Research classified by Journal of Economic Literature (JEL) codes

2016

• Sensoy, Ahmet, 2016, "Commonality in liquidity: Effects of monetary policy and macroeconomic announcements," Finance Research Letters, Elsevier, volume 16, issue C, pages 125-131, DOI: 10.1016/j.frl.2015.10.021.
• Buchner, Axel, 2016, "Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions," Finance Research Letters, Elsevier, volume 16, issue C, pages 154-161, DOI: 10.1016/j.frl.2015.10.023.
• Park, Heungju & Sohn, Bumjean, 2016, "Long-term perspective on the stock market matters in asset pricing," Finance Research Letters, Elsevier, volume 16, issue C, pages 162-170, DOI: 10.1016/j.frl.2015.10.022.
• Lesser, Kathrin & Rößle, Felix & Walkshäusl, Christian, 2016, "Socially responsible, green, and faith-based investment strategies: Screening activity matters!," Finance Research Letters, Elsevier, volume 16, issue C, pages 171-178, DOI: 10.1016/j.frl.2015.11.001.
• Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2016, "Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy," Finance Research Letters, Elsevier, volume 16, issue C, pages 208-219, DOI: 10.1016/j.frl.2015.12.005.
• Carr, Peter & Worah, Pratik, 2016, "Optimal rates from eigenvalues," Finance Research Letters, Elsevier, volume 16, issue C, pages 230-238, DOI: 10.1016/j.frl.2015.12.003.
• Kleine, Jens & Wagner, Niklas & Weller, Tim, 2016, "Openness endangers your wealth: Noise trading and the big five," Finance Research Letters, Elsevier, volume 16, issue C, pages 239-247, DOI: 10.1016/j.frl.2015.12.002.
• Buchner, Axel & Wagner, Niklas, 2016, "The betting against beta anomaly: Fact or fiction?," Finance Research Letters, Elsevier, volume 16, issue C, pages 283-289, DOI: 10.1016/j.frl.2015.12.010.
• Chen, An-Sing & Yang, Wayne, 2016, "Echo effects and the returns from 52-week high strategies," Finance Research Letters, Elsevier, volume 16, issue C, pages 38-46, DOI: 10.1016/j.frl.2015.10.015.
• Liu, Sibo & Wu, Dejun, 2016, "Competing by conducting good deeds: The peer effect of corporate social responsibility," Finance Research Letters, Elsevier, volume 16, issue C, pages 47-54, DOI: 10.1016/j.frl.2015.10.013.
• Karavias, Yiannis & Spilioti, Stella & Tzavalis, Elias, 2016, "A comparison of investors’ sentiments and risk premium effects on valuing shares," Finance Research Letters, Elsevier, volume 17, issue C, pages 1-6, DOI: 10.1016/j.frl.2015.10.017.
• Madan, Dilip B. & Wang, King, 2016, "Nonrandom price movements," Finance Research Letters, Elsevier, volume 17, issue C, pages 103-109, DOI: 10.1016/j.frl.2016.02.003.
• Li, Yingqi & Yu, Junli & Zhang, Zhou & Zheng, Steven Xiaofan, 2016, "The effect of internal control weakness on firm valuation: Evidence from SOX Section 404 disclosures," Finance Research Letters, Elsevier, volume 17, issue C, pages 17-24, DOI: 10.1016/j.frl.2016.01.001.
• Han, Heejae & Jeon, Junkee & Kang, Myungjoo, 2016, "Closed form valuation of American chained knock-in options," Finance Research Letters, Elsevier, volume 17, issue C, pages 176-185, DOI: 10.1016/j.frl.2016.03.003.
• Smith, Geoffrey Peter, 2016, "Weekday variation in the leverage effect: A puzzle," Finance Research Letters, Elsevier, volume 17, issue C, pages 193-196, DOI: 10.1016/j.frl.2016.03.001.
• Baklaci, Hasan F. & Suer, Omur & Yelkenci, Tezer, 2016, "A closer insight into the causality between short selling trades and volatility," Finance Research Letters, Elsevier, volume 17, issue C, pages 48-54, DOI: 10.1016/j.frl.2016.01.007.
• Noda, Akihiko, 2016, "A test of the adaptive market hypothesis using a time-varying AR model in Japan," Finance Research Letters, Elsevier, volume 17, issue C, pages 66-71, DOI: 10.1016/j.frl.2016.01.004.
• Pönkä, Harri, 2016, "Real oil prices and the international sign predictability of stock returns," Finance Research Letters, Elsevier, volume 17, issue C, pages 79-87, DOI: 10.1016/j.frl.2016.01.011.
• Grobys, Klaus & Haga, Jesper, 2016, "Identifying portfolio-based systematic risk factors in equity markets," Finance Research Letters, Elsevier, volume 17, issue C, pages 88-92, DOI: 10.1016/j.frl.2016.01.010.
