Research classified by Journal of Economic Literature (JEL) codes

2017

• Don Capener & Richard Cebula & Fabrizio Rossi, 2017, "Impact of federal budget deficits on theex antereal interest rate yield on Moody’s Baa-rated long-term corporate bonds, 1960-2015," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 9, issue 02, pages 198-208, May, DOI: 10.1108/JFEP-12-2016-0097.
• Colleen Baker & Christine Cummings & Julapa Jagtiani, 2017, "The impacts of financial regulations: solvency and liquidity in the post-crisis period," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, volume 25, issue 3, pages 253-270, July, DOI: 10.1108/JFRC-02-2017-0027.
• Abdul Rashid & Farooq Ahmad & Ammara Yasmin, 2017, "Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan," Journal of Risk Finance, Emerald Group Publishing Limited, volume 18, issue 4, pages 368-380, August, DOI: 10.1108/JRF-03-2017-0049.
• Jan Voelzke & Jeanne Diesteldorf & Fabian Goessling & Till Weigt, 2017, "Investors' favourite - A different look at valuing individual labour income," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6017, Feb.
• Christian Gross, 2017, "Examining the Common Dynamics of Commodity Futures Prices," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 6317, Jul.
• Christophe Blot & Paul Hubert & Fabien Labondance, 2017, "Does Monetary Policy generate Asset Price Bubbles?," Working Papers, CRESE, number 2017-06, Mar.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2017, "Differential equations connecting VaR and CVaR," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number 24017, Jan.
• Petit, Nuria & Serrano, Pedro & Lafuente Luengo, Juan Ángel, 2017, "Dissecting interbank risk," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 24553, May.
• Gonzalo, Jesús & Taamouti, Abderrahim, 2017, "The Reaction of Stock Market Returns to Unemployment," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 24120, Jan.
• D'Auria, Bernardo & García Martí, Dolores & Salmerón Garrido, José Antonio, 2017, "Optimal portfolio with insider information on the stochastic interest rate," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 25819, Nov.
• Júlio Lobão & Cristiano Pereira, 2017, "Barreras Psicológicas en Índices Bursátiles: Evidencia de Cuatro Países de Europa del Sur," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 40, issue 114, pages 268-278, Septiembr.
• Wei Tang & Tianhao Wu & Liheng Xu, 2017, "Skewness Preference and IPO Anomalies in China," Annals of Economics and Finance, Society for AEF, volume 18, issue 1, pages 173-199, May.
• Haoyuan Ding & Haichao Fan & Huanhuan Wang & Wenjing Xie, 2017, "Revisiting Crude Oil Price and China's Stock Market," Annals of Economics and Finance, Society for AEF, volume 18, issue 2, pages 377-391, November.
• Julio Lobao & Joao Meira Fernandes, 2017, "The 52-Week High and Momentum Investing: Implications for Asset Pricing Models," Annals of Economics and Finance, Society for AEF, volume 18, issue 2, pages 349-376, November.
• Raymond Swaray & Afees A. Salisu, 2017, "The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?," Working Papers, Centre for Econometric and Allied Research, University of Ibadan, number 021, Aug.
• Chavaz, Matthieu & Flandreau, Marc, 2017, "“High & Dry”: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880–1910)," The Journal of Economic History, Cambridge University Press, volume 77, issue 3, pages 653-691, September.
• Benos, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2017, "Interactions among High-Frequency Traders," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 52, issue 4, pages 1375-1402, August.
• Eriksen, Jonas N., 2017, "Expected Business Conditions and Bond Risk Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 52, issue 4, pages 1667-1703, August.
• Bisetti, Emilio & Favero, Carlo A. & Nocera, Giacomo & Tebaldi, Claudio, 2017, "A Multivariate Model of Strategic Asset Allocation with Longevity Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 52, issue 5, pages 2251-2275, October.
• Brisset, Nicolas, 2017, "On Performativity: Option Theory And The Resistance Of Financial Phenomena," Journal of the History of Economic Thought, Cambridge University Press, volume 39, issue 4, pages 549-569, December.
• Breeden, Joseph L. & Liang, Sisi, 2017, "Auction-Price Dynamics for Fine Wines from Age-Period-Cohort Models," Journal of Wine Economics, Cambridge University Press, volume 12, issue 2, pages 173-202, May.
• Toda, Alexis Akira, 2017, "A Note On The Size Distribution Of Consumption: More Double Pareto Than Lognormal," Macroeconomic Dynamics, Cambridge University Press, volume 21, issue 6, pages 1508-1518, September.
• Madjid Hatefi MADJUMERD & Omolbanin JALALI & Mohamad Esmaeel ASHRAFI, 2017, "Democracy: An opportunity or a threat to Iran's economic structure," Turkish Economic Review, EconSciences Journals, volume 4, issue 3, pages 326-333, September.
