Research classified by Journal of Economic Literature (JEL) codes

2016

• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016, "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 1-50, January, DOI: 10.1007/s00780-015-0283-x.
• Matteo Burzoni & Marco Frittelli & Marco Maggis, 2016, "Universal arbitrage aggregator in discrete-time markets under uncertainty," Finance and Stochastics, Springer, volume 20, issue 1, pages 1-50, January, DOI: 10.1007/s00780-015-0283-x.
• Peter Bank & Selim Gökay, 2016, "Superreplication when trading at market indifference prices," Finance and Stochastics, Springer, volume 20, issue 1, pages 153-182, January, DOI: 10.1007/s00780-015-0278-7.
• Eyal Neuman & Alexander Schied, 2016, "Optimal portfolio liquidation in target zone models and catalytic superprocesses," Finance and Stochastics, Springer, volume 20, issue 2, pages 495-509, April, DOI: 10.1007/s00780-015-0280-0.
• Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016, "A general HJM framework for multiple yield curve modelling," Finance and Stochastics, Springer, volume 20, issue 2, pages 267-320, April, DOI: 10.1007/s00780-016-0291-5.
• Pierre Henry-Labordère & Nizar Touzi, 2016, "An explicit martingale version of the one-dimensional Brenier theorem," Finance and Stochastics, Springer, volume 20, issue 3, pages 635-668, July, DOI: 10.1007/s00780-016-0299-x.
• Damir Filipović & Martin Larsson, 2016, "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, volume 20, issue 4, pages 931-972, October, DOI: 10.1007/s00780-016-0304-4.
• Stéphane Crépey & Shiqi Song, 2016, "Counterparty risk and funding: immersion and beyond," Finance and Stochastics, Springer, volume 20, issue 4, pages 901-930, October, DOI: 10.1007/s00780-016-0305-3.
• Pavel Ciaian & Miroslava Rajcaniova & d’Artis Kancs, 2016, "The digital agenda of virtual currencies: Can BitCoin become a global currency?," Information Systems and e-Business Management, Springer, volume 14, issue 4, pages 883-919, November, DOI: 10.1007/s10257-016-0304-0.
• Sebastian Utz & Martina Weber & Maximilian Wimmer, 2016, "German Mittelstand bonds: yield spreads and liquidity," Journal of Business Economics, Springer, volume 86, issue 1, pages 103-129, January, DOI: 10.1007/s11573-015-0791-3.
• Marko Volker Krause & Alexander Lahmann, 2016, "Reconsidering the appropriate discount rate for tax shield valuation," Journal of Business Economics, Springer, volume 86, issue 5, pages 477-512, July, DOI: 10.1007/s11573-015-0782-4.
• Nader Virk & Hilal Butt, 2016, "Specification errors of asset-pricing models for a market characterized by few large capitalization firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 40, issue 1, pages 68-84, January, DOI: 10.1007/s12197-014-9297-z.
• Huang, Alex YiHou, 2016, "Impacts of implied volatility on stock price realized jumps," Economic Systems, Elsevier, volume 40, issue 4, pages 622-630, DOI: 10.1016/j.ecosys.2016.02.007.
• Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016, "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, volume 27, issue C, pages 118-139, DOI: 10.1016/j.ememar.2016.05.001.
• Kocsis, Zalan & Monostori, Zoltan, 2016, "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, volume 27, issue C, pages 140-168, DOI: 10.1016/j.ememar.2016.05.003.
• Mnasri, Ayman & Nechi, Salem, 2016, "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, volume 28, issue C, pages 184-202, DOI: 10.1016/j.ememar.2016.08.002.
• Westerlund, Joakim & Thuraisamy, Kannan, 2016, "Panel multi-predictor test procedures with an application to emerging market sovereign risk," Emerging Markets Review, Elsevier, volume 28, issue C, pages 44-60, DOI: 10.1016/j.ememar.2016.06.003.
• Park, Jong-Ho & Binh, Ki Beom & Eom, Kyong Shik, 2016, "The effect of listing switches from a growth market to a main board: An alternative perspective," Emerging Markets Review, Elsevier, volume 29, issue C, pages 246-273, DOI: 10.1016/j.ememar.2016.08.006.
• Deng, Qi & Zhou, Zhong-guo, 2016, "Overreaction in ChiNext IPOs' initial returns: How much and what caused it?," Emerging Markets Review, Elsevier, volume 29, issue C, pages 82-103, DOI: 10.1016/j.ememar.2016.08.012.
• Brown, William O. & Huang, Dayong & Wang, Fang, 2016, "Inflation illusion and stock returns," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 14-24, DOI: 10.1016/j.jempfin.2015.11.001.
• Lepori, Gabriele M., 2016, "Air pollution and stock returns: Evidence from a natural experiment," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 25-42, DOI: 10.1016/j.jempfin.2015.10.008.
• Geoffrey Booth, G. & Fung, Hung-Gay & Leung, Wai Kin, 2016, "A risk-return explanation of the momentum-reversal “anomaly”," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 68-77, DOI: 10.1016/j.jempfin.2015.10.007.
• Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas, 2016, "Is there a bubble in the art market?," Journal of Empirical Finance, Elsevier, volume 35, issue C, pages 99-109, DOI: 10.1016/j.jempfin.2015.10.010.
• Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2016, "On the properties of the constrained Hansen–Jagannathan distance," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 121-150, DOI: 10.1016/j.jempfin.2015.10.001.
• Byun, Sung Je, 2016, "The usefulness of cross-sectional dispersion for forecasting aggregate stock price volatility," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 162-180, DOI: 10.1016/j.jempfin.2016.01.013.
• Cejnek, Georg & Randl, Otto, 2016, "Risk and return of short-duration equity investments," Journal of Empirical Finance, Elsevier, volume 36, issue C, pages 181-198, DOI: 10.1016/j.jempfin.2016.01.017.
• Ghonghadze, Jaba & Lux, Thomas, 2016, "Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 1-19, DOI: 10.1016/j.jempfin.2016.02.002.
• Shi, Yanlin & Liu, Wai-Man & Ho, Kin-Yip, 2016, "Public news arrival and the idiosyncratic volatility puzzle," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 159-172, DOI: 10.1016/j.jempfin.2016.03.001.
• Aboulamer, Anas & Kryzanowski, Lawrence, 2016, "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 20-36, DOI: 10.1016/j.jempfin.2016.02.005.
• Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2016, "The economic value of predicting bond risk premia," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 247-267, DOI: 10.1016/j.jempfin.2016.02.001.
• Kim, Kun Ho & Kim, Taejin, 2016, "Capital asset pricing model: A time-varying volatility approach," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 268-281, DOI: 10.1016/j.jempfin.2016.01.014.
• Kaul, Aditya & Mehrotra, Vikas & Stefanescu, Carmen, 2016, "Location and excess comovement," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 293-308, DOI: 10.1016/j.jempfin.2015.12.003.
• Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016, "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 59-78, DOI: 10.1016/j.jempfin.2016.02.003.
• Fernandes, Marcelo & Mergulhão, João, 2016, "Anticipatory effects in the FTSE 100 index revisions," Journal of Empirical Finance, Elsevier, volume 37, issue C, pages 79-90, DOI: 10.1016/j.jempfin.2016.02.009.
• Boubakri, Salem & Couharde, Cécile & Raymond, Hélène, 2016, "Effects of financial turmoil on financial integration and risk premia in emerging markets," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 120-138, DOI: 10.1016/j.jempfin.2016.06.001.
• Ding, Xiaoya (Sara) & Ni, Yang & Zhong, Ligang, 2016, "Free float and market liquidity around the world," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 236-257, DOI: 10.1016/j.jempfin.2016.07.002.
• Kim, Gi H. & Li, Haitao & Zhang, Weina, 2016, "CDS-bond basis and bond return predictability," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 307-337, DOI: 10.1016/j.jempfin.2016.07.006.
• Pieterse-Bloem, Mary & Qian, Zhaowen & Verschoor, Willem & Zwinkels, Remco, 2016, "Time-varying importance of country and industry factors in European corporate bonds," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 429-448, DOI: 10.1016/j.jempfin.2016.01.010.
• Qadan, Mahmoud & Kliger, Doron, 2016, "The short trading day anomaly," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 62-80, DOI: 10.1016/j.jempfin.2016.05.007.
• Stratmann, Thomas & Welborn, John W., 2016, "Informed short selling, fails-to-deliver, and abnormal returns," Journal of Empirical Finance, Elsevier, volume 38, issue PA, pages 81-102, DOI: 10.1016/j.jempfin.2016.05.006.
• Peñaranda, Francisco & Sentana, Enrique, 2016, "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, volume 38, issue PB, pages 762-785, DOI: 10.1016/j.jempfin.2016.03.008.
• Aldrich, Eric M. & Heckenbach, Indra & Laughlin, Gregory, 2016, "A compound duration model for high-frequency asset returns," Journal of Empirical Finance, Elsevier, volume 39, issue PA, pages 105-128, DOI: 10.1016/j.jempfin.2016.10.003.
• Anari, Ali & Kolari, James, 2016, "Dynamics of interest and inflation rates," Journal of Empirical Finance, Elsevier, volume 39, issue PA, pages 129-144, DOI: 10.1016/j.jempfin.2016.08.008.
• Kim, Dongcheol & Na, Haejung, 2016, "The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, volume 39, issue PA, pages 37-53, DOI: 10.1016/j.jempfin.2016.09.003.
• Conrad, Christian & Zumbach, Klaus Ulrich, 2016, "The effect of political communication on European financial markets during the sovereign debt crisis," Journal of Empirical Finance, Elsevier, volume 39, issue PB, pages 209-214, DOI: 10.1016/j.jempfin.2016.01.018.
• Xu, Li & Deng, Shi-Jie & Thomas, Valerie M., 2016, "Carbon emission permit price volatility reduction through financial options," Energy Economics, Elsevier, volume 53, issue C, pages 248-260, DOI: 10.1016/j.eneco.2014.06.001.
• Shalini, Velappan & Prasanna, Krishna, 2016, "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, volume 53, issue C, pages 40-57, DOI: 10.1016/j.eneco.2015.02.011.
• Reboredo, Juan C. & Ugolini, Andrea, 2016, "Quantile dependence of oil price movements and stock returns," Energy Economics, Elsevier, volume 54, issue C, pages 33-49, DOI: 10.1016/j.eneco.2015.11.015.
