Research classified by Journal of Economic Literature (JEL) codes

2016

• Achim BACKHAUS & Aliya ZHAKANOVA ISIKSAL, 2016, "The Impact of Momentum Factors on Multi Asset Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 146-169, December.
• Leonardo Becchetti & Rocco Ciciretti & Ambrogio D'Alò, 2016, "Fishing the Corporate Social Responsibility Risk Factors," CEIS Research Paper, Tor Vergata University, CEIS, number 368, Feb, revised 07 Feb 2017.
• Adam Zaremba & Przemys³aw Konieczka, 2016, "Paper profits from value, size and momentum: evidence from the Polish market," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 11, issue 3, pages 58-69, February.
• Pawe³ Sakowski & Robert Œlepaczuk & Mateusz Wywia³, 2016, "Cross-Sectional Returns With Volatility Regimes From A Diverse Portfolio Of Emerging And Developed Equity Indices," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 12, issue 2, pages 23-35, October.
• Daniel Chai & Binh Do, 2016, "Co-existence of short-term reversals and momentum in the Australian equity market," Australian Journal of Management, Australian School of Business, volume 41, issue 1, pages 55-76, February, DOI: 10.1177/0312896214535789.
• Viet Do & Robert Faff & Paul Lajbcygier & Madhu Veeraraghavan & Mikhail Tupitsyn, 2016, "Factors affecting the birth and fund flows of CTAs," Australian Journal of Management, Australian School of Business, volume 41, issue 2, pages 324-352, May, DOI: 10.1177/0312896214539816.
• Bin Liu & Amalia Di Iorio, 2016, "The pricing of idiosyncratic volatility: An Australian study," Australian Journal of Management, Australian School of Business, volume 41, issue 2, pages 353-375, May, DOI: 10.1177/0312896214541554.
• Кучин И. И., 2016, "Учет фактора валютного риска в теории ценообразования активов. Exchange rate risk exposure in asset pricing theory," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, volume 16, issue 3, pages 31-41.
• Tommaso Oliviero & Annalisa Scognamiglio, 2016, "Property Tax and Property Values: Evidence from the 2012 Italian Tax Reform," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 439, Apr, revised 12 Mar 2018.
• Elif Akben-Selcuk, 2016, "Granger Causality between Stock Prices and Trading Volume: Evidence from Turkey," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 3505908, Apr.
• Spyros Spyrou & Emilios Galariotis & Panagiota Makrichoriti, 2016, "Sovereign CDS Spread Determinants and Spill-Over Effects," Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences, number 3606062, May.
• Tariq Aziz & Valeed Ahmad Ansari, 2016, "Idiosyncratic risk and stock returns: a quantile regression approach," Proceedings of Economics and Finance Conferences, International Institute of Social and Economic Sciences, number 3205769, Mar.
• Michał Rubaszek, 2016, "Forecasting the Yield Curve With Macroeconomic Variables," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, volume 1, issue 1, pages 1-21, June, DOI: 10.33119/ERFIN.2016.1.1.1.
• Bradley A. Jones, 2016, "Spotting Bubbles: A Two-Pillar Framework for Policy Makers," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, volume 2, issue 6, pages 90-112, June, DOI: 10.7172/2353-6845.jbfe.2016.2.5.
• Divya Jindal & Ravi Singla, 2016, "A Study Of The Impact Of The Indian Stock Market Crash Of 2008 On Ipos Listed On The National Stock Exchange," Journal of Academic Research in Economics, Spiru Haret University, Faculty of Accounting and Financial Management Constanta, volume 8, issue 3 (Decemb, pages 359-374.
• Teodor Sedlarski & Gergana Dimitrova, 2016, "The Global Financial Crisis from the perspective of Behavioral Finance," Yearbook of the Faculty of Economics and Business Administration, Sofia University, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria, volume 13, issue 1, pages 247-268, September.
• Angelo Ranaldo & Enzo Rossi, 2016, "Uniform-price auctions for Swiss government bonds: Origin and evolution," Economic Studies, Swiss National Bank, number 2016-10.
• Severin Bernhard & Till Ebner, 2016, "Cross-border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices," Working Papers, Swiss National Bank, number 2016-09.
• Nikola Mirkov & Igor Pozdeev & Paul Söderlind, 2016, "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers, Swiss National Bank, number 2016-10.
• Silvio Schumacher, 2016, "Networks and lending conditions: Empirical evidence from the Swiss franc money markets," Working Papers, Swiss National Bank, number 2016-12.
• Adrian Jäggi & Martin Schlegel & Attilio Zanetti, 2016, "Macroeconomic surprises, market environment and safe-haven currencies," Working Papers, Swiss National Bank, number 2016-15.