• Yutaka KURIHARA, 2017, "Monetary Policy and Stock/Foreign Exchange Market Liquidity: The Japanese Case," Journal of Economics Library, EconSciences Journals, volume 4, issue 1, pages 1-8, March.
• Ana Fostel & John Geanakoplos & Gregory Phelan, 2017, "Global Collateral: How Financial Innovation Drives Capital Flows and Increases Financial Instability," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 2076, Feb.
• Min-Ku LEE & Sung-Jin YANG, PhD & Jeong-Hoon KIM, 2017, "Pricing Vulnerable Options with Constant Elasticity of Variance versus Stochastic Elasticity of Variance," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 51, issue 1, pages 233-247.
• Ion STANCU & Laura OBREJABRAŞOVEANU & Anamaria CIOBANU & Andrei Tudor STANCU, 2017, "Are Company Valuation Models the Same? – A Comparative Analysis between the Discounted Cash Flows (DCF), the Adjusted Net Asset, Value and Price Multiples, the Market Value Added (MVA) and the Residua," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, volume 51, issue 3, pages 5-20.
• Stefan SIMEONOV, 2017, "A Methodology For Trend Analysis Of Stock Exchange Activities, Based On Indicator Signals And Frequency Volatility," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 21-39.
• Стефан Симеонов, 2017, "Методика За Анализ На Тренда В Борсовата Активност, Базирана На Индикаторните Сигнали И Честотната Променливост," Economics 21, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 1 Year 20, pages 24-44.
• Gérard CHARREAUX, 2017, "Gestion de portefeuille et politique:existe-t-il une prime partisane sur le marché français ?, Portfolio management and politics:is there a presidential premium on the French market ?," Working Papers CREGO, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations, number 1170201, Feb.
• Christian Westermeier & Markus M. Grabka, 2017, "Real Estate Price Polarization Projected to Increase until 2030 in Germany," DIW Economic Bulletin, DIW Berlin, German Institute for Economic Research, volume 7, issue 25/26, pages 245-253.
• Christian Westermeier & Markus M. Grabka, 2017, "Zunehmende Polarisierung der Immobilienpreise in Deutschland bis 2030," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 84, issue 23, pages 451-459.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017, "Long Memory and Data Frequency in Financial Markets," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1647.
• Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017, "Is Market Fear Persistent? A Long-Memory Analysis," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1670.
• Guglielmo Maria Caporale & Alex Plastun, 2017, "The Day of the Week Effect in the Crypto Currency Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1694.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017, "Persistence in the Cryptocurrency Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1703.
• Farley Grubb, 2017, "The Paper Money of Colonial North Carolina, 1712-1774," Working Papers, University of Delaware, Department of Economics, number 17-01.
• Charles Ka Yui Leung & Chung-Yi Tse, 2017, "Flipping in the Housing Market," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0989, Jan.
• M. Hashem Pesaran & Takashi Yamagata, 2017, "Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities," ISER Discussion Paper, Institute of Social and Economic Research, The University of Osaka, number 0997, Apr.
• Houdou Basse Mama & Rachidi Kotchoni, 2017, "Investor Relations' Quality and Mispricing," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2017-33.
• María de la O & Francisco JAREÑO, Francisco & SKINNER, Frank S., 2017, "The Financial Crisis Impact: An Industry Level Analysis Of The Us Stock Market González," Applied Econometrics and International Development, Euro-American Association of Economic Development, volume 17, issue 2, pages 61-74.
• Catherine, Sylvain, 2016, "Countercyclical Income Risk and Portfolio Choices over the Life-Cycle," HEC Research Papers Series, HEC Paris, number 1147, May.
• Lovo, Stefano & Spaenjers, Christophe, 2014, "A Model of Trading in the Art Market," HEC Research Papers Series, HEC Paris, number 1150, Mar, revised 22 Sep 2017.
• Schmidt, Daniel & Lunghi, Sandro & von Beschwitz, Bastian, 2017, "Limits of Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," HEC Research Papers Series, HEC Paris, number 1206, May, revised 13 Aug 2017.
• Honkanen, Pekka & Schmidt, Daniel, 2017, "Price and Liquidity Spillovers during Fire Sale Episodes," HEC Research Papers Series, HEC Paris, number 1214, Jun, revised 07 Jul 2017.
• Rosu, Ioanid & Sojli, Elvira & Tham, Wing Wah, 2017, "Quotes, Trades and the Cost of Capital," HEC Research Papers Series, HEC Paris, number 1232, Jul, revised 26 Jan 2018.
• Langlois, Hugues & Chaieb, Ines & Errunza, Vihang R., 2017, "Is Liquidity Risk Priced in Partially Segmented Markets?," HEC Research Papers Series, HEC Paris, number 1254, Oct, revised 04 Jun 2018.
• Cespa, Giovanni & Vives, Xavier, 2017, "High Frequency Trading and Fragility," IESE Research Papers, IESE Business School, number D/1161, Jan.
