Research classified by Journal of Economic Literature (JEL) codes

2017

• Robert A. Becker, 2017, "An Elementary Exposition of the No Strong Arbitrage Principle for Financial Markets," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2017-005, May.
• Berg Cui & Yoosoon Chang & Joon Park, 2017, "Evaluating Consumption CAPM under Heterogeneous Preferences," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2017-013, Nov.
• David Kohn, 2017, "Addicted to Debt: Foreign Purchases of U.S. Treasuries and the Term Premium," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 480.
• Victor Echevarria-Icaza & Simón Sosvilla-Rivero, 2017, "Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201707, Apr, revised Apr 2017.
• Imran Hussain Shah & Simón Sosvilla-Rivero, 2017, "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," IREA Working Papers, University of Barcelona, Research Institute of Applied Economics, number 201710, May, revised May 2017.
• Margaria Abreu & Victor Mendes, 2017, "The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2017/19, Nov.
• António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017, ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/02, Sep.
• Margarida Abreu, 2017, "How Biased is the Behavior of the Individual Investor in Warrants?," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/07, Oct.
• Margarida Abreu & Victor Mendes, 2017, "The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/14, Nov.
• António Afonso & Pedro Cardoso, 2017, "Exchange-traded Funds as an Alternative Investment Option: a Case Study," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/22, Dec.
• Dickinson, David L. & Chaudhuri, Ananish & Greenaway-McGrevy, Ryan, 2017, "Trading While Sleepy? Circadian Mismatch and Excess Volatility in a Global Experimental Asset Market," IZA Discussion Papers, IZA Network @ LISER, number 10984, Sep.
• Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena & Mauro Gallegati, 2017, "Long-run expectations in a Learning-to-Forecast Experiment: A Simulation Approach," Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain), number 2017/03.
• Huson Joher Ali Ahmed Author-Name: IKM Mokhtarul Wadud, 2017, "Oil Price Volatility And Sectoral Returns Uncertainties: Evidence From A Threshold Based Approach For The Australian Equity Market," Journal of Developing Areas, Tennessee State University, College of Business, volume 51, issue 1, pages 329-342, January-M.
• Ciaian, Pavel & Kancs, d'Artis & Rajcaniova, Miroslava, 2017, "Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2017-05, Sep.
• Gregori, Wildmer & Sacchi, Agnese, 2017, "Has the Grexit news affected euro area financial markets?," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2017-13, Dec.
• Hideharu Funahashi & Masaaki Kijima, 2017, "Does the Hurst index matter for option prices under fractional volatility?," Annals of Finance, Springer, volume 13, issue 1, pages 55-74, February, DOI: 10.1007/s10436-016-0289-1.
• Yerkin Kitapbayev & Tim Leung, 2017, "Optimal mean-reverting spread trading: nonlinear integral equation approach," Annals of Finance, Springer, volume 13, issue 2, pages 181-203, May, DOI: 10.1007/s10436-017-0295-y.
• Muhammad Fayyaz Sheikh & Syed Zulfiqar Ali Shah & Shahid Mahmood, 2017, "Weather Effects on Stock Returns and Volatility in South Asian Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 24, issue 2, pages 75-107, June, DOI: 10.1007/s10690-017-9225-2.
• Cathy W. S. Chen & Muyi Li & Nga T. H. Nguyen & Songsak Sriboonchitta, 2017, "On Asymmetric Market Model with Heteroskedasticity and Quantile Regression," Computational Economics, Springer;Society for Computational Economics, volume 49, issue 1, pages 155-174, January, DOI: 10.1007/s10614-015-9550-3.
• Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017, "Searching for Inefficiencies in Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, volume 49, issue 3, pages 405-432, March, DOI: 10.1007/s10614-016-9567-2.
• Weihong Huang & Yu Zhang, 2017, "Endogenous Fundamental and Stock Cycles," Computational Economics, Springer;Society for Computational Economics, volume 50, issue 4, pages 629-653, December, DOI: 10.1007/s10614-016-9631-y.
• Leippold, Markus & Schärer, Steven, 2017, "Discrete-time option pricing with stochastic liquidity," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 1-16, DOI: 10.1016/j.jbankfin.2016.11.014.
• Aabo, Tom & Pantzalis, Christos & Park, Jung Chul, 2017, "Idiosyncratic volatility: An indicator of noise trading?," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 136-151, DOI: 10.1016/j.jbankfin.2016.11.003.
• González-Urteaga, Ana & Rubio, Gonzalo, 2017, "The joint cross-sectional variation of equity returns and volatilities," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 17-34, DOI: 10.1016/j.jbankfin.2016.11.013.
• He, Xue-Zhong & Shi, Lei, 2017, "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 64-79, DOI: 10.1016/j.jbankfin.2016.11.001.
• Chen, Zhuo & Lu, Andrea, 2017, "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 98-108, DOI: 10.1016/j.jbankfin.2016.11.010.
• Kiesel, Rüdiger & Rahe, Florentin, 2017, "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, volume 76, issue C, pages 120-138, DOI: 10.1016/j.jbankfin.2016.11.006.
• Nartea, Gilbert V. & Kong, Dongmin & Wu, Ji, 2017, "Do extreme returns matter in emerging markets? Evidence from the Chinese stock market," Journal of Banking & Finance, Elsevier, volume 76, issue C, pages 189-197, DOI: 10.1016/j.jbankfin.2016.12.008.
• Christopoulos, Andreas D., 2017, "The composition of CMBS risk," Journal of Banking & Finance, Elsevier, volume 76, issue C, pages 215-239, DOI: 10.1016/j.jbankfin.2016.12.005.
• Li, Xiaorong & Wang, Steven Shuye & Wang, Xue, 2017, "Trust and stock price crash risk: Evidence from China," Journal of Banking & Finance, Elsevier, volume 76, issue C, pages 74-91, DOI: 10.1016/j.jbankfin.2016.12.003.
• Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017, "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, volume 77, issue C, pages 157-175, DOI: 10.1016/j.jbankfin.2017.01.005.
• Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2017, "Temperature shocks and the cost of equity capital: Implications for climate change perceptions," Journal of Banking & Finance, Elsevier, volume 77, issue C, pages 18-34, DOI: 10.1016/j.jbankfin.2016.12.013.
• Farkas, Walter & Gourier, Elise & Huitema, Robert & Necula, Ciprian, 2017, "A two-factor cointegrated commodity price model with an application to spread option pricing," Journal of Banking & Finance, Elsevier, volume 77, issue C, pages 249-268, DOI: 10.1016/j.jbankfin.2017.01.007.
• Gannon, Gerard L. & Thuraisamy, Kannan S., 2017, "Sovereign risk and the impact of crisis: Evidence from Latin AmericaAuthor-Name: Batten, Jonathan A," Journal of Banking & Finance, Elsevier, volume 77, issue C, pages 328-350, DOI: 10.1016/j.jbankfin.2016.07.011.
• Leippold, Markus & Vasiljević, Nikola, 2017, "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, volume 77, issue C, pages 78-94, DOI: 10.1016/j.jbankfin.2017.01.014.
• Møller, Stig V. & Sander, Magnus, 2017, "Dividends, earnings, and predictability," Journal of Banking & Finance, Elsevier, volume 78, issue C, pages 153-163, DOI: 10.1016/j.jbankfin.2017.02.008.
• Chiang, I-Hsuan Ethan & Hughen, W. Keener, 2017, "Do oil futures prices predict stock returns?," Journal of Banking & Finance, Elsevier, volume 79, issue C, pages 129-141, DOI: 10.1016/j.jbankfin.2017.02.012.
• Haesen, Daniel & Houweling, Patrick & van Zundert, Jeroen, 2017, "Momentum spillover from stocks to corporate bonds," Journal of Banking & Finance, Elsevier, volume 79, issue C, pages 28-41, DOI: 10.1016/j.jbankfin.2017.03.003.
• Kaul, Aditya & Kayacetin, Nuri Volkan, 2017, "Flight-to-quality, economic fundamentals, and stock returns," Journal of Banking & Finance, Elsevier, volume 80, issue C, pages 162-175, DOI: 10.1016/j.jbankfin.2017.04.003.
• Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017, "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, volume 80, issue C, pages 176-202, DOI: 10.1016/j.jbankfin.2017.03.011.
• Smales, L.A. & Apergis, N., 2017, "Understanding the impact of monetary policy announcements: The importance of language and surprises," Journal of Banking & Finance, Elsevier, volume 80, issue C, pages 33-50, DOI: 10.1016/j.jbankfin.2017.03.017.
• Prokopczuk, Marcel & Symeonidis, Lazaros & Wese Simen, Chardin, 2017, "Variance risk in commodity markets," Journal of Banking & Finance, Elsevier, volume 81, issue C, pages 136-149, DOI: 10.1016/j.jbankfin.2017.05.003.
• Aikman, David & Kiley, Michael & Lee, Seung Jung & Palumbo, Michael G. & Warusawitharana, Missaka, 2017, "Mapping heat in the U.S. financial system," Journal of Banking & Finance, Elsevier, volume 81, issue C, pages 36-64, DOI: 10.1016/j.jbankfin.2017.04.013.
• Liu, Xiaochun, 2017, "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, volume 82, issue C, pages 1-19, DOI: 10.1016/j.jbankfin.2017.04.015.
• Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017, "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, volume 82, issue C, pages 112-132, DOI: 10.1016/j.jbankfin.2017.02.007.
• Brown, Stephen J. & Sotes-Paladino, Juan & Wang, Jiaguo(George) & Yao, Yaqiong, 2017, "Starting on the wrong foot: Seasonality in mutual fund performance," Journal of Banking & Finance, Elsevier, volume 82, issue C, pages 133-150, DOI: 10.1016/j.jbankfin.2017.05.013.
• Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2017, "Risk evaluations with robust approximate factor models," Journal of Banking & Finance, Elsevier, volume 82, issue C, pages 244-264, DOI: 10.1016/j.jbankfin.2016.05.008.
• McAndrews, James & Sarkar, Asani & Wang, Zhenyu, 2017, "The effect of the term auction facility on the London interbank offered rate," Journal of Banking & Finance, Elsevier, volume 83, issue C, pages 135-152, DOI: 10.1016/j.jbankfin.2016.12.011.
• Franke, Benedikt & Müller, Sebastian & Müller, Sonja, 2017, "The q-factors and expected bond returns," Journal of Banking & Finance, Elsevier, volume 83, issue C, pages 19-35, DOI: 10.1016/j.jbankfin.2017.06.005.
• Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017, "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, volume 83, issue C, pages 85-103, DOI: 10.1016/j.jbankfin.2017.06.010.
• Zhou, Zhengyi, 2017, "Government ownership and exposure to political uncertainty: Evidence from China," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 152-165, DOI: 10.1016/j.jbankfin.2017.08.001.
• Chan, Marc K. & Kwok, Simon, 2017, "Risk-sharing, market imperfections, asset prices: Evidence from China’s stock market liberalization," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 166-187, DOI: 10.1016/j.jbankfin.2017.06.003.
• Kolev, Gueorgui I. & Karapandza, Rasa, 2017, "Out-of-sample equity premium predictability and sample split–invariant inference," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 188-201, DOI: 10.1016/j.jbankfin.2016.07.017.
• Renault, Thomas, 2017, "Intraday online investor sentiment and return patterns in the U.S. stock market," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 25-40, DOI: 10.1016/j.jbankfin.2017.07.002.
• Dotsis, George, 2017, "The market price of risk of the variance term structure," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 41-52, DOI: 10.1016/j.jbankfin.2015.10.008.