• Jonas Meuli & Thomas Nellen & Thomas Nitschka, 2016, "Securitisation, loan growth and bank funding: the Swiss experience since 1932," Working Papers, Swiss National Bank, number 2016-18.
• Taha Bahadır SARAÇ & Ömer İSKENDEROĞLU & Saffet AKDAĞ, 2016, "Yerli ve Yabancı Yatırımcılara Ait Risk İştahlarının İncelenmesi: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 24(30).
• Bruno Cara Giovannetti & Elias Cavalcante Filho, Fernando Daniel Chague, Rodrigo de Losso da Silveira Bueno, 2016, "Risk premia estimation in Brazil: wait until 2041," Working Papers, Department of Economics, University of São Paulo (FEA-USP), number 2016_38, Dec.
• Stylianos X. Koufadakis, 2016, "Mispricing Explanations of Closed-End Funds: A Survey Review," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, volume 66, issue 1-2, pages 108-135, January-J.
• D. V. Boreiko & Y. M. Kaniovski & G. Ch. Pflug, 2016, "Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, volume 24, issue 4, pages 989-1007, December, DOI: 10.1007/s10100-015-0415-6.
• Karl Michael Ortmann, 2016, "The link between the Shapley value and the beta factor," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 39, issue 2, pages 311-325, November, DOI: 10.1007/s10203-016-0178-0.
• Klaus Grobys & Jesper Haga, 2016, "The market price of credit risk and economic states," Empirical Economics, Springer, volume 50, issue 3, pages 1111-1134, May, DOI: 10.1007/s00181-015-0952-9.
• Philip Hans Franses & Wouter Knecht, 2016, "The late 1970s bubble in Dutch collectible postage stamps," Empirical Economics, Springer, volume 50, issue 4, pages 1215-1228, June, DOI: 10.1007/s00181-015-0974-3.
• Vipin Arora & Shuping Shi, 2016, "Nonlinearities and tests of asset price bubbles," Empirical Economics, Springer, volume 50, issue 4, pages 1421-1433, June, DOI: 10.1007/s00181-015-0976-1.
• Jacques Peeperkorn & Yudhvir Seetharam, 2016, "A learning-augmented approach to pricing risk in South Africa," Eurasian Business Review, Springer;Eurasia Business and Economics Society, volume 6, issue 1, pages 117-139, April, DOI: 10.1007/s40821-015-0038-9.
• Chernov, Mikhail & Longstaff, Francis & Dunn, Brett R., 2016, "Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities," CEPR Discussion Papers, Centre for Economic Policy Research, number 10947, Mar.
• Pagano, Marco & Beber, Alessandro & Fabbri, Daniela & Simonelli, Saverio, 2016, "Short-Selling Bans and Bank Stability," CEPR Discussion Papers, Centre for Economic Policy Research, number 11090, Feb.
• Fernández-Villaverde, Jesús & Levintal, Oren, 2016, "Solution Methods for Models with Rare Disasters," CEPR Discussion Papers, Centre for Economic Policy Research, number 11115, Feb.
• Broer, Tobias, 2016, "Securitisation Bubbles: Structured finance with disagreement about default correlations," CEPR Discussion Papers, Centre for Economic Policy Research, number 11145, Mar.
• Petrella, Ivan & Sola, Martin & Hevia, Constantino, 2016, "Risk Premia and Seasonality in Commodity Futures," CEPR Discussion Papers, Centre for Economic Policy Research, number 11169, Mar.
• Chernov, Mikhail & Backus, David & Boyarchenko, Nina, 2016, "Term structures of asset prices and returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 11227, Apr.
• Farmer, Roger, 2016, "Pricing Assets in an Economy with Two Types of People," CEPR Discussion Papers, Centre for Economic Policy Research, number 11253, Apr.
• Ströbel, Johannes & Kuchler, Theresa & Bailey, Michael & Cao, Ruiqing, 2016, "Social Networks and Housing Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 11272, May.
• Sarno, Lucio & Menkhoff, Lukas & Schmeling, Maik & Schrimpf, Paul, 2016, "Currency Value," CEPR Discussion Papers, Centre for Economic Policy Research, number 11324, Jun.
• Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016, "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers, Centre for Economic Policy Research, number 11401, Jul.
• Weber, Martin & Regele, Tobias & Jacobs, Heiko, 2016, "Expected skewness and momentum," CEPR Discussion Papers, Centre for Economic Policy Research, number 11455, Aug.
• Adrian, Tobias & , & Shin, Hyun Song, 2016, "Dynamic Leverage Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 11466, Aug.
• Malamud, Semyon & Malkhozov, Aytek, 2016, "Market Integration and Global Crashes," CEPR Discussion Papers, Centre for Economic Policy Research, number 11468, Aug.
• Malamud, Semyon, 2016, "A Dynamic Equilibrium Model of ETFs," CEPR Discussion Papers, Centre for Economic Policy Research, number 11469, Aug.
