Research classified by Journal of Economic Literature (JEL) codes

2017

• Ellington, Michael & Florackis, Chris & Milas, Costas, 2017, "Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR," Journal of International Money and Finance, Elsevier, volume 72, issue C, pages 93-117, DOI: 10.1016/j.jimonfin.2016.12.002.
• Boysen-Hogrefe, Jens, 2017, "Risk assessment on euro area government bond markets – The role of governance," Journal of International Money and Finance, Elsevier, volume 73, issue PA, pages 104-117, DOI: 10.1016/j.jimonfin.2017.01.005.
• Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017, "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, volume 73, issue PA, pages 162-187, DOI: 10.1016/j.jimonfin.2017.01.002.
• Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2017, "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Journal of International Money and Finance, Elsevier, volume 73, issue PB, pages 371-385, DOI: 10.1016/j.jimonfin.2017.03.006.
• Lambertides, Neophytos & Savva, Christos S. & Tsouknidis, Dimitris A., 2017, "The effects of oil price shocks on U.S. stock order flow imbalances and stock returns," Journal of International Money and Finance, Elsevier, volume 74, issue C, pages 137-146, DOI: 10.1016/j.jimonfin.2017.03.008.
• Hoffmann, Mathias & Studer-Suter, Rahel, 2017, "Systematic consumption risk in currency returns," Journal of International Money and Finance, Elsevier, volume 74, issue C, pages 187-208, DOI: 10.1016/j.jimonfin.2017.01.001.
• Fukuda, Shin-ichi & Tanaka, Mariko, 2017, "Monetary policy and covered interest parity in the post GFC period: Evidence from the Australian dollar and the NZ dollar," Journal of International Money and Finance, Elsevier, volume 74, issue C, pages 301-317, DOI: 10.1016/j.jimonfin.2017.02.022.
• Bernhard, Severin & Ebner, Till, 2017, "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, volume 75, issue C, pages 109-127, DOI: 10.1016/j.jimonfin.2017.04.001.
• Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2017, "Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme," Journal of International Money and Finance, Elsevier, volume 75, issue C, pages 14-31, DOI: 10.1016/j.jimonfin.2017.04.003.
• Picault, Matthieu & Renault, Thomas, 2017, "Words are not all created equal: A new measure of ECB communication," Journal of International Money and Finance, Elsevier, volume 79, issue C, pages 136-156, DOI: 10.1016/j.jimonfin.2017.09.005.
• Harris, Richard D.F. & Shen, Jian, 2017, "The intrinsic value of gold: An exchange rate-free price index," Journal of International Money and Finance, Elsevier, volume 79, issue C, pages 203-217, DOI: 10.1016/j.jimonfin.2017.09.007.
• Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Göhring, Matthias, 2017, "Determinants of sub-sovereign bond yield spreads – The role of fiscal fundamentals and federal bailout expectations," Journal of International Money and Finance, Elsevier, volume 79, issue C, pages 72-98, DOI: 10.1016/j.jimonfin.2017.08.003.
• Suzuki, Kazuyuki & Chida, Ryokichi, 2017, "Contribution of R&D capital to differences in Tobin's q among Japanese manufacturing firms: Evidence from an investment-based asset pricing model," Journal of the Japanese and International Economies, Elsevier, volume 43, issue C, pages 38-58, DOI: 10.1016/j.jjie.2016.12.001.
• Nemoto, Hiroyuki, 2017, "Credit availability and asset price: Empirical analysis of the Japanese bubbles in 1980s," Journal of the Japanese and International Economies, Elsevier, volume 44, issue C, pages 90-98, DOI: 10.1016/j.jjie.2017.04.001.
• Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2017, "The term structure of credit spreads and business cycle in Japan," Journal of the Japanese and International Economies, Elsevier, volume 45, issue C, pages 27-36, DOI: 10.1016/j.jjie.2017.06.001.
• Ahmed, Ammad & Ali, Searat, 2017, "Boardroom gender diversity and stock liquidity: Evidence from Australia," Journal of Contemporary Accounting and Economics, Elsevier, volume 13, issue 2, pages 148-165, DOI: 10.1016/j.jcae.2017.06.001.
• Valcarcel, Victor J. & Vivian, Andrew J. & Wohar, Mark E., 2017, "Predictability and underreaction in industry-level returns: Evidence from commodity markets," Journal of Commodity Markets, Elsevier, volume 6, issue C, pages 1-15, DOI: 10.1016/j.jcomm.2017.02.003.
• Yan, Lei & Garcia, Philip, 2017, "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, volume 8, issue C, pages 43-55, DOI: 10.1016/j.jcomm.2017.10.002.
• Birz, Gene, 2017, "Stale economic news, media and the stock market," Journal of Economic Psychology, Elsevier, volume 61, issue C, pages 87-102, DOI: 10.1016/j.joep.2017.03.002.
• Gil-Alana, Luis A. & Cunado, Juncal & Gupta, Rangan, 2017, "Evidence of persistence in U.S. short and long-term interest rates," Journal of Policy Modeling, Elsevier, volume 39, issue 5, pages 775-789, DOI: 10.1016/j.jpolmod.2017.04.005.
• Su, Chi-Wei & Wang, Kai-Hua & Chang, Hsu-Ling & Dumitrescu–Peculea, Adelina, 2017, "Do iron ore price bubbles occur?," Resources Policy, Elsevier, volume 53, issue C, pages 340-346, DOI: 10.1016/j.resourpol.2017.08.003.
• Ready, Robert & Roussanov, Nikolai & Ward, Colin, 2017, "After the tide: Commodity currencies and global trade," Journal of Monetary Economics, Elsevier, volume 85, issue C, pages 69-86, DOI: 10.1016/j.jmoneco.2016.11.005.
• Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017, "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, volume 86, issue C, pages 1-21, DOI: 10.1016/j.jmoneco.2017.01.001.
• Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017, "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, volume 88, issue C, pages 50-69, DOI: 10.1016/j.jmoneco.2017.05.006.
