12597, Jan.
• Kosowski, Robert & Joenväärä, Juha & Tolonen, Pekka, 2018, "The Effect of Investment Constraints on Hedge Fund Investor Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 12599, Jan.
• Croce, Mariano & Gavazzoni, Federico & Colacito, Ric & Ready, Robert, 2018, "Currency Risk Factors in a Recursive Multicountry Economy," CEPR Discussion Papers, Centre for Economic Policy Research, number 12610, Jan.
• Schrimpf, Paul & Malamud, Semyon, 2018, "Intermediation markups and monetary policy pass-through," CEPR Discussion Papers, Centre for Economic Policy Research, number 12623, Jan.
• Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2018, "Capital Share Risk in U.S. Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 12628, Jan.
• Lettau, Martin & Madhavan, Ananth, 2018, "Exchange Traded Funds 101 For Economists," CEPR Discussion Papers, Centre for Economic Policy Research, number 12629, Jan.
• Zettelmeyer, Jeromin & Trebesch, Christoph, 2018, "ECB interventions in distressed sovereign debt markets: The case of Greek bonds," CEPR Discussion Papers, Centre for Economic Policy Research, number 12635, Jan.
• Wagner, Alexander F. & Zeckhauser, Richard & Ziegler, Alexandre, 2018, "Paths to Convergence: Stock Price Behavior After Donald Trump's Election," CEPR Discussion Papers, Centre for Economic Policy Research, number 12657, Jan.
• Pedersen, Lasse Heje & Garleanu, Nicolae Bogdan, 2018, "Efficiently Inefficient Markets for Assets and Asset Management," CEPR Discussion Papers, Centre for Economic Policy Research, number 12664, Jan.
• Pedersen, Lasse Heje & Skov Jensen, Christian & Lando, David, 2018, "Generalized Recovery," CEPR Discussion Papers, Centre for Economic Policy Research, number 12665, Jan.
• Lettau, Martin & Ludvigson, Sydney & Bianchi, Francesco, 2018, "Monetary Policy and Asset Valuation," CEPR Discussion Papers, Centre for Economic Policy Research, number 12671, Jan.
• Adrian, Tobias & Duarte, Fernando, 2018, "Financial Vulnerability and Monetary Policy," CEPR Discussion Papers, Centre for Economic Policy Research, number 12680, Feb.
• Pedersen, Lasse Heje & Asness, Clifford S. & Frazzini, Andrea & Israel, Ronen, 2018, "Size Matters, if You Control Your Junk," CEPR Discussion Papers, Centre for Economic Policy Research, number 12684, Feb.
• Pedersen, Lasse Heje & Asness, Clifford S. & Liew, John M. & Thapar, Ashwin K, 2018, "Deep Value," CEPR Discussion Papers, Centre for Economic Policy Research, number 12685, Feb.
• Pedersen, Lasse Heje & Asness, Clifford S. & Frazzini, Andrea & Gormsen, Niels Joachim, 2018, "Betting Against Correlation: Testing Theories of the Low-Risk Effect," CEPR Discussion Papers, Centre for Economic Policy Research, number 12686, Feb.
• Lando, David & Klinger, Sven, 2018, "Safe Haven CDS Premiums," CEPR Discussion Papers, Centre for Economic Policy Research, number 12694, Feb.
• Collin-Dufresne, Pierre & Daniel, Kent & Saglam, Mehmet, 2018, "Liquidity Regimes and Optimal Dynamic Asset Allocation," CEPR Discussion Papers, Centre for Economic Policy Research, number 12737, Feb.
• Buss, Adrian & Vilkov, Grigory & ,, 2018, "Expected Correlation and Future Market Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 12760, Dec.
• Ellison, Martin & Tischbirek, Andreas, 2018, "Beauty Contests and the Term Structure," CEPR Discussion Papers, Centre for Economic Policy Research, number 12762, Feb.
• Croce, Mariano & Colacito, Ric & Ho, Steven & Howard, Philip, 2018, "BKK the EZ Way. International Long-Run Growth News and Capital Flows," CEPR Discussion Papers, Centre for Economic Policy Research, number 12783, Mar.
• Bhamra, Harjoat Singh & Kuehn, Lars-Alexander & Strebulaev, Ilya, 2018, "The Levered Equity Risk Premium and Credit Spreads: A Unified Framework," CEPR Discussion Papers, Centre for Economic Policy Research, number 12827, Mar.
• Wagner, Wolf & Kartasheva, Anastasia & Chotibhak, Jotikasthira & Ellul, Andrew & Lundblad, Christian, 2018, "Insurers as Asset Managers and Systemic Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 12849, Apr.
• Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018, "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers, Centre for Economic Policy Research, number 12857, Apr.
• Allen, Franklin & Jagtiani, Julapa & Goldstein, Itay, 2018, "The Interplay between Financial Regulations, Resilience, and Growth," CEPR Discussion Papers, Centre for Economic Policy Research, number 12861, Apr.
• van Wijnbergen, Sweder & Spreij, Peter & Derksen, Mike, 2018, "Accounting Noise and the Pricing of Cocos," CEPR Discussion Papers, Centre for Economic Policy Research, number 12869, Apr.
• Kacperczyk, Marcin & Nosal, Jaromir & Stevens, Luminita, 2018, "Investor Sophistication and Capital Income Inequality," CEPR Discussion Papers, Centre for Economic Policy Research, number 12870, Apr.
