Research classified by Journal of Economic Literature (JEL) codes

2017

• Wolfgang Breuer & Karsten Kohn & Klaus Mark, 2017, "A note on corporate valuation using imprecise cost of capital," Journal of Business Economics, Springer, volume 87, issue 6, pages 709-747, August, DOI: 10.1007/s11573-016-0832-6.
• Burkhard Heer & Alfred Maußner & Halvor Ruf, 2017, "Q-Targeting in New Keynesian Models," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), volume 13, issue 2, pages 189-224, November, DOI: 10.1007/s41549-017-0019-4.
• Borja Balparda & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2017, "The fisher relationship in Nigeria," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 2, pages 343-353, April, DOI: 10.1007/s12197-016-9355-9.
• Amit K. Sinha & Philip A. Horvath & Robert C. Scott, 2017, "The real miss-specification in the forward rate premium puzzle," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 463-473, July, DOI: 10.1007/s12197-016-9363-9.
• Jukka Ilomäki, 2017, "Animal spirits, beauty contests and expected returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 474-486, July, DOI: 10.1007/s12197-016-9364-8.
• Gaurango Banerjee & Abhiman Das & Kalidas Jana & Shekar Shetty, 2017, "Effects of derivatives usage and financial statement items on capital market risk measures of Bank stocks: evidence from India," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 487-504, July, DOI: 10.1007/s12197-016-9366-6.
• Gilbert V. Nartea & Muhammad A. Cheema & Kenneth R. Szulczyk, 2017, "Searching for rational bubble footprints in the Singaporean and Indonesian stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 3, pages 529-552, July, DOI: 10.1007/s12197-016-9369-3.
• Richard Borghesi, 2017, "Liquidity, overpricing, and the tactics of informed traders," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 41, issue 4, pages 701-713, October, DOI: 10.1007/s12197-016-9375-5.
• Aloui Mouna & Jarboui Anis, 2017, "Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), volume 8, issue 3, pages 898-915, September, DOI: 10.1007/s13132-015-0301-4.
• Gregory Phelan, 2017, "Collateralized borrowing and increasing risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 63, issue 2, pages 471-502, February, DOI: 10.1007/s00199-015-0943-2.
• Marco Airaudo, 2017, "Complex stock price dynamics under Max Weber’s spirit of capitalism hypothesis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 64, issue 1, pages 47-73, June, DOI: 10.1007/s00199-016-0969-0.
• Marta Faias & Jaime Luque, 2017, "Endogenous formation of security exchanges," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 64, issue 2, pages 331-355, August, DOI: 10.1007/s00199-016-0989-9.
• Gianluca Cassese, 2017, "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 64, issue 3, pages 539-570, October, DOI: 10.1007/s00199-016-0999-7.
• Xue-Zhong He & Youwei Li, 2017, "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, volume 27, issue 5, pages 1071-1094, November, DOI: 10.1007/s00191-017-0505-9.
• Parthajit Kayal & S. Maheswaran, 2017, "Is USD-INR Really an Excessively Volatile Currency Pair?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 15, issue 2, pages 329-342, June, DOI: 10.1007/s40953-016-0054-3.
• Khaled Guesmi & Olfa Kaabia & Ilyes Abid, 2017, "ASEAN Plus Three Stock Markets Integration," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), volume 15, issue 3, pages 565-581, September, DOI: 10.1007/s40953-016-0062-3.
• Suresh Nallareddy & Maria Ogneva, 2017, "Accrual quality, skill, and the cross-section of mutual fund returns," Review of Accounting Studies, Springer, volume 22, issue 2, pages 503-542, June, DOI: 10.1007/s11142-017-9389-z.
• Michael S. Drake & Jacob R. Thornock & Brady J. Twedt, 2017, "The internet as an information intermediary," Review of Accounting Studies, Springer, volume 22, issue 2, pages 543-576, June, DOI: 10.1007/s11142-017-9395-1.
• Mirko S. Heinle & Kevin C. Smith, 2017, "A theory of risk disclosure," Review of Accounting Studies, Springer, volume 22, issue 4, pages 1459-1491, December, DOI: 10.1007/s11142-017-9414-2.
• Wali Ullah, 2017, "Term structure forecasting in affine framework with time-varying volatility," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 26, issue 3, pages 453-483, August, DOI: 10.1007/s10260-017-0378-y.
• Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez, 2017, "Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 153, issue 1, pages 71-103, February, DOI: 10.1007/s10290-016-0271-z.
• Jun-Biao Lina & Ping-Yeh Su, 2017, "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, volume 7, issue 1, pages 1-2.
• D'Errico, Marco & Roukny, Tarik, 2017, "Compressing over-the-counter markets," ESRB Working Paper Series, European Systemic Risk Board, number 44, May.
