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2017, Volume 75, Issue C
- 184-199 Bank productivity growth and convergence in the European Union during the financial crisis
by Degl'Innocenti, Marta & Kourtzidis, Stavros A. & Sevic, Zeljko & Tzeremes, Nickolaos G.
- 200-214 Corporate liquidity and dividend policy under uncertainty
by Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos
- 215-234 The asymmetric effect of international swap lines on banks in emerging markets
by Andrieș, Alin Marius & Fischer, Andreas M. & Yeșin, Pınar
- 235-257 Competition in the credit rating Industry: Benefits for investors and issuers
by Morkoetter, Stefan & Stebler, Roman & Westerfeld, Simone
- 258-279 Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method
by Mensi, Walid & Hammoudeh, Shawkat & Shahzad, Syed Jawad Hussain & Shahbaz, Muhammad
- 280-291 Corporate social responsibility and CEO confidence
by McCarthy, Scott & Oliver, Barry & Song, Sizhe
- 292-311 The Liquidity Coverage Ratio and security prices
by Fuhrer, Lucas Marc & Müller, Benjamin & Steiner, Luzian
2017, Volume 74, Issue C
- 1-23 Information environment and earnings management of dual class firms around the world
by Li, Ting & Zaiats, Nataliya
- 24-37 The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe
by Allegret, Jean-Pierre & Raymond, Hélène & Rharrabti, Houda
- 38-50 One-sided performance measures under Gram-Charlier distributions
by León, Angel & Moreno, Manuel
- 51-68 Organizational structure, risk-based capital requirements, and the sales of downgraded bonds
by Lu, Erin P. & Lai, Gene C. & Ma, Qingzhong
- 69-84 The international effect of managerial social capital on the cost of equity
by Ferris, Stephen P. & Javakhadze, David & Rajkovic, Tijana
- 85-101 Do Delaware CEOs get fired?
by Jagannathan, Murali & Pritchard, A.C.
- 102-121 Accounting for banks, capital regulation and risk-taking
by Li, Jing
- 122-132 Surprised or not surprised? The investors’ reaction to the comprehensive assessment preceding the launch of the banking union
by Carboni, Marika & Fiordelisi, Franco & Ricci, Ornella & Lopes, Francesco Saverio Stentella
- 133-152 Special purpose entities and bank loan contracting
by Kim, Jeong-Bon & Song, Byron Y. & Wang, Zheng
- 153-168 Excess reserves, monetary policy and financial volatility
by Primus, Keyra
2016, Volume 73, Issue C
- 1-15 Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns
by Cao, Jie & Han, Bing
- 16-37 The impact of non-interest income on bank risk in Australia
by Williams, Barry
- 38-54 Investment risk allocation and the venture capital exit market: Evidence from early stage investing
by Chaplinsky, Susan & Gupta-Mukherjee, Swasti
- 55-66 Debit card and demand for cash
by David, Bounie & Abel, François & Patrick, Waelbroeck
- 67-83 Credit derivatives as a commitment device: Evidence from the cost of corporate debt
by Kim, Gi H.
- 84-98 Analyst coverage and corporate tax aggressiveness
by Allen, Arthur & Francis, Bill B. & Wu, Qiang & Zhao, Yijiang
- 99-112 Sovereign debt ratings and stock liquidity around the World
by Lee, Kuan-Hui & Sapriza, Horacio & Wu, Yangru
- 113-130 Locus of control and savings
by Cobb-Clark, Deborah A. & Kassenboehmer, Sonja C. & Sinning, Mathias G.
- 131-146 Family control and corporate social responsibility
by El Ghoul, Sadok & Guedhami, Omrane & Wang, He & Kwok, Chuck C.Y.
