Research classified by Journal of Economic Literature (JEL) codes

2018

• Tortorice, Daniel L., 2018, "Equity return predictability, time varying volatility and learning about the permanence of shocks," Journal of Economic Behavior & Organization, Elsevier, volume 148, issue C, pages 315-343, DOI: 10.1016/j.jebo.2018.01.003.
• Ding, Shuze & Lugovskyy, Volodymyr & Puzzello, Daniela & Tucker, Steven & Williams, Arlington, 2018, "Cash versus extra-credit incentives in experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, volume 150, issue C, pages 19-27, DOI: 10.1016/j.jebo.2018.03.014.
• Hasan, Iftekhar & Meslier, Céline & Tarazi, Amine & Zhou, Mingming, 2018, "Does it pay to get connected? An examination of bank alliance network and bond spread," Journal of Economics and Business, Elsevier, volume 95, issue C, pages 141-163, DOI: 10.1016/j.jeconbus.2017.12.003.
• Prokop, Jörg & Kammann, Benno, 2018, "The effect of the European Markets in Financial Instruments Directive on affiliated analysts’ earnings forecast optimism," Journal of Economics and Business, Elsevier, volume 95, issue C, pages 75-86, DOI: 10.1016/j.jeconbus.2017.06.004.
• Dietz, Simon & Gollier, Christian & Kessler, Louise, 2018, "The climate beta," Journal of Environmental Economics and Management, Elsevier, volume 87, issue C, pages 258-274, DOI: 10.1016/j.jeem.2017.07.005.
• Liu, Feng & Conlon, John R., 2018, "The simplest rational greater-fool bubble model," Journal of Economic Theory, Elsevier, volume 175, issue C, pages 38-57, DOI: 10.1016/j.jet.2018.01.001.
• Yu, Edison G., 2018, "Dynamic market participation and endogenous information aggregation," Journal of Economic Theory, Elsevier, volume 175, issue C, pages 491-517, DOI: 10.1016/j.jet.2018.02.002.
• Bidder, R.M. & Smith, M.E., 2018, "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, volume 175, issue C, pages 689-712, DOI: 10.1016/j.jet.2018.02.007.
• Tsai, Jerry & Wachter, Jessica A., 2018, "Pricing long-lived securities in dynamic endowment economies," Journal of Economic Theory, Elsevier, volume 177, issue C, pages 848-878, DOI: 10.1016/j.jet.2018.07.008.
• Golez, Benjamin & Koudijs, Peter, 2018, "Four centuries of return predictability," Journal of Financial Economics, Elsevier, volume 127, issue 2, pages 248-263, DOI: 10.1016/j.jfineco.2017.12.007.
• Boguth, Oliver & Simutin, Mikhail, 2018, "Leverage constraints and asset prices: Insights from mutual fund risk taking," Journal of Financial Economics, Elsevier, volume 127, issue 2, pages 325-341, DOI: 10.1016/j.jfineco.2017.12.002.
• Hörner, Johannes & Lovo, Stefano & Tomala, Tristan, 2018, "Belief-free price formation," Journal of Financial Economics, Elsevier, volume 127, issue 2, pages 342-365, DOI: 10.1016/j.jfineco.2017.11.004.
• Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018, "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, volume 127, issue 3, pages 459-484, DOI: 10.1016/j.jfineco.2018.01.001.
• Broer, Tobias, 2018, "Securitization bubbles: Structured finance with disagreement about default risk," Journal of Financial Economics, Elsevier, volume 127, issue 3, pages 505-518, DOI: 10.1016/j.jfineco.2017.12.001.
• Gilbert, Thomas & Hrdlicka, Christopher & Kamara, Avraham, 2018, "The structure of information release and the factor structure of returns," Journal of Financial Economics, Elsevier, volume 127, issue 3, pages 546-566, DOI: 10.1016/j.jfineco.2018.01.007.
• Liu, Jianan & Stambaugh, Robert F. & Yuan, Yu, 2018, "Absolving beta of volatility’s effects," Journal of Financial Economics, Elsevier, volume 128, issue 1, pages 1-15, DOI: 10.1016/j.jfineco.2018.01.003.
• Song, Zhaogang & Zhu, Haoxiang, 2018, "Quantitative easing auctions of Treasury bonds," Journal of Financial Economics, Elsevier, volume 128, issue 1, pages 103-124, DOI: 10.1016/j.jfineco.2018.02.004.
• Bartram, Söhnke M. & Grinblatt, Mark, 2018, "Agnostic fundamental analysis works," Journal of Financial Economics, Elsevier, volume 128, issue 1, pages 125-147, DOI: 10.1016/j.jfineco.2016.11.008.
• 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.
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• 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.
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• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018, "The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-02, Jan.
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• Torben G. Andersen & Nicola Fusari & Viktor Todorov & Rasmus T. Varneskov, 2018, "Option Panels in Pure-Jump Settings," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-04, Jan.
