Research classified by Journal of Economic Literature (JEL) codes

2015

• Ibikunle, Gbenga, 2015, "Opening and closing price efficiency: Do financial markets need the call auction?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 34, issue C, pages 208-227, DOI: 10.1016/j.intfin.2014.11.014.
• Economou, Fotini & Gavriilidis, Konstantinos & Goyal, Abhinav & Kallinterakis, Vasileios, 2015, "Herding dynamics in exchange groups: Evidence from Euronext," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 34, issue C, pages 228-244, DOI: 10.1016/j.intfin.2014.11.013.
• Nneji, Ogonna, 2015, "Liquidity shocks and stock bubbles," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 35, issue C, pages 132-146, DOI: 10.1016/j.intfin.2014.12.010.
• Stillwagon, Josh R., 2015, "Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 35, issue C, pages 85-101, DOI: 10.1016/j.intfin.2015.01.004.
• Chau, Frankie & Kuo, Jing-Ming & Shi, Yukun, 2015, "Arbitrage opportunities and feedback trading in emissions and energy markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 36, issue C, pages 130-147, DOI: 10.1016/j.intfin.2015.02.002.
• Purda, Lynnette & Sonmez, Fatma & Zhong, Ligang, 2015, "Financial institution credit assessment and implications for portfolio managers," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 38, issue C, pages 148-166, DOI: 10.1016/j.intfin.2015.05.018.
• Goddard, John & Kita, Arben & Wang, Qingwei, 2015, "Investor attention and FX market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 38, issue C, pages 79-96, DOI: 10.1016/j.intfin.2015.05.001.
• Chelley-Steeley, Patricia & Lambertides, Neophytos & Savva, Christos S., 2015, "The effect of security and market order flow shocks on co-movement," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 39, issue C, pages 136-155, DOI: 10.1016/j.intfin.2015.07.005.
• Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015, "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 39, issue C, pages 156-180, DOI: 10.1016/j.intfin.2015.06.003.
• Lleo, Sébastien & Ziemba, William T., 2015, "Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world," International Journal of Forecasting, Elsevier, volume 31, issue 2, pages 399-425, DOI: 10.1016/j.ijforecast.2015.02.001.
• Haggard, K. Stephen & Howe, John S. & Lynch, Andrew A., 2015, "Do baths muddy the waters or clear the air?," Journal of Accounting and Economics, Elsevier, volume 59, issue 1, pages 105-117, DOI: 10.1016/j.jacceco.2014.09.007.
• Chichernea, Doina C. & Holder, Anthony D. & Petkevich, Alex, 2015, "Does return dispersion explain the accrual and investment anomalies?," Journal of Accounting and Economics, Elsevier, volume 60, issue 1, pages 133-148, DOI: 10.1016/j.jacceco.2014.08.001.
• Bloomfield, Matthew J. & Bloomfield, Robert, 2015, "Discussion of delegated trade and the pricing of public and private information," Journal of Accounting and Economics, Elsevier, volume 60, issue 2, pages 104-109, DOI: 10.1016/j.jacceco.2015.09.001.
• Taylor, Daniel J. & Verrecchia, Robert E., 2015, "Delegated trade and the pricing of public and private information," Journal of Accounting and Economics, Elsevier, volume 60, issue 2, pages 8-32, DOI: 10.1016/j.jacceco.2015.07.002.
• Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui, 2015, "Gold bubbles: When are they most likely to occur?," Japan and the World Economy, Elsevier, volume 34, issue , pages 17-23, DOI: 10.1016/j.japwor.2015.03.001.
• Chen, Yangyang & Dou, Paul Y. & Rhee, S. Ghon & Truong, Cameron & Veeraraghavan, Madhu, 2015, "National culture and corporate cash holdings around the world," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 1-18, DOI: 10.1016/j.jbankfin.2014.09.018.
• Das, Sanjiv R. & Kim, Seoyoung, 2015, "Credit spreads with dynamic debt," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 121-140, DOI: 10.1016/j.jbankfin.2014.09.012.
• Gong, Qiang & Liu, Ming & Liu, Qianqiu, 2015, "Momentum is really short-term momentum," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 169-182, DOI: 10.1016/j.jbankfin.2014.10.002.
• Wang, Junbo & Wu, Chunchi, 2015, "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 183-203, DOI: 10.1016/j.jbankfin.2014.10.003.
• Friederich, Sylvain & Payne, Richard, 2015, "Order-to-trade ratios and market liquidity," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 214-223, DOI: 10.1016/j.jbankfin.2014.10.005.
• Fouquau, Julien & Spieser, Philippe K., 2015, "Statistical evidence about LIBOR manipulation: A “Sherlock Holmes” investigation," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 632-643, DOI: 10.1016/j.jbankfin.2014.03.039.