• Guagliano, Claudia & Mazzacurati, Julien, 2017, "Collateral scarcity premia in euro area repo markets," ESRB Working Paper Series, European Systemic Risk Board, number 55, Oct.
• Pan, Kevin & Zeng, Yao, 2017, "ETF arbitrage under liquidity mismatch," ESRB Working Paper Series, European Systemic Risk Board, number 59, Dec.
• Shafiu ABDULLAHI, 2017, "Stock Market Linkage Financial Contagion and Assets Price Movements Evidence from Nigerian Stock Exchange," Journal of Advanced Studies in Finance, ASERS Publishing, volume 8, issue 2, pages 146-159.
• Pietro Dindo & Jacopo Staccioli, 2017, "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2017/33, Dec.
• Andreas Haupenthal & Matthias Neuenkirch, 2017, "Grexit news and stock returns," Applied Economics, Taylor & Francis Journals, volume 49, issue 39, pages 3891-3898, August, DOI: 10.1080/00036846.2016.1270418.
• David E Allen & Michael McAleer & Abhay K Singh, 2017, "An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series," Applied Economics, Taylor & Francis Journals, volume 49, issue 7, pages 677-692, February, DOI: 10.1080/00036846.2016.1203067.
• Ilze Kalnina & Dacheng Xiu, 2017, "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, volume 112, issue 517, pages 384-396, January, DOI: 10.1080/01621459.2016.1141687.
• A.M.M. Shahiduzzaman Quoreshi, 2017, "A bivariate integer-valued long-memory model for high-frequency financial count data," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 46, issue 3, pages 1080-1089, February, DOI: 10.1080/03610926.2014.997361.
• Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan, 2017, "Factor pricing in commodity futures and the role of liquidity," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 11, pages 1745-1757, November, DOI: 10.1080/14697688.2017.1312506.
• Matthias Raddant & Friedrich Wagner, 2017, "Transitions in the stock markets of the US, UK and Germany," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 2, pages 289-297, February, DOI: 10.1080/14697688.2016.1183812.
• J. Daniel AromÍ, 2017, "Conventional Views and Asset Prices: What to Expect After Times of Extreme Opinions?," Journal of Applied Economics, Taylor & Francis Journals, volume 20, issue 1, pages 49-73, May, DOI: 10.1016/S1514-0326(17)30003-X.
• Ewa Karwowski & Engelbert Stockhammer, 2017, "Financialisation in emerging economies: a systematic overview and comparison with Anglo-Saxon economies," Economic and Political Studies, Taylor & Francis Journals, volume 5, issue 1, pages 60-86, January, DOI: 10.1080/20954816.2016.1274520.
• Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2017, "Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-02, Feb.
• Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017, "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-09.
• Chowdhury, Biplob & Jeyasreedharan, Nagaratnam & Dungey, Mardi, 2017, "Quantile relationships between standard, diffusion and jump betas across Japanese banks," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-10.
• Deng, Xiaohu & Gao, Lei & Kemme, David, 2017, "The information content of short selling and put option trading: When are they substitutes?," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2017-13.
• Ronan C Lyons, 2017, "Credit conditions and the housing price ratio: evidence from Ireland's bubble and crash," Trinity Economics Papers, Trinity College Dublin, Department of Economics, number tep0717, Mar.
• Hyun-U Sohn & Didier Sornette, 2017, "Bubbles as violations of efficient time-scales," Working Papers Series, Institute for New Economic Thinking, number 65, Sep, DOI: 10.2139/ssrn.3081563.
• Philip Stork & Luiz Felix & Roman Kraussl, 2017, "Implied Volatility Sentiment: A Tale of Two Tails," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-002/IV, Jan, revised 26 Jan 2018.
• Martijn (M.I.) Droes & Ryan van Lamoen & Simona Mattheussens, 2017, "Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECB's Expanded Assets Purchase Program," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 17-080/IV, Sep.
• Westerhout, Ed & Ciocyte, Ona, 2017, "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-027.
• Renneboog, Luc & Szilagyi, Peter & Vansteenkiste, Cara, 2017, "Creditor Rights, Claims Enforcement, and Bond Performance in Mergers and Acquisitions," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-012.
• Lekniute, Z. & Beetsma, R.M.W.J. & Ponds, Eduard, 2017, "U.S. Municipal Yields and Unfunded State Pension Liabilities," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8d75122f-0eb8-4517-af54-8.
• Renneboog, Luc & Szilagyi, Peter & Vansteenkiste, Cara, 2017, "Creditor Rights, Claims Enforcement, and Bond Performance in Mergers and Acquisitions," Other publications TiSEM, Tilburg University, School of Economics and Management, number e3b3753d-87d4-46d6-be12-3.
