Research classified by Journal of Economic Literature (JEL) codes

2016

• 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.
• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016, "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 1-50, January, DOI: 10.1007/s00780-015-0283-x.
• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016, "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 1-50, January, DOI: 10.1007/s00780-015-0283-x.
• Peter Bank & Selim Gökay, 2016, "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, volume 20, issue 1, pages 153-182, January, DOI: 10.1007/s00780-015-0278-7.
• Eyal Neuman & Alexander Schied, 2016, "Optimal portfolio liquidation in target zone models and catalytic superprocesses," Finance and Stochastics, Springer, volume 20, issue 2, pages 495-509, April, DOI: 10.1007/s00780-015-0280-0.
• Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016, "A general HJM framework for multiple yield curve modelling," Finance and Stochastics, Springer, volume 20, issue 2, pages 267-320, April, DOI: 10.1007/s00780-016-0291-5.
• Pierre Henry-Labordère & Nizar Touzi, 2016, "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, volume 20, issue 3, pages 635-668, July, DOI: 10.1007/s00780-016-0299-x.
• Damir Filipović & Martin Larsson, 2016, "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, volume 20, issue 4, pages 931-972, October, DOI: 10.1007/s00780-016-0304-4.
• Stéphane Crépey & Shiqi Song, 2016, "Counterparty risk and funding: immersion and beyond," Finance and Stochastics, Springer, volume 20, issue 4, pages 901-930, October, DOI: 10.1007/s00780-016-0305-3.
• Pavel Ciaian & Miroslava Rajcaniova & d’Artis Kancs, 2016, "The digital agenda of virtual currencies: Can BitCoin become a global currency?," Information Systems and e-Business Management, Springer, volume 14, issue 4, pages 883-919, November, DOI: 10.1007/s10257-016-0304-0.
• Sebastian Utz & Martina Weber & Maximilian Wimmer, 2016, "German Mittelstand bonds: yield spreads and liquidity," Journal of Business Economics, Springer, volume 86, issue 1, pages 103-129, January, DOI: 10.1007/s11573-015-0791-3.
• Marko Volker Krause & Alexander Lahmann, 2016, "Reconsidering the appropriate discount rate for tax shield valuation," Journal of Business Economics, Springer, volume 86, issue 5, pages 477-512, July, DOI: 10.1007/s11573-015-0782-4.
• Nader Virk & Hilal Butt, 2016, "Specification errors of asset-pricing models for a market characterized by few large capitalization firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 40, issue 1, pages 68-84, January, DOI: 10.1007/s12197-014-9297-z.
• Hervé Crès & Tobias Markeprand & Mich Tvede, 2016, "Incomplete financial markets and jumps in asset prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 1, pages 201-219, June, DOI: 10.1007/s00199-015-0884-9.
• Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa, 2016, "Over-the-counter trade and the value of assets as collateral," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 443-475, August, DOI: 10.1007/s00199-015-0904-9.
• François Grand & Xavier Ragot, 2016, "Incomplete markets and derivative assets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 517-545, August, DOI: 10.1007/s00199-015-0912-9.
• Bong-Gyu Jang & Hyeng Keun Koo & Yuna Rhee, 2016, "Asset demands and consumption with longevity risk," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 62, issue 3, pages 587-633, August, DOI: 10.1007/s00199-015-0922-7.
• Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016, "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, volume 26, issue 1, pages 49-76, March, DOI: 10.1007/s00191-015-0418-4.
• Michele Berardi, 2016, "Endogenous time-varying risk aversion and asset returns," Journal of Evolutionary Economics, Springer, volume 26, issue 3, pages 581-601, July, DOI: 10.1007/s00191-015-0435-3.
• Carlos Pinho & Mara Madaleno, 2016, "Oil prices and stock returns: nonlinear links across sectors," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, volume 15, issue 2, pages 79-97, August, DOI: 10.1007/s10258-016-0117-6.
