Research classified by Journal of Economic Literature (JEL) codes

2016

• 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.
• Donner, Herman & Song, Han-Suck & Wilhelmsson, Mats, 2016, "Forced sales and their impact on real estate prices," Journal of Housing Economics, Elsevier, volume 34, issue C, pages 60-68, DOI: 10.1016/j.jhe.2016.08.002.
• Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016, "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, volume 60, issue C, pages 223-252, DOI: 10.1016/j.jimonfin.2015.04.006.
• Sola, Sergio & Palomba, Geremia, 2016, "Sub-nationals' risk premia in fiscal federations: Fiscal performance and institutional design," Journal of International Money and Finance, Elsevier, volume 63, issue C, pages 165-187, DOI: 10.1016/j.jimonfin.2016.01.009.
• Amstad, Marlene & Remolona, Eli & Shek, Jimmy, 2016, "How do global investors differentiate between sovereign risks? The new normal versus the old," Journal of International Money and Finance, Elsevier, volume 66, issue C, pages 32-48, DOI: 10.1016/j.jimonfin.2015.12.006.
• Dufrénot, Gilles & Gente, Karine & Monsia, Frédia, 2016, "Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view," Journal of International Money and Finance, Elsevier, volume 67, issue C, pages 123-146, DOI: 10.1016/j.jimonfin.2016.04.002.
• Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2016, "Scale economies in pension fund investments: A dissection of investment costs across asset classes," Journal of International Money and Finance, Elsevier, volume 67, issue C, pages 147-171, DOI: 10.1016/j.jimonfin.2016.04.003.
• Charlot, Philippe & Darné, Olivier & Moussa, Zakaria, 2016, "Commodity returns co-movements: Fundamentals or “style” effect?," Journal of International Money and Finance, Elsevier, volume 68, issue C, pages 130-160, DOI: 10.1016/j.jimonfin.2016.07.001.
• He, Dong & Yu, Xiangrong, 2016, "Network effects in currency internationalisation: Insights from BIS triennial surveys and implications for the renminbi," Journal of International Money and Finance, Elsevier, volume 68, issue C, pages 203-229, DOI: 10.1016/j.jimonfin.2016.07.009.
• Cakici, Nusret & Tang, Yi & Yan, An, 2016, "Do the size, value, and momentum factors drive stock returns in emerging markets?," Journal of International Money and Finance, Elsevier, volume 69, issue C, pages 179-204, DOI: 10.1016/j.jimonfin.2016.06.001.
• Gerlach-Kristen, Petra & McCauley, Robert N. & Ueda, Kazuo, 2016, "Currency intervention and the global portfolio balance effect: Japanese lessons," Journal of the Japanese and International Economies, Elsevier, volume 39, issue C, pages 1-16, DOI: 10.1016/j.jjie.2015.10.002.
• Fukunaga, Ichiro & Kato, Naoya, 2016, "Japanese repo and call markets before, during, and emerging from the financial crisis," Journal of the Japanese and International Economies, Elsevier, volume 39, issue C, pages 17-34, DOI: 10.1016/j.jjie.2015.11.001.
• Sakuragawa, Masaya & Sakuragawa, Yukie, 2016, "Absence of safe assets and fiscal crisis," Journal of the Japanese and International Economies, Elsevier, volume 40, issue C, pages 59-76, DOI: 10.1016/j.jjie.2016.03.006.
• Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2016, "The impacts of the 2008 and 2011 crises on the Japan REIT market," Journal of the Japanese and International Economies, Elsevier, volume 41, issue C, pages 30-40, DOI: 10.1016/j.jjie.2016.05.002.
• Fukuda, Shin-ichi, 2016, "Strong sterling pound and weak European currencies in the crises: Evidence from covered interest parity of secured rates," Journal of the Japanese and International Economies, Elsevier, volume 42, issue C, pages 109-122, DOI: 10.1016/j.jjie.2016.10.001.
• Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2016, "The effectiveness of the ECB's asset purchase programs of 2009 to 2012," Journal of Macroeconomics, Elsevier, volume 47, issue PA, pages 45-57, DOI: 10.1016/j.jmacro.2015.09.006.
• Sinha, Arunima, 2016, "Monetary policy uncertainty and investor expectations," Journal of Macroeconomics, Elsevier, volume 47, issue PB, pages 188-199, DOI: 10.1016/j.jmacro.2015.12.001.