• Biais, Bruno & Mariotti, Thomas & Moinas, Sophie & Pouget, Sébastien, 2017, "Asset Pricing and Risk Sharing in Complete Markets: An Experimental Investigation," TSE Working Papers, Toulouse School of Economics (TSE), number 17-798, Apr, revised Mar 2026.
• Hörner, Johannes & Lovo, Stefano, 2017, "Belief-free Price Formation," TSE Working Papers, Toulouse School of Economics (TSE), number 17-790, Mar.
• Goetzmann, William & Le Bris, David & Pouget, Sébastien, 2017, "The Present Value Relation Over Six Centuries: The Case of the Bazacle Company," TSE Working Papers, Toulouse School of Economics (TSE), number 17-794, Apr.
• Gollier, Christian, 2017, "Valuation of natural capital under uncertain substitutability," TSE Working Papers, Toulouse School of Economics (TSE), number 17-813, May, revised Dec 2018.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2017, "Connecting VIX and Stock Index ETF," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-08, Jan.
• Victor Echevarria-Icaza & Simón Sosvilla-Rivero, 2017, "Systemic banks, capital composition and CoCo bonds issuance: The effects on bank risk," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1706.
• Imran Hussain Shaha & Simón Sosvilla-Rivero, 2017, "Seeking price and macroeconomic stabilisation in the euro area: The role of house prices and stock prices," Working Papers del Instituto Complutense de Estudios Internacionales, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales, number 1707.
• Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017, "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium," Journal of Political Economy, University of Chicago Press, volume 125, issue 1, pages 140-223, DOI: 10.1086/689606.
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2017, "Macrofinancial History and the New Business Cycle Facts," NBER Macroeconomics Annual, University of Chicago Press, volume 31, issue 1, pages 213-263, DOI: 10.1086/690241.
• YiLi Chien & Hanno Lustig & Kanda Naknoi, 2017, "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working papers, University of Connecticut, Department of Economics, number 2017-20, Sep.
• Vladimir Asriyan & William Fuchs & Brett Green, 2017, "Liquidity sentiments," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1583, Oct, revised Jun 2018.
• Dare, Wale, 2017, "Testing efficiency in small and large financial markets," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science, number 1714, Sep.
• Ruf, Daniel, 2017, "Agglomeration Effects and Liquidity Gradients in Local Rental Housing Markets," Working Papers on Finance, University of St. Gallen, School of Finance, number 1702, Feb.
• Borisenko, Dmitry & Pozdeev, Igor, 2017, "Monetary Policy and Currency Returns: the Foresight Saga," Working Papers on Finance, University of St. Gallen, School of Finance, number 1708, May, revised 1710.
• Bucher, Melk C., 2017, "Investor Attention and Sentiment: Risk or Anomaly?," Working Papers on Finance, University of St. Gallen, School of Finance, number 1712, Jul.
• Ruenzi, Stefan & Weigert, Florian, 2017, "Momentum and Crash Sensitivity," Working Papers on Finance, University of St. Gallen, School of Finance, number 1801, Dec.
• Claudio Fontana & Markus Pelger & Eckhard Platen, 2017, "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 385, Aug.
• Vladimir B. MICHALETZ & Andrey I. ARTEMENKOV - GYY University & Israel, 2017, "The Transactional Assets Pricing Approach: Its Application in Professional Business Valuation and Fair Value Theories," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 12, issue 2, pages 52-99.
• Pietro Dindo & Jacopo Staccioli, 2017, "Asset prices and wealth dynamics in a financial market with endogenous liquidation risk," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2017:31.
• Byrka-Kita Katarzyna & Grudziński Michał, 2017, "Control Premium and Minority Discounts in Polish Business Valuation Practices – Evidence from Research," Financial Internet Quarterly (formerly e-Finanse), Paradigm, volume 13, issue 1, pages 1-14, November, DOI: 10.1515/fiqf-2016-0014.
• Gniadkowska-Szymańska Agata, 2017, "Impact of a Company’s Dividend Policy on the Liquidity of Shares Listed on the Warsaw Stock Exchange," Financial Internet Quarterly (formerly e-Finanse), Paradigm, volume 13, issue 3, pages 24-32, September, DOI: 10.1515/fiqf-2016-0027.
• Gniadkowska-Szymańska Agata, 2017, "The impact of trading liquidity on the rate of return on emerging markets: the example of Poland and the Baltic countries," Financial Internet Quarterly (formerly e-Finanse), Paradigm, volume 13, issue 4, pages 136-148, December, DOI: 10.1515/fiqf-2016-0042.
• Majewski Sebastian & Majewska Agnieszka, 2017, "Using Monte Carlo Methods for the Valuation of Intangible Assets in Sports Economics," Folia Oeconomica Stetinensia, Paradigm, volume 17, issue 2, pages 71-82, December, DOI: 10.1515/foli-2017-0019.