• Darolles, Serge & Fol, Gaëlle Le & Mero, Gulten, 2015, "Measuring the liquidity part of volume," Journal of Banking & Finance, Elsevier, volume 50, issue C, pages 92-105, DOI: 10.1016/j.jbankfin.2014.09.007.
• Neely, Christopher J., 2015, "Unconventional monetary policy had large international effects," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 101-111, DOI: 10.1016/j.jbankfin.2014.11.019.
• Lin, Tse-Chun & Lu, Xiaolong, 2015, "Why do options prices predict stock returns? Evidence from analyst tipping," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 17-28, DOI: 10.1016/j.jbankfin.2014.11.008.
• Babalos, Vassilios & Mamatzakis, Emmanuel C. & Matousek, Roman, 2015, "The performance of US equity mutual funds," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 217-229, DOI: 10.1016/j.jbankfin.2014.12.008.
• Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine, 2015, "Rate fears gauges and the dynamics of fixed income and equity volatilities," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 256-265, DOI: 10.1016/j.jbankfin.2014.04.030.
• Bo, Lijun & Capponi, Agostino, 2015, "Counterparty risk for CDS: Default clustering effects," Journal of Banking & Finance, Elsevier, volume 52, issue C, pages 29-42, DOI: 10.1016/j.jbankfin.2014.11.010.
• Duong, Truong X. & Huszár, Zsuzsa R. & Yamada, Takeshi, 2015, "The costs and benefits of short sale disclosure," Journal of Banking & Finance, Elsevier, volume 53, issue C, pages 124-139, DOI: 10.1016/j.jbankfin.2014.12.014.
• He, Xue-Zhong & Li, Kai, 2015, "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, volume 53, issue C, pages 140-157, DOI: 10.1016/j.jbankfin.2014.12.017.
• Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015, "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, volume 53, issue C, pages 34-48, DOI: 10.1016/j.jbankfin.2014.11.018.
• Baschieri, Giulia & Carosi, Andrea & Mengoli, Stefano, 2015, "Local IPOs, local delistings, and the firm location premium," Journal of Banking & Finance, Elsevier, volume 53, issue C, pages 67-83, DOI: 10.1016/j.jbankfin.2014.12.012.
• Bertone, Stephen & Paeglis, Imants & Ravi, Rahul, 2015, "(How) has the market become more efficient?," Journal of Banking & Finance, Elsevier, volume 54, issue C, pages 72-86, DOI: 10.1016/j.jbankfin.2014.12.019.
• Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi, 2015, "Economic links and credit spreads," Journal of Banking & Finance, Elsevier, volume 55, issue C, pages 157-169, DOI: 10.1016/j.jbankfin.2015.02.007.
• Perrakis, Stylianos & Zhong, Rui, 2015, "Credit spreads and state-dependent volatility: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, volume 55, issue C, pages 215-231, DOI: 10.1016/j.jbankfin.2015.02.017.
• Baek, Seungho & Bilson, John F.O., 2015, "Size and value risk in financial firms," Journal of Banking & Finance, Elsevier, volume 55, issue C, pages 295-326, DOI: 10.1016/j.jbankfin.2014.02.011.
• Leung, Henry & Ton, Thai, 2015, "The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks," Journal of Banking & Finance, Elsevier, volume 55, issue C, pages 37-55, DOI: 10.1016/j.jbankfin.2015.01.009.
• Huang, Tao & Wu, Fei & Yu, Jing & Zhang, Bohui, 2015, "International political risk and government bond pricing," Journal of Banking & Finance, Elsevier, volume 55, issue C, pages 393-405, DOI: 10.1016/j.jbankfin.2014.08.003.
• Ahn, Seryoong & Choi, Kyoung Jin & Koo, Hyeng Keun, 2015, "A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation," Journal of Banking & Finance, Elsevier, volume 55, issue C, pages 9-22, DOI: 10.1016/j.jbankfin.2015.01.019.
• Panopoulou, Ekaterini & Vrontos, Spyridon, 2015, "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, volume 56, issue C, pages 103-122, DOI: 10.1016/j.jbankfin.2015.03.004.
• De Santis, Roberto A. & Stein, Michael, 2015, "Financial indicators signaling correlation changes in sovereign bond markets," Journal of Banking & Finance, Elsevier, volume 56, issue C, pages 86-102, DOI: 10.1016/j.jbankfin.2015.02.018.
• Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2015, "A new approach to measuring riskiness in the equity market: Implications for the risk premium," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 101-117, DOI: 10.1016/j.jbankfin.2015.03.005.
• Ahmed, Shamim & Valente, Giorgio, 2015, "Understanding the price of volatility risk in carry trades," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 118-129, DOI: 10.1016/j.jbankfin.2015.04.002.
• Schuster, Philipp & Uhrig-Homburg, Marliese, 2015, "Limits to arbitrage and the term structure of bond illiquidity premiums," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 143-159, DOI: 10.1016/j.jbankfin.2014.10.016.