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• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2018, "Short-Term Market Risks Implied by Weekly Options," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-08, Jan.
• Torben G. Andersen & Rasmus T. Varneskov, 2018, "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-09, Feb.
• Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018, "Diffusion Copulas: Identification and Estimation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-20, Aug.
• Russell Davidson & Niels S. Grønborg, 2018, "Time-varying parameters: New test tailored to applications in finance and macroeconomics," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-22, Aug.
• Tom Engsted & Thomas Q. Pedersen, 2018, "Disappearing money illusion," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-24, Aug.
• Charlotte Christiansen & Niels S. Grønborg & Ole L. Nielsen, 2018, "Mutual Fund Selection for Realistically Short Samples," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2018-36, Dec.
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• Jianjun Miao & Pengfei Wang, 2018, "Asset Bubbles and Credit Constraints," American Economic Review, American Economic Association, volume 108, issue 9, pages 2590-2628, September.
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• Nayanjyoti Bhattacharjee & Anupam De, 2018, "A Perspective on Industry Classification and Market Reaction to Corporate News: Evidence from India," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 65, issue 1, pages 31-50, March.
• Pedro Bação & António Portugal Duarte & Helder Sebastião & Srdjan Redzepagic, 2018, "Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 65, issue 2, pages 97-117, June.
• Mobin Anwar & Sanjay Kumar, 2018, "Sectoral Robustness of Asset Pricing Models: Evidence from the Indian Capital Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, volume 9, issue 2, pages 42-50, May, DOI: 10.18843/ijcms/v9i2/05.
• Philip Z. MAYMIN, 2018, "The Conventional Past, Behavioral Present, and Algorithmic Future of Risk and Finance," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 20, pages 74-84, November.
• Qingxia (Jenny) Wang, 2018, "A Reverse Engineered Pitch on Cremers et al. (2015), “Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns”," Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, volume 17, issue 1, pages 178-185, March.
• Bamanga Umar & Sabri Nayan, 2018, "Poverty Reduction and Stock Market Development:Evidence from Africa," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), volume 6, issue 3, pages :338-356, September.
• Anam Javaid & Atif Akbar & Shahbaz Nawaz, 2018, "A Review on Human Development Index," Pakistan Journal of Humanities and Social Sciences, International Research Alliance for Sustainable Development (iRASD), volume 6, issue 3, pages :357-369, September.
• Zhiguo He & Arvind Krishnamurthy, 2018, "Intermediary Asset Pricing and the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, volume 10, issue 1, pages 173-197, November, DOI: 10.1146/annurev-financial-110217-02.
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• Hao Zhou, 2018, "Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty," Annual Review of Financial Economics, Annual Reviews, volume 10, issue 1, pages 481-497, November, DOI: 10.1146/annurev-financial-110217-02.
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• Akmal Hidayah Halim* & Nor Azlina Mohd Noor & Azhani Arshad, 2018, "Administration of Unclaimed Estates in Malaysia: The Peculiarities of Unclaimed Money, Undistributed Fund and Bona Vacantia," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 1075-1079:6.
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• Abdulnasser Hatemi-J & Youssef El-Khatib, 2018, "The Dividend Discount Model with Multiple Growth Rates of Any Order for Stock Evaluation," Papers, arXiv.org, number 1802.08987, Feb.
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• Bahman Angoshtari & Tim Leung, 2018, "Optimal Dynamic Basis Trading," Papers, arXiv.org, number 1809.05961, Sep, revised May 2019.
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• Pavel Ciaian & d'Artis Kancs & Miroslava Rajcaniova, 2018, "The Price of BitCoin: GARCH Evidence from High Frequency Data," Papers, arXiv.org, number 1812.09452, Dec.
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• Massimo Guidolin & Alexei G. Orlov, 2018, "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1887.
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• Massimo Guidolin & Andrea Ricci, 2018, "Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1889.
• Massimo Guidolin & Alexei Orlov, 2018, "Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1890.
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• Christian Edelmann, 2018, "The new trends of Asset management in the era of new technology and lower margins," BANCARIA, Bancaria Editrice, volume 12, pages 76-81, December.
• Haipeng Xing & Ying Chen, 2018, "Dependence of Structural Breaks in Rating Transition Dynamics on Economic and Market Variations," Review of Economics & Finance, Better Advances Press, Canada, volume 11, pages 1-18, February.
• Neveen Ahmed & Aliaa Bassiouny, 2018, "The Effects of Index Changes on Stock Trading: Evidence from the EGX," Review of Economics & Finance, Better Advances Press, Canada, volume 11, pages 55-66, February.
• Natascia Angelini & Giacomo Bormetti & Stefano Marmi & Franco Nardini, 2018, "Value Matters: The Long-run Behavior of Stock Index Returns," Review of Economics & Finance, Better Advances Press, Canada, volume 12, pages 16-28, May.
• Bozhidar Nedev, 2018, "Traditional or behavioral finance?," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 113-134.
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