• Diaz, Elena Maria & Molero, Juan Carlos & Perez de Gracia, Fernando, 2016, "Oil price volatility and stock returns in the G7 economies," Energy Economics, Elsevier, volume 54, issue C, pages 417-430, DOI: 10.1016/j.eneco.2016.01.002.
• Zhu, Huiming & Guo, Yawei & You, Wanhai & Xu, Yaqin, 2016, "The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach," Energy Economics, Elsevier, volume 55, issue C, pages 30-41, DOI: 10.1016/j.eneco.2015.12.027.
• Alizadeh, Amir H. & Tamvakis, Michael, 2016, "Market conditions, trader types and price–volume relation in energy futures markets," Energy Economics, Elsevier, volume 56, issue C, pages 134-149, DOI: 10.1016/j.eneco.2016.03.001.
• Da Fonseca, José & Ignatieva, Katja & Ziveyi, Jonathan, 2016, "Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market," Energy Economics, Elsevier, volume 56, issue C, pages 215-228, DOI: 10.1016/j.eneco.2016.03.022.
• Gupta, Kartick, 2016, "Oil price shocks, competition, and oil & gas stock returns — Global evidence," Energy Economics, Elsevier, volume 57, issue C, pages 140-153, DOI: 10.1016/j.eneco.2016.04.019.
• Ding, Haoyuan & Kim, Hyung-Gun & Park, Sung Y., 2016, "Crude oil and stock markets: Causal relationships in tails?," Energy Economics, Elsevier, volume 59, issue C, pages 58-69, DOI: 10.1016/j.eneco.2016.07.013.
• Huang, Shupei & An, Haizhong & Gao, Xiangyun & Hao, Xiaoqing, 2016, "Unveiling heterogeneities of relations between the entire oil–stock interaction and its components across time scales," Energy Economics, Elsevier, volume 59, issue C, pages 70-80, DOI: 10.1016/j.eneco.2016.07.025.
• da Silva, Patricia Pereira & Moreno, Blanca & Figueiredo, Nuno Carvalho, 2016, "Firm-specific impacts of CO2 prices on the stock market value of the Spanish power industry," Energy Policy, Elsevier, volume 94, issue C, pages 492-501, DOI: 10.1016/j.enpol.2016.01.005.
• Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016, "The Christmas effect—Special dividend announcements," International Review of Financial Analysis, Elsevier, volume 43, issue C, pages 15-30, DOI: 10.1016/j.irfa.2015.10.004.
• Hong, KiHoon & Wu, Eliza, 2016, "The roles of past returns and firm fundamentals in driving US stock price movements," International Review of Financial Analysis, Elsevier, volume 43, issue C, pages 62-75, DOI: 10.1016/j.irfa.2015.11.003.
• Chelley-Steeley, Patricia L. & Lambertides, Neophytos & Steeley, James M., 2016, "Explaining turn of the year order flow imbalance," International Review of Financial Analysis, Elsevier, volume 43, issue C, pages 76-95, DOI: 10.1016/j.irfa.2015.05.028.
• Chen, Jun & Kadapakkam, Palani-Rajan & Yang, Ting, 2016, "Short selling, margin trading, and the incorporation of new information into prices," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 1-17, DOI: 10.1016/j.irfa.2016.01.002.
• Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016, "Another January effect—Evidence from stock split announcements," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 123-138, DOI: 10.1016/j.irfa.2016.01.007.
• Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016, "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 162-176, DOI: 10.1016/j.irfa.2016.01.016.
• Reber, Beat & Vencappa, Dev, 2016, "Deliberate premarket underpricing and aftermarket mispricing: New insights on IPO pricing," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 18-33, DOI: 10.1016/j.irfa.2015.11.007.
• Li, Haiqi & Kim, Myeong Jun & Park, Sung Y., 2016, "Nonlinear relationship between crude oil price and net futures positions: A dynamic conditional distribution approach," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 217-225, DOI: 10.1016/j.irfa.2016.01.022.
• Mateus, Irina B. & Mateus, Cesario & Todorovic, Natasa, 2016, "UK equity mutual fund alphas make a comeback," International Review of Financial Analysis, Elsevier, volume 44, issue C, pages 98-110, DOI: 10.1016/j.irfa.2016.01.004.
• Patel, Vinay & Michayluk, David, 2016, "Return predictability following different drivers of large price changes," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 202-214, DOI: 10.1016/j.irfa.2016.03.004.
• Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016, "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 31-38, DOI: 10.1016/j.irfa.2016.01.019.
• Lee, Bong-Soo & Ko, Kwangsoo, 2016, "Are Japanese margin buyers informed?," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 47-53, DOI: 10.1016/j.irfa.2016.02.010.
• Chen, Jiun-Lin & Jia, Z. Tingting & Sun, Ping-Wen, 2016, "Real option component of cash holdings, business cycle, and stock returns," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 97-106, DOI: 10.1016/j.irfa.2016.03.008.
• Millo, Yuval & Schinckus, Christophe, 2016, "A nuanced perspective on episteme and techne in finance," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 124-130, DOI: 10.1016/j.irfa.2016.04.001.
• Liebmann, Michael & Orlov, Alexei G. & Neumann, Dirk, 2016, "The tone of financial news and the perceptions of stock and CDS traders," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 159-175, DOI: 10.1016/j.irfa.2016.05.001.