• Elias, Christopher J., 2016, "A heterogeneous agent exchange rate model with speculators and non-speculators," Journal of Macroeconomics, Elsevier, volume 49, issue C, pages 203-223, DOI: 10.1016/j.jmacro.2016.07.006.
• Equiza-Goñi, Juan, 2016, "Government debt maturity and debt dynamics in euro area countries," Journal of Macroeconomics, Elsevier, volume 49, issue C, pages 292-311, DOI: 10.1016/j.jmacro.2016.01.005.
• Buncic, Daniel & Lentner, Philipp, 2016, "The term structure of interest rates in an estimated New Keynesian policy model," Journal of Macroeconomics, Elsevier, volume 50, issue C, pages 126-150, DOI: 10.1016/j.jmacro.2016.09.004.
• Bodnar, Taras & Reiß, Markus, 2016, "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, volume 150, issue C, pages 125-151, DOI: 10.1016/j.jmva.2016.05.011.
• Beaver, William & McNichols, Maureen & Price, Richard, 2016, "The costs and benefits of long-short investing: A perspective on the market efficiency literature," Journal of Accounting Literature, Elsevier, volume 37, issue C, pages 1-18, DOI: 10.1016/j.acclit.2016.07.001.
• Chaves, Denis B. & Viswanathan, Vivek, 2016, "Momentum and mean-reversion in commodity spot and futures markets," Journal of Commodity Markets, Elsevier, volume 3, issue 1, pages 39-53, DOI: 10.1016/j.jcomm.2016.08.001.
• Lübbers, Johannes & Posch, Peter N., 2016, "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, volume 4, issue 1, pages 28-40, DOI: 10.1016/j.jcomm.2016.10.002.
• Takino, Kazuhiro, 2016, "An equilibrium model for the OTC derivatives market with a collateral agreement," Journal of Commodity Markets, Elsevier, volume 4, issue 1, pages 41-55, DOI: 10.1016/j.jcomm.2016.11.001.
• Georgoutsos, Dimitris & Kounitis, Thomas, 2016, "Treasury yields and credit spread dynamics: A regime-switching approach," The Journal of Economic Asymmetries, Elsevier, volume 14, issue PA, pages 39-51, DOI: 10.1016/j.jeca.2016.07.010.
• Giannellis, Nikolaos & Papadopoulos, Athanasios P., 2016, "Intra-national and international spillovers between the real economy and the stock market: The case of China," The Journal of Economic Asymmetries, Elsevier, volume 14, issue PA, pages 78-92, DOI: 10.1016/j.jeca.2016.07.001.
• Cronin, David & McQuinn, Kieran, 2016, "Credit availability, macroprudential regulations and the house price-to-rent ratio," Journal of Policy Modeling, Elsevier, volume 38, issue 5, pages 971-984, DOI: 10.1016/j.jpolmod.2016.06.002.
• Omura, Akihiro & Todorova, Neda & Li, Bin & Chung, Richard, 2016, "Steel scrap and equity market in Japan," Resources Policy, Elsevier, volume 47, issue C, pages 115-124, DOI: 10.1016/j.resourpol.2016.01.001.
• Chauvet, Marcelle & Gabriel, Stuart & Lutz, Chandler, 2016, "Mortgage default risk: New evidence from internet search queries," Journal of Urban Economics, Elsevier, volume 96, issue C, pages 91-111, DOI: 10.1016/j.jue.2016.08.004.
• Borovicka, J. & Hansen, L.P., 2016, "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, Elsevier, chapter 0, in: J. B. Taylor & Harald Uhlig, "Handbook of Macroeconomics", DOI: 10.1016/bs.hesmac.2016.06.005.
• Hall, R.E., 2016, "Macroeconomics of Persistent Slumps," Handbook of Macroeconomics, Elsevier, chapter 0, in: J. B. Taylor & Harald Uhlig, "Handbook of Macroeconomics", DOI: 10.1016/bs.hesmac.2016.03.010.
• Favilukis, Jack & Lin, Xiaoji, 2016, "Does wage rigidity make firms riskier? Evidence from long-horizon return predictability," Journal of Monetary Economics, Elsevier, volume 78, issue C, pages 80-95, DOI: 10.1016/j.jmoneco.2016.01.003.
• Elenev, Vadim & Landvoigt, Tim & Van Nieuwerburgh, Stijn, 2016, "Phasing out the GSEs," Journal of Monetary Economics, Elsevier, volume 81, issue C, pages 111-132, DOI: 10.1016/j.jmoneco.2016.06.003.
• Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016, "The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis," Journal of Monetary Economics, Elsevier, volume 81, issue C, pages 25-43, DOI: 10.1016/j.jmoneco.2016.03.008.
• Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2016, "Risks for the long run: Estimation with time aggregation," Journal of Monetary Economics, Elsevier, volume 82, issue C, pages 52-69, DOI: 10.1016/j.jmoneco.2016.07.003.
• Abrahams, Michael & Adrian, Tobias & Crump, Richard K. & Moench, Emanuel & Yu, Rui, 2016, "Decomposing real and nominal yield curves," Journal of Monetary Economics, Elsevier, volume 84, issue C, pages 182-200, DOI: 10.1016/j.jmoneco.2016.10.006.
• Gollier, Christian, 2016, "Evaluation of long-dated assets: The role of parameter uncertainty," Journal of Monetary Economics, Elsevier, volume 84, issue C, pages 66-83, DOI: 10.1016/j.jmoneco.2016.10.007.
• Ghadhab, Imen, 2016, "The effect of additional foreign market presence on the trading volume of cross-listed/traded stocks," Journal of Multinational Financial Management, Elsevier, volume 34, issue C, pages 18-27, DOI: 10.1016/j.mulfin.2015.12.002.
• Chauhan, Yogesh & Kumar, K. Kiran & Chaturvedula, Chakrapani, 2016, "Information asymmetry and the information content of insider trades: Evidence from the Indian stock market," Journal of Multinational Financial Management, Elsevier, volume 34, issue C, pages 65-79, DOI: 10.1016/j.mulfin.2015.12.003.
• French, Declan & Wu, Yuliang & Li, Youwei, 2016, "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, volume 34, issue C, pages 80-91, DOI: 10.1016/j.mulfin.2016.01.002.
• Bhaumik, S. & Karanasos, M. & Kartsaklas, A., 2016, "The informative role of trading volume in an expanding spot and futures market," Journal of Multinational Financial Management, Elsevier, volume 35, issue C, pages 24-40, DOI: 10.1016/j.mulfin.2016.03.002.
• Hung, Chung-Wen & Shiu, Cheng-Yi, 2016, "Trader activities, ownership, and stock price reactions to MSCI standard index changes: Evidence from Taiwan," Journal of Multinational Financial Management, Elsevier, volume 36, issue C, pages 49-63, DOI: 10.1016/j.mulfin.2016.06.002.
• Arakelyan, Armen & Serrano, Pedro, 2016, "Liquidity in Credit Default Swap Markets," Journal of Multinational Financial Management, Elsevier, volume 37, issue , pages 139-157, DOI: 10.1016/j.mulfin.2016.09.001.
• Lin, Chaonan & Ko, Kuan-Cheng & Chen, Yu-Lin & Chu, Hsiang-Hui, 2016, "Information discreteness, price limits and earnings momentum," Pacific-Basin Finance Journal, Elsevier, volume 37, issue C, pages 1-22, DOI: 10.1016/j.pacfin.2016.02.003.
• Heaney, Richard & Koh, SzeKee & Lan, Yihui, 2016, "Australian firm characteristics and the cross-section variation in equity returns," Pacific-Basin Finance Journal, Elsevier, volume 37, issue C, pages 104-115, DOI: 10.1016/j.pacfin.2016.03.001.
• Zhu, Bo & Niu, Feng, 2016, "Investor sentiment, accounting information and stock price: Evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 38, issue C, pages 125-134, DOI: 10.1016/j.pacfin.2016.03.010.
• Shams, Syed M.M. & Duong, Huu Nhan & Singh, Harminder, 2016, "Information content of directors' trading around acquisitions," Pacific-Basin Finance Journal, Elsevier, volume 38, issue C, pages 177-193, DOI: 10.1016/j.pacfin.2016.04.004.
• Lin, Chaonan & Ko, Kuan-Cheng & Feng, Zhi-Xiang & Yang, Nien-Tzu, 2016, "Market dynamics and momentum in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, volume 38, issue C, pages 59-75, DOI: 10.1016/j.pacfin.2016.03.009.
• Hahn, Jaehoon & Yoon, Heebin, 2016, "Determinants of the cross-sectional stock returns in Korea: evaluating recent empirical evidence," Pacific-Basin Finance Journal, Elsevier, volume 38, issue C, pages 88-106, DOI: 10.1016/j.pacfin.2016.03.006.