• Massa, Massimo & Schumacher, David & wang, yan, 2016, "Who is afraid of BlackRock?," CEPR Discussion Papers, Centre for Economic Policy Research, number 11471, Aug.
• Polk, Christopher & Lou, Dong & Huang, Shiyang, 2016, "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers, Centre for Economic Policy Research, number 11531, Sep.
• Miller, Marcus & Zhang, Lei & Rastapana, Songklod, 2016, "A comedy of errors: misguided policy, mis-sold mortgages, and more," CEPR Discussion Papers, Centre for Economic Policy Research, number 11533, Sep.
• Chernov, Mikhail & Schmid, Lukas & Schneider, Andres, 2016, "A Macrofinance View of U.S. Sovereign CDS Premiums," CEPR Discussion Papers, Centre for Economic Policy Research, number 11576, Oct.
• Weber, Martin & Ungeheuer, Michael, 2016, "The Perception of Dependence, Investment Decisions, and Stock Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 11585, Oct.
• Taylor, Alan M. & Jordà , Ã’scar & Schularick, Moritz, 2016, "Macrofinancial History and the New Business Cycle Facts," CEPR Discussion Papers, Centre for Economic Policy Research, number 11587, Oct.
• Babus, Ana & Parlatore Siritto, Cecilia, 2016, "Strategic Fragmented Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 11591, Oct.
• Martin, Ian & Wagner, Christian, 2016, "What is the Expected Return on a Stock?," CEPR Discussion Papers, Centre for Economic Policy Research, number 11608, Nov.
• Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016, "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers, Centre for Economic Policy Research, number 11645, Nov.
• Oosterlinck, Kim & Collet, Stéphanie, 2016, "Pricing the Odious in Odious Debts," CEPR Discussion Papers, Centre for Economic Policy Research, number 11653, Nov.
• Nyborg, Kjell & Fecht, Falko & Rocholl, Jörg & Woschitz, Jiri, 2016, "Collateral, Central Bank Repos, and Systemic Arbitrage," CEPR Discussion Papers, Centre for Economic Policy Research, number 11663, Nov.
• Flandreau, Marc & Chavaz, Matthieu, 2016, "“High & Dry†: The Liquidity and Credit of Colonial and Foreign Government Debt and the London Stock Exchange (1880-1910)," CEPR Discussion Papers, Centre for Economic Policy Research, number 11679, Dec.
• Cespa, Giovanni & Colla, Paolo, 2016, "Market Fragmentation, Dissimulation, and the Disclosure of Insider Trades," CEPR Discussion Papers, Centre for Economic Policy Research, number 11690, Dec.
• Orphanides, Athanasios & Breach, Tomas & D'Amico, Stefania, 2016, "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers, Centre for Economic Policy Research, number 11730, Dec.
• Vives, Xavier & Cespa, Giovanni, 2016, "Market Transparency and Fragility," CEPR Discussion Papers, Centre for Economic Policy Research, number 11732, Dec.
• 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.
• Yhlas SOVBETOV, 2016, "Impact of Brand Dynamics on Insurance Premiums in Turkey," Turkish Economic Review, EconSciences Journals, volume 3, issue 3, pages 453-465, September.
• Bachar FAKHRY, 2016, "A Literature Review of Behavioural Finance," Journal of Economics Library, EconSciences Journals, volume 3, issue 3, pages 458-465, September.
• Стефан Симеонов, 2016, "Измерители На Борсовата Активност – Изследване На Индикаторите И Анализ На Пазарния Тренд," "Economic World" Library, D. A. Tsenov Academy of Economics, Svishtov, Bulgaria, issue 131 Year , pages 3-228.
• Pierre Chollet & Blaise W. Sandwidi, 2016, "L’impact sur les marchés financiers européens de la diffusion d’alertes sociétales et de leurs évènements déclencheurs," Revue Finance Contrôle Stratégie, revues.org, volume 19, issue 2, pages 59-82, June.
• Fabian Baetje & Lukas Menkhoff, 2016, "Equity Premium Prediction: Are Economic and Technical Indicators Unstable?," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1552.
• Guglielmo Maria Caporale & Alex Plastun, 2016, "Calendar Anomalies in the Ukrainian Stock Market," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1573.
• Benjamin Beckers & Kerstin Bernoth, 2016, "Monetary Policy and Mispricing in Stock Markets," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1605.
• Farley Grubb, 2016, "Colonial Virginia's Paper Money Regime, 1755-1774: Value Decomposition and Performance," Working Papers, University of Delaware, Department of Economics, number 16-01.
• Augustin, Patrick & Boustanifar, Hamid & Breckenfelder, Johannes & Schnitzler, Jan, 2016, "Sovereign to corporate risk spillovers," Working Paper Series, European Central Bank, number 1878, Jan.