• Tolikas, Konstantinos, 2016, "The relative informational efficiency of corporate retail bonds: Evidence from the London Stock Exchange," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 191-201, DOI: 10.1016/j.irfa.2016.05.003.
• Hassan, Omaima A.G. & Skinner, Frank S., 2016, "Analyst coverage: Does the listing location really matter?," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 227-236, DOI: 10.1016/j.irfa.2016.05.008.
• Ftiti, Zied & Guesmi, Khaled & Abid, Ilyes, 2016, "Oil price and stock market co-movement: What can we learn from time-scale approaches?," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 266-280, DOI: 10.1016/j.irfa.2015.08.011.
• Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2016, "Risk-return trade-off for European stock markets," International Review of Financial Analysis, Elsevier, volume 46, issue C, pages 84-103, DOI: 10.1016/j.irfa.2016.03.018.
• Fletcher, Jonathan & Basu, Devraj, 2016, "An examination of the benefits of dynamic trading strategies in U.K. closed-end funds," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 109-118, DOI: 10.1016/j.irfa.2016.04.012.
• Wisniewski, Tomasz Piotr, 2016, "Is there a link between politics and stock returns? A literature survey," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 15-23, DOI: 10.1016/j.irfa.2016.06.015.
• Salhin, Ahmed & Sherif, Mohamed & Jones, Edward, 2016, "Managerial sentiment, consumer confidence and sector returns," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 24-38, DOI: 10.1016/j.irfa.2016.06.009.
• Jackson, Antony & Ladley, Daniel, 2016, "Market ecologies: The effect of information on the interaction and profitability of technical trading strategies," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 270-280, DOI: 10.1016/j.irfa.2016.02.007.
• Manahov, Viktor, 2016, "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 281-296, DOI: 10.1016/j.irfa.2016.06.014.
• Gündüz, Güngör & Gündüz, Yalin, 2016, "A thermodynamical view on asset pricing," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 310-327, DOI: 10.1016/j.irfa.2016.01.013.
• Urquhart, Andrew & McGroarty, Frank, 2016, "Are stock markets really efficient? Evidence of the adaptive market hypothesis," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 39-49, DOI: 10.1016/j.irfa.2016.06.011.
• Beladi, Hamid & Chao, Chi Chur & Hu, May, 2016, "A macro-analysis of financial decisions: An examination of special dividend announcements," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 162-181, DOI: 10.1016/j.irfa.2016.09.015.
• Badshah, Ihsan & Frijns, Bart & Knif, Johan & Tourani-Rad, Alireza, 2016, "Asymmetries of the intraday return-volatility relation," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 182-192, DOI: 10.1016/j.irfa.2016.09.016.
• Chau, Frankie & Deesomsak, Rataporn & Koutmos, Dimitrios, 2016, "Does investor sentiment really matter?," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 221-232, DOI: 10.1016/j.irfa.2016.10.003.
• Tabner, Isaac T., 2016, "Buying versus renting – Determinants of the net present value of home ownership for individual households," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 233-246, DOI: 10.1016/j.irfa.2016.10.004.
• Galariotis, Emilios C. & Krokida, Styliani-Iris & Spyrou, Spyros I., 2016, "Bond market investor herding: Evidence from the European financial crisis," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 367-375, DOI: 10.1016/j.irfa.2015.01.001.
• Smimou, K. & Khallouli, W., 2016, "On the intensity of liquidity spillovers in the Eurozone," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 388-405, DOI: 10.1016/j.irfa.2015.03.009.
• Antonakakis, Nikolaos & Floros, Christos & Kizys, Renatas, 2016, "Dynamic spillover effects in futures markets: UK and US evidence," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 406-418, DOI: 10.1016/j.irfa.2015.03.008.
• Sensoy, Ahmet, 2016, "Commonality in liquidity: Effects of monetary policy and macroeconomic announcements," Finance Research Letters, Elsevier, volume 16, issue C, pages 125-131, DOI: 10.1016/j.frl.2015.10.021.
• Buchner, Axel, 2016, "Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions," Finance Research Letters, Elsevier, volume 16, issue C, pages 154-161, DOI: 10.1016/j.frl.2015.10.023.
• Park, Heungju & Sohn, Bumjean, 2016, "Long-term perspective on the stock market matters in asset pricing," Finance Research Letters, Elsevier, volume 16, issue C, pages 162-170, DOI: 10.1016/j.frl.2015.10.022.
• Lesser, Kathrin & Rößle, Felix & Walkshäusl, Christian, 2016, "Socially responsible, green, and faith-based investment strategies: Screening activity matters!," Finance Research Letters, Elsevier, volume 16, issue C, pages 171-178, DOI: 10.1016/j.frl.2015.11.001.
• Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2016, "Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy," Finance Research Letters, Elsevier, volume 16, issue C, pages 208-219, DOI: 10.1016/j.frl.2015.12.005.
• Carr, Peter & Worah, Pratik, 2016, "Optimal rates from eigenvalues," Finance Research Letters, Elsevier, volume 16, issue C, pages 230-238, DOI: 10.1016/j.frl.2015.12.003.
