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Content
2019, Volume 54, Issue C
2019, Volume 53, Issue C
- 1-14 Using extracted forward rate term structure information to forecast foreign exchange rates
by Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr
- 15-32 U.S. municipal yields and unfunded state pension liabilities
by Lekniūtė, Zina & Beetsma, Roel & Ponds, Eduard
- 33-52 Sovereign bond-backed securities: A VAR-for-VaR and marginal expected shortfall assessment
by De Sola Perea, Maite & Dunne, Peter G. & Puhl, Martin & Reininger, Thomas
- 53-69 Stock returns and real growth: A Bayesian nonparametric approach
by Yang, Qiao
- 70-90 Why female board representation matters: The role of female directors in reducing male CEO overconfidence
by Chen, Jie & Leung, Woon Sau & Song, Wei & Goergen, Marc
- 91-108 Cross-sectional return dispersion and currency momentum
by Eriksen, Jonas N.
- 109-125 Do the limit orders of proprietary and agency algorithmic traders discover or obscure security prices?
by Nawn, Samarpan & Banerjee, Ashok
- 126-143 Fat-finger event and risk-taking behavior
by Jin, Miao & Liu, Yu-Jane & Meng, Juanjuan
- 144-161 Alpha momentum and alpha reversal in country and industry equity indexes
by Zaremba, Adam & Umutlu, Mehmet & Karathanasopoulos, Andreas
- 162-180 A multiple regime extension to the Heston–Nandi GARCH(1,1) model
by Díaz-Hernández, Adán & Constantinou, Nick
- 181-196 The bank-sovereign nexus: Evidence from a non-bailout episode
by Caporin, Massimiliano & Natvik, Gisle J. & Ravazzolo, Francesco & Santucci de Magistris, Paolo
- 197-221 The role of technical indicators in exchange rate forecasting
by Panopoulou, Ekaterini & Souropanis, Ioannis
- 222-237 Exponential smoothing of realized portfolio weights
by Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel
- 238-256 How do disposition effect and anchoring bias interact to impact momentum in stock returns?
by Hur, Jungshik & Singh, Vivek
- 257-271 Debt specialization and performance of European firms
by Giannetti, Caterina
- 272-290 Bond and option prices with permanent shocks
by Al-Zoubi, Haitham A.
- 291-309 Overconfidence, position size, and the link to performance
by Forman, John & Horton, Joanne
- 310-330 Horizontal industry relationships and return predictability
by Schlag, Christian & Zeng, Kailin
2019, Volume 52, Issue C
- 1-21 Jump risk premia across major international equity markets
by Arouri, Mohamed & M’saddek, Oussama & Pukthuanthong, Kuntara
- 22-39 Fundamental strength and short-term return reversal
by Zhu, Zhaobo & Sun, Licheng & Chen, Min
- 40-55 Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
by Ma, Feng & Liao, Yin & Zhang, Yaojie & Cao, Yang
- 56-75 Behavioral biases of informed traders: Evidence from insider trading on the 52-week high
by Lee, Eunju & Piqueira, Natalia
- 76-91 Decomposing mutual fund alpha into security selection and security weighting
by Stark, Jeffrey R.
- 92-111 Frictional diversification costs: Evidence from a panel of fund of hedge fund holdings
by Joenväärä, Juha & Scherer, Bernd
- 112-127 Dividend growth and return predictability: A long-run re-examination of conventional wisdom
by Verdickt, Gertjan & Annaert, Jan & Deloof, Marc
- 128-148 The Fisher puzzle, real rate anomaly, and Wicksell effect
by Anari, Ali & Kolari, James
- 149-177 Order price clustering, size clustering, and stock price movements: Evidence from the Taiwan Stock Exchange
by Lien, Donald & Hung, Pi-Hsia & Hung, I-Chun
- 178-200 Risk changes and external financing activities: Tests of the dynamic trade-off theory of capital structure
by Dierker, Martin & Lee, Inmoo & Seo, Sung Won
- 201-219 On the robustness of the principal volatility components
by Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L.
