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Content
2012, Volume 9, Issue 1
- 1-7 Risk aversion under preference uncertainty
by Kräussl, Roman & Lucas, André & Siegmann, Arjen
- 8-20 Foreign exposure through domestic equities
by Cai, Fang & Warnock, Francis E.
- 21-28 Wealth dynamics and a bias toward momentum trading
by LeBaron, Blake
- 29-35 Negotiating M&As under uncertainty: The influence of managerial flexibility on the first-mover advantage
by Lukas, Elmar & Welling, Andreas
- 36-47 Investor sentiment and stock returns: Wenchuan Earthquake
by Shan, Liwei & Gong, Stephen X.
- 48-56 A jump-diffusion approach to modelling vulnerable option pricing
by Xu, Weidong & Xu, Weijun & Li, Hongyi & Xiao, Weilin
2011, Volume 8, Issue 4
- 171-179 Housing prices and the optimal time-on-the-market decision
by İnaltekin, Hazer & Jarrow, Robert A. & Sağlam, Mehmet & Yıldırım, Yıldıray
- 180-187 Insider rates versus outsider rates in lending
by Black, Lamont K.
- 188-195 Corporate risk management and dividend signaling theory
by Dionne, Georges & Ouederni, Karima
- 196-205 Nonparametric estimation and testing of stochastic discount factor
by Fang, Ying & Ren, Yu & Yuan, Yufei
- 206-212 Fast approximations of bond option prices under CKLS models
by Tangman, D.Y. & Thakoor, N. & Dookhitram, K. & Bhuruth, M.
- 213-219 CAPM option pricing
by Husmann, Sven & Todorova, Neda
- 220-226 Computing American option prices in the lognormal jump–diffusion framework with a Markov chain
by Simonato, Jean-Guy
September 2011, Volume 8, Issue 3
- 112-119 Measuring price discovery: The variance ratio, the R2, and the weighted price contribution
by Jos, van Bommel
- 120-131 Gold and the US dollar: Hedge or haven?
by Mark, Joy
- 132-145 Endogenous leverage and expected stock returns
by Johnson, T.C. & Chebonenko, T. & Cunha, I. & D'Almeida, F. & Spencer, X.
- 146-157 Cross hedging single stock with American Depositary Receipt and stock index futures
by Lee, Hsiang-Tai & Tsang, Wei-Lun
- 158-162 The random-walk behavior of the Euro exchange rate
by Chortareas, Georgios & Jiang, Ying & Nankervis, John C.
- 163-170 The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps
by Delis, Manthos D. & Mylonidis, Nikolaos
June 2011, Volume 8, Issue 2
- 52-58 A note on reward-risk portfolio selection and two-fund separation
by De Giorgi, Enrico & Hens, Thorsten & Mayer, Janos
- 59-68 Value at Risk and Expected Shortfall for large portfolios
by Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt
- 69-76 Financial volatility forecasting with range-based autoregressive volatility model
by Li, Hongquan & Hong, Yongmiao
- 77-87 Robust estimation of skewness and kurtosis in distributions with infinite higher moments
by Bonato, Matteo
- 88-100 A note on operating leverage and expected rates of return
by Guthrie, Graeme
- 101-109 A note on the predictability of excess bond returns and regime shifts
by Zhu, Xiaoneng
March 2011, Volume 8, Issue 1
- 2-7 Credit market equilibrium theory and evidence: Revisiting the structural versus reduced form credit risk model debate
by Jarrow, Robert A.
