Journal of Empirical Finance
January 2011, Volume 18, Issue 1
- 78-90 Regulatory underpricing: Determinants of Chinese extreme IPO returns
by Tian, Lihui
- 91-102 Transaction duration and asymmetric price impact of trades--Evidence from Australia
by Yang, Joey Wenling
- 103-116 Do bond rating changes affect the information asymmetry of stock trading?
by He, Yan & Wang, Junbo & Wei, K.C. John
- 117-135 The success of bank mergers revisited. An assessment based on a matching strategy
by Behr, Andreas & Heid, Frank
- 136-146 Evaluating alternative methods for testing asset pricing models with historical data
by Lozano, Martín & Rubio, Gonzalo
- 147-159 Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study
by Conrad, Christian & Karanasos, Menelaos & Zeng, Ning
- 160-173 Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
by Cheng, Wan-Hsiu & Hung, Jui-Cheng
December 2010, Volume 17, Issue 5
- 837-851 Board composition after mergers, does it matter to target shareholders?
by Wang, Hongxia & Sakr, Sameh & Ning, Yixi & Davidson III, Wallace N.
- 852-866 Justifying top management pay in a transitional economy
by Firth, Michael & Leung, Tak Yan & Rui, Oliver M.
- 867-894 Stock and bond returns with Moody Investors
by Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R.
- 895-917 Market makers as information providers: The natural experiment of STAR
by Perotti, Pietro & Rindi, Barbara
- 918-937 Retrieving risk neutral densities from European option prices based on the principle of maximum entropy
by Rompolis, Leonidas S.
- 938-956 Explaining asymmetric volatility around the world
by Talpsepp, Tõnn & Rieger, Marc Oliver
- 957-966 Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis
by Sakoulis, Georgios & Zivot, Eric & Choi, Kyongwook
- 967-980 Volatility and trading activity following changes in the size of futures contracts
by Bjursell, Johan & Frino, Alex & Tse, Yiuman & Wang, George H.K.
- 981-990 Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets
by Jansen, Dennis W. & Tsai, Chun-Li
- 991-1005 Predicting systematic risk: Implications from growth options
by Jacquier, Eric & Titman, Sheridan & YalçIn, Atakan
- 1006-1006 Corrigendum to "GMM estimation of the number of latent factors: With application to international stock markets" [J Empir Financ. 17 (2010) 783-802]
by Ahn, Seung C. & Perez, M. Fabricio
September 2010, Volume 17, Issue 4
- 539-551 Predicting the equity premium with dividend ratios: Reconciling the evidence
by Kellard, Neil M. & Nankervis, John C. & Papadimitriou, Fotios I.
- 552-565 Expected returns on value, growth, and HML
by Rytchkov, Oleg
- 566-584 Related securities and price discovery: Evidence from NYSE-listed Non-U.S. stocks
by Korczak, Piotr & Phylaktis, Kate
- 585-605 The dividend-price ratio does predict dividend growth: International evidence
by Engsted, Tom & Pedersen, Thomas Q.
- 606-622 Consumption, (dis)aggregate wealth, and asset returns
by Sousa, Ricardo M.
- 623-644 The plausibility of risk estimates and implied costs to international equity investments
by De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne
- 645-658 Do investors trade uniformly through time?
by Johnson, Woodrow T.
- 659-667 A network perspective of the stock market
by Tse, Chi K. & Liu, Jing & Lau, Francis C.M.
- 668-688 Market efficiency and learning in an artificial stock market: A perspective from Neo-Austrian economics
by Benink, Harald A. & Gordillo, José Luis & Pardo, Juan Pablo & Stephens, Christopher R.
- 689-701 Human development and cross-border acquisitions
by Owen, Sian & Yawson, Alfred
- 702-721 Pricing the term structure of inflation risk premia: Theory and evidence from TIPS
by Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin
- 722-743 Assessing the compensation for volatility risk implicit in interest rate derivatives
by Fornari, Fabio
- 744-762 The effect of CEO power on bond ratings and yields
by Liu, Yixin & Jiraporn, Pornsit
- 763-782 Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions
by Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda
- 783-802 GMM estimation of the number of latent factors: With application to international stock markets
by Ahn, Seung C. & Perez, M. Fabricio
- 803-817 Improving the statistical power of financial event studies: The inverse variance weighted average-based test
by da Graça, Tarcisio B.