- 220-236 Expected and realized returns in conditional asset pricing models: A new testing approach
by Antell, Jan & Vaihekoski, Mika
- 237-254 The role of analysts: An examination of the idiosyncratic volatility anomaly in the Chinese stock market
by Gu, Ming & Jiang, George J. & Xu, Bu
- 255-274 Are capital requirements on small business loans flawed?
by Bams, Dennis & Pisa, Magdalena & Wolff, Christian C.P.
2019, Volume 51, Issue C
- 1-16 Portfolio concentration and mutual fund performance
by Fulkerson, Jon A. & Riley, Timothy B.
- 17-27 Hierarchical GARCH
by Brownlees, Christian T.
- 28-43 Investor sentiment, SEO market timing, and stock price performance
by Chen, Yi-Wen & Chou, Robin K. & Lin, Chu-Bin
- 44-63 Why do institutions like corporate social responsibility investments? evidence from horizon heterogeneity
by Fu, Xudong & Tang, Tian & Yan, Xinyan
- 64-94 Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil
by Brandt, Michael W. & Gao, Lin
- 95-118 Consumption growth predictability and asset prices
by Roh, Tai-Yong & Lee, Changjun & Min, Byoung-Kyu
- 119-137 Financial literacy and household finances: A Bayesian two-part latent variable modeling approach
by Feng, Xiangnan & Lu, Bin & Song, Xinyuan & Ma, Shuang
- 138-148 Isolating the disaster risk premium with equity options
by Horvath, Jaroslav
- 149-164 Do institutional investors still encourage patent-based innovation after the tech bubble period?
by Chang, Hsiu-yun & Liang, Woan-lih & Wang, Yanzhi
2019, Volume 50, Issue C
- 1-19 Conditional tail-risk in cryptocurrency markets
by Borri, Nicola
- 20-42 Improved method for detecting acquirer fixed effects
by de Bodt, Eric & Cousin, Jean-Gabriel & Roll, Richard
- 43-56 Dispersion of beliefs, ambiguity, and the cross-section of stock returns
by Lee, Deok-Hyeon & Min, Byoung-Kyu & Kim, Tong Suk
- 57-77 The demand effect of yield-chasing retail investors: Evidence from the Chinese enterprise bond market
by Liu, Clark & Wang, Shujing & Wei, K.C. John & Zhong, Ninghua
- 78-92 In search of the optimal number of fund subgroups
by Yan, Cheng & Cheng, Tingting
- 93-112 Price effect and investor awareness: Evidence from MSCI Standard Index reconstitutions
by Chen, Hung-Ling & Shiu, Cheng-Yi & Wei, Hui-Shan
- 113-124 Dynamic portfolio allocation with time-varying jump risk
by Zhou, Chunyang & Wu, Chongfeng & Wang, Yudong
- 125-146 Optimal granularity for portfolio choice
by Branger, Nicole & Lučivjanská, Katarína & Weissensteiner, Alex
2018, Volume 49, Issue C
- 1-18 Relief Rallies after FOMC Announcements as a Resolution of Uncertainty
by Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova
- 19-38 Smart beta, smart money
by Chen, Qinhua & Chi, Yeguang
- 39-56 The re-pricing of sovereign risks following the Global Financial Crisis
by Malliaropulos, Dimitris & Migiakis, Petros
- 57-80 Stock liquidity and corporate diversification: Evidence from China’s split share structure reform
by Gu, Lifeng & Wang, Yixin & Yao, Wentao & Zhang, Yilin
- 81-106 Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds
by Cai, Biqing & Cheng, Tingting & Yan, Cheng
- 107-122 CRIX an Index for cryptocurrencies
by Trimborn, Simon & Härdle, Wolfgang Karl
- 123-141 Time-varying volatility and the power law distribution of stock returns
by Warusawitharana, Missaka
- 142-156 Managerial overconfidence and the buyback anomaly
by Andreou, Panayiotis C. & Cooper, Ilan & de Olalla Lopez, Ignacio Garcia & Louca, Christodoulos
- 157-177 Forecasting the term structure of option implied volatility: The power of an adaptive method
by Chen, Ying & Han, Qian & Niu, Linlin
- 178-200 Trading places: Price leadership and the competition for order flow
by Ibikunle, Gbenga
- 201-222 Limited attention and M&A announcements
by Reyes, Tomas
- 223-246 CAPM, components of beta and the cross section of expected returns
by Cenesizoglu, Tolga & Reeves, Jonathan J.