• Nucera, Federico, 2017, "Unemployment fluctuations and the predictability of currency returns," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 88-106, DOI: 10.1016/j.jbankfin.2017.07.007.
• Oh, Jong-Min, 2017, "Absorptive capacity, technology spillovers, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, volume 85, issue C, pages 146-164, DOI: 10.1016/j.jbankfin.2017.08.016.
• Bohl, Martin T. & Branger, Nicole & Trede, Mark, 2017, "The case for herding is stronger than you think," Journal of Banking & Finance, Elsevier, volume 85, issue C, pages 30-40, DOI: 10.1016/j.jbankfin.2017.08.006.
• Raffestin, Louis, 2017, "Do bond credit ratings lead to excess comovement?," Journal of Banking & Finance, Elsevier, volume 85, issue C, pages 41-55, DOI: 10.1016/j.jbankfin.2017.08.010.
• Zhang, Mu & Zheng, Jie, 2017, "A robust reference-dependent model for speculative bubbles," Journal of Economic Behavior & Organization, Elsevier, volume 137, issue C, pages 232-258, DOI: 10.1016/j.jebo.2017.03.015.
• da Gama Batista, João & Massaro, Domenico & Bouchaud, Jean-Philippe & Challet, Damien & Hommes, Cars, 2017, "Do investors trade too much? A laboratory experiment," Journal of Economic Behavior & Organization, Elsevier, volume 140, issue C, pages 18-34, DOI: 10.1016/j.jebo.2017.05.013.
• Curatola, Giuliano, 2017, "Portfolio choice and asset prices when preferences are interdependent," Journal of Economic Behavior & Organization, Elsevier, volume 140, issue C, pages 197-223, DOI: 10.1016/j.jebo.2017.05.021.
• Assefa, Tibebe A. & Esqueda, Omar A. & Mollick, André Varella, 2017, "Stock returns and interest rates around the World: A panel data approach," Journal of Economics and Business, Elsevier, volume 89, issue C, pages 20-35, DOI: 10.1016/j.jeconbus.2016.10.001.
• Ou-Yang, Hui & Wu, Weili, 2017, "Net trade and market efficiency in Grossman and Stiglitz (1980)," Journal of Economic Theory, Elsevier, volume 167, issue C, pages 75-85, DOI: 10.1016/j.jet.2016.10.006.
• Herrenbrueck, Lucas & Geromichalos, Athanasios, 2017, "A tractable model of indirect asset liquidity," Journal of Economic Theory, Elsevier, volume 168, issue C, pages 252-260, DOI: 10.1016/j.jet.2016.12.009.
• Bhamra, Harjoat S. & Shim, Kyung Hwan, 2017, "Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns," Journal of Economic Theory, Elsevier, volume 168, issue C, pages 400-431, DOI: 10.1016/j.jet.2016.11.005.
• Nezafat, Mahdi & Schroder, Mark & Wang, Qinghai, 2017, "Short-sale constraints, information acquisition, and asset prices," Journal of Economic Theory, Elsevier, volume 172, issue C, pages 273-312, DOI: 10.1016/j.jet.2017.09.007.
• Manela, Asaf & Moreira, Alan, 2017, "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, volume 123, issue 1, pages 137-162, DOI: 10.1016/j.jfineco.2016.01.032.
• Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017, "The price of variance risk," Journal of Financial Economics, Elsevier, volume 123, issue 2, pages 225-250, DOI: 10.1016/j.jfineco.2016.04.003.
• Wang, Huijun & Yan, Jinghua & Yu, Jianfeng, 2017, "Reference-dependent preferences and the risk–return trade-off," Journal of Financial Economics, Elsevier, volume 123, issue 2, pages 395-414, DOI: 10.1016/j.jfineco.2016.09.010.
• Dutta, Sunil & Nezlobin, Alexander, 2017, "Information disclosure, firm growth, and the cost of capital," Journal of Financial Economics, Elsevier, volume 123, issue 2, pages 415-431, DOI: 10.1016/j.jfineco.2016.04.001.
• Andrei, Daniel & Cujean, Julien, 2017, "Information percolation, momentum and reversal," Journal of Financial Economics, Elsevier, volume 123, issue 3, pages 617-645, DOI: 10.1016/j.jfineco.2016.05.012.
• Chague, Fernando & De-Losso, Rodrigo & De Genaro, Alan & Giovannetti, Bruno, 2017, "Well-connected short-sellers pay lower loan fees: A market-wide analysis," Journal of Financial Economics, Elsevier, volume 123, issue 3, pages 646-670, DOI: 10.1016/j.jfineco.2016.12.011.
• van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017, "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, volume 124, issue 1, pages 1-21, DOI: 10.1016/j.jfineco.2017.01.009.
• Han, Bing & Subrahmanyam, Avanidhar & Zhou, Yi, 2017, "The term structure of credit spreads, firm fundamentals, and expected stock returns," Journal of Financial Economics, Elsevier, volume 124, issue 1, pages 147-171, DOI: 10.1016/j.jfineco.2017.01.002.
• Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2017, "High frequency trading and the 2008 short-sale ban," Journal of Financial Economics, Elsevier, volume 124, issue 1, pages 22-42, DOI: 10.1016/j.jfineco.2017.01.008.
• Jiang, George J. & Zhu, Kevin X., 2017, "Information Shocks and Short-Term Market Underreaction," Journal of Financial Economics, Elsevier, volume 124, issue 1, pages 43-64, DOI: 10.1016/j.jfineco.2016.06.006.
• Di Maggio, Marco & Kermani, Amir & Song, Zhaogang, 2017, "The value of trading relations in turbulent times," Journal of Financial Economics, Elsevier, volume 124, issue 2, pages 266-284, DOI: 10.1016/j.jfineco.2017.01.003.
• Lee, Charles M.C. & So, Eric C., 2017, "Uncovering expected returns: Information in analyst coverage proxies," Journal of Financial Economics, Elsevier, volume 124, issue 2, pages 331-348, DOI: 10.1016/j.jfineco.2017.01.007.