• Krylova, Elizaveta, 2016, "Leading indicator properties of corporate bond spreads, excess bond premia and lending spreads in the euro area," Working Paper Series, European Central Bank, number 1911, Jun.
• Krylova, Elizaveta, 2016, "Determinants of euro-denominated corporate bond spreads," Working Paper Series, European Central Bank, number 1912, Jun.
• Camba-Méndez, Gonzalo & Serwa, Dobromil & Kostrzewa, Konrad & Marszal, Anna, 2016, "Pricing sovereign credit risk of an emerging market," Working Paper Series, European Central Bank, number 1924, Jun.
• Corradin, Stefano & Rodriguez-Moreno, Maria, 2016, "Violating the law of one price: the role of non-conventional monetary policy," Working Paper Series, European Central Bank, number 1927, Jul.
• De Santis, Roberto A., 2016, "Credit spreads, economic activity and fragmentation," Working Paper Series, European Central Bank, number 1930, Jul.
• Garcí­a, Juan Angel & Werner, Sebastian E. V., 2016, "Bond risk premia, macroeconomic factors and financial crisis in the euro area," Working Paper Series, European Central Bank, number 1938, Jul.
• Breckenfelder, Johannes & De Fiore, Fiorella & Andrade, Philippe & Karadi, Peter & Tristani, Oreste, 2016, "The ECB's asset purchase programme: an early assessment," Working Paper Series, European Central Bank, number 1956, Sep.
• De Santis, Roberto A. & Stein, Michael, 2016, "Correlation changes between the risk-free rate and sovereign yields of euro area countries," Working Paper Series, European Central Bank, number 1979, Nov.
• Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Goehring, Matthias, 2016, "Determinants of sub-sovereign bond yield spreads: the role of fiscal fundamentals and federal bailout expectations," Working Paper Series, European Central Bank, number 1987, Dec.
• Huang, Jing-Zhi & Shi, Zhan, 2016, "Hedging Interest Rate Risk Using a Structural Model of Credit Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-04, Feb.
• Fahlenbrach, Rudiger & Prilmeier, Robert & Stulz, Rene M., 2016, "Why Does Fast Loan Growth Predict Poor Performance for Banks?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-07, Mar.
• Birru, Justin, 2016, "Day of the Week and the Cross-Section of Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-1, Jan.
• Massimiliano Croce, Mariano & Nguyen, Thien Tung & McGregor Raymond, Steve & Schmid, Lukas, 2016, "Government Debt and the Returns to Innovation," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-10, May.
• Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2016, "Why Does Idiosyncratic Risk Increase with Market Risk?," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-13, Jul.
• Schwert, Michael, 2016, "Municipal Bond Liquidity and Default Risk," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-16, Sep.
• Hou, Kewei & Kim, Sehoon & Werner, Ingrid M., 2016, "(Priced) Frictions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-19, Nov.
• Bao, Jack & Hou, Kewei & Zhang, Shaojun A., 2016, "Systemic Default and Return Predictability in the Stock and Bond Markets," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-2, Jan.
• Lin, Xiaoji & Wang, Chong & Wang, Neng & Yang, Jinqiang, 2016, "Investment, Tobin's q, and Interest Rates," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-20, Oct.
• Zhang, Shaojun, 2016, "Limited Risk Sharing and International Equity Returns," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2016-25, Nov.
• Lee, Charles M. C. & So, Eric C., 2016, "Uncovering Expected Returns: Information in Analyst Coverage Proxies," Research Papers, Stanford University, Graduate School of Business, number 3367, Jan.
• Lustig, Hanno & Verdelhan, Adrien, 2016, "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," Research Papers, Stanford University, Graduate School of Business, number 3412, Mar.
• Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016, "Equity Is Cheap for Large Financial Institutions: The International Evidence," Research Papers, Stanford University, Graduate School of Business, number 3454, Jun.
• Chen, Zhiyao & Strebulaev, Ilya A., 2016, "Bargaining Power, Business Cycle and Levered Equity Risk," Research Papers, Stanford University, Graduate School of Business, number 3466, Jun.
• Arfaoui Mongi & Haj Ali Dhouha, 2016, "Do Structural Breaks Affect Portfolio Designs and Hedging Strategies? International Evidence from Stock-Commodity Markets Linkages," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 1, pages 252-270.
• Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza, 2016, "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 365-379.
• Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016, "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 2, pages 551-561.
• Ilham Boularhmane & Rajae Aboulaich, 2016, "Valuation of Quarterly Stock Prices: Applying Ethical Principles to Discounted Cash Flow Method," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 3, pages 1254-1261.
• Amado Peir, 2016, "Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1338-1343.