- 247-262 Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment
by Breckenfelder, Johannes & Schwaab, Bernd
- 263-281 Seasonality in the cross section of stock returns: Advanced markets versus emerging markets
by Li, Fengyun & Zhang, Huacheng & Zheng, Dazhi
2018, Volume 48, Issue C
- 1-18 Portfolio optimisation under flexible dynamic dependence modelling
by Bernardi, Mauro & Catania, Leopoldo
- 19-35 Modelling market implied ratings using LASSO variable selection techniques
by Sermpinis, Georgios & Tsoukas, Serafeim & Zhang, Ping
- 36-57 Bid–ask spread estimator from high and low daily prices: Practical implementation for corporate bonds
by Nieto, Belén
- 58-80 Conditional co-skewness and safe-haven currencies: A regime switching approach
by Chan, Kalok & Yang, Jian & Zhou, Yinggang
- 81-98 Relative spread and price discovery
by Aldrich, Eric M. & Lee, Seung
- 99-122 Macroeconomic determinants of the term structure: Long-run and short-run dynamics
by Doshi, Hitesh & Jacobs, Kris & Liu, Rui
- 123-139 A labor news hedge portfolio and the cross-section of expected stock returns
by Stotz, Olaf
- 140-161 Macroeconomic uncertainty and the distant forward-rate slope
by Connolly, Robert & Dubofsky, David & Stivers, Chris
- 162-180 Multivariate models with long memory dependence in conditional correlation and volatility
by Dark, Jonathan
- 181-197 World output gap and global stock returns
by Atanasov, Victoria
- 198-220 lCARE - localizing conditional autoregressive expectiles
by Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl
- 221-235 The rise before the close: Underwriter trading around SEOs
by Foley, Sean & Kwan, Amy & Low, Siyuan Adrian & Svec, Jiri
- 236-254 Female board representation, corporate innovation and firm performance
by Chen, Jie & Leung, Woon Sau & Evans, Kevin P.
- 255-278 The role of firm investment in momentum and reversal
by Mortal, Sandra C. & Schill, Michael J.
- 279-289 Bayesian tests of global factor models
by Fletcher, Jonathan
- 290-306 Testing for leverage effects in the returns of US equities
by Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo
- 307-320 Financial literacy and gender difference in loan performance
by Chen, Jia & Jiang, Jiajun & Liu, Yu-jane
- 321-340 Does meeting analysts’ forecasts matter in the private loan market?
by Chin, Chen-Lung & Chen, Mei-Hui & Yu, Po-Hsiang
- 341-356 S&P 500 inclusions and stock supply
by Schnitzler, Jan
- 357-373 ETF liquidation determinants
by Sherrill, D. Eli & Stark, Jeffrey R.
- 374-389 Simulating historical inflation-linked bond returns
by Swinkels, Laurens
2018, Volume 47, Issue C
- 1-24 A robust and powerful test of abnormal stock returns in long-horizon event studies
by Dutta, Anupam & Knif, Johan & Kolari, James W. & Pynnonen, Seppo
- 25-48 Prospect theory and corporate bond returns: An empirical study
by Zhong, Xiaoling & Wang, Junbo
- 49-64 Cash savings and capital markets
by McLean, R. David & Zhao, Mengxin
- 65-77 On the cyclicality of default rates of banks: A comparative study of the asset correlation and diversification effects
by Blümke, Oliver
- 78-89 Bank loan announcements and religious investors: Empirical evidence from Saudi Arabia
by Almansour, Abdullah & Ongena, Steven
- 90-104 Oil and the short-term predictability of stock return volatility
by Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo
- 105-119 Risk-based loan pricing consequences for credit unions
by Walke, Adam G. & Fullerton, Thomas M. & Tokle, Robert J.