• Corradin, Stefano, 2017, "Is collateral eligibility priced?," Research Bulletin, European Central Bank, volume 31.
• Kick, Heinrich, 2017, "Pricing of bonds and equity when the zero lower bound is relevant," Working Paper Series, European Central Bank, number 1992, Jan.
• Speck, Christian, 2017, "Inflation anchoring in the euro area," Working Paper Series, European Central Bank, number 1998, Jan.
• Cespa, Giovanni & Vives, Xavier, 2017, "High frequency trading and fragility," Working Paper Series, European Central Bank, number 2020, Feb.
• De Santis, Roberto A. & Holm-Hadulla, Fédéric, 2017, "Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment," Working Paper Series, European Central Bank, number 2052, May.
• Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2017, "Bid-to-cover and yield changes around public debt auctions in the euro area," Working Paper Series, European Central Bank, number 2056, May.
• Corradin, Stefano & Maddaloni, Angela, 2017, "The importance of being special: repo markets during the crisis," Working Paper Series, European Central Bank, number 2065, May.
• Schumacher, Malte D. & Żochowski, Dawid, 2017, "The risk premium channel and long-term growth," Working Paper Series, European Central Bank, number 2114, Dec.
• Wagner, Alexander F. & Zeckhauser, Richard J. & Siegler, Alexandre, 2017, "Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp17-005, Feb.
• Wagner, Alexander F. & Zeckhauser, Richard J. & Ziegler, Alexandre, 2017, "Paths to Convergence: Stock Price Behavior after Donald Trump's Election," Working Paper Series, Harvard University, John F. Kennedy School of Government, number rwp17-039, Sep.
• Ben-David, Itzhak & Franzoni, Francesco & Moussawi, Rabih, 2017, "Exchange Traded Funds (ETFs)," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-22, Aug.
• Wruck, Karen H. & Wu, YiLin, 2017, "Equity Incentives, Disclosure Quality, and Stock Liquidity Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-02, Feb.
• Panayides, Marios A. & Rindi, Barbara & Werner, Ingrid M., 2017, "Trading Fees and Intermarket Competition," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-03, Jan.
• Anderson, Mike & Stulz, Rene M., 2017, "Is Post-crisis Bond Liquidity Lower?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-09, Mar.
• Hou, Kewei & Xue, Chen & Zhang, Lu, 2017, "Replicating Anomalies," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-10, Jun.
• Goncalves, Andrei & Xue, Chen & Zhang, Lu, 2017, "Aggregation, Capital Heterogeneity, and the Investment CAPM," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-12, Dec.
• Goncalves, Andrei, 2017, "Can Reinvestment Risk Explain the Dividend and Bond Term Structures?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-14, Aug.
• Beltratti, Andrea & Stulz, Rene M., 2017, "How Important Was Contagion Through Banks During the European Sovereign Crisis?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-15, Jun.
• Hou, Kewei & Mo, Haitao & Xue, Chen & Zhang, Lu, 2017, "The Economics of Value Investing," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-16, Jun.
• Bao, Jack & Hou, Kewei, 2017, "De Facto Seniority, Credit Risk, and Corporate Bond Prices," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-17, Sep.
• Rindi, Barbara & Werner, Ingrid M., 2017, "U.S. Tick Size Pilot," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-18, Sep.
• Wruck, Karen H. & Wu, YiLin, 2017, "Do CEOs Make Their Own Luck? Relative Versus Absolute Performance Evaluation and Firm Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-20, Oct.
• Lim, Jongha & Schwert, Michael & Weisbech, Michael S., 2017, "The Economics of PIPEs," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-22, Feb.
• Li, Ye, 2017, "Procyclical Finance: The Money View," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-24, Nov.
• Hou, Kewei & Tang, Ke & Zhang, Bohui, 2017, "Political Uncertainty and Commodity Prices," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2017-25, Oct.
• Arif, Salman & Ben-Rephael, Azi & Lee, Charles M. C., 2017, "Mutual Funds and Short-Sellers: Why Does Short-Sale Volume Predict Stock Returns?," Research Papers, Stanford University, Graduate School of Business, number 3162, Feb.
• Lee, Charles M. C. & So, Eric C. & Wang, Charles C. Y., 2017, "Evaluating Firm-Level Expected-Return Proxies," Research Papers, Stanford University, Graduate School of Business, number 3188, Jun.
• Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017, "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers, Stanford University, Graduate School of Business, number 3518, Apr.
• Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2017, "The Term Structure of Currency Carry Trade Risk Premia," Research Papers, Stanford University, Graduate School of Business, number repec:ecl:stabus:3411, Oct.
• Lee, Charles M. C. & Qu, Yuanyu & Shen, Tao, 2017, "Reverse Mergers, Shell Value, and Regulation Risk in Chinese Equity Markets," Research Papers, Stanford University, Graduate School of Business, number repec:ecl:stabus:3604, Sep.