• Adrian, Tobias & Boyarchenko, Nina & Shachar, Or, 2017, "Dealer balance sheets and bond liquidity provision," Journal of Monetary Economics, Elsevier, volume 89, issue C, pages 92-109, DOI: 10.1016/j.jmoneco.2017.03.011.
• Shachmurove, Yochanan & Vulanovic, Milos, 2017, "U.S. SPACs with a focus on China," Journal of Multinational Financial Management, Elsevier, volume 39, issue C, pages 1-18, DOI: 10.1016/j.mulfin.2016.12.001.
• Cai, Kelly, 2017, "The cost of debt for Yankee and domestic bonds," Journal of Multinational Financial Management, Elsevier, volume 40, issue C, pages 1-13, DOI: 10.1016/j.mulfin.2017.05.005.
• Devaney, Steven & Xiao, Qin, 2017, "Cyclical co-movements of private real estate, public real estate and equity markets: A cross-continental spectrum," Journal of Multinational Financial Management, Elsevier, volume 42, issue , pages 132-151, DOI: 10.1016/j.mulfin.2017.10.002.
• Park, Heungju & Ju, Lan & Liang, Tianyu & Tu, Zhiyong, 2017, "Horizon analysis of art investments: Evidence from the Chinese market," Pacific-Basin Finance Journal, Elsevier, volume 41, issue C, pages 17-25, DOI: 10.1016/j.pacfin.2016.11.001.
• Lin, Chaonan & Ko, Kuan-Cheng & Lin, Lin & Yang, Nien-Tzu, 2017, "Price limits and the value premium in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, volume 41, issue C, pages 26-45, DOI: 10.1016/j.pacfin.2016.12.001.
• Naifar, Nader & Mroua, Mourad & Bahloul, Slah, 2017, "Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence," Pacific-Basin Finance Journal, Elsevier, volume 41, issue C, pages 65-74, DOI: 10.1016/j.pacfin.2016.12.004.
• Wu, Chen-Hui & Lin, Chan-Jane, 2017, "The impact of media coverage on investor trading behavior and stock returns," Pacific-Basin Finance Journal, Elsevier, volume 43, issue C, pages 151-172, DOI: 10.1016/j.pacfin.2017.04.001.
• Jain, Pawan & Xue, Wenjun, 2017, "Global investigation of return autocorrelation and its determinants," Pacific-Basin Finance Journal, Elsevier, volume 43, issue C, pages 200-217, DOI: 10.1016/j.pacfin.2017.04.007.
• Guo, Bin & Zhang, Wei & Zhang, Yongjie & Zhang, Han, 2017, "The five-factor asset pricing model tests for the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, volume 43, issue C, pages 84-106, DOI: 10.1016/j.pacfin.2017.02.001.
• Liu, Zhenya & Wang, Shixuan, 2017, "Decoding Chinese stock market returns: Three-state hidden semi-Markov model," Pacific-Basin Finance Journal, Elsevier, volume 44, issue C, pages 127-149, DOI: 10.1016/j.pacfin.2017.06.007.
• Goh, Jihoon & Jeon, Byoung-Hyun, 2017, "Post-earnings-announcement-drift and 52-week high: Evidence from Korea," Pacific-Basin Finance Journal, Elsevier, volume 44, issue C, pages 150-159, DOI: 10.1016/j.pacfin.2017.06.008.
• Li, Wei & Rhee, Ghon & Wang, Steven Shuye, 2017, "Differences in herding: Individual vs. institutional investors," Pacific-Basin Finance Journal, Elsevier, volume 45, issue C, pages 174-185, DOI: 10.1016/j.pacfin.2016.11.005.
• Maslyuk-Escobedo, Svetlana & Rotaru, Kristian & Dokumentov, Alexander, 2017, "News sentiment and jumps in energy spot and futures markets," Pacific-Basin Finance Journal, Elsevier, volume 45, issue C, pages 186-210, DOI: 10.1016/j.pacfin.2016.07.001.
• Frino, Alex & Prodromou, Tina & Wang, George H.K. & Westerholm, P. Joakim & Zheng, Hui, 2017, "An empirical analysis of algorithmic trading around earnings announcements," Pacific-Basin Finance Journal, Elsevier, volume 45, issue C, pages 34-51, DOI: 10.1016/j.pacfin.2016.05.008.
• Cheema, Muhammad A. & Nartea, Gilbert V., 2017, "Momentum, idiosyncratic volatility and market dynamics: Evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PA, pages 109-123, DOI: 10.1016/j.pacfin.2017.09.001.
• Jang, Jeewon, 2017, "Stock return anomalies and individual investors in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PA, pages 141-157, DOI: 10.1016/j.pacfin.2017.09.002.
• Li, Xiao-Ming, 2017, "New evidence on economic policy uncertainty and equity premium," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PA, pages 41-56, DOI: 10.1016/j.pacfin.2017.08.005.
• Kim, Young Jun & Lee, Joonil & Lee, Su Jeong & Sunwoo, Hee-Yeon, 2017, "Do mutual funds exploit the accrual anomaly?: Korean evidence," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PB, pages 227-242, DOI: 10.1016/j.pacfin.2017.09.008.
• Adachi, Yuta & Masuda, Motoki & Takeda, Fumiko, 2017, "Google search intensity and its relationship to the returns and liquidity of Japanese startup stocks," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PB, pages 243-257, DOI: 10.1016/j.pacfin.2017.09.009.
• Wang, Peipei & Wen, Yuanji & Singh, Harminder, 2017, "The high-volume return premium: Does it exist in the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, volume 46, issue PB, pages 323-336, DOI: 10.1016/j.pacfin.2017.10.003.
• Huang, Chun-Kai & North, Delia & Zewotir, Temesgen, 2017, "Exchangeability, extreme returns and Value-at-Risk forecasts," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 477, issue C, pages 204-216, DOI: 10.1016/j.physa.2017.02.080.