• Charles O. Manasseh & Chukwuka Kenneth Ozuzu & Jonathan E. Ogbuabor, 2016, "Semi Strong Form Efficiency Test of the Nigerian Stock Market: Evidence from Event Study Analysis of Bonus Issues," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1474-1490.
• Charles O. Manasseh & Ambrose N. Omeje, 2016, "Application of Generalized Autoregressive Conditional Heteroschedasticity Model on Inflation and Share Price Movement in Nigeria," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1491-1501.
• Hanan Naser, 2016, "The Role of the Gulf Cooperation Council's Sovereign Wealth Funds in the New Era of Oil," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1657-1664.
• Prashant Sharma & Prashant Gupta & Anurag Singh, 2016, "Pricing Ability of Four Factor Model using Quantile Regression: Evidences from India," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1815-1826.
• Azam Mohammadzadeh & Mohammad Nabi Shahiki Tash & Reza Roshan, 2016, "Investigating and Comparing Some Consumption-based Asset Pricing Models: The Case of Iran," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1884-1894.
• Wajih Abbasi & Petr H jek & Diana Ismailova & Saira Yessimzhanova & Zouhaier Ben Khelifa & Kholnazar Amonov, 2016, "Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options," International Journal of Economics and Financial Issues, Econjournals, volume 6, issue 4, pages 1918-1929.
• Murat UÐURLU & Yusuf DEMÝR, 2016, "Firma Büyüklüðü Anomalisinin Varlýðýnýn BÝST’te Test Edilmesi," Isletme ve Iktisat Calismalari Dergisi, Econjournals, volume 4, issue 3, pages 106-116.
• Elshandidy, Tamer & Shrives, Philip J., 2016, "Environmental Incentives for and Usefulness of Textual Risk Reporting: Evidence from Germany," The International Journal of Accounting, Elsevier, volume 51, issue 4, pages 464-486, DOI: 10.1016/j.intacc.2016.10.001.
• Kitagawa, Norio & Okuda, Shin’ya, 2016, "Management Forecasts, Idiosyncratic Risk, and the Information Environment," The International Journal of Accounting, Elsevier, volume 51, issue 4, pages 487-503, DOI: 10.1016/j.intacc.2016.10.002.
• Dichtl, Hubert & Drobetz, Wolfgang & Kryzanowski, Lawrence, 2016, "Timing the stock market: Does it really make no sense?," Journal of Behavioral and Experimental Finance, Elsevier, volume 10, issue C, pages 88-104, DOI: 10.1016/j.jbef.2016.03.005.
• Lawal, Tolulola, 2016, "Clustering of annual general meetings and stock returns: UK evidence," Journal of Behavioral and Experimental Finance, Elsevier, volume 11, issue C, pages 9-12, DOI: 10.1016/j.jbef.2016.05.001.
• Warsame, Mohammed Hersi & Ireri, Edward Mugambi, 2016, "Does the theory of planned behaviour (TPB) matter in Sukuk investment decisions?," Journal of Behavioral and Experimental Finance, Elsevier, volume 12, issue C, pages 93-100, DOI: 10.1016/j.jbef.2016.10.002.
• Grégoire, Philippe, 2016, "Unskilled traders, overconfidence and information acquisition," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 1-5, DOI: 10.1016/j.jbef.2015.08.002.
• Yang, Xiaolan & Zhu, Li, 2016, "Ambiguity vs risk: An experimental study of overconfidence, gender and trading activity," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 125-131, DOI: 10.1016/j.jbef.2016.01.003.
• Fasano, Antonio & Galloppo, Giuseppe, 2016, "Emerging market active managers: Skilled or stubborn?," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 132-135, DOI: 10.1016/j.jbef.2015.11.001.
• Zaremba, Adam, 2016, "Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, volume 9, issue C, pages 136-163, DOI: 10.1016/j.jbef.2015.11.007.
• Brooks, Chris & Fernandez-Perez, Adrian & Miffre, Joëlle & Nneji, Ogonna, 2016, "Commodity risks and the cross-section of equity returns," The British Accounting Review, Elsevier, volume 48, issue 2, pages 134-150, DOI: 10.1016/j.bar.2016.03.001.
• Yekini, Liafisu Sina & Wisniewski, Tomasz Piotr & Millo, Yuval, 2016, "Market reaction to the positiveness of annual report narratives," The British Accounting Review, Elsevier, volume 48, issue 4, pages 415-430, DOI: 10.1016/j.bar.2015.12.001.
• Ibikunle, Gbenga & Gregoriou, Andros & Hoepner, Andreas G.F. & Rhodes, Mark, 2016, "Liquidity and market efficiency in the world's largest carbon market," The British Accounting Review, Elsevier, volume 48, issue 4, pages 431-447, DOI: 10.1016/j.bar.2015.11.001.