• Douglas, Rohan & Berndt, Antje & Duffie, Darrell & Ferguson, Mark, 2017, "Corporate Credit Risk Premia," Research Papers, Stanford University, Graduate School of Business, number repec:ecl:stabus:3617, Nov.
• Kuo-Shing Chen & Chien-Chiang Lee & Chun-Ming Chen, 2017, "Arbitrage, Covered Interest Parity and Cointegration Analysis on the New Taiwan Dollar/US Dollar FOREX Market Revisited," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 1, pages 420-428.
• Nawal Seif Kassim & Roslily Ramlee & Salina Kassim, 2017, "Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 2, pages 40-51.
• Joakim Kvamvold, 2017, "Mutual Fund Flows and Benchmark Portfolio Returns," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 2, pages 236-242.
• scar Carchano & Julio Lucia & ngel Pardo, 2017, "A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 2, pages 397-407.
• Kamphol Panyagometh, 2017, "Implementation of Reinganum's Investment Strategy in Long Term Equity Fund in the Stock Exchange of Thailand," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 2, pages 492-499.
• Samih Antoine Azar, 2017, "Risk-free Yields, Risk Aversion, and Volatility," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 3, pages 105-112.
• Jaber Bahrami & Mosayeb Pahlavani & Reza Roshan & Saeed Rasekhi, 2017, "Adjusting Consumption Based Capital Asset Pricing Model within the Framework of an Open Economy: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 3, pages 309-317.
• La Saidi & Pasrun Adam & Rostin & Zainuddin Saenong & Muh. Yani Balaka & Gamsir & Asmuddin & Salwiah, 2017, "The Effect of Stock Prices and Exchange Rates on Economic Growth in Indonesia," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 3, pages 527-533.
• Ouarda Moatemri & Abdelfeteh El-Bori, 2017, "Trading Volume Levels and Stock Returns: Empirical Behavioral Analysis," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 3, pages 632-638.
• Ahmed Al Samman & Mahmoud Moustafa Otaify, 2017, "How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 4, pages 300-315.
• Fatema Alaali, 2017, "Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 4, pages 418-432.
• Chandana Gunathilaka & Mohamad Jais & Sophee Sulong Balia, 2017, "Illiquidity, Investor Sentiment and Stock Returns: Evidence from Malaysia," International Journal of Economics and Financial Issues, Econjournals, volume 7, issue 4, pages 478-487.
• Hazem Marashdeh & Akhsyim Afandi, 2017, "Oil Price Shocks and Stock Market Returns in the Three Largest Oil-producing Countries," International Journal of Energy Economics and Policy, Econjournals, volume 7, issue 5, pages 312-322.
• Hanabusa, Kunihiro, 2017, "Japan’s quantitative monetary easing policy: Effect on the level and volatility of yield spreads," Journal of Asian Economics, Elsevier, volume 53, issue C, pages 56-66, DOI: 10.1016/j.asieco.2017.10.004.
• Almudhaf, Fahad, 2017, "Speculative bubbles and irrational exuberance in African stock markets," Journal of Behavioral and Experimental Finance, Elsevier, volume 13, issue C, pages 28-32, DOI: 10.1016/j.jbef.2016.11.002.
• Vo, Xuan Vinh & Phan, Dang Bao Anh, 2017, "Further evidence on the herd behavior in Vietnam stock market," Journal of Behavioral and Experimental Finance, Elsevier, volume 13, issue C, pages 33-41, DOI: 10.1016/j.jbef.2017.02.003.
• Shehu, Elona & Shahzad, Khurram & Rubbaniy, Ghulame & Perveen, Abida, 2017, "Gender premium and economic downswings," Journal of Behavioral and Experimental Finance, Elsevier, volume 14, issue C, pages 5-13, DOI: 10.1016/j.jbef.2017.03.001.
• Maitra, Debasish & Dash, Saumya Ranjan, 2017, "Sentiment and stock market volatility revisited: A time–frequency domain approach," Journal of Behavioral and Experimental Finance, Elsevier, volume 15, issue C, pages 74-91, DOI: 10.1016/j.jbef.2017.07.009.
• Negrea, Bogdan & Toma, Mihai, 2017, "Dynamic CAPM under ambiguity—An experimental approach," Journal of Behavioral and Experimental Finance, Elsevier, volume 16, issue C, pages 22-32, DOI: 10.1016/j.jbef.2017.09.001.
• Li, Linyue, 2017, "The impact of intra-industry trade on business cycle synchronization in East Asia," China Economic Review, Elsevier, volume 45, issue C, pages 143-154, DOI: 10.1016/j.chieco.2017.07.004.
• Cheung, Kwok Tong Samuel & Naidu, Dharmendra & Navissi, Farshid & Ranjeeni, Kumari, 2017, "Valuing talent: Do CEOs' ability and discretion unambiguously increase firm performance," Journal of Corporate Finance, Elsevier, volume 42, issue C, pages 15-35, DOI: 10.1016/j.jcorpfin.2016.11.006.