- 818-833 A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach
by Li, Ming-Yuan Leon & Miu, Peter
June 2010, Volume 17, Issue 3
- 283-299 Implicit incentives and reputational herding by hedge fund managers
by Boyson, Nicole M.
- 300-312 The effects of financial distress and capital structure on the work effort of outside directors
by Chou, Hsin-I & Li, Hui & Yin, Xiangkang
- 313-331 A century of equity premium predictability and the consumption-wealth ratio: An international perspective
by Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio
- 332-344 Does group affiliation increase firm value for diversified groups?: New evidence from Indian companies
by Lensink, Robert & van der Molen, Remco
- 345-361 Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?
by Anderson, Keith & Brooks, Chris & Katsaris, Apostolos
- 362-380 Local bias in venture capital investments
by Cumming, Douglas & Dai, Na
- 381-393 Takeover risk and the correlation between stocks and bonds
by Bhanot, Karan & Mansi, Sattar A. & Wald, John K.
- 394-412 Market pricing of executive stock options and implied risk preferences
by Pirjetä, Antti & Ikäheimo, Seppo & Puttonen, Vesa
- 413-427 An empirical investigation of stock market behavior in the Middle East and North Africa
by Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip
- 428-440 Do the prices of stock index futures in Asia overreact to U.S. market returns?
by Fung, Alexander Kwok-Wah & Lam, Kin & Lam, Ka-Ming
- 441-459 Loss-aversion and household portfolio choice
by Dimmock, Stephen G. & Kouwenberg, Roy
- 460-470 Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model
by Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie
- 471-484 Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias
by Hsu, Po-Hsuan & Hsu, Yu-Chin & Kuan, Chung-Ming
- 485-500 Tracking a changing copula
by Harvey, Andrew
- 501-512 Variable reduction, sample selection bias and bank retail credit scoring
by Marshall, Andrew & Tang, Leilei & Milne, Alistair
- 513-525 Predictive regression with order-p autoregressive predictors
by Amihud, Yakov & Hurvich, Clifford M. & Wang, Yi
- 526-538 Backtesting value-at-risk based on tail losses
by Wong, Woon K.
March 2010, Volume 17, Issue 2
- 177-179 Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance: A volume honoring Benoît B. Mandelbrot
by Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol & Palm, Franz C.
- 180-194 Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions
by Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol
- 195-211 Risk management and dynamic portfolio selection with stable Paretian distributions
by Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J.
- 212-240 Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
by Chaboud, Alain P. & Chiquoine, Benjamin & Hjalmarsson, Erik & Loretan, Mico
- 241-254 Heavy tails and currency crises
by Hartmann, P. & Straetmans, S. & de Vries, C.G.
- 255-269 GHICA -- Risk analysis with GH distributions and independent components
by Chen, Ying & Härdle, Wolfgang & Spokoiny, Vladimir
- 270-282 Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence
by Gençay, Ramazan & Gradojevic, Nikola
January 2010, Volume 17, Issue 1
- 1-22 Strategic trading in the wrong direction by a large institutional insider
by Giambona, Erasmo & Golec, Joseph
- 23-38 Is there a symmetric nonlinear causal relationship between large and small firms?
by Francis, Bill B. & Mougoué, Mbodja & Panchenko, Valentyn
- 39-53 Technology prospects and the cross-section of stock returns
by Hsu, Po-Hsuan & Huang, Dayong
- 54-80 Asset pricing models and economic risk premia: A decomposition
by Balduzzi, Pierluigi & Robotti, Cesare
- 81-101 When does the dividend-price ratio predict stock returns?
by Park, Cheolbeom
- 102-119 'Optimal' probabilistic and directional predictions of financial returns
by Thomakos, Dimitrios D. & Wang, Tao
- 120-137 Predicting issuer credit ratings using a semiparametric method
by Hwang, Ruey-Ching & Chung, Huimin & Chu, C.K.