- 147-164 Stock return predictability and investor sentiment: A high-frequency perspective
by Sun, Licheng & Najand, Mohammad & Shen, Jiancheng
- 165-181 The sensitivity of VPIN to the choice of trade classification algorithm
by Pöppe, Thomas & Moos, Sebastian & Schiereck, Dirk
- 182-197 Investment-cash flow sensitivity and financial constraints: Evidence from unquoted European SMEs
by Mulier, Klaas & Schoors, Koen & Merlevede, Bruno
- 198-210 The policy impact of new rules for loan participation on credit union returns
by Goenner, Cullen F
- 211-223 Trading book and credit risk: How fundamental is the Basel review?
by Laurent, Jean-Paul & Sestier, Michael & Thomas, Stéphane
2016, Volume 72, Issue S
- 6-18 What drives cross-border M&As in commercial banking?
by Gulamhussen, Mohamed Azzim & Hennart, Jean-François & Pinheiro, Carlos Manuel
- 19-38 Economic consequences of deregulation: Evidence from the removal of voting cap in Indian banks
by Ghosh, Chinmoy & Hilliard, James & Petrova, Milena & Phani, B.V.
- 39-69 How do banks make the trade-offs among risks? The role of corporate governance
by Chen, Hsiao-Jung & Lin, Kuan-Ting
- 70-80 Trademarking activities and total factor productivity: Some evidence for British commercial banks using a metafrontier approach
by Duygun, Meryem & Sena, Vania & Shaban, Mohamed
- 81-91 The economic value of controlling for large losses in portfolio selection
by Dias, Alexandra
- 92-103 The determinants of failed takeovers in the banking sector: Deal or country characteristics?
by Caiazza, Stefano & Pozzolo, Alberto Franco
- 104-118 Momentum and downside risk
by Min, Byoung-Kyu & Kim, Tong Suk
- 119-131 Chasing trends at the micro-level: The effect of technical trading on order book dynamics
by Chiarella, Carl & Ladley, Daniel
- 132-147 Managers set the tone: Equity incentives and the tone of earnings press releases
by Arslan-Ayaydin, Özgür & Boudt, Kris & Thewissen, James
- 148-171 Bank integration and co-movements across housing markets
by Milcheva, Stanimira & Zhu, Bing
- 172-186 Disagreement versus uncertainty: Evidence from distribution forecasts
by Krüger, Fabian & Nolte, Ingmar
- 187-202 What is the impact of bankrupt and restructured loans on Japanese bank efficiency?
by Mamatzakis, Emmanuel & Matousek, Roman & Vu, Anh Nguyet
- 203-215 Active risk management and banking stability
by Silva Buston, Consuelo
- 216-232 Multivariate moments expansion density: Application of the dynamic equicorrelation model
by Ñíguez, Trino-Manuel & Perote, Javier
2016, Volume 72, Issue C
- 15-27 Some defaults are deeper than others: Understanding long-term mortgage arrears
by Kelly, Robert & McCann, Fergal
- 28-51 Financial innovation: The bright and the dark sides
by Beck, Thorsten & Chen, Tao & Lin, Chen & Song, Frank M.
- 52-66 Taxing banks: An evaluation of the German bank levy
by Buch, Claudia M. & Hilberg, Björn & Tonzer, Lena
- 67-80 Credit constraints and the international propagation of US financial shocks
by Metiu, Norbert & Hilberg, Björn & Grill, Michael
- 81-98 Valuation uncertainty, market sentiment and the informativeness of institutional trades
by Yang, Lisa (Zongfei) & Goh, Jeremy & Chiyachantana, Chiraphol
- 99-120 Credible reforms and stock return volatility: Evidence from privatization
by Cosset, Jean-Claude & Somé, Hyacinthe Y. & Valéry, Pascale
- 121-132 Evaluating Value-at-Risk forecasts: A new set of multivariate backtests
by Wied, Dominik & Weiß, Gregor N.F. & Ziggel, Daniel
- 133-150 Commodities momentum: A behavioral perspective
by Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua
- 151-174 Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure
by Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju
- 175-183 Ireland’s 2010 EU/IMF intervention: Costs and benefits
by van Bekkum, Sjoerd
- 184-200 Customer concentration and corporate tax avoidance
by Huang, Henry He & Lobo, Gerald J. & Wang, Chong & Xie, Hong
- 201-217 Mortgage risks, debt literacy and financial advice
by van Ooijen, Raun & van Rooij, Maarten C.J.