• Hail, Luzi & Sikes, Stephanie & Wang, Clare, 2017, "Cross-country evidence on the relation between capital gains taxes, risk, and expected returns," Journal of Public Economics, Elsevier, volume 151, issue C, pages 56-73, DOI: 10.1016/j.jpubeco.2015.12.001.
• Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017, "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, volume 63, issue C, pages 185-192, DOI: 10.1016/j.qref.2016.04.002.
• Noman, Abdullah & Naka, Atsuyuki & Zirek, Duygu, 2017, "Examining return predictability of industry style portfolios with prior return relative to a benchmark," The Quarterly Review of Economics and Finance, Elsevier, volume 63, issue C, pages 193-203, DOI: 10.1016/j.qref.2016.04.010.
• McCown, James Ross & Shaw, Ron, 2017, "Investment potential and risk hedging characteristics of platinum group metals," The Quarterly Review of Economics and Finance, Elsevier, volume 63, issue C, pages 328-337, DOI: 10.1016/j.qref.2016.06.001.
• Naka, Atsuyuki & Noman, Abdullah, 2017, "Diversification of risk exposure through country mutual funds under alternative investment opportunities," The Quarterly Review of Economics and Finance, Elsevier, volume 64, issue C, pages 215-227, DOI: 10.1016/j.qref.2016.06.009.
• Ngo, Thanh, 2017, "Exchange rate exposure of REITs," The Quarterly Review of Economics and Finance, Elsevier, volume 64, issue C, pages 249-258, DOI: 10.1016/j.qref.2016.09.002.
• Juneja, Januj, 2017, "Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models," The Quarterly Review of Economics and Finance, Elsevier, volume 64, issue C, pages 292-305, DOI: 10.1016/j.qref.2016.08.003.
• Wang, Zijun & Khan, M. Moosa, 2017, "Market states and the risk-return tradeoff," The Quarterly Review of Economics and Finance, Elsevier, volume 65, issue C, pages 314-327, DOI: 10.1016/j.qref.2016.10.001.
• Krause, Marko & Lahmann, Alexander, 2017, "Valuation effects of taxes on debt cancellation," The Quarterly Review of Economics and Finance, Elsevier, volume 65, issue C, pages 346-354, DOI: 10.1016/j.qref.2016.11.005.
• Teplova, Tamara & Mikova, Evgeniya & Nazarov, Nikolai, 2017, "Stop losses momentum strategy: From profit maximization to risk control under White’s Bootstrap Reality Check," The Quarterly Review of Economics and Finance, Elsevier, volume 66, issue C, pages 240-258, DOI: 10.1016/j.qref.2017.03.003.
• Liu, Xiaochun, 2017, "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, volume 66, issue C, pages 275-293, DOI: 10.1016/j.qref.2017.03.006.
• Curatola, Giuliano, 2017, "Optimal portfolio choice with loss aversion over consumption," The Quarterly Review of Economics and Finance, Elsevier, volume 66, issue C, pages 345-358, DOI: 10.1016/j.qref.2017.04.003.
• Barro, Robert J. & Ursúa, José F., 2017, "Stock-market crashes and depressions," Research in Economics, Elsevier, volume 71, issue 3, pages 384-398, DOI: 10.1016/j.rie.2017.04.001.
• Wickens, Michael, 2017, "A DSGE model of banks and financial intermediation with default risk," Research in Economics, Elsevier, volume 71, issue 3, pages 636-642, DOI: 10.1016/j.rie.2017.05.004.
• Wu, Hui & Ma, Chaoqun & Yue, Shengjie, 2017, "Momentum in strategic asset allocation," International Review of Economics & Finance, Elsevier, volume 47, issue C, pages 115-127, DOI: 10.1016/j.iref.2016.10.009.
• Chiu, Junmao & Tsai, Kunchi, 2017, "Government interventions and equity liquidity in the sub-prime crisis period: Evidence from the ETF market," International Review of Economics & Finance, Elsevier, volume 47, issue C, pages 128-142, DOI: 10.1016/j.iref.2016.10.013.
• Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017, "Volatility Spillovers from Australia's major trading partners across the GFC," International Review of Economics & Finance, Elsevier, volume 47, issue C, pages 159-175, DOI: 10.1016/j.iref.2016.10.007.
• Tao, Qizhi & Chen, Carl & Lu, Rui & Zhang, Ting, 2017, "Underfunding or distress? An analysis of corporate pension underfunding and the cross-section of expected stock returns," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 116-133, DOI: 10.1016/j.iref.2016.11.009.
• Kim, Myeong Hyeon & Sun, Lingxia, 2017, "Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 309-325, DOI: 10.1016/j.iref.2016.12.014.
• Chen, Shyh-Wei & Xie, Zixiong, 2017, "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 339-354, DOI: 10.1016/j.iref.2016.12.001.
• Bouri, Elie & Chen, Qian & Lien, Donald & Lv, Xin, 2017, "Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 34-48, DOI: 10.1016/j.iref.2016.11.004.
• Lai, Ya-Wen, 2017, "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 452-477, DOI: 10.1016/j.iref.2016.11.002.
• Kim, Kwanho, 2017, "Liquidity basis between credit default swaps and corporate bonds markets," International Review of Economics & Finance, Elsevier, volume 48, issue C, pages 98-115, DOI: 10.1016/j.iref.2016.11.013.
• Yu, Philip L.H. & Lu, Renjie, 2017, "Cointegrated market-neutral strategy for basket trading," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 112-124, DOI: 10.1016/j.iref.2017.01.007.
• Shimizu, Makoto, 2017, "Effect of net foreign assets on persistency of time-varying risk premium: Evidence from the Dollar-Yen exchange rate," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 255-265, DOI: 10.1016/j.iref.2017.01.022.
• Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2017, "The dynamic effects of quantitative easing on stock price: Evidence from Asian emerging markets, 2001–2016," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 548-567, DOI: 10.1016/j.iref.2017.03.002.