- 138-156 Modeling and forecasting stock return volatility using a random level shift model
by Lu, Yang K. & Perron, Pierre
- 157-167 Modeling the dynamics of inflation compensation
by Jochmann, Markus & Koop, Gary & Potter, Simon M.
- 168-175 Trading activity, realized volatility and jumps
by Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael
December 2009, Volume 16, Issue 5
- 703-720 Multinationals do it better: Evidence on the efficiency of corporations' capital budgeting
by Greene, William H. & Hornstein, Abigail S. & White, Lawrence J.
- 721-733 Testing the CAPM revisited
by Ray, Surajit & Savin, N.E. & Tiwari, Ashish
- 734-744 On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis
by Kim, Hyeongwoo
- 745-758 Markov-switching in target stocks during takeover bids
by Gelman, Sergey & Wilfling, Bernd
- 759-776 Price discovery in tick time
by Frijns, Bart & Schotman, Peter
- 777-792 Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange
by Dionne, Georges & Duchesne, Pierre & Pacurar, Maria
- 793-803 Jackknifing stock return predictions
by Chiquoine, Benjamin & Hjalmarsson, Erik
- 804-815 Applying the method of simulated moments to estimate a small agent-based asset pricing model
by Franke, Reiner
- 816-829 Exact distribution-free tests of mean-variance efficiency
by Gungor, Sermin & Luger, Richard
- 830-837 The magnet effect of price limits: A logit approach
by Hsieh, Ping-Hung & Kim, Yong H. & Yang, J. Jimmy
- 838-851 Dual long-memory, structural breaks and the link between turnover and the range-based volatility
by Karanasos, M. & Kartsaklas, A.
- 852-861 Evaluating stochastic discount factors from term structure models
by Farnsworth, Heber K.
- 862-873 Central bank interventions and implied exchange rate correlations
by Nikkinen, Jussi & Vähämaa, Sami
September 2009, Volume 16, Issue 4
- 525-536 Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns
by Møller, Stig Vinther
- 537-556 Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM
by Adrian, Tobias & Franzoni, Francesco
- 557-567 The information content of stock splits
by Huang, Gow-Cheng & Liano, Kartono & Pan, Ming-Shiun
- 568-581 Stock price and systematic risk effects of discontinuation of corporate R&D programs
by Saad, Mohsen & Zantout, Zaher
- 582-596 Investigation of the costly-arbitrage model of price formation around the ex-dividend day in Norway
by Dai, Qinglei & Rydqvist, Kristian
- 597-612 Institutional ownership and credit spreads: An information asymmetry perspective
by Wang, Ashley W. & Zhang, Gaiyan
- 613-631 Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries
by Sarkar, Asani & Zhang, Lingjia
- 632-639 International comovement of stock market returns: A wavelet analysis
by Rua, António & Nunes, Luís C.
- 640-654 Price discovery in foreign exchange markets: A comparison of indicative and actual transaction prices
by Phylaktis, Kate & Chen, Long
- 655-670 A semiparametric model for the systematic factors of portfolio credit risk premia
by Giammarino, Flavia & Barrieu, Pauline
- 671-685 L-performance with an application to hedge funds
by Darolles, Serge & Gourieroux, Christian & Jasiak, Joann
- 686-700 Which power variation predicts volatility well?
by Ghysels, Eric & Sohn, Bumjean
June 2009, Volume 16, Issue 3
- 353-367 Correlation risk
by Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter
- 368-387 Time-varying Integration and International diversification strategies
by Baele, Lieven & Inghelbrecht, Koen
- 388-393 Herding and information based trading
by Zhou, Rhea Tingyu & Lai, Rose Neng
- 394-408 Investor sentiment and stock returns: Some international evidence
by Schmeling, Maik
- 409-429 The cross section of cashflow volatility and expected stock returns
by Huang, Alan Guoming
- 430-445 Empirical evidence on jumps in the term structure of the US Treasury Market
by Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa
- 446-456 Optimal futures hedging under jump switching dynamics
by Lee, Hsiang-Tai
- 457-465 Estimation of default probabilities using incomplete contracts data
by Santos Silva, J.M.C. & Murteira, J.M.R.