- 218-239 Risk and risk management in the credit card industry
by Butaru, Florentin & Chen, Qingqing & Clark, Brian & Das, Sanmay & Lo, Andrew W. & Siddique, Akhtar
- 240-254 Cash flow news, discount rate news, and momentum
by Celiker, Umut & Kayacetin, Nuri Volkan & Kumar, Raman & Sonaer, Gokhan
2016, Volume 71, Issue C
- 1-19 Excess value and restructurings by diversified firms
by Hovakimian, Gayané
- 20-36 The predictive performance of commodity futures risk factors
by Ahmed, Shamim & Tsvetanov, Daniel
- 37-49 Voluntary monthly earnings disclosures and analyst behavior
by Tsao, Shou-Min & Lu, Hsueh-Tien & Keung, Edmund C.
- 50-61 Stock returns and future tense language in 10-K reports
by Karapandza, Rasa
- 62-74 Reducing the impact of real estate foreclosures with Amortizing Participation Mortgages
by Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B.
- 75-94 Sensitivity to investor sentiment and stock performance of open market share repurchases
by Liang, Woan-lih
- 95-108 Limited deposit insurance coverage and bank competition
by Shy, Oz & Stenbacka, Rune & Yankov, Vladimir
- 109-118 Do traders strategically time their pledges during real-world Walrasian auctions?
by Eaves, James & Williams, Jeffrey & Power, Gabriel J.
- 119-132 The pricing of different dimensions of liquidity: Evidence from government guaranteed bonds
by Black, Jeffrey R. & Stock, Duane & Yadav, Pradeep K.
- 133-153 State ownership, cross-border acquisition, and risk-taking: Evidence from China’s banking industry
by Zhu, Wenyu & Yang, Jiawen
- 154-167 Product diversification and bank performance: Does ownership structure matter?
by Saghi-Zedek, Nadia
- 168-182 US bank credit spreads during the financial crisis
by Spencer, Peter
- 183-205 Derivatives usage, securitization, and the crash sensitivity of bank stocks
by Trapp, Rouven & Weiß, Gregor N.F.
- 206-226 Market makers’ optimal price-setting policy for exchange-traded certificates
by Baller, Stefanie & Entrop, Oliver & McKenzie, Michael & Wilkens, Marco
- 227-239 Bullish/bearish/neutral strategies under short sale restrictions
by Bae, Kwangil & Kang, Jangkoo & Lee, Soonhee
2016, Volume 70, Issue C
- 1-22 Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests
by Koliai, Lyes
- 23-37 Characteristics-based portfolio choice with leverage constraints
by Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip
- 38-54 CEO inside debt and corporate debt maturity structure
by Dang, Viet A. & Phan, Hieu V.
- 55-69 Predictability in bond returns using technical trading rules
by Shynkevich, Andrei
- 70-85 Religiosity and the cost of debt
by Chen, Hanwen & Huang, Henry He & Lobo, Gerald J. & Wang, Chong
- 86-104 Qualified residential mortgages and default risk
by Floros, Ioannis & White, Joshua T.
- 105-117 Does institutional shareholder activism stimulate corporate information flow?
by Prevost, Andrew K. & Wongchoti, Udomsak & Marshall, Ben R.
- 118-136 Systematic limited arbitrage and the cross-section of stock returns: Evidence from exchange traded funds
by DeLisle, R. Jared & McTier, Brian C. & Smedema, Adam R.