• Liu, Bo & Liu, Yang & Peng, Juan & Yang, Jinqiang, 2017, "Optimal capital structure and credit spread under incomplete information," International Review of Economics & Finance, Elsevier, volume 49, issue C, pages 596-611, DOI: 10.1016/j.iref.2017.03.020.
• Ali, Searat & Liu, Benjamin & Su, Jen Je, 2017, "Corporate governance and stock liquidity dimensions: Panel evidence from pure order-driven Australian market," International Review of Economics & Finance, Elsevier, volume 50, issue C, pages 275-304, DOI: 10.1016/j.iref.2017.03.005.
• Kim, Daehwan & Iwasawa, Seiichiro, 2017, "Hot money and cross-section of stock returns during the global financial crisis," International Review of Economics & Finance, Elsevier, volume 50, issue C, pages 8-22, DOI: 10.1016/j.iref.2017.03.022.
• Cheema, Muhammad A. & Nartea, Gilbert V., 2017, "Momentum returns, market states, and market dynamics: Is China different?," International Review of Economics & Finance, Elsevier, volume 50, issue C, pages 85-97, DOI: 10.1016/j.iref.2017.04.003.
• Jin, Xiaoye, 2017, "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 157-173, DOI: 10.1016/j.iref.2017.05.015.
• Cao, N. & Galvani, V. & Gubellini, S., 2017, "Firm-specific stock and bond predictability: New evidence from Canada," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 174-192, DOI: 10.1016/j.iref.2017.05.007.
• Tsukuda, Yoshihiko & Shimada, Junji & Miyakoshi, Tatsuyoshi, 2017, "Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 193-213, DOI: 10.1016/j.iref.2017.05.013.
• Dima, Bogdan & Dima, Ştefana Maria, 2017, "Mutual information and persistence in the stochastic volatility of market returns: An emergent market example," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 36-59, DOI: 10.1016/j.iref.2017.05.008.
• Hu, May & Chao, Chi-Chur & Malone, Chris & Young, Martin, 2017, "Real determinants of stock split announcements," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 574-598, DOI: 10.1016/j.iref.2017.07.027.
• Buncic, Daniel & Tischhauser, Martin, 2017, "Macroeconomic factors and equity premium predictability," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 621-644, DOI: 10.1016/j.iref.2017.07.006.
• Aman, Hiroyuki & Moriyasu, Hiroshi, 2017, "Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market," International Review of Economics & Finance, Elsevier, volume 51, issue C, pages 660-676, DOI: 10.1016/j.iref.2017.07.029.
• Gao, Shenghao & Cao, Feng & Liu, Xiangqiang, 2017, "Seeing is not necessarily the truth: Do institutional investors' corporate site visits reduce hosting firms' stock price crash risk?," International Review of Economics & Finance, Elsevier, volume 52, issue C, pages 165-187, DOI: 10.1016/j.iref.2017.09.013.
• Chen, Shyh-Wei & Xie, Zixiong, 2017, "Detecting speculative bubbles under considerations of the sign asymmetry and size non-linearity: New international evidence," International Review of Economics & Finance, Elsevier, volume 52, issue C, pages 188-209, DOI: 10.1016/j.iref.2017.09.008.
• Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017, "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, volume 34, issue C, pages 61-73, DOI: 10.1016/j.rfe.2017.06.003.
• Nam, Kiseok & Khaksari, Shahriar & Kang, Moonsoo, 2017, "Trend in aggregate idiosyncratic volatility," Review of Financial Economics, Elsevier, volume 35, issue C, pages 11-28, DOI: 10.1016/j.rfe.2016.11.001.
• Pati, Pratap Chandra & Rajib, Prabina & Barai, Parama, 2017, "A behavioural explanation to the asymmetric volatility phenomenon: Evidence from market volatility index," Review of Financial Economics, Elsevier, volume 35, issue C, pages 66-81, DOI: 10.1016/j.rfe.2017.07.004.
• Vortelinos, Dimitrios I. & Koulakiotis, Athanasios & Tsagkanos, Athanasios, 2017, "Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 150-168, DOI: 10.1016/j.ribaf.2016.07.002.
• Trabelsi Mnif, Afef, 2017, "Political uncertainty and behavior of Tunisian stock market cycles: Structural unobserved components time series models," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 206-214, DOI: 10.1016/j.ribaf.2016.07.029.
• Dinh, Minh Thi Hong, 2017, "The returns, risk and liquidity relationship in high frequency trading: Evidence from the Oslo stock market," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 30-40, DOI: 10.1016/j.ribaf.2016.07.013.
• Cheong, Calvin W.H. & Sinnakkannu, Jothee & Ramasamy, Sockalingam, 2017, "On the predictability of carry trade returns: The case of the Chinese Yuan," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 358-376, DOI: 10.1016/j.ribaf.2016.09.007.
• Moussa, Faten & Delhoumi, Ezzeddine & Ouda, Olfa Ben, 2017, "Stock return and volatility reactions to information demand and supply," Research in International Business and Finance, Elsevier, volume 39, issue PA, pages 54-67, DOI: 10.1016/j.ribaf.2016.07.016.
• Lim, Kian-Ping & Thian, Tze-Chung & Hooy, Chee-Wooi, 2017, "Investor heterogeneity, trading account types and competing liquidity channels for Malaysian stocks," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 220-234, DOI: 10.1016/j.ribaf.2017.04.019.
• Zaremba, Adam & Schabek, Tomasz, 2017, "Seasonality in government bond returns and factor premia," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 292-302, DOI: 10.1016/j.ribaf.2017.04.036.
• Azad, A.S.M. Sohel & Chazi, Abdelaziz & Cooper, Peter & Ahsan, Amirul, 2017, "What determines the Japanese corporate credit spread? A new evidence," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 354-361, DOI: 10.1016/j.ribaf.2017.04.029.