• Huang, Kershen & Petkevich, Alex, 2016, "Corporate bond pricing and ownership heterogeneity," Journal of Corporate Finance, Elsevier, volume 36, issue C, pages 54-74, DOI: 10.1016/j.jcorpfin.2015.11.001.
• Yuan, Rongli & Sun, Jian & Cao, Feng, 2016, "Directors' and officers' liability insurance and stock price crash risk," Journal of Corporate Finance, Elsevier, volume 37, issue C, pages 173-192, DOI: 10.1016/j.jcorpfin.2015.12.015.
• Abudy, Menachem & Benninga, Simon & Shust, Efrat, 2016, "The cost of equity for private firms," Journal of Corporate Finance, Elsevier, volume 37, issue C, pages 431-443, DOI: 10.1016/j.jcorpfin.2016.01.014.
• Unsal, Omer & Hassan, M. Kabir & Zirek, Duygu, 2016, "Corporate lobbying, CEO political ideology and firm performance," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 126-149, DOI: 10.1016/j.jcorpfin.2016.04.001.
• Brooks, Chris & Godfrey, Chris & Hillenbrand, Carola & Money, Kevin, 2016, "Do investors care about corporate taxes?," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 218-248, DOI: 10.1016/j.jcorpfin.2016.01.013.
• Nielsson, Ulf & Wójcik, Dariusz, 2016, "Proximity and IPO underpricing," Journal of Corporate Finance, Elsevier, volume 38, issue C, pages 92-105, DOI: 10.1016/j.jcorpfin.2016.03.012.
• Derrien, François & Kecskés, Ambrus & Mansi, Sattar A., 2016, "Information asymmetry, the cost of debt, and credit events: Evidence from quasi-random analyst disappearances," Journal of Corporate Finance, Elsevier, volume 39, issue C, pages 295-311, DOI: 10.1016/j.jcorpfin.2016.05.002.
• Ayash, Brian & Schütt, Harm, 2016, "Does going private add value through operating improvements?," Journal of Corporate Finance, Elsevier, volume 40, issue C, pages 192-215, DOI: 10.1016/j.jcorpfin.2016.07.015.
• Kolb, Johannes & Tykvová, Tereza, 2016, "Going public via special purpose acquisition companies: Frogs do not turn into princes," Journal of Corporate Finance, Elsevier, volume 40, issue C, pages 80-96, DOI: 10.1016/j.jcorpfin.2016.07.006.
• Carosi, Andrea, 2016, "Do local causations matter? The effect of firm location on the relations of ROE, R&D, and firm SIZE with MARKET-TO-BOOK," Journal of Corporate Finance, Elsevier, volume 41, issue C, pages 388-409, DOI: 10.1016/j.jcorpfin.2016.10.008.
• Frazier, David T. & Liu, Xiaochun, 2016, "A new approach to risk-return trade-off dynamics via decomposition," Journal of Economic Dynamics and Control, Elsevier, volume 62, issue C, pages 43-55, DOI: 10.1016/j.jedc.2015.11.002.
• Niu, Shilei & Insley, Margaret, 2016, "An options pricing approach to ramping rate restrictions at hydro power plants," Journal of Economic Dynamics and Control, Elsevier, volume 63, issue C, pages 25-52, DOI: 10.1016/j.jedc.2015.11.003.
• Dai, Min & Tang, Ling & Yue, Xingye, 2016, "Calibration of stochastic volatility models: A Tikhonov regularization approach," Journal of Economic Dynamics and Control, Elsevier, volume 64, issue C, pages 66-81, DOI: 10.1016/j.jedc.2016.01.002.
• Shi, Lei, 2016, "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, volume 65, issue C, pages 30-46, DOI: 10.1016/j.jedc.2016.02.002.
• Elias, Christopher J., 2016, "Asset pricing with expectation shocks," Journal of Economic Dynamics and Control, Elsevier, volume 65, issue C, pages 68-82, DOI: 10.1016/j.jedc.2016.02.005.
• Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2016, "Asset prices with non-permanent shocks to consumption," Journal of Economic Dynamics and Control, Elsevier, volume 69, issue C, pages 152-178, DOI: 10.1016/j.jedc.2016.05.010.
• in ׳t Veld, Daan, 2016, "Adverse effects of leverage and short-selling constraints in a financial market model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, volume 69, issue C, pages 45-67, DOI: 10.1016/j.jedc.2016.05.005.
• Khalaf, Lynda & Schaller, Huntley, 2016, "Identification and inference in two-pass asset pricing models," Journal of Economic Dynamics and Control, Elsevier, volume 70, issue C, pages 165-177, DOI: 10.1016/j.jedc.2016.07.002.
• Ewald, Christian-Oliver & Zhang, Hai, 2016, "Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk," Journal of Economic Dynamics and Control, Elsevier, volume 71, issue C, pages 45-59, DOI: 10.1016/j.jedc.2016.07.007.