• Zaremba Adam & Konieczka Przemysław, 2017, "Size, Value, and Momentum in Polish Equity Returns: Local or International Factors?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, volume 53, issue 3, pages 26-47, September, DOI: 10.1515/ijme-2017-0017.
• Strašek Sebastjan, 2017, "From Subprime and Eurozone Crisis with Full Speed into the Next Financial Crisis," Naše gospodarstvo/Our economy, Paradigm, volume 63, issue 3, pages 3-11, September, DOI: 10.1515/ngoe-2017-0013.
• Yang Hu & Les Oxley, 2017, "Bubble Contagion: Evidence from Japan's Asset Price Bubble of the 1980-90s," Working Papers in Economics, University of Waikato, number 17/20, Sep.
• Leon Li & Nen-Chen Richard Hwang, 2017, "Prospect Theory and Earnings Manipulation: Examination of the Non-Uniform Relationship between Earnings Manipulation and Stock Returns Using Quantile Regression," Working Papers in Economics, University of Waikato, number 17/25, Oct.
• Anginer,Deniz & Han,Snow Xue & Yildizhan,Celim, 2017, "Do individual investors ignore transaction costs ?," Policy Research Working Paper Series, The World Bank, number 8098, Jun.
• Richard S.Grossman, 2017, "Stocks for the Long Run: New Monthly Indices of British Equities, 1869-1929," Wesleyan Economics Working Papers, Wesleyan University, Department of Economics, number 2017-004, Jun.
• Sébastien Lleo & William T. Ziemba, 2017, "Does the bond‐stock earnings yield differential model predict equity market corrections better than high P/E models?," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 26, issue 2, pages 61-123, May, DOI: 10.1111/fmii.12080.
• Khandokar Istiak & Apostolos Serletis, 2017, "Monetary policy and leverage shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 22, issue 2, pages 115-128, April.
• Sven Steinkamp & Frank Westermann, 2017, "Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 22, issue 2, pages 169-178, April.
• Francisco Ruge‐Murcia, 2017, "Skewness Risk and Bond Prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 2, pages 379-400, March, DOI: 10.1002/jae.2528.
• Alexis Akira Toda & Kieran James Walsh, 2017, "Fat tails and spurious estimation of consumption‐based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 32, issue 6, pages 1156-1177, September.
• Mengmeng Guo & Wolfgang Karl Härdle, 2017, "Adaptive Interest Rate Modelling," Journal of Forecasting, John Wiley & Sons, Ltd., volume 36, issue 3, pages 241-256, April.
• Urban J. Jermann, 2017, "Financial Markets' Views about the Euro–Swiss Franc Floor," Journal of Money, Credit and Banking, Blackwell Publishing, volume 49, issue 2-3, pages 553-565, March, DOI: 10.1111/jmcb.12389.
• Leland E. Farmer & Alexis Akira Toda, 2017, "Discretizing nonlinear, non‐Gaussian Markov processes with exact conditional moments," Quantitative Economics, Econometric Society, volume 8, issue 2, pages 651-683, July.
• Geoffrey Ngene & Kenneth A. Tah & Ali F. Darrat, 2017, "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, John Wiley & Sons, volume 34, issue 1, pages 61-73, September, DOI: 10.1016/j.rfe.2017.06.003.
• Kiseok Nam & Shahriar Khaksari & Moonsoo Kang, 2017, "Trend in aggregate idiosyncratic volatility," Review of Financial Economics, John Wiley & Sons, volume 35, issue 1, pages 11-28, November, DOI: 10.1016/j.rfe.2016.11.001.
• Pawel Maryniak & Rafal Weron, 2017, "Habitat momentum," HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number HSC/17/05, Dec.
• Tyler Muir, 2017, "Financial Crises and Risk Premia," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 132, issue 2, pages 765-809.
• David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2017, "Credit-Market Sentiment and the Business Cycle," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 132, issue 3, pages 1373-1426.
• Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2017, "The Deposits Channel of Monetary Policy," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 132, issue 4, pages 1819-1876.
• Steven L. Heston & Alberto G. Rossi, 2017, "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Oxford University Press, volume 7, issue 1, pages 2-42.
• Steven L. Heston & Alberto G. Rossi, 2017, "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Society for Financial Studies, volume 7, issue 1, pages 2-42.
• Hitesh Doshi & Kris Jacobs & Virgilio Zurita, 2017, "Economic and Financial Determinants of Credit Risk Premiums in the Sovereign CDS Market," The Review of Asset Pricing Studies, Society for Financial Studies, volume 7, issue 1, pages 43-80.