• Borochin, Paul & Yang, Jie, 2017, "Options, equity risks, and the value of capital structure adjustments," Journal of Corporate Finance, Elsevier, volume 42, issue C, pages 150-178, DOI: 10.1016/j.jcorpfin.2016.11.010.
• Chen, Changling & Kim, Jeong-Bon & Yao, Li, 2017, "Earnings smoothing: Does it exacerbate or constrain stock price crash risk?," Journal of Corporate Finance, Elsevier, volume 42, issue C, pages 36-54, DOI: 10.1016/j.jcorpfin.2016.11.004.
• Abdoh, Hussein & Varela, Oscar, 2017, "Product market competition, idiosyncratic and systematic volatility," Journal of Corporate Finance, Elsevier, volume 43, issue C, pages 500-513, DOI: 10.1016/j.jcorpfin.2017.02.009.
• Hearn, Bruce & Phylaktis, Kate & Piesse, Jenifer, 2017, "Expropriation risk by block holders, institutional quality and expected stock returns," Journal of Corporate Finance, Elsevier, volume 45, issue C, pages 122-149, DOI: 10.1016/j.jcorpfin.2017.04.016.
• Karpavičius, Sigitas & Yu, Fan, 2017, "The impact of interest rates on firms' financing policies," Journal of Corporate Finance, Elsevier, volume 45, issue C, pages 262-293, DOI: 10.1016/j.jcorpfin.2017.05.007.
• Bajo, Emanuele & Raimondo, Carlo, 2017, "Media sentiment and IPO underpricing," Journal of Corporate Finance, Elsevier, volume 46, issue C, pages 139-153, DOI: 10.1016/j.jcorpfin.2017.06.003.
• Chan, Konan & Li, Fengfei & Lin, Ji-Chai & Lin, Tse-Chun, 2017, "What do stock price levels tell us about the firms?," Journal of Corporate Finance, Elsevier, volume 46, issue C, pages 34-50, DOI: 10.1016/j.jcorpfin.2017.06.013.
• Alderson, Michael J. & Lin, Fang & Stock, Duane R., 2017, "Does the choice between fixed price and make whole call provisions reflect differential agency costs?," Journal of Corporate Finance, Elsevier, volume 46, issue C, pages 442-460, DOI: 10.1016/j.jcorpfin.2017.08.007.
• Bartlett, Robert P. & Rose, Paul & Solomon, Steven Davidoff, 2017, "The small IPO and the investing preferences of mutual funds," Journal of Corporate Finance, Elsevier, volume 47, issue C, pages 151-173, DOI: 10.1016/j.jcorpfin.2017.08.008.
• Wei, Shang-Jin & Zhang, Xiaobo & Liu, Yin, 2017, "Home ownership as status competition: Some theory and evidence," Journal of Development Economics, Elsevier, volume 127, issue C, pages 169-186, DOI: 10.1016/j.jdeveco.2016.12.001.
• Berentsen, Aleksander & McBride, Michael & Rocheteau, Guillaume, 2017, "Limelight on dark markets: Theory and experimental evidence on liquidity and information," Journal of Economic Dynamics and Control, Elsevier, volume 75, issue C, pages 70-90, DOI: 10.1016/j.jedc.2016.11.003.
• Leung, Charles Ka Yui & Tse, Chung-Yi, 2017, "Flipping in the housing market," Journal of Economic Dynamics and Control, Elsevier, volume 76, issue C, pages 232-263, DOI: 10.1016/j.jedc.2017.01.003.
• Guo, Jing & He, Xue Dong, 2017, "Equilibrium asset pricing with Epstein-Zin and loss-averse investors," Journal of Economic Dynamics and Control, Elsevier, volume 76, issue C, pages 86-108, DOI: 10.1016/j.jedc.2016.12.008.
• Coqueret, Guillaume, 2017, "Empirical properties of a heterogeneous agent model in large dimensions," Journal of Economic Dynamics and Control, Elsevier, volume 77, issue C, pages 180-201, DOI: 10.1016/j.jedc.2017.02.003.
• Grüning, Patrick, 2017, "International endogenous growth, macro anomalies, and asset prices," Journal of Economic Dynamics and Control, Elsevier, volume 78, issue C, pages 118-148, DOI: 10.1016/j.jedc.2017.03.007.
• Isoré, Marlène & Szczerbowicz, Urszula, 2017, "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, volume 79, issue C, pages 97-125, DOI: 10.1016/j.jedc.2017.04.001.
• Hommes, Cars & in ’t Veld, Daan, 2017, "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, volume 80, issue C, pages 101-124, DOI: 10.1016/j.jedc.2017.05.006.
• Schmitt, Noemi & Westerhoff, Frank, 2017, "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, volume 80, issue C, pages 34-53, DOI: 10.1016/j.jedc.2017.05.002.