• Kleine, Jens & Wagner, Niklas & Weller, Tim, 2016, "Openness endangers your wealth: Noise trading and the big five," Finance Research Letters, Elsevier, volume 16, issue C, pages 239-247, DOI: 10.1016/j.frl.2015.12.002.
• Buchner, Axel & Wagner, Niklas, 2016, "The betting against beta anomaly: Fact or fiction?," Finance Research Letters, Elsevier, volume 16, issue C, pages 283-289, DOI: 10.1016/j.frl.2015.12.010.
• Chen, An-Sing & Yang, Wayne, 2016, "Echo effects and the returns from 52-week high strategies," Finance Research Letters, Elsevier, volume 16, issue C, pages 38-46, DOI: 10.1016/j.frl.2015.10.015.
• Liu, Sibo & Wu, Dejun, 2016, "Competing by conducting good deeds: The peer effect of corporate social responsibility," Finance Research Letters, Elsevier, volume 16, issue C, pages 47-54, DOI: 10.1016/j.frl.2015.10.013.
• Karavias, Yiannis & Spilioti, Stella & Tzavalis, Elias, 2016, "A comparison of investors’ sentiments and risk premium effects on valuing shares," Finance Research Letters, Elsevier, volume 17, issue C, pages 1-6, DOI: 10.1016/j.frl.2015.10.017.
• Madan, Dilip B. & Wang, King, 2016, "Nonrandom price movements," Finance Research Letters, Elsevier, volume 17, issue C, pages 103-109, DOI: 10.1016/j.frl.2016.02.003.
• Li, Yingqi & Yu, Junli & Zhang, Zhou & Zheng, Steven Xiaofan, 2016, "The effect of internal control weakness on firm valuation: Evidence from SOX Section 404 disclosures," Finance Research Letters, Elsevier, volume 17, issue C, pages 17-24, DOI: 10.1016/j.frl.2016.01.001.
• Han, Heejae & Jeon, Junkee & Kang, Myungjoo, 2016, "Closed form valuation of American chained knock-in options," Finance Research Letters, Elsevier, volume 17, issue C, pages 176-185, DOI: 10.1016/j.frl.2016.03.003.
• Smith, Geoffrey Peter, 2016, "Weekday variation in the leverage effect: A puzzle," Finance Research Letters, Elsevier, volume 17, issue C, pages 193-196, DOI: 10.1016/j.frl.2016.03.001.
• Baklaci, Hasan F. & Suer, Omur & Yelkenci, Tezer, 2016, "A closer insight into the causality between short selling trades and volatility," Finance Research Letters, Elsevier, volume 17, issue C, pages 48-54, DOI: 10.1016/j.frl.2016.01.007.
• Noda, Akihiko, 2016, "A test of the adaptive market hypothesis using a time-varying AR model in Japan," Finance Research Letters, Elsevier, volume 17, issue C, pages 66-71, DOI: 10.1016/j.frl.2016.01.004.
• Pönkä, Harri, 2016, "Real oil prices and the international sign predictability of stock returns," Finance Research Letters, Elsevier, volume 17, issue C, pages 79-87, DOI: 10.1016/j.frl.2016.01.011.
• Grobys, Klaus & Haga, Jesper, 2016, "Identifying portfolio-based systematic risk factors in equity markets," Finance Research Letters, Elsevier, volume 17, issue C, pages 88-92, DOI: 10.1016/j.frl.2016.01.010.
• Grobys, Klaus & Heinonen, Jari-Pekka, 2016, "Is there a credit risk anomaly in FX markets?," Finance Research Letters, Elsevier, volume 18, issue C, pages 1-6, DOI: 10.1016/j.frl.2016.03.011.
• Alkhareif, Ryadh, 2016, "Are there significant premiums in the Saudi stock market?," Finance Research Letters, Elsevier, volume 18, issue C, pages 108-115, DOI: 10.1016/j.frl.2016.04.007.
• Wu, Dejun & Lin, Chen & Liu, Sibo, 2016, "Does community environment matter to corporate social responsibility?," Finance Research Letters, Elsevier, volume 18, issue C, pages 127-135, DOI: 10.1016/j.frl.2016.04.010.
• Kayacetin, Volkan & Lekpek, Senad, 2016, "Turn-of-the-month effect: New evidence from an emerging stock market," Finance Research Letters, Elsevier, volume 18, issue C, pages 142-157, DOI: 10.1016/j.frl.2016.04.012.
• Jang, Bong-Gyu & Park, Seyoung, 2016, "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, volume 18, issue C, pages 158-176, DOI: 10.1016/j.frl.2016.04.013.
• Sohn, Bumjean & Park, Heungju, 2016, "Early warning indicators of banking crisis and bank related stock returns," Finance Research Letters, Elsevier, volume 18, issue C, pages 193-198, DOI: 10.1016/j.frl.2016.04.016.
• Moreno, Antonio & Orlando, James & Redin, Dulce M., 2016, "The macro-finance environment and asset allocation: A simultaneous equation approach," Finance Research Letters, Elsevier, volume 18, issue C, pages 199-204, DOI: 10.1016/j.frl.2016.04.017.
• Zaremba, Adam, 2016, "Risk-based explanation for the country-level size and value effects," Finance Research Letters, Elsevier, volume 18, issue C, pages 226-233, DOI: 10.1016/j.frl.2016.04.020.