• Walkshäusl, Christian, 2015, "Equity financing activities and European value-growth returns," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 27-40, DOI: 10.1016/j.jbankfin.2015.04.008.
• Chen, Linda H. & Dyl, Edward A. & Jiang, George J. & Juneja, Januj A., 2015, "Risk, illiquidity or marketability: What matters for the discounts on private equity placements?," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 41-50, DOI: 10.1016/j.jbankfin.2015.03.009.
• Tarsalewska, Monika, 2015, "The timing of mergers along the production chain, capital structure, and risk dynamics," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 51-64, DOI: 10.1016/j.jbankfin.2015.03.014.
• Jacobs, Heiko, 2015, "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, volume 57, issue C, pages 65-85, DOI: 10.1016/j.jbankfin.2015.03.006.
• Correia, Ricardo & Población, Javier, 2015, "A structural model with Explicit Distress," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 112-130, DOI: 10.1016/j.jbankfin.2015.03.011.
• Leippold, Markus & Su, Lujing, 2015, "Collateral smile," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 15-28, DOI: 10.1016/j.jbankfin.2015.03.019.
• Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2015, "Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 179-193, DOI: 10.1016/j.jbankfin.2015.03.018.
• Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan, 2015, "Reward-risk momentum strategies using classical tempered stable distribution," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 194-213, DOI: 10.1016/j.jbankfin.2015.05.002.
• Levy, Moshe & Levy, Haim, 2015, "Keeping up with the Joneses and optimal diversification," Journal of Banking & Finance, Elsevier, volume 58, issue C, pages 29-38, DOI: 10.1016/j.jbankfin.2015.04.012.
• Per-Olof Bjuggren & Johan Eklund, 2015, "Property rights and the cost of capital," European Journal of Law and Economics, Springer, volume 39, issue 3, pages 523-537, June, DOI: 10.1007/s10657-013-9396-x.
• Aymen Karoui & Iwan Meier, 2015, "Fund performance and subsequent risk: a study of mutual fund tournaments using holdings-based measures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 1, pages 1-20, February, DOI: 10.1007/s11408-014-0241-1.
• Aymen Karoui & Iwan Meier, 2015, "A note on sorting bias correction in regression-based mutual fund tournament tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 1, pages 21-29, February, DOI: 10.1007/s11408-014-0240-2.
• Bryan Foltice & Thomas Langer, 2015, "Profitable momentum trading strategies for individual investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 2, pages 85-113, May, DOI: 10.1007/s11408-015-0246-4.
• Steve Janner & Daniel Schmidt, 2015, "Are economically significant bond returns explained by corporate news? An examination of the German corporate bond market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 3, pages 271-298, August, DOI: 10.1007/s11408-015-0253-5.
• Eduard Baitinger & Christian Fieberg & Thorsten Poddig & Armin Varmaz, 2015, "Liquidity-driven approach to dynamic asset allocation: evidence from the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 4, pages 365-379, November, DOI: 10.1007/s11408-015-0257-1.
• Paulo Silva, 2015, "The information content of the open interest of credit default swaps," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 29, issue 4, pages 381-427, November, DOI: 10.1007/s11408-015-0258-0.
• Keith Pilbeam & Kjell Langeland, 2015, "Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts," International Economics and Economic Policy, Springer, volume 12, issue 1, pages 127-142, March, DOI: 10.1007/s10368-014-0289-4.
• Daniel Harenberg & Alexander Ludwig, 2015, "Social security in an analytically tractable overlapping generations model with aggregate and idiosyncratic risks," International Tax and Public Finance, Springer;International Institute of Public Finance, volume 22, issue 4, pages 579-603, August, DOI: 10.1007/s10797-015-9368-x.
• Guifeng Shi & Jianfei Sun, 2015, "Corporate Bond Covenants and Social Responsibility Investment," Journal of Business Ethics, Springer, volume 131, issue 2, pages 285-303, October, DOI: 10.1007/s10551-014-2272-y.
• Cristina Ortiz & Gloria Ramírez & Luis Vicente, 2015, "Mutual Fund Trading and Portfolio Disclosures," Journal of Financial Services Research, Springer;Western Finance Association, volume 48, issue 1, pages 83-102, August, DOI: 10.1007/s10693-014-0198-2.
• Suparna Chakraborty & Yi Tang & Liuren Wu, 2015, "Imports, Exports, Dollar Exposures, and Stock Returns," Open Economies Review, Springer, volume 26, issue 5, pages 1059-1079, November, DOI: 10.1007/s11079-015-9362-z.
• Roger Buckland & Julian Williams & Janice Beecher, 2015, "Risk and regulation in water utilities: a cross-country comparison of evidence from the CAPM," Journal of Regulatory Economics, Springer, volume 47, issue 2, pages 117-145, April, DOI: 10.1007/s11149-014-9261-z.