- 137-159 Greed or good deeds: An examination of the relation between corporate social responsibility and the financial performance of U.S. commercial banks around the financial crisis
by Cornett, Marcia Millon & Erhemjamts, Otgontsetseg & Tehranian, Hassan
- 160-176 Does director-level reputation matter? Evidence from bank loan contracting
by Lin, Zhijun & Song, Byron Y. & Tian, Zhimin
- 177-192 Does Basel II affect the market valuation of discretionary loan loss provisions?
by Hamadi, Malika & Heinen, Andréas & Linder, Stefan & Porumb, Vlad-Andrei
- 193-213 Risk protection from risky collateral: Evidence from the euro bond market
by Helberg, Stig & Lindset, Snorre
- 214-234 Are there exploitable trends in commodity futures prices?
by Han, Yufeng & Hu, Ting & Yang, Jian
- 235-246 Myopic loss aversion and stock investments: An empirical study of private investors
by Lee, Boram & Veld-Merkoulova, Yulia
- 247-264 The information role of advisors in mergers and acquisitions: Evidence from acquirers hiring targets’ ex-advisors
by Chang, Xin & Shekhar, Chander & Tam, Lewis H.K. & Yao, Jiaquan
2016, Volume 69, Issue S1
- 10-24 How capital regulation and other factors drive the role of shadow banking in funding short-term business credit
by Duca, John V.
- 25-34 Bank size, capital, and systemic risk: Some international evidence
by Laeven, Luc & Ratnovski, Lev & Tong, Hui
- 35-55 Assessing financial stability: The Capital and Loss Assessment under Stress Scenarios (CLASS) model
by Hirtle, Beverly & Kovner, Anna & Vickery, James & Bhanot, Meru
- 56-69 Banks and capital requirements: Channels of adjustment
by Cohen, Benjamin H. & Scatigna, Michela
2016, Volume 69, Issue C
- 1-19 National culture and the cost of debt
by Chui, Andy C.W. & Kwok, Chuck C.Y. & (Stephen) Zhou, Gaoguang
- 20-36 Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests
by Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng
- 37-51 Local bank competition and small business lending after the onset of the financial crisis
by Sääskilahti, Jaakko
- 52-71 Stock ownership guidelines for CEOs: Do they (not) meet expectations?
by Benson, Bradley W. & Lian, Qin & Wang, Qiming
- 72-83 Jump and variance risk premia in the S&P 500
by Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin
- 84-94 Information stages in efficient markets
by AitSahlia, Farid & Yoon, Joon-Hui
- 95-107 Do corporate policies follow a life-cycle?
by Faff, Robert & Kwok, Wing Chun & Podolski, Edward J. & Wong, George
- 108-120 Multiperiod portfolio optimization with multiple risky assets and general transaction costs
by Mei, Xiaoling & DeMiguel, Victor & Nogales, Francisco J.
2016, Volume 68, Issue C
- 1-11 Financial development and the effectiveness of monetary policy
by Ma, Yong & Lin, Xingkai
- 12-28 Why do traders choose dark markets?
by Garvey, Ryan & Huang, Tao & Wu, Fei
- 29-46 Credit and liquidity in interbank rates: A quadratic approach
by Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume
- 47-56 Out of sight, out of mind? On the risk of sub-custodian structures
by Droll, Thomas & Podlich, Natalia & Wedow, Michael
- 57-68 Profit shifting and tax response of multinational banks
by Merz, Julia & Overesch, Michael
- 69-83 Voluntary disclosure of corporate venture capital investments
by Mohamed, Abdulkadir & Schwienbacher, Armin
- 84-99 Pricing effects when competitors arrive: The case of discount certificates in Germany
by Schertler, Andrea
- 100-116 The impact of news articles and corporate disclosure on credit risk valuation
by Tsai, Feng-Tse & Lu, Hsin-Min & Hung, Mao-Wei
- 117-130 Foster–Hart optimal portfolios
by Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin
- 131-152 Earnings management, capital structure, and the role of institutional environments
by An, Zhe & Li, Donghui & Yu, Jin
- 153-161 Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?