• Ng, Chi Cheong Allen & Shen, Jianfu, 2016, "Screen winners from losers using simple fundamental analysis in the Pacific-Basin stock markets," Pacific-Basin Finance Journal, Elsevier, volume 39, issue C, pages 159-177, DOI: 10.1016/j.pacfin.2016.06.003.
• Naifar, Nader & Hammoudeh, Shawkat, 2016, "Do global financial distress and uncertainties impact GCC and global sukuk return dynamics?," Pacific-Basin Finance Journal, Elsevier, volume 39, issue C, pages 57-69, DOI: 10.1016/j.pacfin.2016.05.016.
• Chen, Jian & Jiang, Fuwei & Li, Hongyi & Xu, Weidong, 2016, "Chinese stock market volatility and the role of U.S. economic variables," Pacific-Basin Finance Journal, Elsevier, volume 39, issue C, pages 70-83, DOI: 10.1016/j.pacfin.2016.05.013.
• Chen, Wei-Kuang & Lin, Ching-Ting, 2016, "Asymmetric responses to stock index reconstitutions: Evidence from the CSI 300 index additions and deletions," Pacific-Basin Finance Journal, Elsevier, volume 40, issue PA, pages 36-48, DOI: 10.1016/j.pacfin.2016.08.005.
• Godfrey, Keith R.L., 2016, "Detecting the great short squeeze on Volkswagen," Pacific-Basin Finance Journal, Elsevier, volume 40, issue PB, pages 323-334, DOI: 10.1016/j.pacfin.2016.02.001.
• Cuthbert, James R. & Magni, Carlo Alberto, 2016, "Measuring the inadequacy of IRR in PFI schemes using profitability index and AIRR," International Journal of Production Economics, Elsevier, volume 179, issue C, pages 130-140, DOI: 10.1016/j.ijpe.2016.05.024.
• Gollier, Christian, 2016, "Gamma discounters are short-termist," Journal of Public Economics, Elsevier, volume 142, issue C, pages 83-90, DOI: 10.1016/j.jpubeco.2016.08.006.
• Cheung, William & Fung, Scott & Tam, Lewis, 2016, "Does market microstructure matter for corporate finance? Theory and evidence on seasoned equity offering decisions," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 149-161, DOI: 10.1016/j.qref.2015.06.003.
• Quayes, Shakil & Jamal, Abul M.M., 2016, "Impact of demographic change on stock prices," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 172-179, DOI: 10.1016/j.qref.2015.08.005.
• Jung, Young Cheol, 2016, "A portfolio insurance strategy for volatility index (VIX) futures," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 189-200, DOI: 10.1016/j.qref.2015.09.001.
• Escobari, Diego & Jafarinejad, Mohammad, 2016, "Date stamping bubbles in Real Estate Investment Trusts," The Quarterly Review of Economics and Finance, Elsevier, volume 60, issue C, pages 224-230, DOI: 10.1016/j.qref.2015.10.003.
• Bohl, Martin T. & Czaja, Marc-Gregor & Kaufmann, Philipp, 2016, "Momentum profits, market cycles, and rebounds: Evidence from Germany," The Quarterly Review of Economics and Finance, Elsevier, volume 61, issue C, pages 139-159, DOI: 10.1016/j.qref.2016.01.003.
• Su, Xuan-Qi, 2016, "Does systematic distress risk drive the investment growth anomaly?," The Quarterly Review of Economics and Finance, Elsevier, volume 61, issue C, pages 240-248, DOI: 10.1016/j.qref.2016.02.011.
• Ivanov, Stoyu I., 2016, "Analysis of ETF bid-ask spread components," The Quarterly Review of Economics and Finance, Elsevier, volume 61, issue C, pages 249-259, DOI: 10.1016/j.qref.2016.02.004.
• Labidi, Chiraz & Yaakoubi, Soumaya, 2016, "Investor sentiment and aggregate volatility pricing," The Quarterly Review of Economics and Finance, Elsevier, volume 61, issue C, pages 53-63, DOI: 10.1016/j.qref.2015.11.005.
• Agapova, Anna & Madura, Jeff, 2016, "Market uncertainty and earnings guidance," The Quarterly Review of Economics and Finance, Elsevier, volume 61, issue C, pages 97-111, DOI: 10.1016/j.qref.2015.12.001.
• Agnello, Richard J., 2016, "Do U.S. paintings follow the CAPM? Findings disaggregated by subject, artist, and value of the work," Research in Economics, Elsevier, volume 70, issue 3, pages 403-411, DOI: 10.1016/j.rie.2016.06.002.