• Grobys, Klaus & Heinonen, Jari-Pekka, 2016, "Is there a credit risk anomaly in FX markets?," Finance Research Letters, Elsevier, volume 18, issue C, pages 1-6, DOI: 10.1016/j.frl.2016.03.011.
• Alkhareif, Ryadh, 2016, "Are there significant premiums in the Saudi stock market?," Finance Research Letters, Elsevier, volume 18, issue C, pages 108-115, DOI: 10.1016/j.frl.2016.04.007.
• Wu, Dejun & Lin, Chen & Liu, Sibo, 2016, "Does community environment matter to corporate social responsibility?," Finance Research Letters, Elsevier, volume 18, issue C, pages 127-135, DOI: 10.1016/j.frl.2016.04.010.
• Kayacetin, Volkan & Lekpek, Senad, 2016, "Turn-of-the-month effect: New evidence from an emerging stock market," Finance Research Letters, Elsevier, volume 18, issue C, pages 142-157, DOI: 10.1016/j.frl.2016.04.012.
• Jang, Bong-Gyu & Park, Seyoung, 2016, "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, volume 18, issue C, pages 158-176, DOI: 10.1016/j.frl.2016.04.013.
• Sohn, Bumjean & Park, Heungju, 2016, "Early warning indicators of banking crisis and bank related stock returns," Finance Research Letters, Elsevier, volume 18, issue C, pages 193-198, DOI: 10.1016/j.frl.2016.04.016.
• Moreno, Antonio & Orlando, James & Redin, Dulce M., 2016, "The macro-finance environment and asset allocation: A simultaneous equation approach," Finance Research Letters, Elsevier, volume 18, issue C, pages 199-204, DOI: 10.1016/j.frl.2016.04.017.
• Zaremba, Adam, 2016, "Risk-based explanation for the country-level size and value effects," Finance Research Letters, Elsevier, volume 18, issue C, pages 226-233, DOI: 10.1016/j.frl.2016.04.020.
• Ji, Xiuqing, 2016, "Momentum: Further Evidence from Australia," Finance Research Letters, Elsevier, volume 18, issue C, pages 234-236, DOI: 10.1016/j.frl.2016.04.021.
• Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H., 2016, "Who are the net senders and recipients of volatility spillovers in China’s financial markets?," Finance Research Letters, Elsevier, volume 18, issue C, pages 255-262, DOI: 10.1016/j.frl.2016.04.025.
• Chen, Chien-Hua & Su, Xuan-Qi & Lin, Jun-Biao, 2016, "The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan," Finance Research Letters, Elsevier, volume 18, issue C, pages 263-272, DOI: 10.1016/j.frl.2016.04.026.
• Hsu, Yuan-Teng & Huang, Chia-Wei, 2016, "Idiosyncratic risk and share repurchases," Finance Research Letters, Elsevier, volume 18, issue C, pages 76-82, DOI: 10.1016/j.frl.2016.04.003.
• Sanusi, Muhammad Surajo & Ahmad, Farooq, 2016, "Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure," Finance Research Letters, Elsevier, volume 18, issue C, pages 89-99, DOI: 10.1016/j.frl.2016.04.005.
• Wang, Li-Hsun & Lin, Chu-Hsiung & Kang, Jui-Heng & Fung, Hung-Gay, 2016, "Idiosyncratic volatility and excess Return: Evidence from the Greater China region," Finance Research Letters, Elsevier, volume 19, issue C, pages 126-129, DOI: 10.1016/j.frl.2016.07.003.
• Baschieri, Giulia & Carosi, Andrea & Mengoli, Stefano, 2016, "Does the earnings quality matter? Evidence from a quasi-experimental setting," Finance Research Letters, Elsevier, volume 19, issue C, pages 146-157, DOI: 10.1016/j.frl.2016.07.006.
• Hiremath, Gourishankar S. & Narayan, Seema, 2016, "Testing the adaptive market hypothesis and its determinants for the Indian stock markets," Finance Research Letters, Elsevier, volume 19, issue C, pages 173-180, DOI: 10.1016/j.frl.2016.07.009.
• Yu, Gun Jea & Hong, KiHoon, 2016, "Patents and R&D expenditure in explaining stock price movements," Finance Research Letters, Elsevier, volume 19, issue C, pages 197-203, DOI: 10.1016/j.frl.2016.07.012.
• Christopoulos, Andreas D. & Barratt, Joshua G., 2016, "Credit risk findings for commercial real estate loans using the reduced form," Finance Research Letters, Elsevier, volume 19, issue C, pages 228-234, DOI: 10.1016/j.frl.2016.08.004.
• Feng, Yun & Huang, Bing-hua & Huang, Yu, 2016, "Valuing resettable convertible bonds: Based on path decomposing," Finance Research Letters, Elsevier, volume 19, issue C, pages 279-290, DOI: 10.1016/j.frl.2016.09.002.