• Andreas Rathgeber & David Rudolph & Stefan Stöckl, 2015, "Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option," Review of Derivatives Research, Springer, volume 18, issue 2, pages 107-143, July, DOI: 10.1007/s11147-014-9106-z.
• Finbarr Murphy & Ehud Ronn, 2015, "The valuation and information content of options on crude-oil futures contracts," Review of Derivatives Research, Springer, volume 18, issue 2, pages 95-106, July, DOI: 10.1007/s11147-014-9107-y.
• Christian Meine & Hendrik Supper & Gregor Weiß, 2015, "Do CDS spreads move with commonality in liquidity?," Review of Derivatives Research, Springer, volume 18, issue 3, pages 225-261, October, DOI: 10.1007/s11147-015-9110-y.
• Hann-Shing Ju & Ren-Raw Chen & Shih-Kuo Yeh & Tung-Hsiao Yang, 2015, "Evaluation of conducting capital structure arbitrage using the multi-period extended Geske–Johnson model," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 1, pages 89-111, January, DOI: 10.1007/s11156-013-0400-x.
• Taufiq Choudhry & Ranadeva Jayasekera, 2015, "Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 2, pages 213-242, February, DOI: 10.1007/s11156-013-0404-6.
• Robert Goldberg, 2015, "A methodology for computing and comparing implied equity and corporate-debt Sharpe Ratios," Review of Quantitative Finance and Accounting, Springer, volume 44, issue 4, pages 733-754, May, DOI: 10.1007/s11156-013-0424-2.
• Mark Holder & Aiwu Zhao, 2015, "Value exploration and materialization in diversification strategies," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 1, pages 175-213, July, DOI: 10.1007/s11156-014-0434-8.
• Hui-Ju Tsai & Yangru Wu, 2015, "Optimal portfolio choice with asset return predictability and nontradable labor income," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 1, pages 215-249, July, DOI: 10.1007/s11156-014-0435-7.
• J. Davies & Jonathan Fletcher & Andrew Marshall, 2015, "Testing index-based models in U.K. stock returns," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 2, pages 337-362, August, DOI: 10.1007/s11156-014-0439-3.
• Richard Chung & Scott Fung & Jayendu Patel, 2015, "Alpha–beta–churn of equity picks by institutional investors and the robust superiority of hedge funds," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 2, pages 363-405, August, DOI: 10.1007/s11156-014-0440-x.
• David Feldman & Charles Trzcinka & Russell Winer, 2015, "Pricing under noisy signaling," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 2, pages 435-454, August, DOI: 10.1007/s11156-014-0442-8.
• Qin Wang & Jun Zhang, 2015, "Individual investor trading and stock liquidity," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 3, pages 485-508, October, DOI: 10.1007/s11156-014-0444-6.
• Pengguo Wang & Wei Huang, 2015, "The implied growth rates and country risk premium: evidence from Chinese stock markets," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 3, pages 641-663, October, DOI: 10.1007/s11156-014-0450-8.
• Timothy Crack & Helen Roberts, 2015, "Credit card balances and repayment under competing minimum payment regimes," Review of Quantitative Finance and Accounting, Springer, volume 45, issue 4, pages 785-801, November, DOI: 10.1007/s11156-014-0455-3.
• Thomas Bollinger & Axel Kind, 2015, "Risk Premiums in the Cross-Section of Commodity Convenience Yields," Working Paper Series of the Department of Economics, University of Konstanz, Department of Economics, University of Konstanz, number 2015-17, Aug.
• Mehmet I. Canayaz & Jose V. Martinez & Han N. Ozsoylev, 2015, "Is the revolving door of Washington a back door to excess corporate returns?," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum, number 1507, May.
• Alper Veli ÇAM, 2015, "Notes on the2015 Finance Symposium," Journal of Economics Library, KSP Journals, volume 2, issue 4, pages 378-379, December.
• Benjamin Falkeborg, 2015, "Dealing with Dynamic Agency," Discussion Papers, University of Copenhagen. Department of Economics, number 15-04, Feb.
• Katsutoshi Wakai, 2015, "Equilibrium Alpha in Asset Pricing in an Ambiguity-averse Economy," Discussion papers, Graduate School of Economics , Kyoto University, number e-15-010, Nov.
• Katsumasa Nishide & Yuan Tian, 2015, "Auction versus Dealership Markets: Impact of Proprietary Trading with Transaction Fees," KIER Working Papers, Kyoto University, Institute of Economic Research, number 922, Apr.
• Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015, "The Effectiveness of the ECB’s Asset Purchase Programs of 2009 to 2012," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 15/24, Nov.
• Yuanyuan Shen & Lu Yang, 2015, "Does Capital Account Liberalization Affect the Financial Stability: Evidence from China," Journal of Reviews on Global Economics, Lifescience Global, volume 4, pages 152-158.