• Sheen Liu & Chunchi Wu, 2017, "Repo Counterparty Risk and On-/Off-the-Run Treasury Spreads," The Review of Asset Pricing Studies, Society for Financial Studies, volume 7, issue 1, pages 81-143.
• Christopher S. Jones & Lukasz Pomorski, 2017, "Investing in Disappearing Anomalies," Review of Finance, European Finance Association, volume 21, issue 1, pages 237-267.
• Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2017, "Regime-Dependent Sovereign Risk Pricing During the Euro Crisis," Review of Finance, European Finance Association, volume 21, issue 1, pages 363-385.
• Jennifer Conrad & M. Deniz Yavuzm, 2017, "Momentum and Reversal: Does What Goes Up Always Come Down?," Review of Finance, European Finance Association, volume 21, issue 2, pages 555-581.
• Alasdair Brown & Fuyu Yang, 2017, "The Role of Speculative Trade in Market Efficiency: Evidence from a Betting Exchange," Review of Finance, European Finance Association, volume 21, issue 2, pages 583-603.
• Vladimir Atanasov & John J. MerrickJr. & Philipp Schuster, 2017, "Why Do Dealers Buy High and Sell Low? An Analysis of Persistent Crossing in Extremely Segmented Markets," Review of Finance, European Finance Association, volume 21, issue 2, pages 719-760.
• Romain Boulland & François Degeorge & Edith Ginglinger, 2017, "News Dissemination and Investor Attention," Review of Finance, European Finance Association, volume 21, issue 2, pages 761-791.
• Christian Walkshäusl, 2017, "Expectation Errors in European Value-Growth Strategies," Review of Finance, European Finance Association, volume 21, issue 2, pages 845-870.
• Richard Evans & Miguel A. Ferreira & Melissa Porras Prado, 2017, "Fund Performance and Equity Lending: Why Lend What You Can Sell?," Review of Finance, European Finance Association, volume 21, issue 3, pages 1093-1121.
• Hoyong Choi & Philippe Mueller & Andrea Vedolin, 2017, "Bond Variance Risk Premiums," Review of Finance, European Finance Association, volume 21, issue 3, pages 987-1022.
• Kingsley Y. L. Fong & Craig W. Holden & Charles A. Trzcinka, 2017, "What Are the Best Liquidity Proxies for Global Research?," Review of Finance, European Finance Association, volume 21, issue 4, pages 1355-1401.
• Johan Walden, 2017, "Recovery with Unbounded Diffusion Processes," Review of Finance, European Finance Association, volume 21, issue 4, pages 1403-1444.
• Athina Georgopoulou & Jiaguo (George) Wang, 2017, "The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets," Review of Finance, European Finance Association, volume 21, issue 4, pages 1557-1592.
• Jamie Alcock & Anthony Hatherley, 2017, "Characterizing the Asymmetric Dependence Premium," Review of Finance, European Finance Association, volume 21, issue 4, pages 1701-1737.
• Giovanni W. Puopolo, 2017, "The Dynamics of Tobin’s Q," Review of Finance, European Finance Association, volume 21, issue 5, pages 2075-2102.
• Xiafei Li & Di Luo, 2017, "Investor Sentiment, Limited Arbitrage, and the Cash Holding Effect," Review of Finance, European Finance Association, volume 21, issue 6, pages 2141-2168.
• Christian Finke & Florian Weigert, 2017, "Does Foreign Information Predict the Returns of Multinational Firms Worldwide?," Review of Finance, European Finance Association, volume 21, issue 6, pages 2199-2248.
• Li Gu & Dayong Huang, 2017, "The Effect of the Growth in Labor Hours per Worker on Future Stock Returns, Hiring, and Profitability," Review of Finance, European Finance Association, volume 21, issue 6, pages 2249-2276.
• Jeewon Jang & Jangkoo Kang & Changjun Lee, 2017, "State-Dependent Variations in the Expected Illiquidity Premium," Review of Finance, European Finance Association, volume 21, issue 6, pages 2277-2314.
• Juan Luo & Limin Xu & Ralf Zurbruegg, 2017, "The Impact of Housing Wealth on Stock Liquidity," Review of Finance, European Finance Association, volume 21, issue 6, pages 2315-2352.
• Truong X Duong & Zsuzsa R Huszár & Ruth S K Tan & Weina Zhang, 2017, "The Information Value of Stock Lending Fees: Are Lenders Price Takers?," Review of Finance, European Finance Association, volume 21, issue 6, pages 2353-2377.
• Y Peter Chung & S Thomas Kim, 2017, "Extreme Returns and Herding of Trade Imbalances," Review of Finance, European Finance Association, volume 21, issue 6, pages 2379-2399.
• Frederico Belo & Jun Li & Xiaoji Lin & Xiaofei Zhao, 2017, "Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 10, pages 3669-3709.
• Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2017, "Contingent Capital, Tail Risk, and Debt-Induced Collapse," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 11, pages 3921-3969.
• Francisco Barillas & Kristoffer P. Nimark, 2017, "Speculation and the Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 11, pages 4003-4037.
• Jack Bao & Kewei Hou, 2017, "De Facto Seniority, Credit Risk, and Corporate Bond Prices," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 11, pages 4038-4080.
• Tom Y. Chang & Samuel M. Hartzmark & David H. Solomon & Eugene F. Soltes, 2017, "Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 1, pages 281-323.
• Martin Oehmke & Adam Zawadowski, 2017, "The Anatomy of the CDS Market," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 1, pages 80-119.
• Lukas Menkhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2017, "Currency Value," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 2, pages 416-441.
• Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017, "What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 2, pages 442-504.
• Pierre Collin-Dufresne & Michael Johannes & Lars A. Lochstoer, 2017, "Asset Pricing When ‘This Time Is Different’," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 2, pages 505-535.
• Michael Katz & Hanno Lustig & Lars Nielsen, 2017, "Are Stocks Real Assets? Sticky Discount Rates in Stock Markets," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 2, pages 539-587.
• Ian Dew-Becker, 2017, "How Risky Is Consumption in the Long-Run? Benchmark Estimates from a Robust Estimator," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 2, pages 631-666.
• Bernard Dumas & Karen K. Lewis & Emilio Osambela, 2017, "Differences of Opinion and International Equity Markets," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 3, pages 750-800.
• Eric K. Kelley & Paul C. Tetlock, 2017, "Retail Short Selling and Stock Prices," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 3, pages 801-834.
• Harrison Hong & David Sraer & Jialin Yu, 2017, "Inflation Bets on the Long Bond," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 3, pages 900-947.
• Albert J. Menkveld & Marius A. Zoican, 2017, "Need for Speed? Exchange Latency and Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1188-1228.
• Dion Bongaerts & Frank de Jong & Joost Driessen, 2017, "An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1229-1269.
• Robert F. Stambaugh & Yu Yuan, 2017, "Mispricing Factors," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1270-1315.
• Francisco Barillas & Jay Shanken, 2017, "Which Alpha?," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1316-1338.
• Nathaniel Light & Denys Maslov & Oleg Rytchkov, 2017, "Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1339-1381.
• Xuemin (Sterling) Yan & Lingling Zheng, 2017, "Fundamental Analysis and the Cross-Section of Stock Returns: A Data-Mining Approach," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 4, pages 1382-1423.
• Sebastien Pouget & Julien Sauvagnat & Stephane Villeneuve, 2017, "A Mind Is a Terrible Thing to Change: Confirmatory Bias in Financial Markets," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 6, pages 2066-2109.
• Toni Ahnert & Ali Kakhbod, 2017, "Information Choice and Amplification of Financial Crises," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 6, pages 2130-2178.
• Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2017, "Deflation Risk," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 8, pages 2719-2760.
• Dongho Song, 2017, "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 8, pages 2761-2817.
• Stefanos Delikouras, 2017, "Where’s the Kink? Disappointment Events in Consumption Growth and Equilibrium Asset Prices," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 8, pages 2851-2889.
• Azi Ben-Rephael & Zhi Da & Ryan D. Israelsen, 2017, "It Depends on Where You Search: Institutional Investor Attention and Underreaction to News," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 9, pages 3009-3047.
• Burton Hollifield & Artem Neklyudov & Chester Spatt, 2017, "Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations," The Review of Financial Studies, Society for Financial Studies, volume 30, issue 9, pages 3048-3085.
• Munteanu Bogdan, 2017, "Speaking of Securitization of Financial Assets," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, volume 0, issue 1, pages 611-615, June.
• Abderrazak Dhaoui & Nesrine Bensalah, 2017, "Asset valuation impact of investor sentiment: A revised Fama–French five-factor model," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 1, pages 16-28, January, DOI: 10.1057/s41260-016-0027-2.
• P. Evans & David G. McMillan & Fiona J. McMillan, 2017, "Time-varying correlations and interrelations: Firm-level-based sector evidence," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 3, pages 209-221, May, DOI: 10.1057/s41260-016-0034-3.
• Dorsaf Ben Aissia, 2017, "The mispricing of equity risk: behavioral and corporate leverage factors," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 6, pages 421-432, October, DOI: 10.1057/s41260-017-0041-z.
• Markus Natter & Martin Rohleder & Dominik Schulte & Marco Wilkens, 2017, "Bond mutual funds and complex investments," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 6, pages 433-456, October, DOI: 10.1057/s41260-017-0046-7.