• Ji, Xiuqing, 2016, "Momentum: Further Evidence from Australia," Finance Research Letters, Elsevier, volume 18, issue C, pages 234-236, DOI: 10.1016/j.frl.2016.04.021.
• Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H., 2016, "Who are the net senders and recipients of volatility spillovers in China’s financial markets?," Finance Research Letters, Elsevier, volume 18, issue C, pages 255-262, DOI: 10.1016/j.frl.2016.04.025.
• Chen, Chien-Hua & Su, Xuan-Qi & Lin, Jun-Biao, 2016, "The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan," Finance Research Letters, Elsevier, volume 18, issue C, pages 263-272, DOI: 10.1016/j.frl.2016.04.026.
• Hsu, Yuan-Teng & Huang, Chia-Wei, 2016, "Idiosyncratic risk and share repurchases," Finance Research Letters, Elsevier, volume 18, issue C, pages 76-82, DOI: 10.1016/j.frl.2016.04.003.
• Sanusi, Muhammad Surajo & Ahmad, Farooq, 2016, "Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure," Finance Research Letters, Elsevier, volume 18, issue C, pages 89-99, DOI: 10.1016/j.frl.2016.04.005.
• Wang, Li-Hsun & Lin, Chu-Hsiung & Kang, Jui-Heng & Fung, Hung-Gay, 2016, "Idiosyncratic volatility and excess Return: Evidence from the Greater China region," Finance Research Letters, Elsevier, volume 19, issue C, pages 126-129, DOI: 10.1016/j.frl.2016.07.003.
• Baschieri, Giulia & Carosi, Andrea & Mengoli, Stefano, 2016, "Does the earnings quality matter? Evidence from a quasi-experimental setting," Finance Research Letters, Elsevier, volume 19, issue C, pages 146-157, DOI: 10.1016/j.frl.2016.07.006.
• Hiremath, Gourishankar S. & Narayan, Seema, 2016, "Testing the adaptive market hypothesis and its determinants for the Indian stock markets," Finance Research Letters, Elsevier, volume 19, issue C, pages 173-180, DOI: 10.1016/j.frl.2016.07.009.
• Yu, Gun Jea & Hong, KiHoon, 2016, "Patents and R&D expenditure in explaining stock price movements," Finance Research Letters, Elsevier, volume 19, issue C, pages 197-203, DOI: 10.1016/j.frl.2016.07.012.
• Christopoulos, Andreas D. & Barratt, Joshua G., 2016, "Credit risk findings for commercial real estate loans using the reduced form," Finance Research Letters, Elsevier, volume 19, issue C, pages 228-234, DOI: 10.1016/j.frl.2016.08.004.
• Feng, Yun & Huang, Bing-hua & Huang, Yu, 2016, "Valuing resettable convertible bonds: Based on path decomposing," Finance Research Letters, Elsevier, volume 19, issue C, pages 279-290, DOI: 10.1016/j.frl.2016.09.002.
• Energy Sonono, Masimba & Phillip Mashele, Hopolang, 2016, "Estimation of bid-ask prices for options on LIBOR based instruments," Finance Research Letters, Elsevier, volume 19, issue C, pages 33-41, DOI: 10.1016/j.frl.2016.05.013.
• Campbell, T. Colin & Chichernea, Doina C. & Petkevich, Alex, 2016, "Dissecting the bond profitability premium," Journal of Financial Markets, Elsevier, volume 27, issue C, pages 102-131, DOI: 10.1016/j.finmar.2015.11.002.
• Ülkü, Numan & Fatullayev, Sabutay & Diachenko, Daria, 2016, "Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it?," Journal of Financial Markets, Elsevier, volume 27, issue C, pages 28-54, DOI: 10.1016/j.finmar.2015.07.001.
• Gao, Cheng & Mizrach, Bruce, 2016, "Market quality breakdowns in equities," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 1-23, DOI: 10.1016/j.finmar.2016.03.002.
• Lasser, Dennis J. & Spizman, Joshua D., 2016, "The value of the wildcard option in cash-settled American index options," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 116-131, DOI: 10.1016/j.finmar.2015.09.002.
• Lansing, Kevin J., 2016, "On variance bounds for asset price changes," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 132-148, DOI: 10.1016/j.finmar.2015.06.002.
• Kawakami, Kei, 2016, "Market size matters: A model of excess volatility in large markets," Journal of Financial Markets, Elsevier, volume 28, issue C, pages 24-45, DOI: 10.1016/j.finmar.2015.08.004.
• Kaustia, Markku & Rantapuska, Elias, 2016, "Does mood affect trading behavior?," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 1-26, DOI: 10.1016/j.finmar.2015.08.001.
• Choi, Jung Ho & Kalay, Alon & Sadka, Gil, 2016, "Earnings news, expected earnings, and aggregate stock returns," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 110-143, DOI: 10.1016/j.finmar.2016.02.001.
• Brown, Alasdair & Yang, Fuyu, 2016, "Limited cognition and clustered asset prices: Evidence from betting markets," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 27-46, DOI: 10.1016/j.finmar.2015.10.003.
• Chou, Pin-Huang & Hsieh, Chia-Hsun & Shen, Carl Hsin-Han, 2016, "What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 47-65, DOI: 10.1016/j.finmar.2015.11.001.