• Energy Sonono, Masimba & Phillip Mashele, Hopolang, 2016, "Estimation of bid-ask prices for options on LIBOR based instruments," Finance Research Letters, Elsevier, volume 19, issue C, pages 33-41, DOI: 10.1016/j.frl.2016.05.013.
• Campbell, T. Colin & Chichernea, Doina C. & Petkevich, Alex, 2016, "Dissecting the bond profitability premium," Journal of Financial Markets, Elsevier, volume 27, issue C, pages 102-131, DOI: 10.1016/j.finmar.2015.11.002.
• Ülkü, Numan & Fatullayev, Sabutay & Diachenko, Daria, 2016, "Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it?," Journal of Financial Markets, Elsevier, volume 27, issue C, pages 28-54, DOI: 10.1016/j.finmar.2015.07.001.
• Gao, Cheng & Mizrach, Bruce, 2016, "Market quality breakdowns in equities," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 1-23, DOI: 10.1016/j.finmar.2016.03.002.
• Lasser, Dennis J. & Spizman, Joshua D., 2016, "The value of the wildcard option in cash-settled American index options," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 116-131, DOI: 10.1016/j.finmar.2015.09.002.
• Lansing, Kevin J., 2016, "On variance bounds for asset price changes," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 132-148, DOI: 10.1016/j.finmar.2015.06.002.
• Kawakami, Kei, 2016, "Market size matters: A model of excess volatility in large markets," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 24-45, DOI: 10.1016/j.finmar.2015.08.004.
• Kaustia, Markku & Rantapuska, Elias, 2016, "Does mood affect trading behavior?," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 1-26, DOI: 10.1016/j.finmar.2015.08.001.
• Choi, Jung Ho & Kalay, Alon & Sadka, Gil, 2016, "Earnings news, expected earnings, and aggregate stock returns," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 110-143, DOI: 10.1016/j.finmar.2016.02.001.
• Brown, Alasdair & Yang, Fuyu, 2016, "Limited cognition and clustered asset prices: Evidence from betting markets," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 27-46, DOI: 10.1016/j.finmar.2015.10.003.
• Chou, Pin-Huang & Hsieh, Chia-Hsun & Shen, Carl Hsin-Han, 2016, "What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 47-65, DOI: 10.1016/j.finmar.2015.11.001.
• Chen, Long & Zhang, Gaiyan & Zhang, Weina, 2016, "Return predictability in the corporate bond market along the supply chain," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 66-86, DOI: 10.1016/j.finmar.2016.03.005.
• Maio, Paulo, 2016, "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 87-109, DOI: 10.1016/j.finmar.2015.09.001.
• Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016, "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, volume 30, issue C, pages 103-124, DOI: 10.1016/j.finmar.2016.05.003.
• Broman, Markus S., 2016, "Liquidity, style investing and excess comovement of exchange-traded fund returns," Journal of Financial Markets, Elsevier, volume 30, issue C, pages 27-53, DOI: 10.1016/j.finmar.2016.05.002.
• Jain, Pankaj K. & Jain, Pawan & McInish, Thomas H., 2016, "Does high-frequency trading increase systemic risk?," Journal of Financial Markets, Elsevier, volume 31, issue C, pages 1-24, DOI: 10.1016/j.finmar.2016.09.004.
• Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016, "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, volume 31, issue C, pages 25-42, DOI: 10.1016/j.finmar.2016.06.002.
• Xing, Xuejing & Anderson, Randy I. & Hu, Yan, 2016, "What׳s a name worth? The impact of a likeable stock ticker symbol on firm value," Journal of Financial Markets, Elsevier, volume 31, issue C, pages 63-80, DOI: 10.1016/j.finmar.2016.06.003.
• Li, Xingli & Pukthuanthong, Kuntara & Glenn Walker, Marcus & Walker, Thomas John, 2016, "The determinants of IPO-related shareholder litigation: The role of CEO equity incentives and corporate governance," Journal of Financial Markets, Elsevier, volume 31, issue C, pages 81-126, DOI: 10.1016/j.finmar.2016.09.003.
• Kelly, Robert & O’Malley, Terence, 2016, "The good, the bad and the impaired: A credit risk model of the Irish mortgage market," Journal of Financial Stability, Elsevier, volume 22, issue C, pages 1-9, DOI: 10.1016/j.jfs.2015.09.005.
• Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill, 2016, "CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis," Journal of Financial Stability, Elsevier, volume 22, issue C, pages 33-44, DOI: 10.1016/j.jfs.2015.11.001.
• Mobarek, Asma & Muradoglu, Gulnur & Mollah, Sabur & Hou, Ai Jun, 2016, "Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods," Journal of Financial Stability, Elsevier, volume 24, issue C, pages 1-11, DOI: 10.1016/j.jfs.2016.03.003.
• Baum, Christopher F. & Schäfer, Dorothea & Stephan, Andreas, 2016, "Credit rating agency downgrades and the Eurozone sovereign debt crises," Journal of Financial Stability, Elsevier, volume 24, issue C, pages 117-131, DOI: 10.1016/j.jfs.2016.05.001.