• Hiller, Norbert & Lerbs, Oliver W., 2016, "Aging and urban house prices," Regional Science and Urban Economics, Elsevier, volume 60, issue C, pages 276-291, DOI: 10.1016/j.regsciurbeco.2016.07.010.
• Bali, Rakesh & Francis, Jack Clark, 2016, "Ex day effects of the 2003 dividend tax cut," International Review of Economics & Finance, Elsevier, volume 41, issue C, pages 11-22, DOI: 10.1016/j.iref.2015.09.007.
• Le, Van & Zurbruegg, Ralf, 2016, "The impact of short sale restrictions on informed trading in the stock and options markets," International Review of Economics & Finance, Elsevier, volume 41, issue C, pages 262-273, DOI: 10.1016/j.iref.2015.08.007.
• Hu, May & Chao, Chi-Chur & Lim, Jin Hao, 2016, "Another explanation of the mutual fund fee puzzle," International Review of Economics & Finance, Elsevier, volume 42, issue C, pages 134-152, DOI: 10.1016/j.iref.2015.11.002.
• Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016, "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, volume 42, issue C, pages 88-102, DOI: 10.1016/j.iref.2015.11.001.
• Hao, Ying & Chu, Hsiang-Hui & Ho, Keng-Yu & Ko, Kuan-Cheng, 2016, "The 52-week high and momentum in the Taiwan stock market: Anchoring or recency biases?," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 121-138, DOI: 10.1016/j.iref.2015.10.035.
• Lin, Yueh-Neng & Lin, Anchor Y., 2016, "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, Elsevier, volume 43, issue C, pages 88-106, DOI: 10.1016/j.iref.2015.10.033.
• Gomes, Pedro & Taamouti, Abderrahim, 2016, "In search of the determinants of European asset market comovements," International Review of Economics & Finance, Elsevier, volume 44, issue C, pages 103-117, DOI: 10.1016/j.iref.2016.03.005.
• Suzuki, Masataka, 2016, "A representative agent asset pricing model with heterogeneous beliefs and recursive utility," International Review of Economics & Finance, Elsevier, volume 45, issue C, pages 298-315, DOI: 10.1016/j.iref.2016.06.009.
• Shang, Hua & Yuan, Ping & Huang, Lin, 2016, "Macroeconomic factors and the cross-section of commodity futures returns," International Review of Economics & Finance, Elsevier, volume 45, issue C, pages 316-332, DOI: 10.1016/j.iref.2016.06.008.
• Laborda, Ricardo & Muñoz, Fernando, 2016, "Optimal allocation of government bond funds through the business cycle. Is money smart?," International Review of Economics & Finance, Elsevier, volume 45, issue C, pages 46-67, DOI: 10.1016/j.iref.2016.04.008.
• Chao, Shih-Wei, 2016, "Do economic variables improve bond return volatility forecasts?," International Review of Economics & Finance, Elsevier, volume 46, issue C, pages 10-26, DOI: 10.1016/j.iref.2016.08.001.
• Gong, Fuzhou & Liu, Hong, 2016, "Asymmetric information, heterogeneous prior beliefs, and public information," International Review of Economics & Finance, Elsevier, volume 46, issue C, pages 100-120, DOI: 10.1016/j.iref.2016.07.005.
• Smales, Lee A., 2016, "Trading behavior in S&P 500 index futures," Review of Financial Economics, Elsevier, volume 28, issue C, pages 46-55, DOI: 10.1016/j.rfe.2015.11.001.
• Abhakorn, Pongrapeeporn & Smith, Peter N. & Wickens, Michael R., 2016, "Can stochastic discount factor models explain the cross-section of equity returns?," Review of Financial Economics, Elsevier, volume 28, issue C, pages 56-68, DOI: 10.1016/j.rfe.2016.01.001.
• Fischer, Mario & Hanauer, Matthias X. & Heigermoser, Robert, 2016, "Synthetic hedge funds," Review of Financial Economics, Elsevier, volume 29, issue C, pages 12-22, DOI: 10.1016/j.rfe.2016.02.002.
• Aiken, Adam L. & Kilic, Osman & Reid, Sean, 2016, "Can hedge funds time global equity markets? Evidence from emerging markets," Review of Financial Economics, Elsevier, volume 29, issue C, pages 2-11, DOI: 10.1016/j.rfe.2015.05.002.