• Chen, Long & Zhang, Gaiyan & Zhang, Weina, 2016, "Return predictability in the corporate bond market along the supply chain," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 66-86, DOI: 10.1016/j.finmar.2016.03.005.
• Maio, Paulo, 2016, "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, volume 29, issue C, pages 87-109, DOI: 10.1016/j.finmar.2015.09.001.
• Kim, Abby Y. & Tse, Yiuman & Wald, John K., 2016, "Time series momentum and volatility scaling," Journal of Financial Markets, Elsevier, volume 30, issue C, pages 103-124, DOI: 10.1016/j.finmar.2016.05.003.
• Broman, Markus S., 2016, "Liquidity, style investing and excess comovement of exchange-traded fund returns," Journal of Financial Markets, Elsevier, volume 30, issue C, pages 27-53, DOI: 10.1016/j.finmar.2016.05.002.
• Jain, Pankaj K. & Jain, Pawan & McInish, Thomas H., 2016, "Does high-frequency trading increase systemic risk?," Journal of Financial Markets, Elsevier, volume 31, issue C, pages 1-24, DOI: 10.1016/j.finmar.2016.09.004.
• Jackwerth, Jens Carsten & Slavutskaya, Anna, 2016, "The total benefit of alternative assets to pension fund portfolios," Journal of Financial Markets, Elsevier, volume 31, issue C, pages 25-42, DOI: 10.1016/j.finmar.2016.06.002.
• Xing, Xuejing & Anderson, Randy I. & Hu, Yan, 2016, "What׳s a name worth? The impact of a likeable stock ticker symbol on firm value," Journal of Financial Markets, Elsevier, volume 31, issue C, pages 63-80, DOI: 10.1016/j.finmar.2016.06.003.
• Li, Xingli & Pukthuanthong, Kuntara & Glenn Walker, Marcus & Walker, Thomas John, 2016, "The determinants of IPO-related shareholder litigation: The role of CEO equity incentives and corporate governance," Journal of Financial Markets, Elsevier, volume 31, issue C, pages 81-126, DOI: 10.1016/j.finmar.2016.09.003.
• Kelly, Robert & O’Malley, Terence, 2016, "The good, the bad and the impaired: A credit risk model of the Irish mortgage market," Journal of Financial Stability, Elsevier, volume 22, issue C, pages 1-9, DOI: 10.1016/j.jfs.2015.09.005.
• Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill, 2016, "CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis," Journal of Financial Stability, Elsevier, volume 22, issue C, pages 33-44, DOI: 10.1016/j.jfs.2015.11.001.
• Mobarek, Asma & Muradoglu, Gulnur & Mollah, Sabur & Hou, Ai Jun, 2016, "Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods," Journal of Financial Stability, Elsevier, volume 24, issue C, pages 1-11, DOI: 10.1016/j.jfs.2016.03.003.
• Baum, Christopher F. & Schäfer, Dorothea & Stephan, Andreas, 2016, "Credit rating agency downgrades and the Eurozone sovereign debt crises," Journal of Financial Stability, Elsevier, volume 24, issue C, pages 117-131, DOI: 10.1016/j.jfs.2016.05.001.
• Peng, Emma Y. & Yan, An & Yan, Meng, 2016, "Accounting accruals, heterogeneous investor beliefs, and stock returns," Journal of Financial Stability, Elsevier, volume 24, issue C, pages 88-103, DOI: 10.1016/j.jfs.2016.04.011.
• Loveland, Robert, 2016, "How prompt was regulatory corrective action during the financial crisis?," Journal of Financial Stability, Elsevier, volume 25, issue C, pages 16-36, DOI: 10.1016/j.jfs.2016.05.004.
• Abudy, Menachem Meni & Raviv, Alon, 2016, "How much can illiquidity affect corporate debt yield spread?," Journal of Financial Stability, Elsevier, volume 25, issue C, pages 58-69, DOI: 10.1016/j.jfs.2016.06.011.
• Ferreira Filipe, Sara & Grammatikos, Theoharry & Michala, Dimitra, 2016, "Pricing default risk: The good, the bad, and the anomaly," Journal of Financial Stability, Elsevier, volume 26, issue C, pages 190-213, DOI: 10.1016/j.jfs.2016.07.001.
• Galariotis, Emilios C. & Makrichoriti, Panagiota & Spyrou, Spyros, 2016, "Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach," Journal of Financial Stability, Elsevier, volume 26, issue C, pages 62-77, DOI: 10.1016/j.jfs.2016.08.005.
• Slim, Skander & Dahmene, Meriam, 2016, "Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks," Global Finance Journal, Elsevier, volume 29, issue C, pages 70-84, DOI: 10.1016/j.gfj.2015.04.001.
• Chang, Sean Tat & Ross, Donald, 2016, "Debt covenants and credit spread valuation: The special case of Chinese global bonds," Global Finance Journal, Elsevier, volume 30, issue C, pages 27-44, DOI: 10.1016/j.gfj.2016.05.004.
• Prommin, Panu & Jumreornvong, Seksak & Jiraporn, Pornsit & Tong, Shenghui, 2016, "Liquidity, ownership concentration, corporate governance, and firm value: Evidence from Thailand," Global Finance Journal, Elsevier, volume 31, issue C, pages 73-87, DOI: 10.1016/j.gfj.2016.06.006.