- 466-482 Sample selection and event study estimation
by Ahern, Kenneth R.
- 483-506 Improvement in finite sample properties of the Hansen-Jagannathan distance test
by Ren, Yu & Shimotsu, Katsumi
- 507-523 A diagnostic m-test for distributional specification of parametric conditional heteroscedasticity models for financial data
by Lejeune, Bernard
March 2009, Volume 16, Issue 2
- 175-187 Dividend policy of German firms: A panel data analysis of partial adjustment models
by Andres, Christian & Betzer, André & Goergen, Marc & Renneboog, Luc
- 188-200 Forecasting financial crises and contagion in Asia using dynamic factor analysis
by Cipollini, A. & Kapetanios, G.
- 201-215 Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
by Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J.
- 216-234 The credit rating process and estimation of transition probabilities: A Bayesian approach
by Stefanescu, Catalina & Tunaru, Radu & Turnbull, Stuart
- 235-253 Modelling the distribution of credit losses with observable and latent factors
by Jiménez, Gabriel & Mencía, Javier
- 254-263 Modelling the distribution of the extreme share returns in Singapore
by Tolikas, Konstantinos & Gettinby, Gareth D.
- 264-279 Quantile regression analysis of hedge fund strategies
by Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D.
- 280-305 Model averaging in risk management with an application to futures markets
by Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo
- 306-317 On the explanatory power of firm-specific variables in cross-sections of expected returns
by Zhang, Chu
- 318-329 Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application
by de Goeij, Peter & Marquering, Wessel
- 330-336 Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management
by Hlouskova, Jaroslava & Schmidheiny, Kurt & Wagner, Martin
- 337-351 A censored stochastic volatility approach to the estimation of price limit moves
by Hsieh, Ping-Hung & Yang, J. Jimmy
January 2009, Volume 16, Issue 1
- 2-17 The transmission of emerging market shocks to global equity markets
by Cuadro-Sáez, Lucía & Fratzscher, Marcel & Thimann, Christian
- 18-41 Market liberalization within a country
by Sun, Qian & Tong, Wilson H.S. & Yan, Yuxing
- 42-54 Credit cycles and macro fundamentals
by Koopman, Siem Jan & Kräussl, Roman & Lucas, André & Monteiro, André B.
- 55-69 Timing the investment grade securities market: Evidence from high quality bond funds
by Boney, Vaneesha & Comer, George & Kelly, Lynne
- 70-86 Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing
by Barnhart, Scott W. & Giannetti, Antoine
- 87-100 Investor flows and stock market returns
by Boyer, Brian & Zheng, Lu
- 101-111 Long-run performance evaluation: Correlation and heteroskedasticity-consistent tests
by Jegadeesh, Narasimhan & Karceski, Jason
- 112-125 Risk and performance estimation in hedge funds revisited: Evidence from errors in variables
by Coën, Alain & Hübner, Georges
- 126-135 Costly trade, managerial myopia, and long-term investment
by Holden, Craig W. & Lundstrum, Leonard L.
- 136-150 Understanding the relationship between founder-CEOs and firm performance
by Adams, Renée & Almeida, Heitor & Ferreira, Daniel
- 151-163 Co-movements of index options and futures quotes
by Fahlenbrach, Rüdiger & Sandås, Patrik
- 164-173 Default estimation for low-default portfolios
by Kiefer, Nicholas M.
December 2008, Volume 15, Issue 5
- 801-815 An inquiry into the economic fundamentals of the Fama and French equity factors
by Simpson, Marc W. & Ramchander, Sanjay
- 816-838 Specification tests of asset pricing models using excess returns
by Kan, Raymond & Robotti, Cesare
- 839-849 A comparison of trading and non-trading mechanisms for price discovery
by Barclay, Michael J. & Hendershott, Terrence
- 850-859 Robust performance hypothesis testing with the Sharpe ratio
by Ledoit, Oliver & Wolf, Michael
- 860-867 Regression analysis of proportions in finance with self selection
by Cook, Douglas O. & Kieschnick, Robert & McCullough, B.D.