• Yaniv Konchitchki & Yan Luo & Mary L. Z. Ma & Feng Wu, 2016, "Accounting-based downside risk, cost of capital, and the macroeconomy," Review of Accounting Studies, Springer, volume 21, issue 1, pages 1-36, March, DOI: 10.1007/s11142-015-9338-7.
• Jeremiah Green & John R. M. Hand & X. Frank Zhang, 2016, "Errors and questionable judgments in analysts’ DCF models," Review of Accounting Studies, Springer, volume 21, issue 2, pages 596-632, June, DOI: 10.1007/s11142-016-9352-4.
• Wei Zhu, 2016, "Accruals and price crashes," Review of Accounting Studies, Springer, volume 21, issue 2, pages 349-399, June, DOI: 10.1007/s11142-016-9355-1.
• Paul A. Griffin & Hyun A. Hong & Jeong-Bon Kim, 2016, "Price discovery in the CDS market: the informational role of equity short interest," Review of Accounting Studies, Springer, volume 21, issue 4, pages 1116-1148, December, DOI: 10.1007/s11142-016-9364-0.
• Mu-Shun Wang, 2016, "Idiosyncratic volatility, executive compensation and corporate governance: examination of the direct and moderate effects," Review of Managerial Science, Springer, volume 10, issue 2, pages 213-244, March, DOI: 10.1007/s11846-014-0143-7.
• Sebastian Lobe & Christian Walkshäusl, 2016, "Vice versus virtue investing around the world," Review of Managerial Science, Springer, volume 10, issue 2, pages 303-344, March, DOI: 10.1007/s11846-014-0147-3.
• Karin Niehoff, 2016, "Price Discovery in Voting and Non-Voting Stocks," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, volume 17, issue 3, pages 285-307, December, DOI: 10.1007/s41464-016-0021-8.
• Maximilian Gödl & Jörn Kleinert, 2016, "Interest rate spreads in the eurozone: Fundamentals or sentiments?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 152, issue 3, pages 449-475, August, DOI: 10.1007/s10290-016-0252-2.
• Sebastian Eichfelder & Mona Lau, 2016, "Hat die Einführung der Abgeltungsteuer Aktienkurse beeinflusst?
  [Did the Implementation of the Flat Withholding Tax Have a Bearing on the Prices of Shares?]," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 96, issue 2, pages 101-105, February, DOI: 10.1007/s10273-016-1933-0.
• Sebastian Eichfelder & Mona Lau, 2016, "Hat die Einführung der Abgeltungsteuer Aktienkurse beeinflusst?," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, volume 96, issue 2, pages 101-105, February, DOI: 10.1007/s10273-016-1933-0.
• Delatte, Anne-Laure & Fouquau, Julien & Portes, Richard, 2016, "Regime-dependent sovereign risk pricing during the euro crisis," ESRB Working Paper Series, European Systemic Risk Board, number 9, May.
• Sandrine Jacob Leal & Mauro Napoletano, 2016, "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2016/15, Dec.
• David Backus & Nina Boyarchenko & Mikhail Chernov, 2016, "Term structures of asset prices and returns," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 16-08.
• Laurie Binge & Willem H Boshoff, 2016, "Modelling South African Art Prices: An analysis of post-2000 price behaviour," Working Papers, Stellenbosch University, Department of Economics, number 18/2016.
• Thorsten Lehnert & Yuehao Lin, 2016, "Skewness Term-Structure Tests," Applied Mathematical Finance, Taylor & Francis Journals, volume 23, issue 6, pages 484-504, November, DOI: 10.1080/1350486X.2017.1310624.
• Pavel Ciaian & Miroslava Rajcaniova & d’Artis Kancs, 2016, "The economics of BitCoin price formation," Applied Economics, Taylor & Francis Journals, volume 48, issue 19, pages 1799-1815, April, DOI: 10.1080/00036846.2015.1109038.
• Luis Ceballos & Alberto Naudon & Damián Romero, 2016, "Nominal term structure and term premia: evidence from Chile," Applied Economics, Taylor & Francis Journals, volume 48, issue 29, pages 2721-2735, June, DOI: 10.1080/00036846.2015.1128079.