• Rangvid, Jesper & Santa-Clara, Pedro & Schmeling, Maik, 2016, "Capital market integration and consumption risk sharing over the long run," Journal of International Economics, Elsevier, volume 103, issue C, pages 27-43, DOI: 10.1016/j.jinteco.2016.08.001.
• David, Joel M. & Simonovska, Ina, 2016, "Correlated beliefs, returns, and stock market volatility," Journal of International Economics, Elsevier, volume 99, issue S1, pages 58-77, DOI: 10.1016/j.jinteco.2015.11.006.
• Cui, Zhenyu & Nguyen, Duy, 2016, "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, volume 68, issue C, pages 150-161, DOI: 10.1016/j.insmatheco.2016.03.012.
• Shen, Yang & Sherris, Michael & Ziveyi, Jonathan, 2016, "Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 127-137, DOI: 10.1016/j.insmatheco.2016.04.006.
• Wang, Ting & Young, Virginia R., 2016, "Hedging pure endowments with mortality derivatives," Insurance: Mathematics and Economics, Elsevier, volume 69, issue C, pages 238-255, DOI: 10.1016/j.insmatheco.2016.05.006.
• Ignatieva, Katja & Song, Andrew & Ziveyi, Jonathan, 2016, "Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality," Insurance: Mathematics and Economics, Elsevier, volume 70, issue C, pages 286-300, DOI: 10.1016/j.insmatheco.2016.06.014.
• Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q., 2016, "Explosive bubbles in house prices? Evidence from the OECD countries," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 40, issue C, pages 14-25, DOI: 10.1016/j.intfin.2015.07.006.
• Koulakiotis, Athanasios & Babalos, Vassilios & Papasyriopoulos, Nicholas, 2016, "Financial crisis, liquidity and dynamic linkages between large and small stocks: Evidence from the Athens Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 40, issue C, pages 46-62, DOI: 10.1016/j.intfin.2015.06.004.
• Huang, Ying & Jacoby, Gady & Jiang, Christine X., 2016, "The bonding hypothesis and the home market liquidity of Chinese cross-listed stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 43, issue C, pages 146-157, DOI: 10.1016/j.intfin.2016.04.003.
• Ersan, Oguz & Alıcı, Aslı, 2016, "An unbiased computation methodology for estimating the probability of informed trading (PIN)," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 43, issue C, pages 74-94, DOI: 10.1016/j.intfin.2016.04.001.
• Realdon, Marco, 2016, "Tests of non linear Gaussian term structure models," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 44, issue C, pages 128-147, DOI: 10.1016/j.intfin.2016.05.002.
• Billio, Monica & Casarin, Roberto & Costola, Michele & Pasqualini, Andrea, 2016, "An entropy-based early warning indicator for systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 45, issue C, pages 42-59, DOI: 10.1016/j.intfin.2016.05.008.
• Buchner, Axel, 2016, "Dealing with non-normality when estimating abnormal returns and systematic risk of private equity: A closed-form solution," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 45, issue C, pages 60-78, DOI: 10.1016/j.intfin.2016.06.001.
• Baetje, Fabian & Menkhoff, Lukas, 2016, "Equity premium prediction: Are economic and technical indicators unstable?," International Journal of Forecasting, Elsevier, volume 32, issue 4, pages 1193-1207, DOI: 10.1016/j.ijforecast.2016.02.006.
• Dhaliwal, Dan & Judd, J. Scott & Serfling, Matthew & Shaikh, Sarah, 2016, "Customer concentration risk and the cost of equity capital," Journal of Accounting and Economics, Elsevier, volume 61, issue 1, pages 23-48, DOI: 10.1016/j.jacceco.2015.03.005.
• Kim, Jeong-Bon & Li, Leye & Lu, Louise Yi & Yu, Yangxin, 2016, "Financial statement comparability and expected crash risk," Journal of Accounting and Economics, Elsevier, volume 61, issue 2, pages 294-312, DOI: 10.1016/j.jacceco.2015.12.003.
• Fischer, Paul E. & Heinle, Mirko S. & Verrecchia, Robert E., 2016, "Beliefs-driven price association," Journal of Accounting and Economics, Elsevier, volume 61, issue 2, pages 563-583, DOI: 10.1016/j.jacceco.2015.07.006.
• Akbas, Ferhat & Meschke, Felix & Wintoki, M. Babajide, 2016, "Director networks and informed traders," Journal of Accounting and Economics, Elsevier, volume 62, issue 1, pages 1-23, DOI: 10.1016/j.jacceco.2016.03.003.
• Michaely, Roni & Rubin, Amir & Vedrashko, Alexander, 2016, "Further evidence on the strategic timing of earnings news: Joint analysis of weekdays and times of day," Journal of Accounting and Economics, Elsevier, volume 62, issue 1, pages 24-45, DOI: 10.1016/j.jacceco.2016.04.002.
• Miyakoshi, Tatsuyoshi & Tsukuda, Yoshihiko & Shimada, Junji, 2016, "Magnitudes of Market Inefficiency: Theory and Application," Japan and the World Economy, Elsevier, volume 39, issue C, pages 23-36, DOI: 10.1016/j.japwor.2016.05.001.
• 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.