• Ying-Jen Chen & Jen-Sin Lee, 2015, "Turnover Premium, Foreign Institutional Ownership, and Time-Varying Risk Premium in Taiwan Equity Markets," Journal of Reviews on Global Economics, Lifescience Global, volume 4, pages 8-20.
• Gideon Boako, 2015, "The response of stock prices to dividend news on the Ghana stock market: An empirical assessment," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 3, issue 2, pages 78-85, April.
• Md. Al Mamun & Md. Abu Syeed & Farida Yasmeen, 2015, "Are investors rational, irrational or normal?," Journal of Economic and Financial Studies (JEFS), LAR Center Press, volume 3, issue 4, pages 1-15, August.
• Edirisinghe U. C & Nimal P.D, 2015, "Stock Price Reaction to Announcements of Right Issues and Debenture Issues: Evidence from Colombo Stock Exchange," International Journal of Business and Social Research, LAR Center Press, volume 5, issue 2, pages 67-76, February.
• Simon Dietz & Christian Gollier & Louise Kessler, 2015, "The climate beta," GRI Working Papers, Grantham Research Institute on Climate Change and the Environment, number 190, Apr.
• Pierre Chaigneau & Louis Eeckhoudt, 2015, "Downside Risk Neutral Probabilities," Cahiers de recherche, CIRPEE, number 1521.
• Sreejata Banerjee & Divya Sinha, 2015, "Effect of Macroeconomic News Releases on Bond Yields in India China and Japan," Working Papers, Madras School of Economics,Chennai,India, number 2015-125, Oct.
• Ekta Selarka & Subhra Choudhury, 2015, "Related Party Transactions and Stock Price Crash Risk: Evidence from India," Working Papers, Madras School of Economics,Chennai,India, number 2015-129, Oct.
• Sebastian Eichfelder & Mona Lau, 2015, "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," FEMM Working Papers, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management, number 150019, Dec.
• Benjamin Käfer, 2015, "Estimating Group Support for German Landesbanken," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung), number 201525.
• Seifoddini, Jalal & Rahnamay Roodposhti, Fraydoon & Nikoomaram, Hashem, 2015, "Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, volume 10, issue 4, pages 29-50, October.
• Barbara Fidanza & Ottorino Morresi, 2015, "Does the Fama-Franch three-factor model work in the financial industry? Evidence from European bank stocks," Working Papers, Macerata University, Department of Studies on Economic Development (DiSSE), number 47-2015, May, revised May 2015.
• Daniel Harenberg & Ludwig, Alexander, 2015, "Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security," MEA discussion paper series, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy, number 201403, May.
• Vojtěch Fiala & Svatopluk Kapounek & Ondřej Veselý, 2015, "Impact of Social Media on the Stock Market: Evidence from Tweets," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, volume 1, issue 1, pages 24-35, DOI: 10.11118/ejobsat.v1i1.35.
• Norliza Che-Yahya & Ruzita Abdul-Rahim & Rasidah Mohd-Rashid, 2015, "Impact of Lock-Up Provision on Two IPO Anomalies in the Immediate Aftermarket," Capital Markets Review, Malaysian Finance Association, volume 23, issue 1&2, pages 25-39.
• Steve Fan & Scott Opsal & Linda Yu, 2015, "Equity Anomalies and Idiosyncratic Risk Around the World," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 1, pages 33-75, March.
• Lorne Switzer & Alan Picard, 2015, "Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 3, pages 169-221, September.
• Panayiotis Theodossiou, 2015, "Skewed Generalized Error Distribution of Financial Assets and Option Pricing," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 4, pages 223-266, December.
• Graham Bornholt & Paul Dou & Mirela Malin, 2015, "Trading Volume and Momentum: The International Evidence," Multinational Finance Journal, Multinational Finance Journal, volume 19, issue 4, pages 267-313, December.
• Gianluca Cassese, 2015, "Nonparametric Estimates of Option Prices Using Superhedging," Working Papers, University of Milano-Bicocca, Department of Economics, number 293, Feb, revised Feb 2015.
• Edirisinghe U. C & Nimal P.D, 2015, "Stock Price Reaction to Announcements of Right Issues and Debenture Issues: Evidence from Colombo Stock Exchange," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, volume 5, issue 2, pages 67-76, February.
• Kei Kawakami, 2015, "Market Size Matters:A Model of Excess Volatility in Large Markets," Department of Economics - Working Papers Series, The University of Melbourne, number 2003, Mar.
• Adam, Klaus & Marcet, Albert & Merkel, Sebastian & Beutel, Johannes, 2015, "Can a financial transaction tax prevent stock price booms?," Working Papers, University of Mannheim, Department of Economics, number 15-10.