• Lorne N. Switzer & Jun Wang & Seungho Lee, 2017, "Extreme risk and small investor behavior in developed markets," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 6, pages 457-475, October, DOI: 10.1057/s41260-017-0047-6.
• Francesco Chincoli & Massimo Guidolin, 2017, "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 6, pages 476-509, October, DOI: 10.1057/s41260-017-0048-5.
• Mark Schaub, 2017, "A note on the early effects of the US Presidential vote on Mexican ADR values," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 7, pages 511-515, December, DOI: 10.1057/s41260-017-0043-x.
• Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017, "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 7, pages 547-565, December, DOI: 10.1057/s41260-017-0053-8.
• Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2017, "The Hunt for Duration: Not Waving but Drowning?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, volume 65, issue 1, pages 113-153, April, DOI: 10.1057/s41308-016-0026-9.
• Luc Renneboog & Peter G. Szilagyi & Cara Vansteenkiste, 2017, "Creditor rights, claims enforcement, and bond performance in mergers and acquisitions," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 48, issue 2, pages 174-194, February, DOI: 10.1057/s41267-016-0031-2.
• Alejandra Olivares Rios & Gabriel Rodriguez & Miguel Ataurima Arellano, 2017, "Estimation of the Sovereign Yield Curve of Peru: The Role of Macroeconomic and Latent Factors," Documentos de Trabajo / Working Papers, Departamento de Economía - Pontificia Universidad Católica del Perú, number 2017-435.
• Hulya Deniz Karakoyun, & Nurtac Yildirim, 2017, "Demand-side factors of housing price increases in Turkey: Blanchard-Quah SVAR model," Business and Economic Horizons (BEH), Prague Development Center, volume 13, issue 3, pages 312-332, July, DOI: 10.15208/beh.2017.23.
• Nicodemus Simu,, 2017, "Determinants of Indonesian corporate bond yield," Business and Economic Horizons (BEH), Prague Development Center, volume 13, issue 5, pages 619-629, December, DOI: 10.15208/beh.2017.42.
• Robert Barro & Jesus Fernandez-Villaverde & Oren Levintal & Andrew Mollerus, 2017, "Safe Assets," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 17-008, May, revised 10 May 2017.
• Agata Gniadkowska-Szymanska, 2017, "The Multifactorial Pastor-Stambaugh Model: Explaining The Impact Of Liquidity On The Rate Of Return Based On The Example Of The Warsaw Stock Exchange," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, volume 12, issue 2, pages 211-228, June, DOI: 10.24136/eq.v12i2.11.
• Adam Marszk, 2017, "Development of innovative financial products in Europe: Case of exchange-traded products in Germany," Working Papers, Institute of Economic Research, number 153/2017, May, revised May 2017.
• Tomas Meluzin & Marek Zinecker & doubravsky@fbm.vutbr.cz & Mirko Dohnal, 2017, "Effects of Rumours on IPO Success: A Qualitative Approach," Working Papers, Institute of Economic Research, number 79/2017, May, revised May 2017.
• Darlington Osaremwinda Ogbeide & Osazee Frank Ogieva, 2017, "Modelling Share Price Behaviour in Nigeria," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, volume 17, issue 1, pages 169-186.
• Rehman, Fatima & Kamal, Yasir & Amin, Saif Ul, 2017, "The Relationship Between Idiosyncratic, Stock Market Volatility and Excess Stock Returns," Public Finance Quarterly, Corvinus University of Budapest, volume 62, issue 3, pages 311-325.
• Ewa Karwowski, 2017, "Corporate financialisation in South Africa: From investment strike to housing bubble," Working Papers, Post Keynesian Economics Society (PKES), number PKWP1708, Jul.
• Gonçalo Faria & Fabio Verona, 2017, "Forecasting stock market returns by summing the frequency-decomposed parts," CEF.UP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 1702, Nov.
• José Couto & Paula Brito & António Cerqueira, 2017, "The Method of Market Multiples on the Valuation of Companies: A Multivariate Approach," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 586, Jan.
• S, Suresh Kumar & V, Joseph James & S R, Shehnaz, 2017, "The Dual Index Model That Astutely Augurs Stock Prices Using Sectoral Indices – An Empirical Evaluation of Securities That Are Not Constituents of India's Premier Stock Exchange Index Namely BSE-Sensex," MPRA Paper, University Library of Munich, Germany, number 109030, Jul, revised 16 Sep 2017.
• S, Suresh Kumar & V, Joseph James & S R, Shehnaz, 2017, "The dual index model - Empirical proof of an astute model that augurs stock prices across assorted sectors," MPRA Paper, University Library of Munich, Germany, number 109031, Jan, revised Feb 2017.