- 8-14 The critical stock price for the American put option
by Chung, Y. Peter & Johnson, Herb & Polimenis, Vassilis
- 15-20 Extendible options: The general case
by Chung, Y. Peter & Johnson, Herb
- 21-27 Testing the managerial timing ability: Evidence from stock repurchases in Japan
by Ishikawa, Masaya & Takahashi, Hidetomo
- 28-36 Optimal capital structure and investment options in finite horizon
by Agliardi, Elettra & Koussis, Nicos
- 37-44 Liquidity constraints and occupational choice
by Giannetti, Mariassunta
- 45-50 On European monetary integration and the persistence of real effective exchange rates
by Kruse, Robinson
December 2010, Volume 7, Issue 4
- 193-201 Informed lending as a deterrent to predation
by Marquez, Robert
- 202-213 Investment commitment and the valuation of underwriting agreements for rights issues
by Anjos, Fernando
- 214-223 Does the weather affect stock market volatility?
by Symeonidis, Lazaros & Daskalakis, George & Markellos, Raphael N.
- 224-231 Robust general equilibrium under stochastic volatility model
by Xu, Weidong & Wu, Chongfeng & Li, Hongyi
- 232-237 Risk-shifting and investment asymmetry
by Eisdorfer, Assaf
- 238-245 Do tax benefits conferred to Sub-S banks affect their deposit or loan rates?
by Depken II, Craig A. & Hollans, Harris & Swidler, Steve
September 2010, Volume 7, Issue 3
- 135-139 Understanding the risk of leveraged ETFs
by Jarrow, Robert A.
- 140-147 A random effects ordered probit model for rating migrations
by Alsakka, Rasha & ap Gwilym, Owain
- 148-162 Modeling the contemporaneous duration dependence for high-frequency stock prices
by Chu, Ba & Voia, Marcel
- 163-169 Fluctuation dynamics in US interest rates and the role of monetary policy
by Cajueiro, Daniel O. & Tabak, Benjamin M.
- 170-177 A note on wealth effect under CARA utility
by Makarov, Dmitry & Schornick, Astrid V.
- 178-183 Applying a factor copula to value basket credit linked notes with issuer default risk
by Wu, Po-Cheng
- 184-191 Correcting microstructure comovement biases for integrated covariance
by Yeh, Jin-Huei & Wang, Jying-Nan
June 2010, Volume 7, Issue 2
- 72-79 A simple robust model for Cat bond valuation
by Jarrow, Robert A.
- 80-85 Does firm heterogeneity lead to differences in relative executive compensation?
by Albuquerque, Ana
- 86-97 Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations
by Haas, Markus
- 98-102 Some properties of subjective probabilities induced by optimal expectations
by Iwaki, Hideki & Osaki, Yusuke
- 103-109 A regime-switching term structure model with observable state variables
by Ferland, René & Gauthier, Geneviève & Lalancette, Simon
- 110-118 On a variational formulation used in credit risk modeling
by Pacelli, Graziella & Ballestra, Luca Vincenzo
- 119-126 Financial distress, information asymmetry, and syndicate structure: Evidence from Japanese borrowers
by Lee, Sang Whi & Kwag, Seung-Woog (Austin) & Mullineaux, Donald J. & Park, Kwangwoo
- 127-134 Corporate governance and leverage: Evidence from a natural experiment
by Arping, Stefan & Sautner, Zacharias
March 2010, Volume 7, Issue 1
- 1-1 Editorial for Challenge
by Gençay, Ramo & Yaron, Amir & Hackbarth, Dirk & Eisfeldt, Andrea
- 2-7 The leverage of hedge funds
by Titman, Sheridan
- 8-13 Hedging in a HJM model
by Jarrow, Robert A.
- 14-23 A simulation-based algorithm for American executive stock option valuation
by León, Angel & Vaello-Sebastià, Antoni
- 24-28 Martingalized historical approach for option pricing
by Chorro, C. & Guégan, D. & Ielpo, F.