- 120-138 Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule
by Wang, Jying-Nan & Du, Jiangze & Hsu, Yuan-Teng
- 139-161 Investor types and stock return volatility
by Che, Limei
- 162-189 Crash risk and risk neutral densities
by Chen, Ren-Raw & Hsieh, Pei-lin & Huang, Jeffrey
- 190-206 Portfolio construction and crowding
by Bruno, Salvatore & Chincarini, Ludwig B. & Ohara, Frank
- 207-228 The decomposition of jump risks in individual stock returns
by Xiao, Xiao & Zhou, Chen
- 229-245 The robust “maximum daily return effect as demand for lottery” and “idiosyncratic volatility puzzle”
by Egginton, Jared & Hur, Jungshik
- 246-262 A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
by Krüger, Steffen & Oehme, Toni & Rösch, Daniel & Scheule, Harald
2018, Volume 46, Issue C
- 1-10 Investment and profitability versus value and momentum: The price of residual risk
by Li, Yuming
- 11-33 “On the (Ab)use of Omega?”
by Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand
- 34-55 Behavioral biases in the corporate bond market
by Wei, Jason
- 56-76 The disciplinary effects of short sales on controlling shareholders
by Chen, Shenglan & Lin, Bingxuan & Lu, Rui & Ma, Hui
- 77-92 Market integration and financial linkages among stock markets in Pacific Basin countries
by Chevallier, Julien & Nguyen, Duc Khuong & Siverskog, Jonathan & Uddin, Gazi Salah
- 93-110 Opting out of good governance
by Foley, C. Fritz & Goldsmith-Pinkham, Paul & Greenstein, Jonathan & Zwick, Eric
- 111-129 Forecasting global stock market implied volatility indices
by Degiannakis, Stavros & Filis, George & Hassani, Hossein
- 130-145 Market timing over the business cycle
by Sander, Magnus
- 146-162 Default prediction models: The role of forward-looking measures of returns and volatility
by Miao, Hong & Ramchander, Sanjay & Ryan, Patricia & Wang, Tianyang
- 163-181 Empirical analysis of the international public covered bond market
by Gürtler, Marc & Neelmeier, Philipp
- 182-190 The “Cubic Law of the Stock Returns” in emerging markets
by Gu, Zhiye & Ibragimov, Rustam
- 191-209 The number of bank relationships and borrowing costs: The role of information asymmetries
by Bonfim, Diana & Dai, Qinglei & Franco, Francesco
2018, Volume 45, Issue C
- 1-25 Friendly boards and innovation
by Kang, Jun-Koo & Liu, Wei-Lin & Low, Angie & Zhang, Le
- 26-44 Macroeconomic determinants of stock market betas
by González, Mariano & Nave, Juan & Rubio, Gonzalo
- 45-58 Industry specific defaults
by Kwon, Tae Yeon & Lee, Yoonjung
- 59-67 Asymmetric attention and volatility asymmetry
by Dzieliński, Michał & Rieger, Marc Oliver & Talpsepp, Tõnn
- 68-83 Volatility in equity markets and monetary policy rate uncertainty
by Kaminska, Iryna & Roberts-Sklar, Matt
- 84-107 Information uncertainty and target valuation in mergers and acquisitions
by Li, Lin & Tong, Wilson H.S.
- 108-125 The valuation effects of investor attention in stock-financed acquisitions
by Adra, Samer & Barbopoulos, Leonidas G.
- 126-140 Equity premium predictions with many predictors: A risk-based explanation of the size and value factors
by Stivers, Adam
- 141-156 Momentum of return predictability
by Wang, Yudong & Liu, Li & Ma, Feng & Diao, Xundi
- 157-180 Operations in offshore financial centers and loan syndicate structure
by Ge, Wenxia & Kim, Jeong-Bon & Li, Tiemei & Li, Yutao
- 181-193 Hindsight effect: What are the actual cash flow timing skills of mutual fund investors?
by Muñoz, Fernando & Vicente, Ruth
- 194-211 CEO dividend protection
by Zhang, Dan
- 212-227 New evidence on asymmetric return–volume dependence and extreme movements
by Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao
- 228-242 Forecasting stock market returns by summing the frequency-decomposed parts
by Faria, Gonçalo & Verona, Fabio
- 243-268 A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors
by Tu, Anthony H. & Chen, Cathy Yi-Hsuan
- 269-282 Maximal predictability under long-term mean reversion
by Hjalmarsson, Erik
- 283-299 Residual momentum in Japan
by Chang, Rosita P. & Ko, Kuan-Cheng & Nakano, Shinji & Ghon Rhee, S.