• Peng, Emma Y. & Yan, An & Yan, Meng, 2016, "Accounting accruals, heterogeneous investor beliefs, and stock returns," Journal of Financial Stability, Elsevier, volume 24, issue C, pages 88-103, DOI: 10.1016/j.jfs.2016.04.011.
• Loveland, Robert, 2016, "How prompt was regulatory corrective action during the financial crisis?," Journal of Financial Stability, Elsevier, volume 25, issue C, pages 16-36, DOI: 10.1016/j.jfs.2016.05.004.
• Abudy, Menachem Meni & Raviv, Alon, 2016, "How much can illiquidity affect corporate debt yield spread?," Journal of Financial Stability, Elsevier, volume 25, issue C, pages 58-69, DOI: 10.1016/j.jfs.2016.06.011.
• Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2016, "Pricing default risk: The good, the bad, and the anomaly," Journal of Financial Stability, Elsevier, volume 26, issue C, pages 190-213, DOI: 10.1016/j.jfs.2016.07.001.
• Galariotis, Emilios C. & Makrichoriti, Panagiota & Spyrou, Spyros, 2016, "Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach," Journal of Financial Stability, Elsevier, volume 26, issue C, pages 62-77, DOI: 10.1016/j.jfs.2016.08.005.
• Slim, Skander & Dahmene, Meriam, 2016, "Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks," Global Finance Journal, Elsevier, volume 29, issue C, pages 70-84, DOI: 10.1016/j.gfj.2015.04.001.
• Chang, Sean Tat & Ross, Donald, 2016, "Debt covenants and credit spread valuation: The special case of Chinese global bonds," Global Finance Journal, Elsevier, volume 30, issue C, pages 27-44, DOI: 10.1016/j.gfj.2016.05.004.
• Prommin, Panu & Jumreornvong, Seksak & Jiraporn, Pornsit & Tong, Shenghui, 2016, "Liquidity, ownership concentration, corporate governance, and firm value: Evidence from Thailand," Global Finance Journal, Elsevier, volume 31, issue C, pages 73-87, DOI: 10.1016/j.gfj.2016.06.006.
• Rangvid, Jesper & Santa-Clara, Pedro & Schmeling, Maik, 2016, "Capital market integration and consumption risk sharing over the long run," Journal of International Economics, Elsevier, volume 103, issue C, pages 27-43, DOI: 10.1016/j.jinteco.2016.08.001.
• David, Joel M. & Simonovska, Ina, 2016, "Correlated beliefs, returns, and stock market volatility," Journal of International Economics, Elsevier, volume 99, issue S1, pages 58-77, DOI: 10.1016/j.jinteco.2015.11.006.
• Cui, Zhenyu & Nguyen, Duy, 2016, "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, volume 68, issue C, pages 150-161, DOI: 10.1016/j.insmatheco.2016.03.012.
• Shen, Yang & Sherris, Michael & Ziveyi, Jonathan, 2016, "Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 127-137, DOI: 10.1016/j.insmatheco.2016.04.006.
• Wang, Ting & Young, Virginia R., 2016, "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 238-255, DOI: 10.1016/j.insmatheco.2016.05.006.
• Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan, 2016, "Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality," Insurance: Mathematics and Economics, Elsevier, volume 70, issue C, pages 286-300, DOI: 10.1016/j.insmatheco.2016.06.014.
• Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016, "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 40, issue C, pages 14-25, DOI: 10.1016/j.intfin.2015.07.006.
• Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas, 2016, "Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 40, issue C, pages 46-62, DOI: 10.1016/j.intfin.2015.06.004.
• Huang, Ying & Jacoby, Gady & Jiang, Christine X., 2016, "The bonding hypothesis and the home market liquidity of Chinese cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 43, issue C, pages 146-157, DOI: 10.1016/j.intfin.2016.04.003.
• Ersan, Oguz & Alıcı, Aslı, 2016, "An unbiased computation methodology for estimating the probability of informed trading (PIN)," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 43, issue C, pages 74-94, DOI: 10.1016/j.intfin.2016.04.001.
• Realdon, Marco, 2016, "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 44, issue C, pages 128-147, DOI: 10.1016/j.intfin.2016.05.002.
• Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016, "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 45, issue C, pages 42-59, DOI: 10.1016/j.intfin.2016.05.008.
• Buchner, Axel, 2016, "Dealing with non-normality when estimating abnormal returns and systematic risk of private equity: A closed-form solution," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 45, issue C, pages 60-78, DOI: 10.1016/j.intfin.2016.06.001.
• Baetje, Fabian & Menkhoff, Lukas, 2016, "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1193-1207, DOI: 10.1016/j.ijforecast.2016.02.006.
• Dhaliwal, Dan & Judd, J. Scott & Serfling, Matthew & Shaikh, Sarah, 2016, "Customer concentration risk and the cost of equity capital," Journal of Accounting and Economics, Elsevier, volume 61, issue 1, pages 23-48, DOI: 10.1016/j.jacceco.2015.03.005.