• Carlo Alberto Magni, 2015, "Investment, financing and the role of ROA and WACC in value creation," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0050, Feb.
• Carlo Alberto Magni & Ken V. Peasnell, 2015, "The Term Structure of Capital Values:An accounting-based framework for measuring economic profitability," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0060, Sep.
• Seema Narayan & Russell Smyth, 2015, "The Financial Econometrics of Price Discovery and Predictability," Monash Economics Working Papers, Monash University, Department of Economics, number 06-15, Jan.
• Luc Renneboog, 2015, "Investing in Diamonds," Business and Economic Research, Macrothink Institute, volume 5, issue 1, pages 166-195, June.
• KALNINA, Ilze & XIU, Dacheng, 2015, "Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2015-05.
• Ilze KALNINA & Dacheng XIU, 2015, "Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 09-2015.
• Qu FENG & Guiying Laura WU, 2015, "Bubble or Riddle? An Asset-Pricing Approach Evaluation on China’s Housing Market," Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre, number 1501, Feb.
• Kristjanpoller Rodríguez Werner & Arenas Yáñez Teresita, 2015, "The turn of the month effect still exists in the main Latin American stock markets, including the level of individual stocks," Contaduría y Administración, Accounting and Management, volume 60, issue 1, pages 53-86, enero-mar.
• B. De Backer, 2015, "Decomposition of the dynamics of sovereign yield spreads in the euro area," Economic Review, National Bank of Belgium, issue i, pages 54-75, June.
• Georges Hübner & Thomas Lejeune, 2015, "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research, National Bank of Belgium, number 289, Oct.
• Marcin Kacperczyk & Jaromir Nosal & Luminita Stevens, 2015, "Investor sophistication and capital income inequality," NBP Working Papers, Narodowy Bank Polski, number 199.
• Mariusz Kapuściński, 2015, "Monetary policy and financial asset prices in Poland," NBP Working Papers, Narodowy Bank Polski, number 216.
• Łukasz Gątarek & Marcin Wojtowicz, 2015, "The relation between sovereign credit default swap premium and banking sector risk in Poland," NBP Working Papers, Narodowy Bank Polski, number 222.
• Lorenzo Bretscher & Christian Julliard & Carlo Rosa, 2016, "Human Capital and International Portfolio Diversification: A Reappraisal," NBER Chapters, National Bureau of Economic Research, Inc, "NBER International Seminar on Macroeconomics 2015".
• Shin-ichi Fukuda, 2015, "Strong Sterling Pound and Weak European Currencies in the Crises: Evidence from Covered Interest Parity of Secured Rates," NBER Chapters, National Bureau of Economic Research, Inc, "International Finance in the Global Markets".
• Monika Piazzesi & Martin Schneider & Johannes Stroebel, 2015, "Segmented Housing Search," NBER Working Papers, National Bureau of Economic Research, Inc, number 20823, Jan.
• Roger E.A. Farmer, 2015, "Global Sunspots and Asset Prices in a Monetary Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 20831, Jan.
• Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015, "Long-run Bulls and Bears," NBER Working Papers, National Bureau of Economic Research, Inc, number 20858, Jan.
• Jia Chen & Kewei Hou & René M. Stulz, 2015, "Are Firms in "Boring" Industries Worth Less?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20880, Jan.
• Jerry Tsai & Jessica A. Wachter, 2015, "Disaster Risk and its Implications for Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 20926, Feb.
• Jennifer N. Carpenter & Fangzhou Lu & Robert F. Whitelaw, 2015, "The Real Value of China's Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 20957, Feb.
• Denis Gromb & Dimitri Vayanos, 2015, "The Dynamics of Financially Constrained Arbitrage," NBER Working Papers, National Bureau of Economic Research, Inc, number 20968, Feb.
• Robert Novy-Marx, 2015, "Fundamentally, Momentum is Fundamental Momentum," NBER Working Papers, National Bureau of Economic Research, Inc, number 20984, Feb.
• Robert Novy-Marx, 2015, "How Can a Q-Theoretic Model Price Momentum?," NBER Working Papers, National Bureau of Economic Research, Inc, number 20985, Feb.
• Hang Bai & Kewei Hou & Howard Kung & Lu Zhang, 2015, "The CAPM Strikes Back? An Investment Model with Disasters," NBER Working Papers, National Bureau of Economic Research, Inc, number 21016, Mar.
• Francesco Bianchi, 2015, "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 21056, Mar.
• Gian Luca Clementi & Berardino Palazzo, 2015, "Investment and The Cross-Section of Equity Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 21064, Apr.
• Takatoshi Ito & Masahiro Yamada, 2015, "High-frequency, Algorithmic Spillovers Between NASDAQ and Forex," NBER Working Papers, National Bureau of Economic Research, Inc, number 21122, Apr.
• Andrea Beltratti & René M. Stulz, 2015, "Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis," NBER Working Papers, National Bureau of Economic Research, Inc, number 21150, May.