• Bernales, Alejandro & Chen, Louisa & Valenzuela, Marcela, 2017, "Learning and forecasts about option returns through the volatility risk premium," Journal of Economic Dynamics and Control, Elsevier, volume 82, issue C, pages 312-330, DOI: 10.1016/j.jedc.2017.06.007.
• Donadelli, M. & Jüppner, M. & Riedel, M. & Schlag, C., 2017, "Temperature shocks and welfare costs," Journal of Economic Dynamics and Control, Elsevier, volume 82, issue C, pages 331-355, DOI: 10.1016/j.jedc.2017.07.003.
• Kukacka, Jiri & Barunik, Jozef, 2017, "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, volume 85, issue C, pages 21-45, DOI: 10.1016/j.jedc.2017.09.006.
• Akram, Tanweer & Li, Huiqing, 2017, "What keeps long-term U.S. interest rates so low?," Economic Modelling, Elsevier, volume 60, issue C, pages 380-390, DOI: 10.1016/j.econmod.2016.09.017.
• Xue, Wen-Jun & Zhang, Li-Wen, 2017, "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, volume 60, issue C, pages 391-401, DOI: 10.1016/j.econmod.2016.09.024.
• Liang, Hanchao & Yang, Chunpeng & Cai, Chuangqun, 2017, "Beauty contest, bounded rationality, and sentiment pricing dynamics," Economic Modelling, Elsevier, volume 60, issue C, pages 71-80, DOI: 10.1016/j.econmod.2016.09.010.
• Leung, Henry & Schiereck, Dirk & Schroeder, Florian, 2017, "Volatility spillovers and determinants of contagion: Exchange rate and equity markets during crises," Economic Modelling, Elsevier, volume 61, issue C, pages 169-180, DOI: 10.1016/j.econmod.2016.12.011.
• Chen, Junping & Xiong, Xiong & Zhu, Jie & Zhu, Xiaoneng, 2017, "Asset prices and economic fluctuations: The implications of stochastic volatility," Economic Modelling, Elsevier, volume 64, issue C, pages 128-140, DOI: 10.1016/j.econmod.2017.03.017.
• Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2017, "Asset pricing and institutional investors with disagreements," Economic Modelling, Elsevier, volume 64, issue C, pages 231-248, DOI: 10.1016/j.econmod.2017.03.018.
• Zaremba, Adam & Czapkiewicz, Anna, 2017, "The cross section of international government bond returns," Economic Modelling, Elsevier, volume 66, issue C, pages 171-183, DOI: 10.1016/j.econmod.2017.06.011.
• Salisu, Afees A. & Isah, Kazeem O., 2017, "Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach," Economic Modelling, Elsevier, volume 66, issue C, pages 258-271, DOI: 10.1016/j.econmod.2017.07.010.
• Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017, "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, volume 67, issue C, pages 228-247, DOI: 10.1016/j.econmod.2016.12.017.
• Popescu, Alexandra & Turcu, Camelia, 2017, "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, volume 67, issue C, pages 275-284, DOI: 10.1016/j.econmod.2016.12.032.
• Roy, Rudra Prosad & Sinha Roy, Saikat, 2017, "Financial contagion and volatility spillover: An exploration into Indian commodity derivative market," Economic Modelling, Elsevier, volume 67, issue C, pages 368-380, DOI: 10.1016/j.econmod.2017.02.019.
• Atanasov, Victoria & Nitschka, Thomas, 2017, "Firm size, economic risks, and the cross-section of international stock returns," The North American Journal of Economics and Finance, Elsevier, volume 39, issue C, pages 110-126, DOI: 10.1016/j.najef.2016.12.004.
• Ke, Wen-Chyan & Chen, Hueiling & Lin, Hsiou-Wei W. & Liu, Yo-Chia, 2017, "The impact of numerical superstition on the final digit of stock price," The North American Journal of Economics and Finance, Elsevier, volume 39, issue C, pages 145-157, DOI: 10.1016/j.najef.2016.10.003.
• Wei, Yu-Chen & Lu, Yang-Cheng & Chen, Jen-Nan & Hsu, Yen-Ju, 2017, "Informativeness of the market news sentiment in the Taiwan stock market," The North American Journal of Economics and Finance, Elsevier, volume 39, issue C, pages 158-181, DOI: 10.1016/j.najef.2016.10.004.
• Filzen, Joshua J. & Schutte, Maria Gabriela, 2017, "Comovement, financial reporting complexity, and information markets: Evidence from the effect of changes in 10-Q lengths on internet search volumes and peer correlations," The North American Journal of Economics and Finance, Elsevier, volume 39, issue C, pages 19-37, DOI: 10.1016/j.najef.2016.10.001.
• Hüning, Hendrik, 2017, "Asset market response to monetary policy news from SNB press releases," The North American Journal of Economics and Finance, Elsevier, volume 40, issue C, pages 160-177, DOI: 10.1016/j.najef.2017.02.003.