• Atanasov, Victoria, 2016, "Conditional interest rate risk and the cross-section of excess stock returns," Review of Financial Economics, Elsevier, volume 30, issue C, pages 23-32, DOI: 10.1016/j.rfe.2016.02.003.
• Moll, Cliff R. & Huffman, Stephen P., 2016, "The incremental information content of innovations in implied idiosyncratic volatility," Review of Financial Economics, Elsevier, volume 30, issue C, pages 33-44, DOI: 10.1016/j.rfe.2016.04.001.
• Gutierrez, Jose, 2016, "Reversal of 3-day losers and continuation of 3-day winners on the NASDAQ," Review of Financial Economics, Elsevier, volume 30, issue C, pages 68-73, DOI: 10.1016/j.rfe.2016.07.001.
• Sclip, Alex & Dreassi, Alberto & Miani, Stefano & Paltrinieri, Andrea, 2016, "Dynamic correlations and volatility linkages between stocks and sukuk: Evidence from international markets," Review of Financial Economics, Elsevier, volume 31, issue C, pages 34-44, DOI: 10.1016/j.rfe.2016.06.005.
• Li, Bob & Ee, Mong Shan & Rashid, Mamunur, 2016, "Is momentum trading profitable from Shari'ah compliant stocks?," Review of Financial Economics, Elsevier, volume 31, issue C, pages 56-63, DOI: 10.1016/j.rfe.2016.08.002.
• Makni, Rania & Benouda, Olfa & Delhoumi, Ezzedine, 2016, "International evidence on Islamic equity fund characteristics and performance persistence," Review of Financial Economics, Elsevier, volume 31, issue C, pages 75-82, DOI: 10.1016/j.rfe.2016.06.002.
• Arjoon, Vaalmikki, 2016, "Microstructures, financial reforms and informational efficiency in an emerging market," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 112-126, DOI: 10.1016/j.ribaf.2015.09.016.
• Urquhart, Andrew & Hudson, Robert, 2016, "Investor sentiment and local bias in extreme circumstances: The case of the Blitz," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 340-350, DOI: 10.1016/j.ribaf.2015.09.010.
• McQuillan, William & Lucey, Brian, 2016, "The validity of Islamic art as an investment," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 388-401, DOI: 10.1016/j.ribaf.2015.02.010.
• Al-Azzam, Moh’d & Mimouni, Karim, 2016, "Is exchange rate risk priced in microfinance?," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 520-531, DOI: 10.1016/j.ribaf.2015.10.009.
• Drakos, Anastassios A., 2016, "Does the relationship between small and large portfolios’ returns confirm the lead–lag effect? Evidence from the Athens Stock Exchange," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 546-561, DOI: 10.1016/j.ribaf.2015.05.002.
• Cissé, Abdoul Karim & Fontaine, Patrice, 2016, "Why do companies transfer the trading compartment of their common stocks," Research in International Business and Finance, Elsevier, volume 36, issue C, pages 624-640, DOI: 10.1016/j.ribaf.2015.08.001.
• Tissaoui, Kais & Ftiti, Zied, 2016, "Liquidity, liquidity risk, and information flow: Lessons from an emerging market," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 28-48, DOI: 10.1016/j.ribaf.2015.09.028.
• Koutmos, Dimitrios, 2016, "Distilling private information from plain-vanilla options to predict future underlying stock price volatility: Evidence from the H-shares of Chinese banks," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 391-405, DOI: 10.1016/j.ribaf.2016.01.017.
• Huchet, Nicolas & Fam, Papa Gueye, 2016, "The role of speculation in international futures markets on commodity prices," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 49-65, DOI: 10.1016/j.ribaf.2015.09.034.
• Bank, Matthias & Baumann, Ralf H., 2016, "Price formation, market quality and the effects of reduced latency in the very short run," Research in International Business and Finance, Elsevier, volume 37, issue C, pages 629-645, DOI: 10.1016/j.ribaf.2016.01.010.
• Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Wohar, Mark E., 2016, "Periodically collapsing bubbles in the South African stock market," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 191-201, DOI: 10.1016/j.ribaf.2016.04.010.
• Hammami, Yacine & Bahri, Maha, 2016, "On the determinants of expected corporate bond returns in Tunisia," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 224-235, DOI: 10.1016/j.ribaf.2016.04.015.
• Stocker, Marshall L., 2016, "The price of freedom: Idiosyncratic currency devaluations," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 312-325, DOI: 10.1016/j.ribaf.2016.03.016.