• Vadim Kaushanskiy & Victor Lapshin, 2016, "A nonparametric method for term structure fitting with automatic smoothing," Applied Economics, Taylor & Francis Journals, volume 48, issue 58, pages 5654-5666, December, DOI: 10.1080/00036846.2016.1181835.
• Álvaro Cartea & Dimitrios Karyampas, 2016, "The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets," Econometric Reviews, Taylor & Francis Journals, volume 35, issue 6, pages 929-950, June, DOI: 10.1080/07474938.2014.976529.
• Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016, "Which parametric model for conditional skewness?," The European Journal of Finance, Taylor & Francis Journals, volume 22, issue 13, pages 1237-1271, October, DOI: 10.1080/1351847X.2013.877515.
• Sermin Gungor & Richard Luger, 2016, "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 2, pages 161-175, April, DOI: 10.1080/07350015.2015.1019510.
• Laura Coroneo & Domenico Giannone & Michele Modugno, 2016, "Unspanned Macroeconomic Factors in the Yield Curve," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 3, pages 472-485, July, DOI: 10.1080/07350015.2015.1052456.
• Michael W. McCracken & Serena Ng, 2016, "FRED-MD: A Monthly Database for Macroeconomic Research," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 4, pages 574-589, October, DOI: 10.1080/07350015.2015.1086655.
• Jean-Christophe Delfim & Martin Hoesli, 2016, "Risk factors of European non-listed real estate fund returns," Journal of Property Research, Taylor & Francis Journals, volume 33, issue 3, pages 190-213, July, DOI: 10.1080/09599916.2016.1199590.
• Bård Misund, 2016, "Vertical integration and value-relevance: Empirical evidence from oil and gas producers," Cogent Economics & Finance, Taylor & Francis Journals, volume 4, issue 1, pages 1264107-126, December, DOI: 10.1080/23322039.2016.1264107.
• Frank Asche & Bård Misund, 2016, "Who’s a major? A novel approach to peer group selection: Empirical evidence from oil and gas companies," Cogent Economics & Finance, Taylor & Francis Journals, volume 4, issue 1, pages 1264538-126, December, DOI: 10.1080/23322039.2016.1264538.
• Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2016, "Recovering the real-world density and liquidity premia from option data," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 7, pages 1147-1164, July, DOI: 10.1080/14697688.2015.1128117.
• Kang, Wensheng & Ratti, Ronald. A. & Vespignani, Joaquin, 2016, "The impact of oil price shocks on the US stock market: A note on the roles of the US and non-US oil production," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2016-03, Mar.
• Georgios Mantsios & Stylianos Xanthopoulos, 2016, "The Beta intervalling effect during a deep economic crisis - evidence from Greece," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 9, issue 1, pages 19-26, April.
• Geromichalos, Athanasios & Herrenbrueck, Lucas M. & Salyer, Kevin D., 2016, "A search-theoretic model of the term premium," Theoretical Economics, Econometric Society, volume 11, issue 3, September.
• Roman Frydman & Joshua R. Stillwagon, 2016, "Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter," Working Papers Series, Institute for New Economic Thinking, number 44, May, DOI: 10.2139/ssrn.2793421.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-006/III, Feb.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016, "Connecting VIX and Stock Index ETF," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-010/III, Feb, revised 23 Jan 2017.
• Luiz Felix & Roman Kraussl & Philip Stork, 2016, "Single Stock Call Options as Lottery Tickets - Overpricing and Investor Sentiment," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-022/IV, Apr, revised 26 Jan 2018.
• Matthias Weber & John Duffy & Arthur Schram, 2016, "An Experimental Study of Bond Market Pricing," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 16-059/I, Aug.
• Beetsma, R.M.W.J. & Giuliodori, M. & de Jong, F.C.J.M. & Widijanto, D., 2014, "Price effects of sovereign debt auctions in the Euro-zone : The role of the crisis," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8e7aa91b-fe20-460e-9ff2-e.