- 300-315 Global macro risks in currency excess returns
by Berg, Kimberly A. & Mark, Nelson C.
2017, Volume 44, Issue C
- 1-18 Do wealthy investors have an informational advantage? Evidence based on account classifications of individual investors
by Li, Xindan & Geng, Ziyang & Subrahmanyam, Avanidhar & Yu, Honghai
- 19-35 Nonparametric estimates of pricing functionals
by Marinelli, Carlo & d’Addona, Stefano
- 36-42 Readability of financial advisor disclosures
by Lahtinen, Kyre Dane & Shipe, Stephan
- 43-65 Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks
by Xyngis, Georgios
- 66-90 Profitability of insider trading in Europe: A performance evaluation approach
by Gębka, Bartosz & Korczak, Adriana & Korczak, Piotr & Traczykowski, Jędrzej
- 91-107 Tail-risk hedging, dividend chasing, and investment constraints: The use of exchange-traded notes by mutual funds
by Rakowski, David & Shirley, Sara E. & Stark, Jeffrey R.
- 108-124 Level, structure, and volatility of financial development and inflation targeting
by Huang, Ho-Chuan (River) & Yeh, Chih-Chuan
- 125-144 Idiosyncratic returns and relative value in the US Treasury market
by Nielsen, Youngju & Pungaliya, Raunaq S.
- 145-157 Systemic risk with endogenous loss given default
by IJtsma, Pieter & Spierdijk, Laura
- 158-176 Using dynamic model averaging in state space representation with dynamic Occam’s window and applications to the stock and gold market
by Risse, Marian & Ohl, Ludwig
- 177-189 Rethinking cointegration and the expectation hypothesis of the term structure
by Li, Jing & Davis, George
- 190-208 A causal link between bond liquidity and stock returns
by Anderson, Mike
- 209-225 Forecasting the term structure of government bond yields in unstable environments
by Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris
- 237-249 The long and the short of convertible arbitrage: An empirical examination of arbitrageurs’ holding periods
by Marle, Mats van & Verwijmeren, Patrick
- 250-269 Diversification benefits of commodities: A stochastic dominance efficiency approach
by Daskalaki, Charoula & Skiadopoulos, George & Topaloglou, Nikolas
- 270-285 Does oil and gold price uncertainty matter for the stock market?
by Bams, Dennis & Blanchard, Gildas & Honarvar, Iman & Lehnert, Thorsten
- 286-303 The evolving beta-liquidity relationship of hedge funds
by Siegmann, Arjen & Stefanova, Denitsa
- 304-315 How some bankers made a million by trading just two securities?
by Rinne, Kalle & Suominen, Matti
2017, Volume 43, Issue C
- 1-32 Multiple risk measures for multivariate dynamic heavy–tailed models
by Bernardi, Mauro & Maruotti, Antonello & Petrella, Lea
- 33-42 The profitability of low-volatility
by Blitz, David & Vidojevic, Milan
- 43-58 Systematic cojumps, market component portfolios and scheduled macroeconomic announcements
by Chan, Kam Fong & Bowman, Robert G. & Neely, Christopher J.
- 59-73 Determinants of price discovery in the VIX futures market
by Chen, Yu-Lun & Tsai, Wei-Che
- 74-90 Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation
by Chakrabarty, Bidisha & Moulton, Pamela C. & Pascual, Roberto
- 91-114 The fundamental law of active management: Redux
by Ding, Zhuanxin & Martin, R. Douglas
- 115-129 International stock market comovement in time and scale outlined with a thick pen
by Jach, Agnieszka
- 130-142 Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model
by Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo
- 143-158 Funding liquidity, market liquidity and TED spread: A two-regime model
by Boudt, Kris & Paulus, Ellen C.S. & Rosenthal, Dale W.R.