• Jeon, Hyunglae & Kang, Jangkoo & Lee, Changjun, 2017, "Precision about manager skill, mutual fund flows, and performance persistence," The North American Journal of Economics and Finance, Elsevier, volume 40, issue C, pages 222-237, DOI: 10.1016/j.najef.2017.03.002.
• Dolmas, Jim, 2017, "Campbell and Cochrane meet Melino and Yang: Reverse engineering the surplus ratio in a Mehra–Prescott economy," The North American Journal of Economics and Finance, Elsevier, volume 40, issue C, pages 55-62, DOI: 10.1016/j.najef.2017.01.006.
• Lai, Ya-Wen & Lin, Chiou-Fa & Tang, Mei-Ling, 2017, "Mispricing and trader positions in the S&P 500 index futures market," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 250-265, DOI: 10.1016/j.najef.2017.07.012.
• Lee, Kyuseok, 2017, "Herd behavior of the overall market: Evidence based on the cross-sectional comovement of returns," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 266-284, DOI: 10.1016/j.najef.2017.07.006.
• Khanal, Aditya R. & Mishra, Ashok K., 2017, "Stock price reactions to stock dividend announcements: A case from a sluggish economic period," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 338-345, DOI: 10.1016/j.najef.2017.08.002.
• Syamala, Sudhakara Reddy & Wadhwa, Kavita & Goyal, Abhinav, 2017, "Determinants of commonality in liquidity: Evidence from an order-driven emerging market," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 38-52, DOI: 10.1016/j.najef.2017.07.003.
• Wu, Yang-Che & Huang, Yi-Ting & Lin, Shih-Kuei & Chuang, Ming-Che, 2017, "Fair valuation of mortgage insurance under stochastic default and interest rates," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 433-447, DOI: 10.1016/j.najef.2017.08.003.
• Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2017, "Ultimate consumption risk and investment-based stock returns," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 473-486, DOI: 10.1016/j.najef.2017.08.008.
• Li, Jinfang, 2017, "Investor sentiment, heterogeneous agents and asset pricing model," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 504-512, DOI: 10.1016/j.najef.2017.08.006.
• Bianconi, Marcelo & Cai, Zhe, 2017, "Higher moment exchange rate exposure of S&P500 firms," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 513-530, DOI: 10.1016/j.najef.2017.08.010.
• Ñíguez, Trino-Manuel & Perote, Javier, 2017, "Moments expansion densities for quantifying financial risk," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 53-69, DOI: 10.1016/j.najef.2017.06.002.
• Brigida, Matt & Pratt, William R., 2017, "Fake news," The North American Journal of Economics and Finance, Elsevier, volume 42, issue C, pages 564-573, DOI: 10.1016/j.najef.2017.08.012.
• Dong, Yingjie & Tse, Yiu-Kuen, 2017, "On estimating market microstructure noise variance," Economics Letters, Elsevier, volume 150, issue C, pages 59-62, DOI: 10.1016/j.econlet.2016.11.009.
• Chaudhury, Mo, 2017, "Volatility and expected option returns: A note," Economics Letters, Elsevier, volume 152, issue C, pages 1-4, DOI: 10.1016/j.econlet.2016.12.014.
• Leoni, Patrick & Lundtofte, Frederik, 2017, "Information, stochastic dominance and bidding: The case of Treasury auctions," Economics Letters, Elsevier, volume 153, issue C, pages 80-82, DOI: 10.1016/j.econlet.2017.02.004.
• Crotty, Kevin & Teguia, Alberto, 2017, "Estimating asset pricing models with frictions," Economics Letters, Elsevier, volume 154, issue C, pages 24-27, DOI: 10.1016/j.econlet.2017.02.016.
• Realdon, Marco & Boonyanet, Wachira, 2017, "Linear–quadratic term structure models for negative euro area yields," Economics Letters, Elsevier, volume 155, issue C, pages 149-153, DOI: 10.1016/j.econlet.2017.03.029.
• Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2017, "Explaining the time-varying effects of oil market shocks on US stock returns," Economics Letters, Elsevier, volume 155, issue C, pages 84-88, DOI: 10.1016/j.econlet.2017.03.017.
• Vanwalleghem, Dieter, 2017, "The real effects of sustainable & responsible investing?," Economics Letters, Elsevier, volume 156, issue C, pages 10-14, DOI: 10.1016/j.econlet.2017.04.008.
• Cheng, Tingting & Yan, Cheng, 2017, "Evaluating the size of the bootstrap method for fund performance evaluation," Economics Letters, Elsevier, volume 156, issue C, pages 36-41, DOI: 10.1016/j.econlet.2017.03.028.
• Dias, Gustavo Fruet, 2017, "The time-varying GARCH-in-mean model," Economics Letters, Elsevier, volume 157, issue C, pages 129-132, DOI: 10.1016/j.econlet.2017.06.005.
• Su, Zhi & Fang, Tong & Yin, Libo, 2017, "The role of news-based implied volatility among US financial markets," Economics Letters, Elsevier, volume 157, issue C, pages 24-27, DOI: 10.1016/j.econlet.2017.05.028.