• Shin-ichi Fukuda & Mariko Tanaka, 2016, "Monetary Policy and Covered Interest Parity in the Post GFC Period: Evidence from the Australian Dollar and the NZ Dollar," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-1032, Nov.
• Andreas Haupenthal & Matthias Neuenkirch, 2016, "Grexit News and Stock Returns," Research Papers in Economics, University of Trier, Department of Economics, number 2016-08.
• Özge SEZGIN ALP & Fazil GÖKGÖZ & Güray KÜÇÜKKOCAOGLU, 2016, "Estimating Turkish Stock Market Returns With Apt Model: Cointegration And Vector Error Correction," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, volume 14, issue 1, pages 7-19, May.
• Thomas Conlon & John Cotter & Chenglu Jin, 2016, "The Intervaling Effect on Higher-Order Co-Moments," Working Papers, Geary Institute, University College Dublin, number 201602, Jan.
• John Cotter & Stuart Gabriel & Richard Roll, 2016, "Nowhere to run, nowhere to hide: asset diversification in a flat world," Working Papers, Geary Institute, University College Dublin, number 201612, Nov.
• Massimiliano Caporin & Chia-Lin Chang & Michael McAleer, 2016, "Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-01, Feb.
• Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2016, "How are VIX and Stock Index ETF Related?," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2016-02, Feb.
• David E. Allen & Michael McAleer & Abhay K. Singh, 2016, "An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2017-01, Dec.
• Alessia Paccagnini, 2016, "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications, School of Economics, University College Dublin, number 10197/7324, Jan.
• Muhammad Zubair Mumtaz & Zachary A. Smith & Ather Maqsood Ahmed, 2016, "An examination of short-run performance of IPOs using Extreme Bounds Analysis," Estudios de Economia, University of Chile, Department of Economics, volume 43, issue 1 Year 20, pages 71-95, June.
• C. José García Martín & Begoña Herrero Piqueras & Ana María Ibáñez Escribano, 2016, "The informational role of thin options markets: Empirical evidence from the Spanish case," Estudios de Economia, University of Chile, Department of Economics, volume 43, issue 2 Year 20, pages 233-263, December.
• Constantino Hevia & Ivan Petrella & Martin Sola, 2016, "Risk Premia and Seasonality in Commodity Futures," Department of Economics Working Papers, Universidad Torcuato Di Tella, number 2016_01, Mar.
• Phu Nguyen-Van & Cyrielle Poiraud & Nguyen To-The, 2016, "Modeling farmers’ decisions on tea varieties in Vietnam: a multinomial logit analysis," Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg, number 2016-40.
• Juan Carlos Cuestas & Luis A. Gil-Alana, 2016, "Oil shocks on unemployment in Central and Eastern Europe," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 01/16, Jan.
• Elena María Díaz & Juan Carlos Molero & Fernando Pérez de Gracia, 2016, "Oil price volatility and stock returns in the G7 economies," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 03/16, Nov.
• Francesco Cerigioni, 2016, "Dual decision processes and noise trading," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1553, Sep.
• Eric Jondeau, 2016, "Comment on "Exchange rate floor and central bank balance sheets: Simple spillover tests of the Swiss franc"," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, volume 67, issue 02, pages 49-50, August.
• Thomas Nitschka, 2016, "Risk premia on Swiss government bonds and sectoral stock indexes during international crises:," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, volume 67, issue 02, pages 51-67, August.
• , 2016, "Funding Illiquidity," Working Papers on Finance, University of St. Gallen, School of Finance, number 1601, Jan, revised Sep 2019.
• Abdi, Farshid & Ranaldo, Angelo, 2016, "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low PricesWe propose a new method to estimate the bid-ask spread when quote data are not available. Compared to other low-frequency estimates, it utilizes a wider information set, nam," Working Papers on Finance, University of St. Gallen, School of Finance, number 1604, Jan, revised Apr 2017.