by Isshaq, Zangina & Faff, Robert
- 162-178 An index-based measure of liquidity
by Chacko, George & Das, Sanjiv & Fan, Rong
- 179-194 Financial constraints and international trade with endogenous mode of competition
by Bouët, Antoine & Vaubourg, Anne-Gaël
- 195-215 How does pricing affect investors’ product choice? Evidence from the market for discount certificates
by Entrop, Oliver & Fischer, Georg & McKenzie, Michael & Wilkens, Marco & Winkler, Christoph
- 216-235 TARP and the long-term perception of risk
by Semaan, Elias & Drake, Pamela Peterson
- 236-250 Long-term industry reversals
by Wu, Yuliang & Mazouz, Khelifa
- 251-265 The social costs and benefits of too-big-to-fail banks: A “bounding” exercise
by Boyd, John H. & Heitz, Amanda
- 266-278 On stability of operational risk estimates by LDA: From causes to approaches
by Zhou, Xiaoping & Durfee, Antonina V. & Fabozzi, Frank J.
2016, Volume 67, Issue C
- 1-11 Currency momentum, carry trade, and market illiquidity
by Orlov, Vitaly
- 12-22 Early-stage entrepreneurial financing: A signaling perspective
by Kim, Jin-Hyuk & Wagman, Liad
- 23-36 Effect of the Basel Accord capital requirements on the loan-loss provisioning practices of Australian banks
by Cummings, James R. & Durrani, Kassim J.
- 37-52 Credit spread variability in the U.S. business cycle: The Great Moderation versus the Great Recession
by Hollander, Hylton & Liu, Guangling
- 53-68 Family control and loan collateral: Evidence from China
by Pan, Xiaofei & Tian, Gary Gang
- 69-84 The effect of social screening on bond mutual fund performance
by Henke, Hans-Martin
- 85-102 Evaluating the robustness of UK term structure decompositions using linear regression methods
by Malik, Sheheryar & Meldrum, Andrew
- 103-118 What do asset prices have to say about risk appetite and uncertainty?
by Bekaert, Geert & Hoerova, Marie
- 119-134 Systematic multi-period stress scenarios with an application to CCP risk management
by De Genaro, Alan
- 135-145 Estimating the risk-return trade-off with overlapping data inference
by Hedegaard, Esben & Hodrick, Robert J.
2016, Volume 66, Issue C
- 1-18 Financial distress and the Malaysian dual baking system: A dynamic slacks approach
by Wanke, Peter & Azad, Md. Abul Kalam & Barros, Carlos Pestana
- 19-34 Pricing and hedging of derivatives in contagious markets
by Kokholm, Thomas
- 35-52 The determinants of global bank lending: Evidence from bilateral cross-country data
by Aysun, Uluc & Hepp, Ralf
- 53-65 Seasonal Stochastic Volatility: Implications for the pricing of commodity options
by Arismendi, Juan C. & Back, Janis & Prokopczuk, Marcel & Paschke, Raphael & Rudolf, Markus
- 66-78 Multiple blockholders, power, and firm value
by Basu, Nilanjan & Paeglis, Imants & Rahnamaei, Mohammad
- 79-88 The level effect of bank lending standards on business lending
by van der Veer, Koen J.M. & Hoeberichts, Marco M.
- 89-101 Stock market volatility and business cycle: Evidence from linear and nonlinear causality tests
by Choudhry, Taufiq & Papadimitriou, Fotios I. & Shabi, Sarosh
- 102-125 Does deposit insurance retard the development of non-bank financial markets?
by Bergbrant, Mikael C. & Campbell, Kaysia T. & Hunter, Delroy M. & Owers, James E.
- 126-142 Does the buck stop here? A comparison of withdrawals from money market mutual funds with floating and constant share prices
by Witmer, Jonathan
- 143-161 Do banks actively manage their liquidity?
by DeYoung, Robert & Jang, Karen Y.
2016, Volume 65, Issue C
- 1-26 The informational content of the embedded deflation option in TIPS
by Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing
- 27-40 When does the stock market listen to economic news? New evidence from copulas and news wires
by Medovikov, Ivan
- 41-58 Too-international-to-fail? Supranational bank resolution and market discipline
by Górnicka, Lucyna A. & Zoican, Marius A.