• Moussa, Faten & BenOuda, Olfa & Delhoumi, Ezzeddine, 2017, "The use of open source internet to analysis and predict stock market trading volume," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 399-411, DOI: 10.1016/j.ribaf.2017.04.048.
• Smimou, K., 2017, "Does gold Liquidity learn from the greenback or the equity?," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 461-479, DOI: 10.1016/j.ribaf.2017.04.030.
• Bajo-Rubio, Oscar & Berke, Burcu & McMillan, David, 2017, "The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises," Research in International Business and Finance, Elsevier, volume 41, issue C, pages 577-589, DOI: 10.1016/j.ribaf.2017.04.003.
• Sharma, Shahil, 2017, "Oil price shocks and American depositary receipt stock returns," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1040-1056, DOI: 10.1016/j.ribaf.2017.07.040.
• Wu, Weiou & Lau, Marco Chi Keung & Vigne, Samuel A., 2017, "Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1137-1149, DOI: 10.1016/j.ribaf.2017.07.050.
• Charteris, Ailie & Musadziruma, Arnold, 2017, "Feedback trading in stock index futures: Evidence from South Africa," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1289-1297, DOI: 10.1016/j.ribaf.2017.07.065.
• Tchamyou, Vanessa S. & Asongu, Simplice A., 2017, "Conditional market timing in the mutual fund industry," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1355-1366, DOI: 10.1016/j.ribaf.2017.07.072.
• Kalak, Izidin El & Azevedo, Alcino & Hudson, Robert & Karim, Mohamad Abd, 2017, "Stock liquidity and SMEs’ likelihood of bankruptcy: Evidence from the US market," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1383-1393, DOI: 10.1016/j.ribaf.2017.07.077.
• Gao, Jun & O’Sullivan, Niall & Sherman, Meadhbh, 2017, "Performance persistence in Chinese securities investment funds," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 1467-1477, DOI: 10.1016/j.ribaf.2017.07.085.
• Ayadi, Mohamed A. & Lazrak, Skander & Welch, Robert, 2017, "Determinants of bankruptcy regime choice for Canadian public firms," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 161-172, DOI: 10.1016/j.ribaf.2017.04.043.
• Lai, Ya-Wen & Windawati, Atif, 2017, "Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 233-241, DOI: 10.1016/j.ribaf.2017.04.054.
• Boukhatem, Jamel & Sekouhi, Hayfa, 2017, "What does the bond yield curve tell us about Tunisian economic activity?," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 295-303, DOI: 10.1016/j.ribaf.2017.07.053.
• Arjoon, Vaalmikki & Bhatnagar, Chandra Shekhar, 2017, "Dynamic herding analysis in a frontier market," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 496-508, DOI: 10.1016/j.ribaf.2017.01.006.
• Trabelsi, Nader & Naifar, Nader, 2017, "Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR," Research in International Business and Finance, Elsevier, volume 42, issue C, pages 727-744, DOI: 10.1016/j.ribaf.2017.07.013.
• Maria Caporale, Guglielmo & Zakirova, Valentina, 2017, "Calendar anomalies in the Russian stock market," Russian Journal of Economics, Elsevier, volume 3, issue 1, pages 101-108, DOI: 10.1016/j.ruje.2017.02.007.
• Pavel Ciaian & Miroslava Rajcaniova & d'Artis Kancs, 2017, "Virtual Relationships: Short- and Long-run Evidence from BitCoin and Altcoin Markets," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2017/02, Apr.
• Valerio Filoso & Carlo Panico & Erasmo Papagni & Francesco Purificato & Marta Vázquez Suarez, 2017, "Causes and timing of the European debt crisis: An econometric evaluation," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2017/03, Jan.
• Yasushi Asako & Yukihiko Funaki & Kozo Ueda & Nobuyuki Uto, 2017, "Symmetric Information Bubbles: Experimental Evidence," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-05, Jan.
• Wensheng Kang & Ronald A. Ratti & Joaquin L. Vespignani, 2017, "Oil Price Shocks and Policy Uncertainty: New Evidence on the Effects of US and Non-US Oil Production," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-07, Jan.
• Domenico Lombardi & Pierre L. Siklos & Samantha St. Amand, 2017, "Government Bond Yields at the Effective Lower Bound: International Evidence," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-32, Apr.
• Leo Krippner, 2017, "A Comment on Wu and Xia (2016) from a Macroeconomic Perspective," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-41, Jun.
• Stijn Claessens & M. Ayhan Kose, 2017, "Macroeconomic Implications of Financial Imperfections: A Survey," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-75, Nov.
• Stijn Claessens & M. Ayhan Kose, 2017, "Asset Prices and Macroeconomic Outcomes: A Survey," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2017-76, Nov.

2016

• Laminou Abdou, Souleymane & Moraux, Franck, 2016, "Pricing and hedging American and hybrid strangles with finite maturity," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 112-125, DOI: 10.1016/j.jbankfin.2015.10.003.
• Sibley, Steven E. & Wang, Yanchu & Xing, Yuhang & Zhang, Xiaoyan, 2016, "The information content of the sentiment index," Journal of Banking & Finance, Elsevier, volume 62, issue C, pages 164-179, DOI: 10.1016/j.jbankfin.2015.10.001.
• Liu, Weimin & Luo, Di & Zhao, Huainan, 2016, "Transaction costs, liquidity risk, and the CCAPM," Journal of Banking & Finance, Elsevier, volume 63, issue C, pages 126-145, DOI: 10.1016/j.jbankfin.2015.11.011.
• Comerton-Forde, Carole & Do, Binh Huu & Gray, Philip & Manton, Tom, 2016, "Assessing the information content of short-selling metrics using daily disclosures," Journal of Banking & Finance, Elsevier, volume 64, issue C, pages 188-204, DOI: 10.1016/j.jbankfin.2015.12.009.
• Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016, "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, volume 65, issue C, pages 1-26, DOI: 10.1016/j.jbankfin.2015.12.004.
• Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016, "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, volume 65, issue C, pages 134-155, DOI: 10.1016/j.jbankfin.2015.10.005.
• Bekaert, Geert & Hoerova, Marie, 2016, "What do asset prices have to say about risk appetite and uncertainty?," Journal of Banking & Finance, Elsevier, volume 67, issue C, pages 103-118, DOI: 10.1016/j.jbankfin.2015.06.015.
• Hedegaard, Esben & Hodrick, Robert J., 2016, "Estimating the risk-return trade-off with overlapping data inference," Journal of Banking & Finance, Elsevier, volume 67, issue C, pages 135-145, DOI: 10.1016/j.jbankfin.2016.03.008.
• Malik, Sheheryar & Meldrum, Andrew, 2016, "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, volume 67, issue C, pages 85-102, DOI: 10.1016/j.jbankfin.2016.02.006.
• Tsai, Feng-Tse & Lu, Hsin-Min & Hung, Mao-Wei, 2016, "The impact of news articles and corporate disclosure on credit risk valuation," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 100-116, DOI: 10.1016/j.jbankfin.2016.03.018.
• Isshaq, Zangina & Faff, Robert, 2016, "Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 153-161, DOI: 10.1016/j.jbankfin.2016.02.012.
• Chacko, George & Das, Sanjiv & Fan, Rong, 2016, "An index-based measure of liquidity," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 162-178, DOI: 10.1016/j.jbankfin.2016.03.012.
• Entrop, Oliver & Fischer, Georg & McKenzie, Michael & Wilkens, Marco & Winkler, Christoph, 2016, "How does pricing affect investors’ product choice? Evidence from the market for discount certificates," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 195-215, DOI: 10.1016/j.jbankfin.2016.03.003.
• Wu, Yuliang & Mazouz, Khelifa, 2016, "Long-term industry reversals," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 236-250, DOI: 10.1016/j.jbankfin.2016.03.017.
• Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016, "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, volume 68, issue C, pages 29-46, DOI: 10.1016/j.jbankfin.2016.03.014.
• Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin, 2016, "Jump and variance risk premia in the S&P 500," Journal of Banking & Finance, Elsevier, volume 69, issue C, pages 72-83, DOI: 10.1016/j.jbankfin.2016.03.013.
• AitSahlia, Farid & Yoon, Joon-Hui, 2016, "Information stages in efficient markets," Journal of Banking & Finance, Elsevier, volume 69, issue C, pages 84-94, DOI: 10.1016/j.jbankfin.2016.04.003.
• Prevost, Andrew K. & Wongchoti, Udomsak & Marshall, Ben R., 2016, "Does institutional shareholder activism stimulate corporate information flow?," Journal of Banking & Finance, Elsevier, volume 70, issue C, pages 105-117, DOI: 10.1016/j.jbankfin.2016.06.009.
• DeLisle, R. Jared & McTier, Brian C. & Smedema, Adam R., 2016, "Systematic limited arbitrage and the cross-section of stock returns: Evidence from exchange traded funds," Journal of Banking & Finance, Elsevier, volume 70, issue C, pages 118-136, DOI: 10.1016/j.jbankfin.2016.06.006.
• Helberg, Stig & Lindset, Snorre, 2016, "Risk protection from risky collateral: Evidence from the euro bond market," Journal of Banking & Finance, Elsevier, volume 70, issue C, pages 193-213, DOI: 10.1016/j.jbankfin.2016.06.001.
• Shynkevich, Andrei, 2016, "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, volume 70, issue C, pages 55-69, DOI: 10.1016/j.jbankfin.2016.06.010.
• Chen, Hanwen & Huang, Henry He & Lobo, Gerald J. & Wang, Chong, 2016, "Religiosity and the cost of debt," Journal of Banking & Finance, Elsevier, volume 70, issue C, pages 70-85, DOI: 10.1016/j.jbankfin.2016.06.005.
• Spencer, Peter, 2016, "US bank credit spreads during the financial crisis," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 168-182, DOI: 10.1016/j.jbankfin.2016.04.015.
• Bae, Kwangil & Kang, Jangkoo & Lee, Soonhee, 2016, "Bullish/bearish/neutral strategies under short sale restrictions," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 227-239, DOI: 10.1016/j.jbankfin.2016.07.005.
• Karapandza, Rasa, 2016, "Stock returns and future tense language in 10-K reports," Journal of Banking & Finance, Elsevier, volume 71, issue C, pages 50-61, DOI: 10.1016/j.jbankfin.2016.04.025.
• Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju, 2016, "Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 151-174, DOI: 10.1016/j.jbankfin.2016.05.007.
• Celiker, Umut & Kayacetin, Nuri Volkan & Kumar, Raman & Sonaer, Gokhan, 2016, "Cash flow news, discount rate news, and momentum," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 240-254, DOI: 10.1016/j.jbankfin.2016.07.016.
• Yang, Lisa (Zongfei) & Goh, Jeremy & Chiyachantana, Chiraphol, 2016, "Valuation uncertainty, market sentiment and the informativeness of institutional trades," Journal of Banking & Finance, Elsevier, volume 72, issue C, pages 81-98, DOI: 10.1016/j.jbankfin.2016.07.009.
• Min, Byoung-Kyu & Kim, Tong Suk, 2016, "Momentum and downside risk," Journal of Banking & Finance, Elsevier, volume 72, issue S, pages 104-118, DOI: 10.1016/j.jbankfin.2016.04.005.
• Cao, Jie & Han, Bing, 2016, "Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, volume 73, issue C, pages 1-15, DOI: 10.1016/j.jbankfin.2016.08.004.
• Pöppe, Thomas & Moos, Sebastian & Schiereck, Dirk, 2016, "The sensitivity of VPIN to the choice of trade classification algorithm," Journal of Banking & Finance, Elsevier, volume 73, issue C, pages 165-181, DOI: 10.1016/j.jbankfin.2016.08.006.