• Martin, Ian, 2018, "Options and the Gamma Knife," CEPR Discussion Papers, Centre for Economic Policy Research, number 12883, Apr.
• Chernov, Mikhail & Creal, Drew, 2018, "Multihorizon Currency Returns and Purchasing Power Parity," CEPR Discussion Papers, Centre for Economic Policy Research, number 12893, Apr.
• Lettau, Martin & Pelger, Markus, 2018, "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers, Centre for Economic Policy Research, number 12926, May.
• Bayer, Christian & Kim, Chi Hyun & Kriwoluzky, Alexander, 2018, "The term structure of redenomination risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 12965, May.
• Taylor, Alan M. & Jordà , Ã’scar & Schularick, Moritz & Ward, Felix, 2018, "Global financial cycles and risk premiums," CEPR Discussion Papers, Centre for Economic Policy Research, number 12969, Jun.
• Vedolin, Andrea & Leombroni, Matteo & , & Whelan, Paul, 2018, "Central Bank Communication and the Yield Curve," CEPR Discussion Papers, Centre for Economic Policy Research, number 12970, Jun.
• Trebesch, Christoph & Chamon, Marcos & Schumacher, Julian, 2018, "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CEPR Discussion Papers, Centre for Economic Policy Research, number 13020, Jun.
• Basak, Suleyman & Atmaz, Adem, 2018, "Option Prices and Costly Short-Selling," CEPR Discussion Papers, Centre for Economic Policy Research, number 13029, Jul.
• Lettau, Martin & Pelger, Markus, 2018, "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 13049, Jul.
• Pástor, LuboÅ¡ & Veronesi, Pietro, 2018, "Inequality Aversion, Populism, and the Backlash Against Globalization," CEPR Discussion Papers, Centre for Economic Policy Research, number 13107, Aug.
• Hugonnier, Julien & Weill, Pierre-Olivier & Lester, Benjamin, 2018, "Frictional intermediation in over-the-counter markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 13126, Aug.
• Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2018, "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 13153, Sep.
• Schoenmaker, Dirk & Schramade, Willem, 2018, "Investing for Long-Term Value Creation," CEPR Discussion Papers, Centre for Economic Policy Research, number 13175, Sep.
• Martin, Ian & Ross, Stephen, 2018, "Notes on the Yield Curve," CEPR Discussion Papers, Centre for Economic Policy Research, number 13176, Sep.
• Gehrig, Thomas & Sögner, Leopold & Westerkamp, Arne, 2018, "Making Parametric Portfolio Policies Work," CEPR Discussion Papers, Centre for Economic Policy Research, number 13193, Sep.
• Schmid, Lukas & David, Joel & Zeke, David, 2018, "Risk-Adjusted Capital Allocation and Misallocation," CEPR Discussion Papers, Centre for Economic Policy Research, number 13205, Sep.
• Adam, Klaus & Nagel, Stefan & Matveev, Dmitry, 2018, "Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?," CEPR Discussion Papers, Centre for Economic Policy Research, number 13213, Oct.
• Chernov, Mikhail & Creal, Drew, 2022, "International yield curves and currency puzzles," CEPR Discussion Papers, Centre for Economic Policy Research, number 13252, Feb.
• Bergemann, Dirk & Heumann, Tibor & Morris, Stephen, 2018, "Information and Market Power," CEPR Discussion Papers, Centre for Economic Policy Research, number 13295, Nov.
• Schürhoff, Norman & Li, Dan & Cestau, Dario & Hollifield, Burton, 2018, "Municipal Bond Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 13301, Nov.
• Balasubramaniam, Vimal & Anagol, Santosh, 2018, "Learning from Noise: Evidence from India’s IPO Lotteries," CEPR Discussion Papers, Centre for Economic Policy Research, number 13314, Nov.
• Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018, "Volatility Risk Pass-Through," CEPR Discussion Papers, Centre for Economic Policy Research, number 13325, Nov.
• Friewald, Nils & Nagler, Florian, 2018, "Over-the-Counter Market Frictions and Yield Spread Changes," CEPR Discussion Papers, Centre for Economic Policy Research, number 13345, Nov.
• Pavlova, Anna & Kashyap, Anil & Kovrijnykh, Natalia & ,, 2018, "The Benchmark Inclusion Subsidy," CEPR Discussion Papers, Centre for Economic Policy Research, number 13356, Dec.
• Chernov, Mikhail & Lochstoer, Lars & Lundeby, Stig, 2018, "Conditional dynamics and the multi-horizon risk-return trade-off," CEPR Discussion Papers, Centre for Economic Policy Research, number 13365, Dec.
• Rancière, Romain & Fraiberger, Samuel & , & Puy, Damien, 2018, "Media Sentiment and International Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, 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, Centre for Economic Policy Research, number 13371, Dec.
• Perri, Fabrizio & Hur, Sewon & Kondo, Illenin, 2018, "Real Interest Rates, Inflation, and Default," CEPR Discussion Papers, Centre for Economic Policy Research, number 13388, Dec.
• Lettau, Martin & Ludvigson, Sydney & Manoel, Paulo, 2018, "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," CEPR Discussion Papers, Centre for Economic Policy Research, number 13395, Dec.
• Zviadadze, Irina, 2018, "Term Structure of Risk in Expected Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 13414, Dec.
• Vives, Xavier & Cespa, Giovanni, 2018, "Exchange Competition, Entry, and Welfare," CEPR Discussion Papers, Centre for Economic Policy Research, 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.