- 868-877 Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data
by Jalal, Amine & Rockinger, Michael
- 878-896 A model-independent measure of aggregate idiosyncratic risk
by Bali, Turan G. & Cakici, Nusret & Levy, Haim
September 2008, Volume 15, Issue 4
- 583-612 Firm heterogeneity and credit risk diversification
by Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til
- 613-634 UK mutual fund performance: Skill or luck?
by Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall
- 635-655 Overreaction to stock market news and misevaluation of stock prices by unsophisticated investors: Evidence from the option market
by Mahani, Reza S. & Poteshman, Allen M.
- 656-678 Determinants of bid and ask quotes and implications for the cost of trading
by Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S.
- 679-699 Liquidity and conditional portfolio choice: A nonparametric investigation
by Ghysels, Eric & Pereira, João Pedro
- 700-713 Identifying multiple outliers in heavy-tailed distributions with an application to market crashes
by Schluter, Christian & Trede, Mark
- 714-728 Can exchange rate volatility explain persistence in the forward premium?
by Kellard, Neil & Sarantis, Nicholas
- 729-750 Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
by Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H.
- 751-777 Structural models of corporate bond pricing with maximum likelihood estimation
by Li, Ka Leung & Wong, Hoi Ying
- 778-788 Asset pricing models with errors-in-variables
by Carmichael, Benoît & Coën, Alain
- 789-798 Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
by Chen, Carl R. & Su, Yuli & Huang, Ying
June 2008, Volume 15, Issue 3
- 363-386 Benchmarking the performance of recommended allocations to equities, bonds, and cash by international investment houses
by Bange, Mary M. & Khang, Kenneth & Miller Jr., Thomas W.
- 387-417 Corruption and valuation of multinational corporations
by Pantzalis, Christos & Park, Jung Chul & Sutton, Ninon
- 418-435 Multiple directorships and corporate diversification
by Jiraporn, Pornsit & Kim, Young Sang & Davidson III, Wallace N.
- 436-454 Underpricing, ownership dispersion, and aftermarket liquidity of IPO stocks
by Zheng, Steven Xiaofan & Li, Mingsheng
- 455-467 Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP
by Menkhoff, Lukas & Rebitzky, Rafael R.
- 468-480 Economic and financial crises and the predictability of U.S. stock returns
by Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian
- 481-502 Time-series and cross-sectional excess comovement in stock indexes
by Kallberg, Jarl & Pasquariello, Paolo
- 503-517 A Bayesian view of temporary components in asset prices
by Eraker, Bjørn
- 518-532 Are Asian stock markets efficient? Evidence from new multiple variance ratio tests
by Kim, Jae H. & Shamsuddin, Abul
- 533-548 Excess demand and price formation during a Walrasian auction
by Eaves, James & Melvin, Michael & Mohapatra, Sandeep
- 549-566 Box-Cox stochastic volatility models with heavy-tails and correlated errors
by Zhang, Xibin & King, Maxwell L.
- 567-581 Is long memory necessary? An empirical investigation of nonnegative interest rate processes
by Duan, Jin-Chuan & Jacobs, Kris
March 2008, Volume 15, Issue 2
- 145-166 Assessing the role of option grants to CEOs: How important is heterogeneity?
by Baranchuk, Nina & Chib, Siddhartha
- 167-184 Does risk aversion drive financial crises? Testing the predictive power of empirical indicators
by Coudert, Virginie & Gex, Mathieu
- 185-198 How does owners' exposure to idiosyncratic risk influence the capital structure of private companies?
by Mueller, Elisabeth
- 199-210 Does intraday technical analysis in the U.S. equity market have value?
by Marshall, Ben R. & Cahan, Rochester H. & Cahan, Jared M.
- 211-231 Do interventions in foreign exchange markets modify investors' expectations? The experience of Japan between 1992 and 2004
by Morel, Christophe & Teïletche, Jérôme
- 232-250 Noise trading and the price formation process
by Berkman, Henk & Koch, Paul D.