• George M. Constantinides & Lei Lian, 2015, "The Supply and Demand of S&P 500 Put Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21161, May.
• Harrison Hong & Weikai Li & Sophie X. Ni & Jose A. Scheinkman & Philip Yan, 2015, "Days to Cover and Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 21166, May.
• Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015, "The Price of Variance Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 21182, May.
• Sunil Kanwar & Bronwyn H. Hall, 2015, "The Market Value of R&D in Weak Innovation Regimes: Evidence from India," NBER Working Papers, National Bureau of Economic Research, Inc, number 21196, May.
• Erik Eyster & Matthew Rabin & Dimitri Vayanos, 2015, "Financial Markets where Traders Neglect the Informational Content of Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 21224, May.
• Lucian A. Bebchuk & Alon Brav & Wei Jiang, 2015, "The Long-Term Effects of Hedge Fund Activism," NBER Working Papers, National Bureau of Economic Research, Inc, number 21227, Jun.
• Jules H. van Binsbergen & Ralph S.J. Koijen, 2015, "The Term Structure of Returns: Facts and Theory," NBER Working Papers, National Bureau of Economic Research, Inc, number 21234, Jun.
• Mark Huggett & Greg Kaplan, 2015, "How Large is the Stock Component of Human Capital?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21238, Jun.
• Geetesh Bhardwaj & Gary Gorton & Geert Rouwenhorst, 2015, "Facts and Fantasies about Commodity Futures Ten Years Later," NBER Working Papers, National Bureau of Economic Research, Inc, number 21243, Jun.
• Wolfgang Keller & Carol H. Shiue & Xin Wang, 2015, "Capital Markets in China and Britain, 18th and 19th Century: Evidence from Grain Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 21349, Jul.
• Mila Getmansky & Peter A. Lee & Andrew W. Lo, 2015, "Hedge Funds: A Dynamic Industry In Transition," NBER Working Papers, National Bureau of Economic Research, Inc, number 21449, Aug.
• Joel M. David & Ina Simonovska, 2015, "Correlated Beliefs, Returns, and Stock Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 21480, Aug.
• Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015, "Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor," NBER Working Papers, National Bureau of Economic Research, Inc, number 21487, Aug.
• Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015, "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers, National Bureau of Economic Research, Inc, number 21491, Aug.
• Grace Xing Hu & Jun Pan & Jiang Wang, 2015, "Tri-Party Repo Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 21502, Aug.
• Takatoshi Ito & Masahiro Yamada, 2015, "Was the Forex Fixing Fixed?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21518, Sep.
• Ricardo Lagos & Shengxing Zhang, 2015, "Monetary Exchange in Over-the-Counter Markets: A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises," NBER Working Papers, National Bureau of Economic Research, Inc, number 21528, Sep.
• Robert F. Stambaugh & Yu Yuan, 2015, "Mispricing Factors," NBER Working Papers, National Bureau of Economic Research, Inc, number 21533, Sep.
• Ravi Jagannathan & Binying Liu, 2015, "Dividend Dynamics, Learning, and Expected Stock Index Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 21557, Sep.
• Nicolae B. Gârleanu & Lasse H. Pedersen, 2015, "Efficiently Inefficient Markets for Assets and Asset Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 21563, Sep.
• Mete Kilic & Jessica A. Wachter, 2015, "Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility," NBER Working Papers, National Bureau of Economic Research, Inc, number 21575, Sep.
• Peter N. Ireland, 2015, "Monetary Policy, Bond Risk Premia, and the Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 21576, Sep.
• Vadim Elenev & Tim Landvoigt & Stijn Van Nieuwerburgh, 2015, "Phasing Out the GSEs," NBER Working Papers, National Bureau of Economic Research, Inc, number 21626, Oct.
• Felipe S. Iachan & Plamen T. Nenov & Alp Simsek, 2015, "The Choice Channel of Financial Innovation," NBER Working Papers, National Bureau of Economic Research, Inc, number 21686, Oct.
• Francisco Barillas & Jay Shanken, 2015, "Which Alpha?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21698, Nov.
• William Goetzmann & Simon Huang, 2015, "Momentum in Imperial Russia," NBER Working Papers, National Bureau of Economic Research, Inc, number 21700, Nov.
• Darrell Duffie & Lei Qiao & Yeneng Sun, 2015, "Dynamic Directed Random Matching," NBER Working Papers, National Bureau of Economic Research, Inc, number 21731, Nov.
• Ralph S.J. Koijen & Motohiro Yogo, 2015, "A Demand System Approach to Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 21749, Nov.
• Robin Greenwood & Samuel Hanson & Dimitri Vayanos, 2015, "Forward Guidance in the Yield Curve: Short Rates versus Bond Supply," NBER Working Papers, National Bureau of Economic Research, Inc, number 21750, Dec.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel & Andreas Weber, 2015, "Climate Change and Long-Run Discount Rates: Evidence from Real Estate," NBER Working Papers, National Bureau of Economic Research, Inc, number 21767, Nov.