• Barde, Sylvain, 2016, "Direct comparison of agent-based models of herding in financial markets," Journal of Economic Dynamics and Control, Elsevier, volume 73, issue C, pages 329-353, DOI: 10.1016/j.jedc.2016.10.005.
• Li, Mengling & Zheng, Huanhuan & Tai Leung Chong, Terence & Zhang, Yang, 2016, "The stock–bond comovements and cross-market trading," Journal of Economic Dynamics and Control, Elsevier, volume 73, issue C, pages 417-438, DOI: 10.1016/j.jedc.2016.10.007.
• Paccagnini, Alessia, 2016, "The macroeconomic determinants of the US term structure during the Great Moderation," Economic Modelling, Elsevier, volume 52, issue PA, pages 216-225, DOI: 10.1016/j.econmod.2014.11.013.
• Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016, "Reducible diffusions with time-varying transformations with application to short-term interest rates," Economic Modelling, Elsevier, volume 52, issue PA, pages 266-277, DOI: 10.1016/j.econmod.2014.10.039.
• Hollander, Hylton & Liu, Guangling, 2016, "The equity price channel in a New-Keynesian DSGE model with financial frictions and banking," Economic Modelling, Elsevier, volume 52, issue PB, pages 375-389, DOI: 10.1016/j.econmod.2015.09.015.
• Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016, "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, volume 53, issue C, pages 231-244, DOI: 10.1016/j.econmod.2015.12.008.
• El Ouadghiri, Imane & Uctum, Remzi, 2016, "Jumps in equilibrium prices and asymmetric news in foreign exchange markets," Economic Modelling, Elsevier, volume 54, issue C, pages 218-234, DOI: 10.1016/j.econmod.2015.12.025.
• Batten, Jonathan A. & Lucey, Brian M. & Peat, Maurice, 2016, "Gold and silver manipulation: What can be empirically verified?," Economic Modelling, Elsevier, volume 56, issue C, pages 168-176, DOI: 10.1016/j.econmod.2016.03.005.
• Switzer, Lorne N. & Picard, Alan, 2016, "Stock market liquidity and economic cycles: A non-linear approach," Economic Modelling, Elsevier, volume 57, issue C, pages 106-119, DOI: 10.1016/j.econmod.2016.04.006.
• Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd, 2016, "Do oil producing countries offer international diversification benefits? Evidence from GCC countries," Economic Modelling, Elsevier, volume 57, issue C, pages 263-280, DOI: 10.1016/j.econmod.2016.05.001.
• Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016, "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, volume 57, issue C, pages 36-46, DOI: 10.1016/j.econmod.2016.04.014.
• Nyberg, Henri & Pönkä, Harri, 2016, "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, volume 58, issue C, pages 323-338, DOI: 10.1016/j.econmod.2016.06.013.
• Legendre, François & Togola, Djibril, 2016, "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Economic Modelling, Elsevier, volume 58, issue C, pages 627-641, DOI: 10.1016/j.econmod.2016.03.029.
• Wang, Qin & Ren, Yu & Zou, Yiheng, 2016, "Uninsured expense shocks and equity premia," Economic Modelling, Elsevier, volume 58, issue C, pages 64-74, DOI: 10.1016/j.econmod.2016.05.009.
• Akhtaruzzaman, Md & Shamsuddin, Abul, 2016, "International contagion through financial versus non-financial firms," Economic Modelling, Elsevier, volume 59, issue C, pages 143-163, DOI: 10.1016/j.econmod.2016.07.003.
• Kim, Jan R. & Lim, Gieyoung, 2016, "Fundamentals and rational bubbles in the Korean housing market: A modified present-value approach," Economic Modelling, Elsevier, volume 59, issue C, pages 174-181, DOI: 10.1016/j.econmod.2016.07.015.
• Li, Mingsheng & Zhao, Xin, 2016, "Neighborhood effect on stock price comovement," The North American Journal of Economics and Finance, Elsevier, volume 35, issue C, pages 1-22, DOI: 10.1016/j.najef.2015.10.002.
• Camba-Méndez, Gonzalo & Serwa, Dobromił, 2016, "Market perception of sovereign credit risk in the euro area during the financial crisis," The North American Journal of Economics and Finance, Elsevier, volume 37, issue C, pages 168-189, DOI: 10.1016/j.najef.2016.04.002.
• Ayadi, Mohamed A. & Chaibi, Anis & Kryzanowski, Lawrence, 2016, "Performance of Canadian hybrid mutual funds," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 124-147, DOI: 10.1016/j.najef.2016.09.003.
• Tsai, I-Chun & Peng, Chien-Wen, 2016, "Linear and nonlinear dynamic relationships between housing prices and trading volumes," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 172-184, DOI: 10.1016/j.najef.2016.10.014.