• Leung, Charles Ka Yui & Tse, Chung-Yi, 2017, "Flipping in the Housing Market," MPRA Paper, University Library of Munich, Germany, number 76443.
• Swamy, Vighneswara, 2017, "Wealth Effects and Macroeconomic Dynamics – Evidence from Indian Economy," MPRA Paper, University Library of Munich, Germany, number 76836, Feb.
• Janda, Karel & Kaszas, Micha, 2017, "Indirect Firm Valuation and Earnings Stability," MPRA Paper, University Library of Munich, Germany, number 77234, Mar.
• Colasante, Annarita & Alfarano, Simone & Camacho Cuena, Eva & Gallegati, Mauro, 2017, "Long-run expectations in a Learning-to-Forecast-Experiment: a simulation approach," MPRA Paper, University Library of Munich, Germany, number 77618.
• Pham, Ngoc-Sang, 2017, "Assets with possibly negative dividends," MPRA Paper, University Library of Munich, Germany, number 78193, Apr.
• Lakdawala, Aeimit & Wu, Shu, 2017, "Federal Reserve Credibility and the Term Structure of Interest Rates," MPRA Paper, University Library of Munich, Germany, number 78253, Jan.
• Senarathne, Chamil W & Jayasinghe, Prabhath, 2017, "Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk," MPRA Paper, University Library of Munich, Germany, number 78771, Mar, revised 04 Apr 2017.
• Cheema, Muhammad A. & Nartea, Gilbert V & Man, Yimei, 2017, "Cross-Sectional and Time-Series Momentum Returns and Market States," MPRA Paper, University Library of Munich, Germany, number 78989, May.
• Cantillo, Miguel, 2017, "A Reconsideration of the Equity Premium Puzzle," MPRA Paper, University Library of Munich, Germany, number 79357, May.
• Anginer, Deniz & Yildizhan, Celim & Han, Xue Snow, 2017, "Do Individual Investors Ignore Transaction Costs?," MPRA Paper, University Library of Munich, Germany, number 79358, May.
• OUATTARA, Aboudou, 2017, "Impact de la publication des notes financières sur les cours et les volume de transaction des sociétés cotées à la BRVM : Une analyse à partir des études d'évenement
  [Impact of Rating released on stock's prices and trading volume of companies list," MPRA Paper, University Library of Munich, Germany, number 79837, Feb.
• Parker, Edgar, 2017, "The Entropic Linkage between Equity and Bond Market Dynamics," MPRA Paper, University Library of Munich, Germany, number 80036, Jun.
• Lindblad, Annika, 2017, "Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility," MPRA Paper, University Library of Munich, Germany, number 80266, Jul.
• Širůček, Martin, 2017, "Využití Indikátorů P/E A P/Bv Při Sestavení Akciového Portfolia
  [Using Of P/E And P/Bv Indicators By Building A Stock Portfolio]," MPRA Paper, University Library of Munich, Germany, number 80527, Feb.
• Chong, Terence Tai Leung & Tsui, Chun & Chan, Wing Hong, 2017, "Factor Pricing in Commodity Futures and the Role of Liquidity," MPRA Paper, University Library of Munich, Germany, number 80555, Feb.
• Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2017, "Costly Information Acquisition, Social Networks and Asset Prices: Experimental Evidence," MPRA Paper, University Library of Munich, Germany, number 80658, Aug.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017, "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper, University Library of Munich, Germany, number 80788, Aug.
• Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017, "Carry Trades and Commodity Risk Factors," MPRA Paper, University Library of Munich, Germany, number 80789, Aug.
• BENDOB, Ali & Benahmed-Daho, Rachida, 2017, "Pourrions-nous utiliser l'Euribor comme taux de rendement sans risque dans la région Arabe ?
  [Could we use the Euribor as risk-free rate return in Arabic region?]," MPRA Paper, University Library of Munich, Germany, number 81405, Mar, revised Jun 2017.
• Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017, "Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages," MPRA Paper, University Library of Munich, Germany, number 81453, Sep.
• Barnett, William & Liu, Jinan, 2017, "User Cost of Credit Card Services under Risk with Intertemporal Nonseparability," MPRA Paper, University Library of Munich, Germany, number 81461, Sep.
• Magni, Carlo Alberto & Veronese, Piero & Graziani, Rebecca, 2017, "Chisini means and rational decision making: Equivalence of investment criteria," MPRA Paper, University Library of Munich, Germany, number 81532, Sep.
• Pönkä, Harri, 2017, "Sentiment and sign predictability of stock returns," MPRA Paper, University Library of Munich, Germany, number 81861, Oct.
• Caspi, Itamar & Graham, Meital, 2017, "Testing for Bubbles in Stock Markets with Irregular Dividend Distribution," MPRA Paper, University Library of Munich, Germany, number 82261, Apr, revised 29 Oct 2017.