- 59-75 The role of bank relationships when firms are financially distressed
by Höwer, Daniel
- 76-90 The MAX effect: An exploration of risk and mispricing explanations
by Zhong, Angel & Gray, Philip
- 91-107 Institutional stock ownership and firms’ cash dividend policies: Evidence from China
by Firth, Michael & Gao, Jin & Shen, Jianghua & Zhang, Yuanyuan
- 108-119 Adverse selection, market access, and inter-market competition
by Hoffmann, Peter
- 120-133 The evolution of debt policies: New evidence from business startups
by Hanssens, Jürgen & Deloof, Marc & Vanacker, Tom
- 134-155 A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
by Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K.
2016, Volume 64, Issue C
- 1-15 Do hedge funds dynamically manage systematic risk?
by Namvar, Ethan & Phillips, Blake & Pukthuanthong, Kuntara & Raghavendra Rau, P.
- 16-35 The white squire defense: Evidence from private investments in public equity
by Chen, Sheng-Syan & Hsu, Ching-Yu & Huang, Chia-Wei
- 36-51 Do outside directors influence the financial performance of risk-trading firms? Evidence from the United Kingdom (UK) insurance industry
by Adams, Mike & Jiang, Wei
- 52-70 A test of efficiency for the S&P 500 index option market using the generalized spectrum method
by Huang, Henry H. & Wang, Kent & Wang, Zhanglong
- 71-89 Firm geographic dispersion and financial analysts’ forecasts
by Platikanova, Petya & Mattei, Marco Maria
- 90-100 The relation between sovereign credit rating revisions and economic growth
by Chen, Sheng-Syan & Chen, Hsien-Yi & Chang, Chong-Chuo & Yang, Shu-Ling
- 101-111 An efficient and functional model for predicting bank distress: In and out of sample evidence
by Cleary, Sean & Hebb, Greg
- 112-135 Forecasting distress in European SME portfolios
by Filipe, Sara Ferreira & Grammatikos, Theoharry & Michala, Dimitra
- 136-149 Forecasting realized volatility in a changing world: A dynamic model averaging approach
by Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng
- 150-168 Supply-chain spillover effects of IPOs
by Kutsuna, Kenji & Smith, Janet Kiholm & Smith, Richard & Yamada, Kazuo
- 169-187 Description-text related soft information in peer-to-peer lending – Evidence from two leading European platforms
by Dorfleitner, Gregor & Priberny, Christopher & Schuster, Stephanie & Stoiber, Johannes & Weber, Martina & de Castro, Ivan & Kammler, Julia
- 188-204 Assessing the information content of short-selling metrics using daily disclosures
by Comerton-Forde, Carole & Do, Binh Huu & Gray, Philip & Manton, Tom
- 205-215 Religion and bank loan terms
by He, Wen & Hu, Maggie (Rong)
- 216-231 The influence of FOMC member characteristics on the monetary policy decision-making process
by Smales, Lee A. & Apergis, Nick
2016, Volume 63, Issue C
- 1-24 An econometric evaluation of bank recapitalization programs with bank- and loan-level data
by Nakashima, Kiyotaka
- 25-34 The effects of corporate bond granularity
by Norden, Lars & Roosenboom, Peter & Wang, Teng
- 35-47 Corporate finance and the governance implications of removing government support programs
by Jacob, Martin & Johan, Sofia & Schweizer, Denis & Zhan, Feng
- 48-60 Non-performing loans, moral hazard and regulation of the Chinese commercial banking system
by Zhang, Dayong & Cai, Jing & Dickinson, David G. & Kutan, Ali M.