- 159-184 Predicting international stock returns with conditional price-to-fundamental ratios
by Lawrenz, Jochen & Zorn, Josef
- 185-202 Governance mechanisms and effective activism: Evidence from shareholder proposals on poison pills
by Gine, Mireia & Moussawi, Rabih & Sedunov, John
2017, Volume 42, Issue C
- 1-14 Overreaction and the cross-section of returns: International evidence
by Blackburn, Douglas W. & Cakici, Nusret
- 15-39 Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors
by Kang, Byoung Uk & In, Francis & Kim, Tong Suk
- 40-65 Informed trading in S&P index options? Evidence from the 2008 financial crisis
by Li, Wei-Xuan & French, Joseph J. & Chen, Clara Chia-Sheng
- 66-89 Heterogeneous effect of the global financial crisis and the Great East Japan Earthquake on costs of Japanese banks
by Besstremyannaya, Galina
- 90-108 Earnings management before IPOs: Are institutional investors misled?
by Gao, Shenghao & Meng, Qingbin & Chan, Kam C. & Wu, Weixing
- 109-130 Systemic risk and cross-sectional hedge fund returns
by Hwang, Inchang & Xu, Simon & In, Francis & Kim, Tong Suk
- 131-154 Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?
by Nonejad, Nima
- 155-174 Finance conference quality and publication success: A conference ranking
by Reinartz, Sebastian J. & Urban, Daniel
- 175-198 Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates
by Fries, Christian P. & Nigbur, Tobias & Seeger, Norman
- 199-211 Foreign exchange predictability and the carry trade: A decomposition approach
by Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun
- 212-239 Can investor sentiment be a momentum time-series predictor? Evidence from China
by Han, Xing & Li, Youwei
- 240-255 Informed or speculative trading? Evidence from short selling before star and non-star analysts’ downgrade announcements in an emerging market
by Meng, Qingbin & Li, Ying & Jiang, Xuanyu & Chan, Kam C.
- 256-282 The cross-section of consumer lending risk
by Desai, Chintal Ajitbhai
2017, Volume 41, Issue C
- 1-18 Institutional investment in IPOs and post-IPO M&A activity
by Anderson, Christopher W. & Huang, Jian
- 19-30 Peer networks in venture capital
by Lee, Hoan Soo
- 31-52 A comparison of alternative cash flow and discount rate news proxies
by Khimich, Natalya
- 53-75 Consistent nonparametric specification tests for stochastic volatility models based on the return distribution
by Zu, Yang & Boswijk, H. Peter
- 76-95 Do progressive social norms affect economic outcomes? Evidence from corporate takeovers
by Chen, Yangyang & Podolski, Edward J. & Rhee, S. Ghon & Veeraraghavan, Madhu
- 96-115 Family ownership, country governance, and foreign portfolio investment
by Bodnaruk, Andriy & Massa, Massimo & Yadav, Vijay
- 118-139 Do short sellers exploit industry information?
by Huszár, Zsuzsa R. & Tan, Ruth S.K. & Zhang, Weina
- 140-160 The impact of fragmentation, exchange fees and liquidity provision on market quality
by Aitken, Michael & Chen, Haoming & Foley, Sean
- 161-186 Portfolio selection with mental accounts and estimation risk
by Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu
- 187-199 When no news is good news – The decrease in investor fear after the FOMC announcement
by Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza
2017, Volume 40, Issue C
- 1-19 Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
by Alexeev, Vitali & Dungey, Mardi & Yao, Wenying
- 20-38 Institutional ownership and aggregate volatility risk
by Barinov, Alexander
- 39-58 What drives the “Smart-Money” effect? Evidence from investors’ money flow to mutual fund classes
by Jiang, George J. & Yuksel, H. Zafer
- 59-72 Informed retail investors: Evidence from retail short sales
by Gamble, Keith Jacks & Xu, Wei
- 73-100 Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain
by Mihov, Atanas & Naranjo, Andy
- 101-120 Relation between higher order comoments and dependence structure of equity portfolio
by Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang
- 121-138 Improving the accuracy of asset price bubble start and end date estimators
by Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert
- 139-161 The success of option listings
by Bernales, Alejandro
- 162-173 Dynamic cross-autocorrelation in stock returns
by Kinnunen, Jyri
- 174-200 Marked Hawkes process modeling of price dynamics and volatility estimation
by Lee, Kyungsub & Seo, Byoung Ki
- 201-219 Return expectations and risk aversion heterogeneity in household portfolios
by Bucciol, Alessandro & Miniaci, Raffaele & Pastorello, Sergio
- 220-235 Earnings announcements and option returns
by Chung, Sung Gon & Louis, Henock
2016, Volume 39, Issue PB
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