• Londono, Juan M. & Zhou, Hao, 2017, "Variance risk premiums and the forward premium puzzle," Journal of Financial Economics, Elsevier, volume 124, issue 2, pages 415-440, DOI: 10.1016/j.jfineco.2017.02.002.
• Brogaard, Jonathan & Li, Dan & Xia, Ying, 2017, "Stock liquidity and default risk," Journal of Financial Economics, Elsevier, volume 124, issue 3, pages 486-502, DOI: 10.1016/j.jfineco.2017.03.003.
• Menkveld, Albert J. & Yueshen, Bart Zhou & Zhu, Haoxiang, 2017, "Shades of darkness: A pecking order of trading venues," Journal of Financial Economics, Elsevier, volume 124, issue 3, pages 503-534, DOI: 10.1016/j.jfineco.2017.03.004.
• Bruche, Max & Segura, Anatoli, 2017, "Debt maturity and the liquidity of secondary debt markets," Journal of Financial Economics, Elsevier, volume 124, issue 3, pages 599-613, DOI: 10.1016/j.jfineco.2017.04.002.
• Goliński, Adam & Spencer, Peter, 2017, "The advantages of using excess returns to model the term structure," Journal of Financial Economics, Elsevier, volume 125, issue 1, pages 163-181, DOI: 10.1016/j.jfineco.2017.05.001.
• Eraker, Bjørn & Wu, Yue, 2017, "Explaining the negative returns to volatility claims: An equilibrium approach," Journal of Financial Economics, Elsevier, volume 125, issue 1, pages 72-98, DOI: 10.1016/j.jfineco.2017.04.007.
• Blanco, Iván & Wehrheim, David, 2017, "The bright side of financial derivatives: Options trading and firm innovation," Journal of Financial Economics, Elsevier, volume 125, issue 1, pages 99-119, DOI: 10.1016/j.jfineco.2017.04.004.
• Liu, Laura Xiaolei & Shu, Haibing & Wei, K.C. John, 2017, "The impacts of political uncertainty on asset prices: Evidence from the Bo scandal in China," Journal of Financial Economics, Elsevier, volume 125, issue 2, pages 286-310, DOI: 10.1016/j.jfineco.2017.05.011.
• Dittmar, Robert F. & Lundblad, Christian T., 2017, "Firm characteristics, consumption risk, and firm-level risk exposures," Journal of Financial Economics, Elsevier, volume 125, issue 2, pages 326-343, DOI: 10.1016/j.jfineco.2017.05.002.
• Dinc, Serdar & Erel, Isil & Liao, Rose, 2017, "Fire sale discount: Evidence from the sale of minority equity stakes," Journal of Financial Economics, Elsevier, volume 125, issue 3, pages 475-490, DOI: 10.1016/j.jfineco.2017.06.009.
• Dannhauser, Caitlin D., 2017, "The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs)," Journal of Financial Economics, Elsevier, volume 125, issue 3, pages 537-560, DOI: 10.1016/j.jfineco.2017.06.002.
• Baruch, Shmuel & Panayides, Marios & Venkataraman, Kumar, 2017, "Informed trading and price discovery before corporate events," Journal of Financial Economics, Elsevier, volume 125, issue 3, pages 561-588, DOI: 10.1016/j.jfineco.2017.05.008.
• Avdis, Efstathios & Wachter, Jessica A., 2017, "Maximum likelihood estimation of the equity premium," Journal of Financial Economics, Elsevier, volume 125, issue 3, pages 589-609, DOI: 10.1016/j.jfineco.2017.06.003.
• He, Zhiguo & Kelly, Bryan & Manela, Asaf, 2017, "Intermediary asset pricing: New evidence from many asset classes," Journal of Financial Economics, Elsevier, volume 126, issue 1, pages 1-35, DOI: 10.1016/j.jfineco.2017.08.002.
• Glaeser, Edward L. & Nathanson, Charles G., 2017, "An extrapolative model of house price dynamics," Journal of Financial Economics, Elsevier, volume 126, issue 1, pages 147-170, DOI: 10.1016/j.jfineco.2017.06.012.
• Garlappi, Lorenzo & Song, Zhongzhi, 2017, "Capital utilization, market power, and the pricing of investment shocks," Journal of Financial Economics, Elsevier, volume 126, issue 3, pages 447-470, DOI: 10.1016/j.jfineco.2016.11.006.
• Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017, "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, volume 126, issue 3, pages 471-489, DOI: 10.1016/j.jfineco.2017.09.005.
• Zhao, Guihai, 2017, "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, volume 126, issue 3, pages 668-688, DOI: 10.1016/j.jfineco.2017.09.007.
• Anginer, Deniz & Cerutti, Eugenio & Martínez Pería, María Soledad, 2017, "Foreign bank subsidiaries' default risk during the global crisis: What factors help insulate affiliates from their parents?," Journal of Financial Intermediation, Elsevier, volume 29, issue C, pages 19-31, DOI: 10.1016/j.jfi.2016.05.004.
• Ben-Rephael, Azi, 2017, "Flight-to-liquidity, market uncertainty, and the actions of mutual fund investors," Journal of Financial Intermediation, Elsevier, volume 31, issue C, pages 30-44, DOI: 10.1016/j.jfi.2017.05.002.
• Gao, George P. & Moulton, Pamela C. & Ng, David T., 2017, "Institutional ownership and return predictability across economically unrelated stocks," Journal of Financial Intermediation, Elsevier, volume 31, issue C, pages 45-63, DOI: 10.1016/j.jfi.2016.07.004.
• Tan, Youchao & Zeng, Cheng Colin & Elshandidy, Tamer, 2017, "Risk disclosures, international orientation, and share price informativeness: Evidence from China," Journal of International Accounting, Auditing and Taxation, Elsevier, volume 29, issue C, pages 81-102, DOI: 10.1016/j.intaccaudtax.2017.08.002.