• Agliari, Anna & Hommes, Cars H. & Pecora, Nicolò, 2016, "Path dependent coordination of expectations in asset pricing experiments: A behavioral explanation," Journal of Economic Behavior & Organization, Elsevier, volume 121, issue C, pages 15-28, DOI: 10.1016/j.jebo.2015.11.001.
• Langnickel, Ferdinand & Zeisberger, Stefan, 2016, "Do we measure overconfidence? A closer look at the interval production task," Journal of Economic Behavior & Organization, Elsevier, volume 128, issue C, pages 121-133, DOI: 10.1016/j.jebo.2016.04.019.
• He, Xue-Zhong & Li, Kai & Wang, Chuncheng, 2016, "Volatility clustering: A nonlinear theoretical approach," Journal of Economic Behavior & Organization, Elsevier, volume 130, issue C, pages 274-297, DOI: 10.1016/j.jebo.2016.07.020.
• He, Xue-Zhong & Zheng, Huanhuan, 2016, "Trading heterogeneity under information uncertainty," Journal of Economic Behavior & Organization, Elsevier, volume 130, issue C, pages 64-80, DOI: 10.1016/j.jebo.2016.07.001.
• Au, Pak Hung, 2016, "Price reaction and disagreement over public signal," Journal of Economic Behavior & Organization, Elsevier, volume 130, issue C, pages 81-106, DOI: 10.1016/j.jebo.2016.07.005.
• El-Masry, Ahmed A. & de Mingo-López, Diego Víctor & Matallín-Sáez, Juan Carlos & Tortosa-Ausina, Emili, 2016, "Environmental conditions, fund characteristics, and Islamic orientation: An analysis of mutual fund performance for the MENA region," Journal of Economic Behavior & Organization, Elsevier, volume 132, issue S, pages 174-197, DOI: 10.1016/j.jebo.2016.10.015.
• Mazouz, Khelifa & Mohamed, Abdulkadir & Saadouni, Brahim, 2016, "Stock return comovement around the Dow Jones Islamic Market World Index revisions," Journal of Economic Behavior & Organization, Elsevier, volume 132, issue S, pages 50-62, DOI: 10.1016/j.jebo.2016.05.011.
• Kumar, Satish, 2016, "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, volume 86, issue C, pages 16-32, DOI: 10.1016/j.jeconbus.2016.04.001.
• Liu, Hong & Wang, Yajun, 2016, "Market making with asymmetric information and inventory risk," Journal of Economic Theory, Elsevier, volume 163, issue C, pages 73-109, DOI: 10.1016/j.jet.2016.01.005.
• Mattesini, Fabrizio & Nosal, Ed, 2016, "Liquidity and asset prices in a monetary model with OTC asset markets," Journal of Economic Theory, Elsevier, volume 164, issue C, pages 187-217, DOI: 10.1016/j.jet.2015.11.001.
• Sato, Yuki, 2016, "Delegated portfolio management, optimal fee contracts, and asset prices," Journal of Economic Theory, Elsevier, volume 165, issue C, pages 360-389, DOI: 10.1016/j.jet.2016.05.002.
• Gârleanu, Nicolae & Pedersen, Lasse Heje, 2016, "Dynamic portfolio choice with frictions," Journal of Economic Theory, Elsevier, volume 165, issue C, pages 487-516, DOI: 10.1016/j.jet.2016.06.001.
• Bandi, F.M. & Renò, R., 2016, "Price and volatility co-jumps," Journal of Financial Economics, Elsevier, volume 119, issue 1, pages 107-146, DOI: 10.1016/j.jfineco.2015.05.007.
• Eser, Fabian & Schwaab, Bernd, 2016, "Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme," Journal of Financial Economics, Elsevier, volume 119, issue 1, pages 147-167, DOI: 10.1016/j.jfineco.2015.06.003.
• Baker, Steven D. & Hollifield, Burton & Osambela, Emilio, 2016, "Disagreement, speculation, and aggregate investment," Journal of Financial Economics, Elsevier, volume 119, issue 1, pages 210-225, DOI: 10.1016/j.jfineco.2015.08.014.
• Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016, "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, volume 119, issue 2, pages 249-283, DOI: 10.1016/j.jfineco.2015.09.010.
• González-Urteaga, Ana & Rubio, Gonzalo, 2016, "The cross-sectional variation of volatility risk premia," Journal of Financial Economics, Elsevier, volume 119, issue 2, pages 353-370, DOI: 10.1016/j.jfineco.2015.09.009.
• Souther, Matthew E., 2016, "The effects of takeover defenses: Evidence from closed-end funds," Journal of Financial Economics, Elsevier, volume 119, issue 2, pages 420-440, DOI: 10.1016/j.jfineco.2015.09.005.
• Gu, Lifeng, 2016, "Product market competition, R&D investment, and stock returns," Journal of Financial Economics, Elsevier, volume 119, issue 2, pages 441-455, DOI: 10.1016/j.jfineco.2015.09.008.
• Edelen, Roger M. & Ince, Ozgur S. & Kadlec, Gregory B., 2016, "Institutional investors and stock return anomalies," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 472-488, DOI: 10.1016/j.jfineco.2016.01.002.
• Boons, Martijn, 2016, "State variables, macroeconomic activity, and the cross section of individual stocks," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 489-511, DOI: 10.1016/j.jfineco.2015.05.010.
• Birru, Justin & Wang, Baolian, 2016, "Nominal price illusion," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 578-598, DOI: 10.1016/j.jfineco.2016.01.027.
• Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016, "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 645-672, DOI: 10.1016/j.jfineco.2016.01.019.
• Carr, Peter & Wu, Liuren, 2016, "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, volume 120, issue 1, pages 1-20, DOI: 10.1016/j.jfineco.2016.01.004.