• Shank, Corey A. & Vianna, Andre C., 2016, "Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? A panel VAR approach," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 430-438, DOI: 10.1016/j.ribaf.2016.05.002.
• Zaremba, Adam & Szyszka, Adam, 2016, "Is there momentum in equity anomalies? Evidence from the Polish emerging market," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 546-564, DOI: 10.1016/j.ribaf.2016.07.004.
• Juneja, Januj A., 2016, "Financial crises and estimation bias in international bond markets," Research in International Business and Finance, Elsevier, volume 38, issue C, pages 593-607, DOI: 10.1016/j.ribaf.2016.07.010.
• Tsouknidis, Dimitris A., 2016, "Dynamic volatility spillovers across shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 91, issue C, pages 90-111, DOI: 10.1016/j.tre.2016.04.001.
• Papapostolou, Nikos C. & Pouliasis, Panos K. & Nomikos, Nikos K. & Kyriakou, Ioannis, 2016, "Shipping investor sentiment and international stock return predictability," Transportation Research Part E: Logistics and Transportation Review, Elsevier, volume 96, issue C, pages 81-94, DOI: 10.1016/j.tre.2016.10.006.
• Andrea Morone & Simone Nuzzo, 2016, "Market Efficiency, Trading Institutions and Information Mirages: Evidence from an Experimental Asset Market," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI RP 2016/17, Jul.
• Wensheng Kang & Ronald A. Ratti & Joaquin Vespignani, 2016, "The Impact of Oil Price Shocks on the U.S. Stock Market: A Note on the Roles of U.S. and Non-U.S. Oil Production," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2016-33, Jun.
• Bojan Tomic & Andrijana Sesar, 2016, "Basic Characteristics of Bonds and their Dynamics on the Croatian Secondary Market," Effectus - Working Paper Series, Effectus - University College for Law and Finance, number 0015, Jan.
• Martin, Ian & Wagner, Christian, 2016, "What is the expected return on a stock?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118957, Nov.
• Oehmke, Martin & Zawadowski, Adam, 2016, "The anatomy of the CDS market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118964, Nov.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2016, "An information based one-factor asset pricing model," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118978, Apr.
• Chaigneau, Pierre & Eeckhoudt, Louis, 2016, "Downside risk neutral probabilities," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 118980, Apr.
• Malkhozov, Aytek & Mueller, Philippe & Vedolin, Andrea & Venter, Gyuri, 2016, "Mortgage risk and the yield curve," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 64915, May.
• Koundouri, Phoebe & Kourogenis, Nikolaos & Pittis, Nikitas & Samartzis, Panagiotis, 2016, "Factor models of stock returns: GARCH errors versus time-varying betas," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65548, Jan.
• Pintor, Gabor, 2016, "The macroeconomic shock with the highest price of risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 86225, Apr.
• Alessandro Beber & Daniela Fabbri & Marco Pagano & Saverio Simonelli, 2016, "Short-Selling Bans and Bank Stability," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF), number 1604, revised Dec 2017.
• Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016, "Applying exogenous variables and regime switching to multi-factor models on equity indices," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, volume 47, DOI: 10.17451/eko/47/2016/210.
• Jens H. E. Christensen & Glenn D. Rudebusch, 2016, "Modeling Yields at the Zero Lower Bound: Are Shadow Rates the Solution?," Advances in Econometrics, Emerald Group Publishing Limited, "Dynamic Factor Models", DOI: 10.1108/S0731-905320150000035003.
• Bhanu Balasubramnian & Kathleen Fuller & Tanja Steigner, 2016, "Changes in information environment and merger announcements," American Journal of Business, Emerald Group Publishing Limited, volume 31, issue 3, pages 123-145, August, DOI: 10.1108/AJB-11-2015-0035.
• Lin Mi & Karen Benson & Robert Faff, 2016, "Further evidence on idiosyncratic risk and REIT pricing: a cross-country analysis," Accounting Research Journal, Emerald Group Publishing Limited, volume 29, issue 1, pages 34-58, May, DOI: 10.1108/ARJ-07-2013-0048.
• Raheel Safdar & Chen Yan, 2016, "Information risk, stock returns, and the cost of capital in China," China Finance Review International, Emerald Group Publishing Limited, volume 6, issue 1, pages 77-95, February, DOI: 10.1108/CFRI-04-2015-0033.