• Kim, Jeong-Bon & Li, Leye & Lu, Louise Yi & Yu, Yangxin, 2016, "Financial statement comparability and expected crash risk," Journal of Accounting and Economics, Elsevier, volume 61, issue 2, pages 294-312, DOI: 10.1016/j.jacceco.2015.12.003.
• Fischer, Paul E. & Heinle, Mirko S. & Verrecchia, Robert E., 2016, "Beliefs-driven price association," Journal of Accounting and Economics, Elsevier, volume 61, issue 2, pages 563-583, DOI: 10.1016/j.jacceco.2015.07.006.
• Akbas, Ferhat & Meschke, Felix & Wintoki, M. Babajide, 2016, "Director networks and informed traders," Journal of Accounting and Economics, Elsevier, volume 62, issue 1, pages 1-23, DOI: 10.1016/j.jacceco.2016.03.003.
• Michaely, Roni & Rubin, Amir & Vedrashko, Alexander, 2016, "Further evidence on the strategic timing of earnings news: Joint analysis of weekdays and times of day," Journal of Accounting and Economics, Elsevier, volume 62, issue 1, pages 24-45, DOI: 10.1016/j.jacceco.2016.04.002.
• Miyakoshi, Tatsuyoshi & Tsukuda, Yoshihiko & Shimada, Junji, 2016, "Magnitudes of Market Inefficiency: Theory and Application," Japan and the World Economy, Elsevier, volume 39, issue C, pages 23-36, DOI: 10.1016/j.japwor.2016.05.001.
• Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini, 2016, "Contagion across Eurozone’s sovereign spreads and the Core-Periphery divide," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, volume 43, issue 1, pages 197-213, February, DOI: 10.1007/s10663-015-9300-8.
• Kevin Aretz & Marc Aretz, 2016, "Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 1, pages 19-61, February, DOI: 10.1007/s11408-016-0263-y.
• Kevin Aretz & Marc Aretz, 2016, "Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 1, pages 19-61, February, DOI: 10.1007/s11408-016-0263-y.
• Gideon Magnus, 2016, "A plausible model of yield curve dynamics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 2, pages 205-228, May, DOI: 10.1007/s11408-016-0265-9.
• Friedrich-Carl Franz & Tobias Regele, 2016, "Beating the DAX, MDAX, and SDAX: investment strategies in Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 2, pages 161-204, May, DOI: 10.1007/s11408-016-0268-6.
• Gueorgui Konstantinov, 2016, "Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 3, pages 337-365, August, DOI: 10.1007/s11408-016-0271-y.
• Kateryna Anatoliyevna Kopyl & John Byong-Tek Lee, 2016, "How safe are the safe haven assets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 30, issue 4, pages 453-482, November, DOI: 10.1007/s11408-016-0277-5.
• Yunieta Nainggolan & Janice How & Peter Verhoeven, 2016, "Ethical Screening and Financial Performance: The Case of Islamic Equity Funds," Journal of Business Ethics, Springer, volume 137, issue 1, pages 83-99, August, DOI: 10.1007/s10551-014-2529-5.
• Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana V. Stern, 2016, "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research, Springer;Western Finance Association, volume 50, issue 3, pages 363-386, December, DOI: 10.1007/s10693-015-0227-9.
• Brent Ambrose & Charles Cao & Walter D’Lima, 2016, "Real Estate Risk and Hedge Fund Returns," The Journal of Real Estate Finance and Economics, Springer, volume 52, issue 3, pages 197-225, April, DOI: 10.1007/s11146-015-9516-1.
• Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016, "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, volume 53, issue 4, pages 419-449, November, DOI: 10.1007/s11146-015-9531-2.
• M. Ariff & A. Zarei, 2016, "Exchange Rate Behavior of Canada, Japan, the United Kingdom and the United States," Open Economies Review, Springer, volume 27, issue 2, pages 341-357, April, DOI: 10.1007/s11079-015-9372-x.
• Fredj Jawadi, 2016, "What Have We Learned from the 2007-08 Financial Crisis? Papers Presented at the Second International Workshop on Financial Markets and Nonlinear Dynamics (Paris, June 4-5, 2015)," Open Economies Review, Springer, volume 27, issue 5, pages 819-823, November, DOI: 10.1007/s11079-016-9416-x.
• Yubin Li & Chen Zhao & Zhaodong Zhong, 2016, "Migrate or not? The effects of regulation SHO on options trading activities," Review of Derivatives Research, Springer, volume 19, issue 2, pages 113-146, July, DOI: 10.1007/s11147-015-9117-4.
• Chunpeng Yang & Bin Gao & Jianlei Yang, 2016, "Option pricing model with sentiment," Review of Derivatives Research, Springer, volume 19, issue 2, pages 147-164, July, DOI: 10.1007/s11147-015-9118-3.