- 29-38 Seasoned equity offerings, repurchases, and deviations from optimal CEO ownership
by Tong, Zhenxu
- 39-52 Target leverage and the costs of issuing seasoned equity
by Lyandres, Evgeny
- 53-59 Market symmetry in time-changed Brownian models
by Fajardo, José & Mordecki, Ernesto
- 60-69 Higher order asymptotic bond price valuation for interest rates with non-Gaussian dependent innovations
by Honda, Tetsuhiro & Tamaki, Kenichiro & Shiohama, Takayuki
December 2009, Volume 6, Issue 4
- 187-201 Impact of heterogeneous managerial productivity on executive hedge markets in an asymmetric information environment
by Avdjiev, Stefan & Zeng, Zheng
- 202-209 Extreme return-volume dependence in East-Asian stock markets: A copula approach
by Ning, Cathy & Wirjanto, Tony S.
- 210-218 Value or volume strategy?
by Li, Ming-Yuan Leon
- 219-229 Empirical tests of the float-adjusted return model
by Zhang, Feng & Tian, Yao & Wirjanto, Tony S.
- 230-235 The euro area stock market channel: Does one size fit all?
by Sondermann, David & Bohl, Martin T. & Siklos, Pierre L.
- 236-241 The impact of switching costs on vendor financing
by Martin Boyer, M. & Gobert, Karine
- 242-249 European monetary integration and persistance of real exchange rates
by Gadea, Maria Dolores & Gracia, Ana Belen
September 2009, Volume 6, Issue 3
- 115-121 A test of the widespread-point-shaving theory
by Borghesi, Richard & Dare, William
- 122-129 Options on portfolios with higher-order moments
by Bhandari, Rishabh & Das, Sanjiv R.
- 130-137 Bivariate mixed normal GARCH models and out-of-sample hedge performances
by Chung, Sang-Kuck
- 138-151 Analytical Value-at-Risk and Expected Shortfall under regime-switching
by Taamouti, Abderrahim
- 152-158 Do firms' earnings management practices affect their equity liquidity?
by Chung, Huimin & Sheu, Her-Jiun & Wang, Juo-Lien
- 159-170 Do IPO index portfolios improve the investment opportunities for mean-variance investors?
by Chen, Hsuan-Chi & Ho, Keng-Yu
- 171-178 Degrees-of-freedom problem and implied cost of equity capital
by Kryzanowski, Lawrence & Rahman, Abdul H.
- 179-185 Automatic variance ratio test under conditional heteroskedasticity
by Kim, Jae H.
June 2009, Volume 6, Issue 2
- 56-72 The diversification cost of large, concentrated equity stakes. How big is it? Is it justified?
by Ødegaard, Bernt Arne
- 73-82 Why disagreement may not matter (much) for asset prices
by Söderlind, Paul
- 83-94 The leverage effect without leverage
by Hens, Thorsten & Steude, Sven C.
- 95-105 Value-at-Risk computation by Fourier inversion with explicit error bounds
by Siven, Johannes Vitalis & Lins, Jeffrey Todd & Szymkowiak-Have, Anna
- 106-113 On the nature of mean-variance spanning
by Cheung, C. Sherman & Kwan, Clarence C.Y. & Mountain, Dean C.
March 2009, Volume 6, Issue 1
- 2-12 Why do reputable agents work for safer firms?
by Li, Fei & Ueda, Masako
- 13-22 Financing constraint, over-investment and market-to-book ratio
by Braouezec, Yann
- 23-33 Revisiting stock market index correlations
by Dalkir, Mehmet
- 34-39 Is the information produced in the stock market useful for depositors?
by Shimizu, Katsutoshi
- 40-46 Time-inconsistency of VaR and time-consistent alternatives
by Cheridito, Patrick & Stadje, Mitja
- 47-53 Analysis of ultra-high-frequency financial data using advanced Fourier transforms
by Giampaoli, Iacopo & Ng, Wing Lon & Constantinou, Nick
December 2008, Volume 5, Issue 4
- 191-203 Time-series predictability in the disaster model
by Gourio, François
- 204-212 Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
by Bayraktar, Erhan & Young, Virginia R.