• Chen, Jian & Jiang, Fuwei & Liu, Yangshu & Tu, Jun, 2017, "International volatility risk and Chinese stock return predictability," Journal of International Money and Finance, Elsevier, volume 70, issue C, pages 183-203, DOI: 10.1016/j.jimonfin.2016.08.007.
• Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen, 2017, "Sovereign bond market reactions to no-bailout clauses and fiscal rules – The Swiss experience," Journal of International Money and Finance, Elsevier, volume 70, issue C, pages 319-343, DOI: 10.1016/j.jimonfin.2016.09.002.
• Kang, Wensheng & Perez de Gracia, Fernando & Ratti, Ronald A., 2017, "Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations," Journal of International Money and Finance, Elsevier, volume 70, issue C, pages 344-359, DOI: 10.1016/j.jimonfin.2016.10.003.
• Ellington, Michael & Florackis, Chris & Milas, Costas, 2017, "Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR," Journal of International Money and Finance, Elsevier, volume 72, issue C, pages 93-117, DOI: 10.1016/j.jimonfin.2016.12.002.
• Boysen-Hogrefe, Jens, 2017, "Risk assessment on euro area government bond markets – The role of governance," Journal of International Money and Finance, Elsevier, volume 73, issue PA, pages 104-117, DOI: 10.1016/j.jimonfin.2017.01.005.
• Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017, "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, volume 73, issue PA, pages 162-187, DOI: 10.1016/j.jimonfin.2017.01.002.
• Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2017, "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Journal of International Money and Finance, Elsevier, volume 73, issue PB, pages 371-385, DOI: 10.1016/j.jimonfin.2017.03.006.
• Lambertides, Neophytos & Savva, Christos S. & Tsouknidis, Dimitris A., 2017, "The effects of oil price shocks on U.S. stock order flow imbalances and stock returns," Journal of International Money and Finance, Elsevier, volume 74, issue C, pages 137-146, DOI: 10.1016/j.jimonfin.2017.03.008.
• Hoffmann, Mathias & Studer-Suter, Rahel, 2017, "Systematic consumption risk in currency returns," Journal of International Money and Finance, Elsevier, volume 74, issue C, pages 187-208, DOI: 10.1016/j.jimonfin.2017.01.001.
• Fukuda, Shin-ichi & Tanaka, Mariko, 2017, "Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar," Journal of International Money and Finance, Elsevier, volume 74, issue C, pages 301-317, DOI: 10.1016/j.jimonfin.2017.02.022.
• Bernhard, Severin & Ebner, Till, 2017, "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, volume 75, issue C, pages 109-127, DOI: 10.1016/j.jimonfin.2017.04.001.
• Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2017, "Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme," Journal of International Money and Finance, Elsevier, volume 75, issue C, pages 14-31, DOI: 10.1016/j.jimonfin.2017.04.003.
• Picault, Matthieu & Renault, Thomas, 2017, "Words are not all created equal: A new measure of ECB communication," Journal of International Money and Finance, Elsevier, volume 79, issue C, pages 136-156, DOI: 10.1016/j.jimonfin.2017.09.005.
• Harris, Richard D.F. & Shen, Jian, 2017, "The intrinsic value of gold: An exchange rate-free price index," Journal of International Money and Finance, Elsevier, volume 79, issue C, pages 203-217, DOI: 10.1016/j.jimonfin.2017.09.007.
• Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Göhring, Matthias, 2017, "Determinants of sub-sovereign bond yield spreads – The role of fiscal fundamentals and federal bailout expectations," Journal of International Money and Finance, Elsevier, volume 79, issue C, pages 72-98, DOI: 10.1016/j.jimonfin.2017.08.003.
• Suzuki, Kazuyuki & Chida, Ryokichi, 2017, "Contribution of R&D capital to differences in Tobin's q among Japanese manufacturing firms: Evidence from an investment-based asset pricing model," Journal of the Japanese and International Economies, Elsevier, volume 43, issue C, pages 38-58, DOI: 10.1016/j.jjie.2016.12.001.
• Nemoto, Hiroyuki, 2017, "Credit availability and asset price: Empirical analysis of the Japanese bubbles in 1980s," Journal of the Japanese and International Economies, Elsevier, volume 44, issue C, pages 90-98, DOI: 10.1016/j.jjie.2017.04.001.
• Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2017, "The term structure of credit spreads and business cycle in Japan," Journal of the Japanese and International Economies, Elsevier, volume 45, issue C, pages 27-36, DOI: 10.1016/j.jjie.2017.06.001.
• Ahmed, Ammad & Ali, Searat, 2017, "Boardroom gender diversity and stock liquidity: Evidence from Australia," Journal of Contemporary Accounting and Economics, Elsevier, volume 13, issue 2, pages 148-165, DOI: 10.1016/j.jcae.2017.06.001.
• Valcarcel, Victor J. & Vivian, Andrew J. & Wohar, Mark E., 2017, "Predictability and underreaction in industry-level returns: Evidence from commodity markets," Journal of Commodity Markets, Elsevier, volume 6, issue C, pages 1-15, DOI: 10.1016/j.jcomm.2017.02.003.
• Yan, Lei & Garcia, Philip, 2017, "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, volume 8, issue C, pages 43-55, DOI: 10.1016/j.jcomm.2017.10.002.
• Birz, Gene, 2017, "Stale economic news, media and the stock market," Journal of Economic Psychology, Elsevier, volume 61, issue C, pages 87-102, DOI: 10.1016/j.joep.2017.03.002.
• Gil-Alana, Luis A. & Cunado, Juncal & Gupta, Rangan, 2017, "Evidence of persistence in U.S. short and long-term interest rates," Journal of Policy Modeling, Elsevier, volume 39, issue 5, pages 775-789, DOI: 10.1016/j.jpolmod.2017.04.005.