• Benjamin Blau & Jared Egginton & Matthew Hill, 2016, "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 1, pages 1-24, January, DOI: 10.1007/s11156-014-0459-z.
• Jungshik Hur & Vivek Singh, 2016, "Reexamining momentum profits: Underreaction or overreaction to firm-specific information?," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 2, pages 261-289, February, DOI: 10.1007/s11156-014-0469-x.
• Alan Douglas & Alan Huang & Kenneth Vetzal, 2016, "Cash flow volatility and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 2, pages 417-458, February, DOI: 10.1007/s11156-014-0474-0.
• Oliver Entrop & Michael McKenzie & Marco Wilkens & Christoph Winkler, 2016, "The performance of individual investors in structured financial products," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 3, pages 569-604, April, DOI: 10.1007/s11156-014-0479-8.
• Mingzhi Liu & Michel Magnan, 2016, "Conditional conservatism and the yield spread of corporate bond issues," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 4, pages 847-879, May, DOI: 10.1007/s11156-014-0489-6.
• Hsuan-Chu Lin & Ren-Raw Chen & Oded Palmon, 2016, "Explaining the volatility smile: non-parametric versus parametric option models," Review of Quantitative Finance and Accounting, Springer, volume 46, issue 4, pages 907-935, May, DOI: 10.1007/s11156-014-0491-z.
• Javier Vidal-García & Marta Vidal & Duc Khuong Nguyen, 2016, "Do liquidity and idiosyncratic risk matter? Evidence from the European mutual fund market," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 2, pages 213-247, August, DOI: 10.1007/s11156-014-0488-7.
• Qi Deng & Zhong-guo Zhou, 2016, "The pricing of first day opening price returns for ChiNext IPOs," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 2, pages 249-271, August, DOI: 10.1007/s11156-015-0500-x.
• Xiaoli Wang & Michael S. Long & Ren Raw Chen & Jingfeng Zhang, 2016, "Economic growth potential creating a real put and the resulting valuation of the firm," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 3, pages 453-474, October, DOI: 10.1007/s11156-015-0507-3.
• R. Jared DeLisle & Bong Soo Lee & Nathan Mauck, 2016, "The dynamic relation between options trading, short selling, and aggregate stock returns," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 3, pages 645-671, October, DOI: 10.1007/s11156-015-0516-2.
• Eunju Lee, 2016, "Short selling and market mispricing," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 3, pages 797-833, October, DOI: 10.1007/s11156-015-0521-5.
• Fredj Jawadi & Waël Louhichi & Abdoulkarim Idi Cheffou & Rivo Randrianarivony, 2016, "Intraday jumps and trading volume: a nonlinear Tobit specification," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 4, pages 1167-1186, November, DOI: 10.1007/s11156-015-0534-0.
• Charlene P. Spiceland & Leo L. Yang & Joseph H. Zhang, 2016, "Accounting quality, debt covenant design, and the cost of debt," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 4, pages 1271-1302, November, DOI: 10.1007/s11156-015-0538-9.
• Charlie Charoenwong & David K. Ding & Tiong Yang Thong, 2016, "Decimalization, IPO aftermath, and liquidity," Review of Quantitative Finance and Accounting, Springer, volume 47, issue 4, pages 1303-1344, November, DOI: 10.1007/s11156-015-0539-8.
• Takuji Arai, 2016, "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University, number 2016-017, Jul.
• Takahiro Hattori, 2016, "The predictive power of the implied volatility of interest rates: Evidence from US Dollar, Euro, and Japanese Yen," Keio-IES Discussion Paper Series, Institute for Economics Studies, Keio University, number 2016-018, Jul.
• Jens Carsten Jackwerth & Anna Slavutskaya, 2016, "The total benefit of alternative assets to pension fund portfolios," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2016-06, Apr.
• Yuto Yoshinaga, 2016, "Market-Wide Cost of Capital Impacts on the Aggregate Earnings-Returns Relation: Evidence from Japan," The Japanese Accounting Review, Research Institute for Economics & Business Administration, Kobe University, volume 6, pages 95-122, December.
• Kazuki Hiraga & Masafumi Kozuka & Tomomi Miyazaki, 2016, "Public Capital and Asset Prices: Time-series Evidence from Japan," Discussion Papers, Graduate School of Economics, Kobe University, number 1625, Sep.
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• Lakatos, Máté, 2016, "A befektetői túlreagálás empirikus vizsgálata a Budapesti Értéktőzsdén
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• Bachar FAKHRY, 2016, "A Literature Review of the Efficient Market Hypothesis," Turkish Economic Review, KSP Journals, volume 3, issue 3, pages 431-442, September.
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• Bachar FAKHRY, 2016, "A Literature Review of Behavioural Finance," Journal of Economics Library, KSP Journals, volume 3, issue 3, pages 458-465, September.