• Francisco Barillas & Jay Shanken, 2015, "Comparing Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 21771, Dec.
• Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015, "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," NBER Working Papers, National Bureau of Economic Research, Inc, number 21803, Dec.
• Adam Hayes, 2015, "A Cost of Production Model for Bitcoin," Working Papers, New School for Social Research, Department of Economics, number 1505, Mar.
• Bill Gibson & Mark Setterfield, 2015, "Real and financial crises in the Keynes-Kalecki structuralist model: An agent-based approach," Working Papers, New School for Social Research, Department of Economics, number 1517, Aug.
• Levy, Moshe & Roll, Richard, 2015, "(Im)Possible Frontiers: A Comment," Critical Finance Review, now publishers, volume 4, issue 1, pages 139-148, June, DOI: 10.1561/104.00000015.
• Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2015, "Seasonal Variation in Treasury Returns," Critical Finance Review, now publishers, volume 4, issue 1, pages 45-115, June, DOI: 10.1561/104.00000021.
• Lewellen, Jonathan, 2015, "The Cross-section of Expected Stock Returns," Critical Finance Review, now publishers, volume 4, issue 1, pages 1-44, June, DOI: 10.1561/104.00000024.
• Greene, Jason T. & Rakowski, David, 2015, "A Note on the Sources of Portfolio Returns: Underlying Stock Returns and the Excess Growth Rate," Critical Finance Review, now publishers, volume 4, issue 1, pages 117-138, June, DOI: 10.1561/104.00000025.
• Brennan, Thomas J. & Lo, Andrew W., 2015, "Reply to “(Im)Possible Frontiers: A Commentâ€," Critical Finance Review, now publishers, volume 4, issue 1, pages 157-171, June, DOI: 10.1561/104.00000026.
• Ingersoll, Jr., Jonathan E., 2015, "Always Possible Frontiers," Critical Finance Review, now publishers, volume 4, issue 1, pages 149-155, June, DOI: 10.1561/104.00000027.
• Petre Prisecaru, 2015, "Is Quantitative Easing An Appropriate Way For The Success Of Monetary Policy In A Post-Crisis Period?," Global Economic Observer, "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences;Institute for World Economy of the Romanian Academy, volume 3, issue 2, pages 27-35, November.
• Roman Šperka & Irena Szarowská, 2015, "Impact of a Financial Transaction Tax on a Financial Market," Working Papers, Silesian University, School of Business Administration, number 0013, Jul.
• Hada Teodor & Avram Teodora Maria, 2015, "Annual Financial Statements, Information Sources For Risk Determination In The Case Of Saturn J.S. Alba Iulia," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, volume 1, issue 2, pages 440-447, December.
• Xiao, Tim, 2015, "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," arabixiv.org, Center for Open Science, number rdega, Jul, DOI: 10.31219/osf.io/rdega.
• Xiao, Tim, 2015, "A Simple and Precise Method for Pricing Convertible Bond with Credit Risk," FrenXiv, Center for Open Science, number k6zj3, Jul, DOI: 10.31219/osf.io/k6zj3.
• Dilip B. Madan, 2015, "Recovering Statistical Theory in the Context of Model Calibrations," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 2, pages 260-292.
• Joakim Westerlund & Paresh Narayan, 2015, "A Random Coefficient Approach to the Predictability of Stock Returns in Panels," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 3, pages 605-664.
• Antonio Di Cesare & Philip A. Stork & Casper G. de Vries, 2015, "Risk Measures for Autocorrelated Hedge Fund Returns," Journal of Financial Econometrics, Oxford University Press, volume 13, issue 4, pages 868-895.
• Stefano Giglio & Matteo Maggiori & Johannes Stroebel, 2015, "Editor's Choice Very Long-Run Discount Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 130, issue 1, pages 1-53.
• Robin Greenwood & Samuel G. Hanson, 2015, "Waves in Ship Prices and Investment," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 130, issue 1, pages 55-109.
• José L. Fillat & Stefania Garetto, 2015, "Risk, Returns, and Multinational Production," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 130, issue 4, pages 2027-2073.
• Antje Berndt, 2015, "A Credit Spread Puzzle for Reduced-Form Models," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 1, pages 48-91.
• Kuntara Pukthuanthong & Richard Roll, 2015, "Internationally Correlated Jumps," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 1, pages 92-111.
• Hitesh Doshi & Redouane Elkamhi & Mikhail Simutin, 2015, "Managerial Activeness and Mutual Fund Performance," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 156-184.
• Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai, 2015, "The Impact of Hedge Funds on Asset Markets," The Review of Asset Pricing Studies, Society for Financial Studies, volume 5, issue 2, pages 185-226.