• Yumi Saita & Chihiro Shimizu & Tsutomu Watanabe, 2016, "Aging and real estate prices: evidence from Japanese and US regional data," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, volume 9, issue 1, pages 66-87, March, DOI: 10.1108/IJHMA-11-2014-0053.
• Van Le, 2016, "The effect of short-sale restrictions: another perspective," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 12, issue 5, pages 700-714, October, DOI: 10.1108/IJMF-12-2014-0188.
• Narain & Narander Kumar Nigam & Piyush Pandey, 2016, "Behaviour and determinants of implied volatility in Indian market," Journal of Advances in Management Research, Emerald Group Publishing Limited, volume 13, issue 3, pages 271-291, November, DOI: 10.1108/JAMR-09-2015-0062.
• Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Alex Plastun, 2016, "The weekend effect: an exploitable anomaly in the Ukrainian stock market?," Journal of Economic Studies, Emerald Group Publishing Limited, volume 43, issue 6, pages 954-965, November, DOI: 10.1108/JES-09-2015-0167.
• Dionisis Chionis & Ioannis Pragidis & Panagiotis Schizas, 2016, "The determinants of Greek bond yields: an empirical study before and during the crisis," Journal of Economic Studies, Emerald Group Publishing Limited, volume 43, issue 3, pages 504-519, August, DOI: 10.1108/JES-12-2014-0197.
• Tsangyao Chang & Luis Gil-Alana & Goodness C. Aye & Rangan Gupta & Omid Ranjbar, 2016, "Testing for bubbles in the BRICS stock markets," Journal of Economic Studies, Emerald Group Publishing Limited, volume 43, issue 4, pages 646-660, September, DOI: 10.1108/JES-07-2014-0128.
• Axel Buchner, 2016, "Portfolio dynamics under illiquidity," Journal of Risk Finance, Emerald Group Publishing Limited, volume 17, issue 4, pages 405-427, August, DOI: 10.1108/JRF-01-2016-0002.
• Ourania Theodosiadou & Vassilis Polimenis & George Tsaklidis, 2016, "Sensitivity analysis of market and stock returns by considering positive and negative jumps," Journal of Risk Finance, Emerald Group Publishing Limited, volume 17, issue 4, pages 456-472, August, DOI: 10.1108/JRF-01-2016-0008.
• Christian Fieberg & Thorsten Poddig & Armin Varmaz, 2016, "An investor’s perspective on risk-models and characteristic-models," Journal of Risk Finance, Emerald Group Publishing Limited, volume 17, issue 3, pages 262-276, May, DOI: 10.1108/JRF-02-2016-0026.
• Axel Buchner, 2016, "Equilibrium liquidity premia of private equity funds," Journal of Risk Finance, Emerald Group Publishing Limited, volume 17, issue 1, pages 110-128, January, DOI: 10.1108/JRF-07-2015-0068.
• Martin T. Bohl & Christian Gross & Waldemar Souza, 2016, "The Role of Emerging Economies in the Global Price Formation Process of Commodities: Evidence from Brazilian and U.S. Coffee Markets," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster, number 5116, Jul.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016, "Coherent Pricing," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number 22932, May.
• Chen, S. & Härdle, W.K. & Wang, W., 2016, "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," Working Papers, Department of Economics, City St George's, University of London, number 16/06.
• David E. Rapach & Matthew C. Ringgenberg & Guofu Zhou, 2016, "Short interest and aggregate stock returns," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 716.
• Butkiewicz, James L. & Solcan, Mihaela, 2016, "The original Operation Twist: the War Finance Corporation's war bond purchases, 1918–1920," Financial History Review, Cambridge University Press, volume 23, issue 1, pages 21-46, April.
• van Oordt, Maarten R. C. & Zhou, Chen, 2016, "Systematic Tail Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 51, issue 2, pages 685-705, April.
• Chordia, Tarun & Goyal, Amit & Jegadeesh, Narasimhan, 2016, "Buyers versus Sellers: Who Initiates Trades, and When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 51, issue 5, pages 1467-1490, October.
• Juessen, Falko & Linnemann, Ludger & Schabert, Andreas, 2016, "Default Risk Premia On Government Bonds In A Quantitative Macroeconomic Model," Macroeconomic Dynamics, Cambridge University Press, volume 20, issue 1, pages 380-403, January.
• Bachar FAKHRY, 2016, "A Literature Review of the Efficient Market Hypothesis," Turkish Economic Review, EconSciences Journals, volume 3, issue 3, pages 431-442, September.