• Ranaldo, Angelo & Rossi, Enzo, 2016, "Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution," Working Papers on Finance, University of St. Gallen, School of Finance, number 1609, Mar.
• Mirkov, Nikola & Pozdeev, Igor & Soderlind, Paul, 2016, "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers on Finance, University of St. Gallen, School of Finance, number 1614, Jul.
• Ben Ammar, Semir, 2016, "Pricing of Catastrophe Risk and the Implied Volatility Smile," Working Papers on Finance, University of St. Gallen, School of Finance, number 1617, Jul.
• Xue-Zhong He & Lei Shi, 2016, "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2016-4, Jan.
• Xue-Zhong He & Huanhuan Zheng, 2016, "Trading Heterogeneity Under Information Uncertainty," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 373, Jul.
• Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016, "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 374, Aug.
• Goodness C. Aye & Frederick W. Deale & Rangan Gupta, 2016, "Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, volume 63, issue 3, pages 273-291.
• Karanović Goran & Karanović Bisera, 2016, "IPOs Performance Analysis: Evidence from Emerging Markets in the Balkans," Scientific Annals of Economics and Business, Sciendo, volume 63, issue 3, pages 381-389, November, DOI: 10.1515/saeb-2016-0129.
• Sakowski Paweł & Ślepaczuk Robert & Wywiał Mateusz, 2016, "Cross-Sectional Returns with Volatility Regimes from a Diverse Portfolio of Emerging and Developed Equity Indices," Financial Internet Quarterly (formerly e-Finanse), Sciendo, volume 12, issue 2, pages 23-35, DOI: 10.1515/fiqf-2016-0141.
• Flotyński Marcin, 2016, "The Profitability of the Strategy Linking Fundamental, Portfolio and Technical Analysis on the Polish Capital Market," Folia Oeconomica Stetinensia, Sciendo, volume 16, issue 1, pages 113-146, December, DOI: 10.1515/foli-2016-0008.
• Majewski Sebastian, 2016, "Identification of Factors Determining Market Value of the Most Valuable Football Players," Journal of Management and Business Administration. Central Europe, Sciendo, volume 24, issue 3, pages 91-104, September, DOI: 10.7206/jmba.ce.2450-7814.177.
• Wolski Rafał, 2016, "Investment Risk in the Context of Price Changes on the Real Estate and Stock Markets," Real Estate Management and Valuation, Sciendo, volume 24, issue 1, pages 41-50, March, DOI: 10.1515/remav-2016-0004.
• R.A. Omotunde (M.Sc.) & Isaac Chii Nwaogwugwu (PhD) & N. I. Nwokoma (Professor), 2016, "Interest Rate Shocks And Stock Market Volatility In Nigeria (1985-2014)," West African Journal of Monetary and Economic Integration, West African Monetary Institute, volume 16, issue 2, pages 44-72, December.
• Yasushi Asako & Yukihiko Funaki & Kozo Ueda & Nobuyuki Uto, 2016, "Symmetric Information Bubbles: Experimental Evidence," Working Papers, Waseda University, Faculty of Political Science and Economics, number 1613, Dec.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Do Multi-Factor Models Produce Robust Results? Econometric And Diagnostic Issues In Equity Risk Premia Study," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-08.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Can We Invest Based on Equity Risk Premia and Risk Factors from Multi-Factor Models?," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-09.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices," Working Papers, Faculty of Economic Sciences, University of Warsaw, number 2016-10.
• Ratha,Dilip K. & De,Supriyo & Kurlat,Sergio Andres & Ratha,Dilip K. & De,Supriyo & Kurlat,Sergio Andres, 2016, "Does governing law affect bond spreads ?," Policy Research Working Paper Series, The World Bank, number 7863, Oct.
• Helmut Elsinger & Philipp Schmidt-Dengler & Christine Zulehner, 2016, "Competition in Treasury Auctions," WIFO Working Papers, WIFO, number 512, Feb.