- 251-264 The factor structure of time-varying conditional volume
by Chang, Eric C. & Cheng, Joseph W. & Pinegar, J. Michael
- 265-286 Finite sample accuracy and choice of sampling frequency in integrated volatility estimation
by Nielsen, Morten Ørregaard & Frederiksen, Per
- 287-309 Increasing correlations or just fat tails?
by Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul
- 310-331 Simulation-based pricing of convertible bonds
by Ammann, Manuel & Kind, Axel & Wilde, Christian
- 332-341 Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
by Asai, Manabu
- 342-362 Estimation of an adaptive stock market model with heterogeneous agents
by Amilon, Henrik
January 2008, Volume 15, Issue 1
- 1-16 A functional approach to the price impact of stock trades and the implied true price
by Huang, Roger D. & Ting, Christopher
- 17-40 Why effective spreads on NASDAQ were higher than on the New York stock exchange in the 1990s
by Benston, George J. & Wood, Robert A.
- 41-63 Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution
by Choi, Pilsun & Nam, Kiseok
- 64-79 Volatility of stock price as predicted by patent data: An MGARCH perspective
by Chow, William W. & Fung, Michael K.
- 80-110 It takes a model to beat a model: Volatility bounds
by Liu, Ludan
- 111-130 The ordered qualitative model for credit rating transitions
by Feng, D. & Gourieroux, C. & Jasiak, J.
- 131-144 Volatility clustering and the bid-ask spread: Exchange rate behavior in early Renaissance Florence
by Booth, G. Geoffrey & Gurun, Umit G.
December 2007, Volume 14, Issue 5
- 590-610 Predictable behavior, profits, and attention
by Seasholes, Mark S. & Wu, Guojun
- 611-635 Is CEO certification of earnings numbers value-relevant?
by Bhattacharya, Utpal & Groznik, Peter & Haslem, Bruce
- 636-661 Order dynamics: Recent evidence from the NYSE
by Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert
- 662-693 Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds
by Bechmann, Ken L. & Rangvid, Jesper
- 694-717 Semiparametric estimation of a characteristic-based factor model of common stock returns
by Connor, Gregory & Linton, Oliver
- 718-735 Are ex[hyphen (true graphic)]day dividend clientele effects dead? Dividend yield versus dividend size
by Jakob, Keith J. & Ma, Tongshu
- 736-755 Are there Monday effects in stock returns: A stochastic dominance approach
by Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae
- 756-782 Modeling the Euro overnight rate
by Benito, Francis & Leon, Angel & Nave, Juan
- 783-817 Modelling multiple term structures of defaultable bonds with common and idiosyncratic state variables
by Lekkos, Ilias
- 818-835 A simulation estimator for testing the time homogeneity of credit rating transitions
by Kiefer, Nicholas M. & Larson, C. Erik
September 2007, Volume 14, Issue 4
- 443-464 International conditional asset allocation under specification uncertainty
by Barras, Laurent
- 465-498 International capital asset pricing: Evidence from options
by Mo, Henry & Wu, Liuren
- 499-522 Official interventions and the forward premium anomaly
by Mark, Nelson C. & Moh, Young-Kyu
- 523-545 Does the response of competitors to privatization announcements reflect competitive or industry-wide information effects? International evidence
by Otchere, Isaac
- 546-563 Indirect robust estimation of the short-term interest rate process
by Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio
- 564-583 Multivariate autoregressive modeling of time series count data using copulas
by Heinen, Andreas & Rengifo, Erick
June 2007, Volume 14, Issue 3
- 261-286 Sources of contrarian profits in the Japanese stock market
by Chou, Pin-Huang & Wei, K.C. John & Chung, Huimin
- 287-309 Are IPOs really overpriced?
by Zheng, Steven X.
- 310-332 When is inter-transaction time informative?
by Furfine, Craig
- 333-354 The implied volatility term structure of stock index options
by Mixon, Scott
- 355-382 The ex ante real rate and inflation premium under a habit consumption model
by Madureira, Leonardo
- 383-400 Portfolio selection with heavy tails
by Hyung, Namwon & de Vries, Casper G.