• Mateo Velásquez Giraldo & Diego Restrepo Tobón, 2016, "Affine Term Structure Models: Forecasting the Yield Curve for Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 85, pages 53-90, Julio - D, DOI: 10.17533/udea.le.n85a02.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016, "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 16/18, Nov.
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• Giuliano Curatola & Michael Donadelli & Patrick Gruning & Christoph Meinerding, 2016, "Investment-Specific Shocks, Business Cycles, and Asset Prices," Bank of Lithuania Working Paper Series, Bank of Lithuania, number 36, Nov.
• Kocher, Martin G. & Lucks, Konstantin E. & Schindler, David, 2016, "Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets," Discussion Papers in Economics, University of Munich, Department of Economics, number 27572, Feb.
• Paul J. Bolster & Emery A. Trahan & Pinshuo Wang, 2016, "Assessing performance of Morningstar’s star rating system for equity investment," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 1, pages 11-22, February.
• Alex Ng & Raymond A. K. Cox, 2016, "Corporate takeovers in the US oil and gas sector," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 1, pages 23-34, February.
• Nusrat Jahan & John J. Cheh & Il-woon Kim, 2016, "A comparison of Graham and Piotroski investment models using accounting information and efficacy measurement," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 1, pages 43-54, February.
• Yutaka Kurihara, 2016, "Deterministic Elements of Japanese Stock Prices under Low Interest Rates," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 2, pages 24-30, April.
• Anderson Darrell & Daniel K.N. Johnson, 2016, "When a mature technology company pivots: A case study of Logitech," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 4, issue 4, pages 42-45, August.
• Viktors Ajevskis, 2016, "A Term Structure of Interest Rates Model with Zero Lower Bound and the European Central Bank's Non-standard Monetary Policy Measures," Working Papers, Latvijas Banka, number 2016/02, Aug.
• Markus Engler & Vahidin Jeleskovic, 2016, "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201648.
• Heibati, Reza & Shajari, Hoshang & Samadi, Saeid, 2016, "Measuring Uncertainty in Macroeconomics," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 9, issue 28, pages 223-250, July.
• Narcisa Kadlcakova & Lubos Komarek & Zlatuse Komarkova & Michal Hlavacek, 2016, "Identification of Asset Price Misalignments on Financial Markets With Extreme Value Theory," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 11, pages 2595-2609, November, DOI: 10.1080/1540496X.2015.1087792.
• Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016, "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 1, pages 52-65, January, DOI: 10.1080/1540496X.2015.1062302.
• Xiao-lin Li & Mehmet Balcilar & Rangan Gupta & Tsangyao Chang, 2016, "The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 3, pages 674-689, March, DOI: 10.1080/1540496X.2014.998564.
• Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2016, "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 52, issue 8, pages 1935-1955, August, DOI: 10.1080/1540496X.2015.1058075.
• Shahrin Saaid Shaharuddin & Wee-Yeap Lau & Rubi Ahmad, 2016, "A Survey of Literature on Islamic Equity Style Investing and its Applications," Capital Markets Review, Malaysian Finance Association, volume 24, issue 1, pages 68-83.
• Andre Kuster Simic & Philipp Lauenstein & Stefan Prigge, 2016, "Valuation Efficiency of Secondary Markets for Formerly Illiquid Assets: The Case of German KG Ship Funds," Multinational Finance Journal, Multinational Finance Journal, volume 20, issue 2, pages 127-179, June.
• Andrea Marchiioni & Carlo Alberto Magni, 2016, "Sensitivity analysis and investment decisions: NPV-consistency of rates of return," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0089, May.
• Yi-Fang Liu & Jørgen Vitting Andersen & Maxime Frolov & Philippe de Peretti, 2016, "Synchronization in human decision making," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16035, Mar, DOI: 10.1016/j.chaos.2020.110521.
• Christophe Chorro & Fanirisoa Rahantamialisoa H., 2016, "Option Valuation with IG-GARCH Model and an U-Shaped Pricing Kernel," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 16074, Nov, DOI: 10.1007/s00500-019-04236-4.
• Hsini Mosbeh & Kouki Mondher, 2016, "The Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange," Business and Economic Research, Macrothink Institute, volume 6, issue 2, pages 13-29, December.
• Hsini Mosbeh & Mohamed Nidhal MOSBAHI, 2016, "Stock Market Liquidity Measurement via the Bid-Ask Spread: Tunis Stockmarket," Business and Economic Research, Macrothink Institute, volume 6, issue 2, pages 65-78, December.
• Jerry Cao & Bihong Huang & Rose Neng Lai, 2016, "Housing Bubble and Government Regulation: Evidence from China," Chapters from NBP Conference Publications, Narodowy Bank Polski, chapter 10, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski & Joanna Waszczuk, "Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis - 2015 edition".