• Rüth, Sebastian K., 2017, "State-dependent monetary policy transmission and financial market tensions," Economics Letters, Elsevier, volume 157, issue C, pages 56-61, DOI: 10.1016/j.econlet.2017.05.008.
• Grobys, Klaus & Heinonen, Jari-Pekka, 2017, "Option-implied volatility spillover indices for FX risk factors," Economics Letters, Elsevier, volume 157, issue C, pages 83-87, DOI: 10.1016/j.econlet.2017.05.026.
• Bosi, Stefano & Fontaine, Patrice & Le Van, Cuong, 2017, "How to determine exchange rates under risk neutrality: A note," Economics Letters, Elsevier, volume 157, issue C, pages 92-96, DOI: 10.1016/j.econlet.2017.05.015.
• Urquhart, Andrew, 2017, "Price clustering in Bitcoin," Economics Letters, Elsevier, volume 159, issue C, pages 145-148, DOI: 10.1016/j.econlet.2017.07.035.
• Blomkvist, Magnus & Korkeamäki, Timo & Pettersson, John, 2017, "The new issues puzzle revisited: The role of firm quality in explaining IPO returns," Economics Letters, Elsevier, volume 159, issue C, pages 88-91, DOI: 10.1016/j.econlet.2017.07.022.
• King, Timothy & Bozos, Konstantinos & Koutmos, Dimitrios, 2017, "Shareholder activism and equity price reactions," Economics Letters, Elsevier, volume 160, issue C, pages 100-104, DOI: 10.1016/j.econlet.2017.09.012.
• Todea, Alexandru & Buglea, Alexandra Maria, 2017, "Individualism and stock price reaction to market-wide information," Economics Letters, Elsevier, volume 160, issue C, pages 4-6, DOI: 10.1016/j.econlet.2017.07.028.
• Jäger, Philipp & Schmidt, Torsten, 2017, "Demographic change and house prices: Headwind or tailwind?," Economics Letters, Elsevier, volume 160, issue C, pages 82-85, DOI: 10.1016/j.econlet.2017.09.007.
• Kim, Seon Tae & Rescigno, Luca, 2017, "Monetary policy shocks and distressed firms’ stock returns: Evidence from the publicly traded U.S. firms," Economics Letters, Elsevier, volume 160, issue C, pages 91-94, DOI: 10.1016/j.econlet.2017.09.009.
• Anthony, John & Docherty, Paul & Lee, Doowon & Shamsuddin, Abul, 2017, "Liquidity commonality in the secondary corporate loan market," Economics Letters, Elsevier, volume 161, issue C, pages 10-14, DOI: 10.1016/j.econlet.2017.09.016.
• Engle, Robert & Roussellet, Guillaume & Siriwardane, Emil, 2017, "Scenario generation for long run interest rate risk assessment," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 333-347, DOI: 10.1016/j.jeconom.2017.08.012.
• Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume, 2017, "Staying at zero with affine processes: An application to term structure modelling," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 348-366, DOI: 10.1016/j.jeconom.2017.08.013.
• Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017, "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 367-383, DOI: 10.1016/j.jeconom.2017.08.014.
• Li, Jia & Todorov, Viktor & Tauchen, George & Chen, Rui, 2017, "Mixed-scale jump regressions with bootstrap inference," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 417-432, DOI: 10.1016/j.jeconom.2017.08.017.
• Abed Masrorkhah, Sara & Lehnert, Thorsten, 2017, "Press freedom and jumps in stock prices," Economic Systems, Elsevier, volume 41, issue 1, pages 151-162, DOI: 10.1016/j.ecosys.2016.05.009.
• Lakdawala, Aeimit & Wu, Shu, 2017, "Federal Reserve credibility and the term structure of interest rates," European Economic Review, Elsevier, volume 100, issue C, pages 364-389, DOI: 10.1016/j.euroecorev.2017.08.012.
• Bigio, Saki & Schneider, Andrés, 2017, "Liquidity shocks, business cycles and asset prices," European Economic Review, Elsevier, volume 97, issue C, pages 108-130, DOI: 10.1016/j.euroecorev.2017.05.004.
• Piljak, Vanja & Swinkels, Laurens, 2017, "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, volume 30, issue C, pages 232-255, DOI: 10.1016/j.ememar.2015.10.002.
• Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017, "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, volume 30, issue C, pages 66-95, DOI: 10.1016/j.ememar.2016.09.002.
• Zaremba, Adam & Czapkiewicz, Anna, 2017, "Digesting anomalies in emerging European markets: A comparison of factor pricing models," Emerging Markets Review, Elsevier, volume 31, issue C, pages 1-15, DOI: 10.1016/j.ememar.2016.12.002.
• Lin, Qi, 2017, "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, volume 31, issue C, pages 141-163, DOI: 10.1016/j.ememar.2017.04.002.