- 213-220 The value of embedded real options: Evidence from consumer automobile lease contracts--A note
by Gamba, Andrea & Rigon, Riccardo
- 221-227 Modeling the leverage effect with copulas and realized volatility
by Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S.
- 228-235 Dollar-weighted returns to stock investors: A new look at the evidence
by Keswani, Aneel & Stolin, David
- 236-244 Estimation error in the average correlation of security returns and shrinkage estimation of covariance and correlation matrices
by Kwan, Clarence C.Y.
September 2008, Volume 5, Issue 3
- 129-136 Consumption growth and time-varying expected stock returns
by Møller, Stig Vinther
- 137-145 Impact of outsiders and disclosed insider trades
by Zhang, Wei David
- 146-155 Perceived importance of corporate boards in October 1987
by Cheng, Shijun
- 156-161 Risk-neutral investors do not acquire information
by Muendler, Marc-Andreas
- 162-171 On the qualitative effect of volatility and duration on prices of Asian options
by Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun
- 172-182 Option pricing in a Garch model with tempered stable innovations
by Mercuri, Lorenzo
- 183-190 A simple nonparametric approach to low-dimension, shortfall-based portfolio selection
by Haley, M. Ryan
June 2008, Volume 5, Issue 2
- 69-78 Mutual fund theorems when minimizing the probability of lifetime ruin
by Bayraktar, Erhan & Young, Virginia R.
- 79-87 Option prices as probabilities
by Madan, D. & Roynette, B. & Yor, Marc
- 88-95 Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
by Nakatani, Tomoaki & Teräsvirta, Timo
- 96-103 Modeling duration clusters with dynamic copulas
by Ng, Wing Lon
- 104-117 Interpreting long-horizon estimates in predictive regressions
by Hjalmarsson, Erik
- 118-127 Robustness of the risk-return relationship in the U.S. stock market
by Lanne, Markku & Luoto, Jani
March 2008, Volume 5, Issue 1
- 1-1 Editorial for "Challenge"
by Gençay, Ramo & Bhattacharyya, Sugato & Whited, Toni & Yaron, Amir
- 2-10 Patterns in cross market liquidity
by Spiegel, Matthew
- 11-20 Modeling loan commitments
by Chava, Sudheer & Jarrow, Robert
- 21-31 On the predictive power of the surplus consumption ratio
by Ghattassi, Imen
- 32-46 Implementing likelihood-based inference for fat-tailed distributions
by Rekkas, M. & Wong, A.
- 47-58 The Stambaugh bias in panel predictive regressions
by Hjalmarsson, Erik
- 59-67 On measuring concentration in banking systems
by Alegria, Carlos & Schaeck, Klaus
December 2007, Volume 4, Issue 4
September 2007, Volume 4, Issue 3
- 137-145 Optimality of the RiskMetrics VaR model
by Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Yoldas, Emre
- 146-154 The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders
by Cotter, John & Dowd, Kevin
- 155-164 Learning, price formation and the early season bias in the NBA
by Baryla Jr., Edward A. & Borghesi, Richard A. & Dare, William H. & Dennis, Steven A.
- 165-171 A note on the relationship between Fama-French risk factors and innovations of ICAPM state variables
by In, Francis & Kim, Sangbae
- 172-178 The creation of wealth
by Hellwig, Klaus
- 179-185 What is the correct meaning of implied volatility?
by Kim, In Joon & Park, Gun Youb & Hyun, Jung-Soon
- 186-195 Putting the dividend-price ratio under the microscope
by Nagayasu, Jun
- 196-199 Comments on and corrigendum to "Hedging errors with Leland's option model in the presence of transaction costs" [Finance Research Letters 4 (2007) 49-58]
by Zhao, Yonggan & Ziemba, William T.
- 200-202 Comments on "Hedging errors with Leland's option model in the presence of transactions costs"
by Leland, Hayne E.