• Su, Chi-Wei & Wang, Kai-Hua & Chang, Hsu-Ling & Dumitrescu–Peculea, Adelina, 2017, "Do iron ore price bubbles occur?," Resources Policy, Elsevier, volume 53, issue C, pages 340-346, DOI: 10.1016/j.resourpol.2017.08.003.
• Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017, "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, volume 85, issue C, pages 69-86, DOI: 10.1016/j.jmoneco.2016.11.005.
• Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017, "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, volume 86, issue C, pages 1-21, DOI: 10.1016/j.jmoneco.2017.01.001.
• Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017, "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, volume 88, issue C, pages 50-69, DOI: 10.1016/j.jmoneco.2017.05.006.
• Adrian, Tobias & Boyarchenko, Nina & Shachar, Or, 2017, "Dealer balance sheets and bond liquidity provision," Journal of Monetary Economics, Elsevier, volume 89, issue C, pages 92-109, DOI: 10.1016/j.jmoneco.2017.03.011.
• Shachmurove, Yochanan & Vulanovic, Milos, 2017, "U.S. SPACs with a focus on China," Journal of Multinational Financial Management, Elsevier, volume 39, issue C, pages 1-18, DOI: 10.1016/j.mulfin.2016.12.001.
• Cai, Kelly, 2017, "The cost of debt for Yankee and domestic bonds," Journal of Multinational Financial Management, Elsevier, volume 40, issue C, pages 1-13, DOI: 10.1016/j.mulfin.2017.05.005.
• Devaney, Steven & Xiao, Qin, 2017, "Cyclical co-movements of private real estate, public real estate and equity markets: A cross-continental spectrum," Journal of Multinational Financial Management, Elsevier, volume 42, issue , pages 132-151, DOI: 10.1016/j.mulfin.2017.10.002.
• Park, Heungju & Ju, Lan & Liang, Tianyu & Tu, Zhiyong, 2017, "Horizon analysis of art investments: Evidence from the Chinese market," Pacific-Basin Finance Journal, Elsevier, volume 41, issue C, pages 17-25, DOI: 10.1016/j.pacfin.2016.11.001.
• Lin, Chaonan & Ko, Kuan-Cheng & Lin, Lin & Yang, Nien-Tzu, 2017, "Price limits and the value premium in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, volume 41, issue C, pages 26-45, DOI: 10.1016/j.pacfin.2016.12.001.
• Naifar, Nader & Mroua, Mourad & Bahloul, Slah, 2017, "Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence," Pacific-Basin Finance Journal, Elsevier, volume 41, issue C, pages 65-74, DOI: 10.1016/j.pacfin.2016.12.004.
• Wu, Chen-Hui & Lin, Chan-Jane, 2017, "The impact of media coverage on investor trading behavior and stock returns," Pacific-Basin Finance Journal, Elsevier, volume 43, issue C, pages 151-172, DOI: 10.1016/j.pacfin.2017.04.001.
• Jain, Pawan & Xue, Wenjun, 2017, "Global investigation of return autocorrelation and its determinants," Pacific-Basin Finance Journal, Elsevier, volume 43, issue C, pages 200-217, DOI: 10.1016/j.pacfin.2017.04.007.
• Guo, Bin & Zhang, Wei & Zhang, Yongjie & Zhang, Han, 2017, "The five-factor asset pricing model tests for the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, volume 43, issue C, pages 84-106, DOI: 10.1016/j.pacfin.2017.02.001.
• Liu, Zhenya & Wang, Shixuan, 2017, "Decoding Chinese stock market returns: Three-state hidden semi-Markov model," Pacific-Basin Finance Journal, Elsevier, volume 44, issue C, pages 127-149, DOI: 10.1016/j.pacfin.2017.06.007.
• Goh, Jihoon & Jeon, Byoung-Hyun, 2017, "Post-earnings-announcement-drift and 52-week high: Evidence from Korea," Pacific-Basin Finance Journal, Elsevier, volume 44, issue C, pages 150-159, DOI: 10.1016/j.pacfin.2017.06.008.
• Li, Wei & Rhee, Ghon & Wang, Steven Shuye, 2017, "Differences in herding: Individual vs. institutional investors," Pacific-Basin Finance Journal, Elsevier, volume 45, issue C, pages 174-185, DOI: 10.1016/j.pacfin.2016.11.005.
• Maslyuk-Escobedo, Svetlana & Rotaru, Kristian & Dokumentov, Alexander, 2017, "News sentiment and jumps in energy spot and futures markets," Pacific-Basin Finance Journal, Elsevier, volume 45, issue C, pages 186-210, DOI: 10.1016/j.pacfin.2016.07.001.
• Frino, Alex & Prodromou, Tina & Wang, George H.K. & Westerholm, P. Joakim & Zheng, Hui, 2017, "An empirical analysis of algorithmic trading around earnings announcements," Pacific-Basin Finance Journal, Elsevier, volume 45, issue C, pages 34-51, DOI: 10.1016/j.pacfin.2016.05.008.
• Cheema, Muhammad A. & Nartea, Gilbert V., 2017, "Momentum, idiosyncratic volatility and market dynamics: Evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PA, pages 109-123, DOI: 10.1016/j.pacfin.2017.09.001.
• Jang, Jeewon, 2017, "Stock return anomalies and individual investors in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PA, pages 141-157, DOI: 10.1016/j.pacfin.2017.09.002.
• Li, Xiao-Ming, 2017, "New evidence on economic policy uncertainty and equity premium," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PA, pages 41-56, DOI: 10.1016/j.pacfin.2017.08.005.
• Kim, Young Jun & Lee, Joonil & Lee, Su Jeong & Sunwoo, Hee-Yeon, 2017, "Do mutual funds exploit the accrual anomaly?: Korean evidence," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PB, pages 227-242, DOI: 10.1016/j.pacfin.2017.09.008.