- 61-75 Bribe payments under regulatory decentralization: Evidence from rights offering regulations in China
by Liu, Ye & An, Yunbi & Zhang, Jinqing
- 76-94 Why do carbon prices and price volatility change?
by Ibrahim, Boulis Maher & Kalaitzoglou, Iordanis Angelos
- 95-106 Are foreign IPOs really foreign? Price efficiency and information asymmetry of Chinese foreign IPOs
by Tourani-Rad, Alireza & Gilbert, Aaron & Chen, Jun
- 107-125 The systemic risk of European banks during the financial and sovereign debt crises
by Black, Lamont & Correa, Ricardo & Huang, Xin & Zhou, Hao
- 126-145 Transaction costs, liquidity risk, and the CCAPM
by Liu, Weimin & Luo, Di & Zhao, Huainan
2016, Volume 62, Issue C
- 1-14 Early influences on saving behaviour: Analysis of British panel data
by Brown, Sarah & Taylor, Karl
- 15-27 Estimating the impact of changes in aggregate bank capital requirements on lending and growth during an upswing
by Noss, Joseph & Toffano, Priscilla
- 28-40 Investment–cash flow sensitivity under changing information asymmetry
by Chowdhury, Jaideep & Kumar, Raman & Shome, Dilip
- 41-61 Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds
by Racicot, François-Éric & Théoret, Raymond
- 62-75 How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
by Konstantinidi, Eirini & Skiadopoulos, George
- 76-96 Downside and upside risk spillovers between exchange rates and stock prices
by Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea
- 97-111 Equity trading and the allocation of market data revenue
by Caglio, Cecilia & Mayhew, Stewart
- 112-125 Pricing and hedging American and hybrid strangles with finite maturity
by Laminou Abdou, Souleymane & Moraux, Franck
- 126-140 An analysis of euro area sovereign CDS and their relation with government bonds
by Fontana, Alessandro & Scheicher, Martin
- 141-151 Unexpected shortfalls of Expected Shortfall: Extreme default profiles and regulatory arbitrage
by Koch-Medina, Pablo & Munari, Cosimo
- 152-163 Fragility, stress, and market returns
by Berger, Dave & Pukthuanthong, Kuntara
- 164-179 The information content of the sentiment index
by Sibley, Steven E. & Wang, Yanchu & Xing, Yuhang & Zhang, Xiaoyan
- 180-190 Shadow economies at times of banking crises: Empirics and theory
by Colombo, Emilio & Onnis, Luisanna & Tirelli, Patrizio
- 191-212 Flight-to-quality and correlation between currency and stock returns
by Cho, Jin-Wan & Choi, Joung Hwa & Kim, Taeyong & Kim, Woojin
2015, Volume 61, Issue S2
- 101-120 Option valuation with observable volatility and jump dynamics
by Christoffersen, Peter & Feunou, Bruno & Jeon, Yoontae
- 121-131 New methodology for constructing real estate price indices applied to the Singapore residential market
by Jiang, Liang & Phillips, Peter C.B. & Yu, Jun
- 132-149 Multi-factor volatility and stock returns
by He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng
- 150-163 Time-varying effect of oil market shocks on the stock market
by Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan
- 164-176 Yes, one-day international cricket ‘in-play’ trading strategies can be profitable!
by Norton, Hugh & Gray, Steve & Faff, Robert
- 177-188 Factor models for binary financial data
by Perez, M. Fabricio & Shkilko, Andriy & Sokolov, Konstantin
- 189-204 Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model
by Shi, Yanlin & Ho, Kin-Yip
- 205-224 Estimating the price impact of trades in a high-frequency microstructure model with jumps
by Jondeau, Eric & Lahaye, Jérôme & Rockinger, Michael
- 225-234 Linear programming-based estimators in nonnegative autoregression
by Preve, Daniel
- 235-240 On comparing zero-alpha tests across multifactor asset pricing models
by De Moor, Lieven & Dhaene, Geert & Sercu, Piet
- 241-255 Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions
by Anufriev, Mikhail & Panchenko, Valentyn
- 256-268 Which continuous-time model is most appropriate for exchange rates?
by Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J.
- 269-285 Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
by Dark, Jonathan
2015, Volume 61, Issue S1