June 2007, Volume 4, Issue 2
- 68-81 The navigation of an iceberg: The optimal use of hidden orders
by Esser, Angelika & Monch, Burkart
- 82-91 Rare events and annuity market participation
by Lopes, Paula & Michaelides, Alexander
- 92-94 Fully modified estimation with nearly integrated regressors
by Hjalmarsson, Erik
- 95-103 The impact of keeping up with the Joneses behavior on asset prices and portfolio choice
by Gomez, Juan-Pedro
- 104-115 Temporal aggregation and risk-return relation
by Jin, Xing & Wang, Leping & Yu, Jun
- 116-126 An analytic approximation formula for pricing zero-coupon bonds
by Choi, Youngsoo & Wirjanto, Tony S.
- 127-136 A note on myopic loss aversion and the equity premium puzzle
by Zeisberger, Stefan & Langer, Thomas & Trede, Mark
March 2007, Volume 4, Issue 1
- 2-9 Pitfalls in static superhedging of barrier options
by Kraft, Holger
- 10-18 Exploring the components of credit risk in credit default swaps
by Fabozzi, Frank J. & Cheng, Xiaolin & Chen, Ren-Raw
- 19-27 Asymmetric wealth gains in joint ventures: Theory and evidence
by Shyam Kumar, M.V.
- 28-32 On the use of the Box-Cox transformation on conditional variance models
by Tsiotas, G.
- 33-48 Closed-form valuation of American call options on stocks paying multiple dividends
by Cassimon, D. & Engelen, P.J. & Thomassen, L. & Van Wouwe, M.
- 49-58 Hedging errors with Leland's option model in the presence of transaction costs
by Zhao, Yonggan & Ziemba, William T.
- 59-66 Underlying assets for which options complete the market
by Galvani, Valentina
December 2006, Volume 3, Issue 4
- 235-243 Exchange rates and order flow in the long run
by Boyer, M. Martin & van Norden, Simon
- 244-252 The value, size, and momentum spread during distressed economic periods
by Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William
- 253-266 On the relation between the market-to-book ratio, growth opportunity, and leverage ratio
by Chen, Long & Zhao, Xinlei
- 267-272 A note on generalized distortion risk measures
by Hurlimann, Werner
- 273-276 The relationship between expected utility and higher moments for distributions captured by the Gram-Charlier class
by Christodoulakis, George & Peel, David
- 277-289 Quadratic term structure models in discrete time
by Realdon, Marco
September 2006, Volume 3, Issue 3
- 165-172 Modeling default risk: A new structural approach
by Yildirim, Yildiray
- 173-180 Tilting safety first and the Sharpe portfolio
by Haley, M. Ryan & McGee, M. Kevin
- 181-193 Disentangling risk aversion and intertemporal substitution through a reference level
by Garcia, Rene & Renault, Eric & Semenov, Andrei
- 194-206 Expanding the frontier one asset at a time
by Ukhov, Andrey D.
- 207-211 A note on a barrier exchange option: The world's simplest option formula?
by Lindset, Snorre & Persson, Svein-Arne
- 212-233 The interaction between technical currency trading and exchange rate fluctuations
by Schulmeister, Stephan
June 2006, Volume 3, Issue 2
- 79-95 From default probabilities to credit spreads: Credit risk models do explain market prices
by Denzler, Stefan M. & Dacorogna, Michel M. & Muller, Ulrich A. & McNeil, Alexander J.
- 96-101 Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment
by Bossaerts, Peter & Zame, William R.
- 102-105 Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment"
by Judd, Kenneth L. & Kubler, Felix & Schmedders, Karl
- 106-113 Markowitz meets Kahneman: Portfolio selection under divided attention
by Nocetti, Diego
- 114-132 Modeling dynamic conditional correlations in WTI oil forward and futures returns
by Lanza, Alessandro & Manera, Matteo & McAleer, Michael
- 133-146 The robustness of asset pricing models: Coskewness and cokurtosis
by Ando, Masakazu & Hodoshima, Jiro
- 147-153 Explaining inertia in closed-end fund prices
by Bleaney, Michael & Smith, R. Todd
- 154-162 Explosive bubbles in the cointegrated VAR model
by Engsted, Tom
March 2006, Volume 3, Issue 1
- 2-13 Revisiting cumulative preferred stock valuation
by Realdon, Marco
- 14-22 The Fed model: A note
by Estrada, Javier
- 23-39 On the sequencing of projects, reputation building, and relationship finance
by Egli, Dominik & Ongena, Steven & Smith, David C.