• Jens Mehrhoff & Elena Triebskorn, 2016, "How should we measure residential property prices to inform policy makers?," Chapters from NBP Conference Publications, Narodowy Bank Polski, chapter 17, in: Hanna Augustyniak & Jacek Łaszek & Krzysztof Olszewski & Joanna Waszczuk, "Papers presented during the Narodowy Bank Polski Workshop: Recent trends in the real estate market and its analysis - 2015 edition".
• Joel M. David & Ina Simonovska, 2016, "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2015".
• Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2016, "Macrofinancial History and the New Business Cycle Facts," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2016, Volume 31".
• Karen K. Lewis & Edith X. Liu, 2016, "Disaster Risk and Asset Returns: An International Perspective," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2016".
• Robert J. Barro & Tao Jin, 2016, "Rare Events and Long-Run Risks," NBER Working Papers, National Bureau of Economic Research, Inc, number 21871, Jan.
• David López-Salido & Jeremy C. Stein & Egon Zakrajšek, 2016, "Credit-Market Sentiment and the Business Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 21879, Jan.
• Farley Grubb, 2016, "Colonial Virginia's Paper Money Regime, 1755-1774: Value Decomposition and Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 21881, Jan.
• Robert J. Barro & Gordon Y. Liao, 2016, "Options-Pricing Formula with Disaster Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 21888, Jan.
• Kaiji Chen & Jue Ren & Tao Zha, 2016, "What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending," NBER Working Papers, National Bureau of Economic Research, Inc, number 21890, Jan.
• Zhiguo He & Bryan Kelly & Asaf Manela, 2016, "Intermediary Asset Pricing: New Evidence from Many Asset Classes," NBER Working Papers, National Bureau of Economic Research, Inc, number 21920, Jan.
• Shin-ichi Fukuda, 2016, "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Working Papers, National Bureau of Economic Research, Inc, number 21938, Jan.
• Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2016, "Extrapolation and Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 21944, Jan.
• Kent Daniel & David Hirshleifer, 2016, "Overconfident Investors, Predictable Returns, and Excessive Trading," NBER Working Papers, National Bureau of Economic Research, Inc, number 21945, Jan.
• Urban J. Jermann, 2016, "Financial Markets’ Views about the Euro-Swiss Franc Floor," NBER Working Papers, National Bureau of Economic Research, Inc, number 21977, Feb.
• Jesús Fernández-Villaverde & Oren Levintal, 2016, "Solution Methods for Models with Rare Disasters," NBER Working Papers, National Bureau of Economic Research, Inc, number 21997, Feb.
• Rajnish Mehra & Sunil Wahal & Daruo Xie, 2016, "Is Idiosyncratic Risk Conditionally Priced?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22016, Feb.
• Rajnish Mehra & Arunima Sinha, 2016, "The Term Structure of Interest Rates in India," NBER Working Papers, National Bureau of Economic Research, Inc, number 22020, Feb.
• Hanno Lustig & Adrien Verdelhan, 2016, "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22023, Feb.
• Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz, 2016, "Why Does Fast Loan Growth Predict Poor Performance for Banks?," NBER Working Papers, National Bureau of Economic Research, Inc, number 22089, Mar.
• Mikhail Chernov & Brett R. Dunn & Francis A. Longstaff, 2016, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," NBER Working Papers, National Bureau of Economic Research, Inc, number 22096, Mar.
• Campbell R. Harvey & Yan Liu, 2016, "Rethinking Performance Evaluation," NBER Working Papers, National Bureau of Economic Research, Inc, number 22134, Mar.
• Ivo Welch, 2016, "Levered Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 22150, Apr.
• Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2016, "The Deposits Channel of Monetary Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 22152, Apr.
• Zhi Da & Borja Larrain & Clemens Sialm & José Tessada, 2016, "Coordinated Noise Trading: Evidence from Pension Fund Reallocations," NBER Working Papers, National Bureau of Economic Research, Inc, number 22161, Apr.
• David Backus & Nina Boyarchenko & Mikhail Chernov, 2016, "Term Structures of Asset Prices and Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 22162, Apr.
• Drew D. Creal & Jing Cynthia Wu, 2016, "Bond Risk Premia in Consumption-based Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 22183, Apr.
• Robert E. Hall, 2016, "The Role of the Growth of Risk-Averse Wealth in the Decline of the Safe Real Interest Rate," NBER Working Papers, National Bureau of Economic Research, Inc, number 22196, Apr.
• Alan Moreira & Tyler Muir, 2016, "Volatility Managed Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc, number 22208, Apr.
• Jeffrey Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan Stuart, 2016, "Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock," NBER Working Papers, National Bureau of Economic Research, Inc, number 22209, Apr.
• Roger E.A. Farmer, 2016, "Pricing Assets in an Economy with Two Types of People," NBER Working Papers, National Bureau of Economic Research, Inc, number 22228, May.
• Itzhak Ben-David & Francesco Franzoni & Rabih Moussawi & John Sedunov, 2016, "The Granular Nature of Large Institutional Investors," NBER Working Papers, National Bureau of Economic Research, Inc, number 22247, May.