• Adachi, Yuta & Masuda, Motoki & Takeda, Fumiko, 2017, "Google search intensity and its relationship to the returns and liquidity of Japanese startup stocks," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PB, pages 243-257, DOI: 10.1016/j.pacfin.2017.09.009.
• Wang, Peipei & Wen, Yuanji & Singh, Harminder, 2017, "The high-volume return premium: Does it exist in the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PB, pages 323-336, DOI: 10.1016/j.pacfin.2017.10.003.
• Huang, Chun-Kai & North, Delia & Zewotir, Temesgen, 2017, "Exchangeability, extreme returns and Value-at-Risk forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 477, issue C, pages 204-216, DOI: 10.1016/j.physa.2017.02.080.
• Hail, Luzi & Sikes, Stephanie & Wang, Clare, 2017, "Cross-country evidence on the relation between capital gains taxes, risk, and expected returns," Journal of Public Economics, Elsevier, volume 151, issue C, pages 56-73, DOI: 10.1016/j.jpubeco.2015.12.001.
• Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017, "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, volume 63, issue C, pages 185-192, DOI: 10.1016/j.qref.2016.04.002.
• Noman, Abdullah & Naka, Atsuyuki & Zirek, Duygu, 2017, "Examining return predictability of industry style portfolios with prior return relative to a benchmark," The Quarterly Review of Economics and Finance, Elsevier, volume 63, issue C, pages 193-203, DOI: 10.1016/j.qref.2016.04.010.
• McCown, James Ross & Shaw, Ron, 2017, "Investment potential and risk hedging characteristics of platinum group metals," The Quarterly Review of Economics and Finance, Elsevier, volume 63, issue C, pages 328-337, DOI: 10.1016/j.qref.2016.06.001.
• Naka, Atsuyuki & Noman, Abdullah, 2017, "Diversification of risk exposure through country mutual funds under alternative investment opportunities," The Quarterly Review of Economics and Finance, Elsevier, volume 64, issue C, pages 215-227, DOI: 10.1016/j.qref.2016.06.009.
• Ngo, Thanh, 2017, "Exchange rate exposure of REITs," The Quarterly Review of Economics and Finance, Elsevier, volume 64, issue C, pages 249-258, DOI: 10.1016/j.qref.2016.09.002.
• Juneja, Januj, 2017, "Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models," The Quarterly Review of Economics and Finance, Elsevier, volume 64, issue C, pages 292-305, DOI: 10.1016/j.qref.2016.08.003.
• Wang, Zijun & Khan, M. Moosa, 2017, "Market states and the risk-return tradeoff," The Quarterly Review of Economics and Finance, Elsevier, volume 65, issue C, pages 314-327, DOI: 10.1016/j.qref.2016.10.001.
• Krause, Marko & Lahmann, Alexander, 2017, "Valuation effects of taxes on debt cancellation," The Quarterly Review of Economics and Finance, Elsevier, volume 65, issue C, pages 346-354, DOI: 10.1016/j.qref.2016.11.005.
• Teplova, Tamara & Mikova, Evgeniya & Nazarov, Nikolai, 2017, "Stop losses momentum strategy: From profit maximization to risk control under White’s Bootstrap Reality Check," The Quarterly Review of Economics and Finance, Elsevier, volume 66, issue C, pages 240-258, DOI: 10.1016/j.qref.2017.03.003.
• Liu, Xiaochun, 2017, "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, volume 66, issue C, pages 275-293, DOI: 10.1016/j.qref.2017.03.006.
• Curatola, Giuliano, 2017, "Optimal portfolio choice with loss aversion over consumption," The Quarterly Review of Economics and Finance, Elsevier, volume 66, issue C, pages 345-358, DOI: 10.1016/j.qref.2017.04.003.
• Barro, Robert J. & Ursúa, José F., 2017, "Stock-market crashes and depressions," Research in Economics, Elsevier, volume 71, issue 3, pages 384-398, DOI: 10.1016/j.rie.2017.04.001.
• Wickens, Michael, 2017, "A DSGE model of banks and financial intermediation with default risk," Research in Economics, Elsevier, volume 71, issue 3, pages 636-642, DOI: 10.1016/j.rie.2017.05.004.
• Wu, Hui & Ma, Chaoqun & Yue, Shengjie, 2017, "Momentum in strategic asset allocation," International Review of Economics & Finance, Elsevier, volume 47, issue C, pages 115-127, DOI: 10.1016/j.iref.2016.10.009.
• Chiu, Junmao & Tsai, Kunchi, 2017, "Government interventions and equity liquidity in the sub-prime crisis period: Evidence from the ETF market," International Review of Economics & Finance, Elsevier, volume 47, issue C, pages 128-142, DOI: 10.1016/j.iref.2016.10.013.
• Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017, "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, volume 47, issue C, pages 159-175, DOI: 10.1016/j.iref.2016.10.007.
• Tao, Qizhi & Chen, Carl & Lu, Rui & Zhang, Ting, 2017, "Underfunding or distress? An analysis of corporate pension underfunding and the cross-section of expected stock returns," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 116-133, DOI: 10.1016/j.iref.2016.11.009.
• Kim, Myeong Hyeon & Sun, Lingxia, 2017, "Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 309-325, DOI: 10.1016/j.iref.2016.12.014.
• Chen, Shyh-Wei & Xie, Zixiong, 2017, "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 339-354, DOI: 10.1016/j.iref.2016.12.001.
• Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017, "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 34-48, DOI: 10.1016/j.iref.2016.11.004.
• Lai, Ya-Wen, 2017, "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 452-477, DOI: 10.1016/j.iref.2016.11.002.
• Kim, Kwanho, 2017, "Liquidity basis between credit default swaps and corporate bonds markets," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 98-115, DOI: 10.1016/j.iref.2016.11.013.
• Yu, Philip L.H. & Lu, Renjie, 2017, "Cointegrated market-neutral strategy for basket trading," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 112-124, DOI: 10.1016/j.iref.2017.01.007.