• Cooper, Ilan & Priestley, Richard, 2016, "The expected returns and valuations of private and public firms," Journal of Financial Economics, Elsevier, volume 120, issue 1, pages 41-57, DOI: 10.1016/j.jfineco.2016.01.023.
• Johnson, Timothy C., 2016, "Rethinking reversals," Journal of Financial Economics, Elsevier, volume 120, issue 2, pages 211-228, DOI: 10.1016/j.jfineco.2016.01.026.
• Chen, Zhanhui, 2016, "Time-to-produce, inventory, and asset prices," Journal of Financial Economics, Elsevier, volume 120, issue 2, pages 330-345, DOI: 10.1016/j.jfineco.2016.01.006.
• Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016, "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, volume 120, issue 3, pages 464-490, DOI: 10.1016/j.jfineco.2016.02.001.
• Fracassi, Cesare & Petry, Stefan & Tate, Geoffrey, 2016, "Does rating analyst subjectivity affect corporate debt pricing?," Journal of Financial Economics, Elsevier, volume 120, issue 3, pages 514-538, DOI: 10.1016/j.jfineco.2016.02.006.
• Ge, Li & Lin, Tse-Chun & Pearson, Neil D., 2016, "Why does the option to stock volume ratio predict stock returns?," Journal of Financial Economics, Elsevier, volume 120, issue 3, pages 601-622, DOI: 10.1016/j.jfineco.2015.08.019.
• Hou, Kewei & Loh, Roger K., 2016, "Have we solved the idiosyncratic volatility puzzle?," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 167-194, DOI: 10.1016/j.jfineco.2016.02.013.
• Ball, Ray & Gerakos, Joseph & Linnainmaa, Juhani T. & Nikolaev, Valeri, 2016, "Accruals, cash flows, and operating profitability in the cross section of stock returns," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 28-45, DOI: 10.1016/j.jfineco.2016.03.002.
• Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016, "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 46-65, DOI: 10.1016/j.jfineco.2016.03.004.
• Barras, Laurent & Malkhozov, Aytek, 2016, "Does variance risk have two prices? Evidence from the equity and option markets," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 79-92, DOI: 10.1016/j.jfineco.2016.02.014.
• Geske, Robert & Subrahmanyam, Avanidhar & Zhou, Yi, 2016, "Capital structure effects on the prices of equity call options," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 231-253, DOI: 10.1016/j.jfineco.2016.03.009.
• Choi, Jaewon & Richardson, Matthew, 2016, "The volatility of a firm's assets and the leverage effect," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 254-277, DOI: 10.1016/j.jfineco.2016.05.009.
• Jensen, Mads Vestergaard & Pedersen, Lasse Heje, 2016, "Early option exercise: Never say never," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 278-299, DOI: 10.1016/j.jfineco.2016.05.008.
• Anand, Amber & Venkataraman, Kumar, 2016, "Market conditions, fragility, and the economics of market making," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 327-349, DOI: 10.1016/j.jfineco.2016.03.006.
• Eisenbach, Thomas M. & Schmalz, Martin C., 2016, "Anxiety in the face of risk," Journal of Financial Economics, Elsevier, volume 121, issue 2, pages 414-426, DOI: 10.1016/j.jfineco.2015.10.002.
• Hasler, Michael & Marfè, Roberto, 2016, "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, volume 122, issue 1, pages 116-134, DOI: 10.1016/j.jfineco.2015.11.002.
• Byun, Suk-Joon & Kim, Da-Hea, 2016, "Gambling preference and individual equity option returns," Journal of Financial Economics, Elsevier, volume 122, issue 1, pages 155-174, DOI: 10.1016/j.jfineco.2016.06.004.
• Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016, "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, volume 122, issue 1, pages 86-115, DOI: 10.1016/j.jfineco.2016.06.001.
• Daniel, Kent & Moskowitz, Tobias J., 2016, "Momentum crashes," Journal of Financial Economics, Elsevier, volume 122, issue 2, pages 221-247, DOI: 10.1016/j.jfineco.2015.12.002.
• Jacobs, Heiko, 2016, "Market maturity and mispricing," Journal of Financial Economics, Elsevier, volume 122, issue 2, pages 270-287, DOI: 10.1016/j.jfineco.2016.01.030.
• Cremers, Martijn & Pareek, Ankur, 2016, "Patient capital outperformance: The investment skill of high active share managers who trade infrequently," Journal of Financial Economics, Elsevier, volume 122, issue 2, pages 288-306, DOI: 10.1016/j.jfineco.2016.08.003.
• Robinson, David T. & Sensoy, Berk A., 2016, "Cyclicality, performance measurement, and cash flow liquidity in private equity," Journal of Financial Economics, Elsevier, volume 122, issue 3, pages 521-543, DOI: 10.1016/j.jfineco.2016.09.008.
• Lu, Yan & Ray, Sugata & Teo, Melvyn, 2016, "Limited attention, marital events and hedge funds," Journal of Financial Economics, Elsevier, volume 122, issue 3, pages 607-624, DOI: 10.1016/j.jfineco.2016.09.004.
• Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2016, "Price effects of sovereign debt auctions in the euro-zone: The role of the crisis," Journal of Financial Intermediation, Elsevier, volume 25, issue C, pages 30-53, DOI: 10.1016/j.jfi.2014.11.004.
• Chiang, Shu Ling & Yang, Tyler T. & Tsai, Ming Shann, 2016, "Assessing mortgage servicing rights using a reduced-form model: Considering the effects of interest rate risks, prepayment and default risks, and random state variables," Journal of Housing Economics, Elsevier, volume 32, issue C, pages 29-46, DOI: 10.1016/j.jhe.2016.04.001.
• Damen, Sven & Vastmans, Frank & Buyst, Erik, 2016, "The effect of mortgage interest deduction and mortgage characteristics on house prices," Journal of Housing Economics, Elsevier, volume 34, issue C, pages 15-29, DOI: 10.1016/j.jhe.2016.06.002.