• Yang, Chunpeng & Zhou, Liyun, 2016, "Individual stock crowded trades, individual stock investor sentiment and excess returns," The North American Journal of Economics and Finance, Elsevier, volume 38, issue C, pages 39-53, DOI: 10.1016/j.najef.2016.06.001.
• Deng, Kaihua, 2016, "A refined asymptotic framework for dividend yield in predictive regressions," Economics Letters, Elsevier, volume 138, issue C, pages 60-63, DOI: 10.1016/j.econlet.2015.11.022.
• Condie, Scott S. & Phillips, Kerk L., 2016, "Can irrational investors survive in the long run? The role of generational type transmission," Economics Letters, Elsevier, volume 139, issue C, pages 40-42, DOI: 10.1016/j.econlet.2015.12.008.
• Balaban, Ercan & Lu, Shan, 2016, "Forecasting the term structure of volatility of crude oil price changes," Economics Letters, Elsevier, volume 141, issue C, pages 116-118, DOI: 10.1016/j.econlet.2016.02.015.
• Boermans, Martijn Adriaan & Frost, Jon & Steins Bisschop, Sophie, 2016, "European bond markets: Do illiquidity and concentration aggravate price shocks?," Economics Letters, Elsevier, volume 141, issue C, pages 143-146, DOI: 10.1016/j.econlet.2016.02.023.
• Mathur, Vipul & Subramanian, Chetan, 2016, "Financial market segmentation and choice of exchange rate regimes," Economics Letters, Elsevier, volume 142, issue C, pages 78-82, DOI: 10.1016/j.econlet.2016.02.035.
• Donadelli, Michael & Grüning, Patrick, 2016, "Labor market dynamics, endogenous growth, and asset prices," Economics Letters, Elsevier, volume 143, issue C, pages 32-37, DOI: 10.1016/j.econlet.2016.03.020.
• Roskelley, Kenneth D., 2016, "Augmenting the Taylor rule: Monetary policy and the bond market," Economics Letters, Elsevier, volume 144, issue C, pages 64-67, DOI: 10.1016/j.econlet.2016.05.002.
• Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin, 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," Economics Letters, Elsevier, volume 145, issue C, pages 176-181, DOI: 10.1016/j.econlet.2016.06.008.
• Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016, "Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion," Economics Letters, Elsevier, volume 145, issue C, pages 225-229, DOI: 10.1016/j.econlet.2016.05.035.
• Longin, François & Pagliardi, Giovanni, 2016, "Tail relation between return and volume in the US stock market: An analysis based on extreme value theory," Economics Letters, Elsevier, volume 145, issue C, pages 252-254, DOI: 10.1016/j.econlet.2016.06.026.
• Wu, Wenbin, 2016, "Are financial markets less responsive to monetary policy shocks at the zero lower bound?," Economics Letters, Elsevier, volume 145, issue C, pages 258-261, DOI: 10.1016/j.econlet.2016.07.001.
• Li, Meiyu & Gençay, Ramazan & Xue, Yi, 2016, "Is it Brownian or fractional Brownian motion?," Economics Letters, Elsevier, volume 145, issue C, pages 52-55, DOI: 10.1016/j.econlet.2016.05.012.
• Pohl, Walt, 2016, "External habit: Anything goes," Economics Letters, Elsevier, volume 146, issue C, pages 140-142, DOI: 10.1016/j.econlet.2016.07.019.
• Walkshäusl, Christian, 2016, "Mispricing and the five-factor model," Economics Letters, Elsevier, volume 147, issue C, pages 99-102, DOI: 10.1016/j.econlet.2016.08.025.
• Jang, Woon Wook & Eom, Young Ho & Kang, Yong Joo, 2016, "Corporate bond pricing model with stochastically volatile firm value process," Economics Letters, Elsevier, volume 148, issue C, pages 41-44, DOI: 10.1016/j.econlet.2016.09.018.
• Antonakakis, Nikolaos & Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2016, "Is inflation persistence different in reality?," Economics Letters, Elsevier, volume 148, issue C, pages 55-58, DOI: 10.1016/j.econlet.2016.09.003.
• Schmitt, Noemi & Westerhoff, Frank, 2016, "Stock market participation and endogenous boom-bust dynamics," Economics Letters, Elsevier, volume 148, issue C, pages 72-75, DOI: 10.1016/j.econlet.2016.09.016.
• Urquhart, Andrew, 2016, "The inefficiency of Bitcoin," Economics Letters, Elsevier, volume 148, issue C, pages 80-82, DOI: 10.1016/j.econlet.2016.09.019.
• Sung, Ming-Chien & Johnson, Johnnie E.V. & McDonald, David C.J., 2016, "Informed trading, market efficiency and volatility," Economics Letters, Elsevier, volume 149, issue C, pages 56-59, DOI: 10.1016/j.econlet.2016.10.015.
• 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.