- 40-48 Do insiders crowd out analysts?
by Gilbert, Aaron & Tourani-Rad, Alireza & Wisniewski, Tomasz Piotr
- 49-56 Moments of the estimated Sharpe ratio when the observations are not IID
by Bao, Yong & Ullah, Aman
- 57-64 On the robustness of cointegration tests when assessing market efficiency
by Kellard, Neil
- 65-72 Options to expand: Some remarks
by Agliardi, Rossella
- 73-78 A note on the relationship between industry returns and inflation through a multiscaling approach
by Kim, Sangbae & In, Francis
December 2005, Volume 2, Issue 4
- 185-194 The long-run equity risk premium
by Graham, John R. & Harvey, Campbell R.
- 195-200 Hedging the smirk
by Bates, David S.
- 201-209 Bayesian range-based estimation of stochastic volatility models
by Brandt, Michael W. & Jones, Christopher S.
- 210-226 Solving models with external habit
by Wachter, Jessica A.
- 227-233 Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis
by Christodoulakis, George A.
- 234-247 Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities
by Govindaraj, Suresh
- 248-259 Cointegration analysis of the Fed model
by Koivu, Matti & Pennanen, Teemu & Ziemba, William T.
- 260-269 The price-dividend relationship in inflationary and deflationary regimes
by Madsen, Jakob B. & Milas, Costas
September 2005, Volume 2, Issue 3
- 107-124 Industry momentum and common factors
by Du, Ding & Denning, Karen
- 125-130 A note on sufficient conditions for no arbitrage
by Carr, Peter & Madan, Dilip B.
- 131-151 Proxy-quality thresholds: Theory and applications
by Erickson, Timothy & Whited, Toni M.
- 152-164 Portfolio selection with two-stage preferences
by Taboga, Marco
- 165-172 A theory of loan syndication
by Schure, Paul & Scoones, David & Gu, Qinghua
- 173-184 Risk aversion and price limits in futures markets
by Chou, Pin-Huang & Lin, Mei-Chen & Yu, Min-Teh
June 2005, Volume 2, Issue 2
- 51-57 Insider trading with private information and moral hazard
by Yung, Chris
- 59-66 A market microstructure model with random overlapping information asymmetries
by Owens, John P.
- 67-74 The generalized asymmetric dynamic covariance model
by de Goeij, Peter & Marquering, Wessel
- 75-88 Another look at the relationship between cross-market correlation and volatility
by Bartram, Sohnke M. & Wang, Yaw-Huei
- 89-96 Changes in stockholding behavior: Evidence from household survey data
by Chapman, Kenneth & Dow, James Jr. & Hariharan, Govind
- 97-106 Power exchange options
by Blenman, Lloyd P. & Clark, Steven P.
March 2005, Volume 2, Issue 1
- 1-14 tay's as good as cay
by Brennan, Michael J. & Xia, Yihong
- 15-22 tay's as good as cay: Reply
by Lettau, Martin & Ludvigson, Sydney C.
- 23-29 A generalized coherent risk measure: The firm's perspective
by Jarrow, Robert A. & Purnanandam, Amiyatosh K.
- 30-40 Single stock futures: Listing selection and trading volume
by Ang, James S. & Cheng, Yingmei
- 41-50 Dynamic, nonparametric hedging of European style contingent claims using canonical valuation
by Alcock, Jamie & Gray, Philip
December 2004, Volume 1, Issue 4
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