• Shimizu, Makoto, 2017, "Effect of net foreign assets on persistency of time-varying risk premium: Evidence from the Dollar-Yen exchange rate," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 255-265, DOI: 10.1016/j.iref.2017.01.022.
• Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2017, "The dynamic effects of quantitative easing on stock price: Evidence from Asian emerging markets, 2001–2016," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 548-567, DOI: 10.1016/j.iref.2017.03.002.
• Liu, Bo & Liu, Yang & Peng, Juan & Yang, Jinqiang, 2017, "Optimal capital structure and credit spread under incomplete information," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 596-611, DOI: 10.1016/j.iref.2017.03.020.
• Ali, Searat & Liu, Benjamin & Su, Jen Je, 2017, "Corporate governance and stock liquidity dimensions: Panel evidence from pure order-driven Australian market," International Review of Economics & Finance, Elsevier, volume 50, issue C, pages 275-304, DOI: 10.1016/j.iref.2017.03.005.
• Kim, Daehwan & Iwasawa, Seiichiro, 2017, "Hot money and cross-section of stock returns during the global financial crisis," International Review of Economics & Finance, Elsevier, volume 50, issue C, pages 8-22, DOI: 10.1016/j.iref.2017.03.022.
• Cheema, Muhammad A. & Nartea, Gilbert V., 2017, "Momentum returns, market states, and market dynamics: Is China different?," International Review of Economics & Finance, Elsevier, volume 50, issue C, pages 85-97, DOI: 10.1016/j.iref.2017.04.003.
• Jin, Xiaoye, 2017, "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 157-173, DOI: 10.1016/j.iref.2017.05.015.
• Cao, N. & Galvani, V. & Gubellini, S., 2017, "Firm-specific stock and bond predictability: New evidence from Canada," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 174-192, DOI: 10.1016/j.iref.2017.05.007.
• Tsukuda, Yoshihiko & Shimada, Junji & Miyakoshi, Tatsuyoshi, 2017, "Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 193-213, DOI: 10.1016/j.iref.2017.05.013.
• Dima, Bogdan & Dima, Ştefana Maria, 2017, "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 36-59, DOI: 10.1016/j.iref.2017.05.008.
• Hu, May & Chao, Chi-Chur & Malone, Chris & Young, Martin, 2017, "Real determinants of stock split announcements," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 574-598, DOI: 10.1016/j.iref.2017.07.027.
• Buncic, Daniel & Tischhauser, Martin, 2017, "Macroeconomic factors and equity premium predictability," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 621-644, DOI: 10.1016/j.iref.2017.07.006.
• Aman, Hiroyuki & Moriyasu, Hiroshi, 2017, "Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 660-676, DOI: 10.1016/j.iref.2017.07.029.
• Gao, Shenghao & Cao, Feng & Liu, Xiangqiang, 2017, "Seeing is not necessarily the truth: Do institutional investors' corporate site visits reduce hosting firms' stock price crash risk?," International Review of Economics & Finance, Elsevier, volume 52, issue C, pages 165-187, DOI: 10.1016/j.iref.2017.09.013.
• Chen, Shyh-Wei & Xie, Zixiong, 2017, "Detecting speculative bubbles under considerations of the sign asymmetry and size non-linearity: New international evidence," International Review of Economics & Finance, Elsevier, volume 52, issue C, pages 188-209, DOI: 10.1016/j.iref.2017.09.008.
• Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017, "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, volume 34, issue C, pages 61-73, DOI: 10.1016/j.rfe.2017.06.003.
• Nam, Kiseok & Khaksari, Shahriar & Kang, Moonsoo, 2017, "Trend in aggregate idiosyncratic volatility," Review of Financial Economics, Elsevier, volume 35, issue C, pages 11-28, DOI: 10.1016/j.rfe.2016.11.001.
• Pati, Pratap Chandra & Rajib, Prabina & Barai, Parama, 2017, "A behavioural explanation to the asymmetric volatility phenomenon: Evidence from market volatility index," Review of Financial Economics, Elsevier, volume 35, issue C, pages 66-81, DOI: 10.1016/j.rfe.2017.07.004.
• Vortelinos, Dimitrios I. & Koulakiotis, Athanasios & Tsagkanos, Athanasios, 2017, "Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 150-168, DOI: 10.1016/j.ribaf.2016.07.002.
• Trabelsi Mnif, Afef, 2017, "Political uncertainty and behavior of Tunisian stock market cycles: Structural unobserved components time series models," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 206-214, DOI: 10.1016/j.ribaf.2016.07.029.
• Dinh, Minh Thi Hong, 2017, "The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 30-40, DOI: 10.1016/j.ribaf.2016.07.013.
• Cheong, Calvin W.H. & Sinnakkannu, Jothee & Ramasamy, Sockalingam, 2017, "On the predictability of carry trade returns: The case of the Chinese Yuan," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 358-376, DOI: 10.1016/j.ribaf.2016.09.007.
• Moussa, Faten & Delhoumi, Ezzeddine & Ouda, Olfa Ben, 2017, "Stock return and volatility reactions to information demand and supply," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 54-67, DOI: 10.1016/j.ribaf.2016.07.016.
• Lim, Kian-Ping & Thian, Tze-Chung & Hooy, Chee-Wooi, 2017, "Investor heterogeneity, trading account types and competing liquidity channels for Malaysian stocks," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 220-234, DOI: 10.1016/j.ribaf.2017.04.019.
• Zaremba, Adam & Schabek, Tomasz, 2017, "Seasonality in government bond returns and factor premia," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 292-302, DOI: 10.1016/j.ribaf.2017.04.036.
• Azad, A.S.M. Sohel & Chazi, Abdelaziz & Cooper, Peter & Ahsan, Amirul, 2017, "What determines the Japanese corporate credit spread? A new evidence," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 354-361, DOI: 10.1016/j.ribaf.2017.04.029.