Can investors profit from security analyst recommendations?: New evidence on...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Sung Jun Park, Ki Young ParkAbstractThis paper revisits the question of whether investors can benefit from...
View ArticleWhat drives the off-shore futures market? Evidence from India and China
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): S.S.S. Kumar, Aravind SampathAbstractWe investigate price determinants of offshore listed derivatives of Chinese...
View ArticleVolatilities, drifts and the relation between treasury yields and the...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Sune Karlsson, Pär ÃsterholmAbstractWe estimate Bayesian VAR models in order to investigate the relation between...
View ArticleBitcoin as a safe haven: Is it even worth considering?
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): L.A. SmalesAbstractResearch in cryptofinance has continued to consider whether Bitcoin possesses a safe haven...
View ArticleDetecting overreaction in the Bitcoin market: A quantile autoregression approach
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Thanaset Chevapatrakul, Danilo V. MasciaAbstractWe examine the persistence of returns on Bitcoin at different parts...
View ArticleDoes the introduction of futures improve the efficiency of Bitcoin?
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Gerrit Köchling, Janis Müller, Peter N. PoschAbstractThe introduction of futures on Bitcoin eases the access of...
View ArticleEditorial Board
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s):
View ArticleCorporate social responsibility, media freedom, and firm value
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Kiyoung Chang, Hyeongsop Shim, Taihyeup David YiAbstractWe examine whether the media freedom level of a country...
View ArticleA test of traditional and psychometric relative risk tolerance measures on...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): John E. Grable, Angela C. Lyons, Wookjae HeoAbstractThis article provides a comparative test of two ways in which...
View ArticleMarket uncertainty and trading volume around earnings announcements
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Hae Mi ChoiAbstractThis study examines the changes in trading volume around quarterly earnings announcements in...
View ArticleOil price fluctuation, stock market and macroeconomic fundamentals: Evidence...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Yu Wei, Songkun Qin, Xiafei Li, Sha Zhu, Guiwu WeiAbstractIn this paper we investigate the long-term connections...
View ArticleHedging bitcoin with other financial assets
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Debdatta Pal, Subrata K. MitraAbstractWe compute optimal hedge ratios between bitcoin and other financial assets by...
View ArticleMedia attention and Bitcoin prices
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Dionisis Philippas, Hatem Rjiba, Khaled Guesmi, Stéphane GoutteAbstractWe present a dual process diffusion model...
View ArticleOptimization of multi-period portfolio model after fitting best distribution
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Rezvan Kamali, Safieh Mahmoodi, Mohammad-Taghi JahandidehAbstractIn this paper, we use a multi-periodic portfolio...
View ArticleIs there still a weather anomaly? An investigation of stock and foreign...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Athanasios Andrikopoulos, Changyu Wang, Min ZhengAbstractSince Saunders (1993), there has been ongoing research on...
View ArticleTesting the adaptive market hypothesis as an evolutionary perspective on...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Majid Mirzaee Ghazani, Seyed Babak EbrahimiAbstractThis paper examines the existence of the adaptive market...
View ArticleTail risk and the consumption CAPM
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Ji Ho KwonAbstractI examine if the market tail risk can be the conditioning information for consumption-based asset...
View ArticleAnnouncement effect and its determinants of exchangeable bonds
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Lan Wang, Langnan Chen, Jieni ChenAbstractThis paper examines the announcement effect of exchangeable bonds and its...
View ArticleIntraday momentum and reversal in Chinese stock market
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Xiaojun Chu, Zherong Gu, Haigang ZhouAbstractTaking intraday first-half-hour returns as predictor, we find...
View ArticleDoes the financial crisis change the economic risk perception of crude oil...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Likun Lei, Yue Shang, Yongfei Chen, Yu WeiAbstractIn this paper, we argue that the 2008 financial crisis changes...
View ArticlePolitical connections and the value of cash holdings
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Yuanto KusnadiAbstractThis study examines how political connections influence the value of cash holdings in an...
View ArticleNowcasting of the U.S. unemployment rate using Google Trends
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Shintaro Nagao, Fumiko Takeda, Riku TanakaAbstractThis study examines whether and how the search intensity data...
View ArticleThe causality between liquidity and volatility in the Polish stock market
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Barbara BÄdowska-Sójka, Agata KliberAbstractWe study dependencies between liquidity and volatility in the...
View ArticleSocial-media and intraday stock returns: The pricing power of sentiment
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): David C. Broadstock, Dayong ZhangAbstractThis paper tests whether sentiment extracted from social-media (Twitter),...
View ArticleCredit rating and microfinance lending decisions based on loss given default...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Baofeng Shi, Xue Zhao, Bi Wu, Yizhe DongAbstractThis paper proposes a credit rating model that considers the impact...
View ArticleShare repurchases under uncertainty: U.S. evidence
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Burak Pirgaip, Burcu DinçergökAbstractWe examine the impact of economic policy uncertainty as measured by Baker...
View ArticleRevisiting the price effect in US stocks
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Paul Geertsema, Helen LuAbstractNominal price does not predict average stock returns in the cross-section of US...
View ArticleWhat influences portfolio contagion among open-end mutual funds?
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Junbin Liu, Xiaoxing Liu, Guangping ShiAbstractThis paper investigates the time-varying impacts of macroeconomic...
View ArticleDoes CSR influence M&A target choices?
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Mathieu GomesAbstractWe examine the impact of corporate social responsibility (CSR) on mergers and acquisitions...
View ArticleOn REIT returns and (un-)expected inflation: Empirical evidence based on...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Christian Pierdzioch, Marian Risse, Rangan Gupta, Wendy NyakabawoAbstractWe use Bayesian Additive Regression Trees...
View ArticleSuboptimal investment behavior and welfare costs: A simulation based approach
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Pablo Castañeda, Lorenzo ReusAbstractWe propose a representation of suboptimal investment behavior based on the...
View ArticleHerding in the cryptocurrency market: CSSD and CSAD approaches
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): David Vidal-Tomás, Ana M. Ibáñez, José E. FarinósAbstractWe analyse the existence of herding in the...
View ArticleBitcoin returns and risk: A general GARCH and GAS analysis
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Victor Troster, Aviral Kumar Tiwari, Muhammad Shahbaz, Demian Nicolás MacedoAbstractThis paper performs a general...
View ArticleA study of first generation commodity indices: Indices based on financial...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Jung-Hyun Ahn, Pierre SixAbstractThis study compares first generation, i.e. long-only passive, commodity indices...
View ArticleMeasuring the hedging effectiveness of commodities
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Pornchai Chunhachinda, Maria E. de Boyrie, Ivelina PavlovaAbstractOur study examines the dynamic correlations,...
View ArticleIs there an effective reputation mechanism in peer-to-peer lending? Evidence...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Jie Ding, Jinbo Huang, Yong Li, Meichen MengAbstractUsing more than 178,000 borrowing listings in a Chinese online...
View ArticleEffects of CEO miscalibration on compensation and hedging
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Hwa-Sung KimAbstractEmpirical evidence shows that CEOs are miscalibrated in that they underestimate market risk. We...
View ArticleVolatility co-movement between Bitcoin and Ether
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Paraskevi KatsiampaAbstractUsing a bivariate Diagonal BEKK model, this paper investigates the volatility dynamics...
View ArticleCan list prices accurately capture housing price trends? Insights from...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Ronan C. LyonsAbstractHousing matters but measuring housing prices is not straightforward. Using population-level...
View ArticleProfitability shocks and recovery in time of crisis evidence from European banks
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Paola Bongini, Doriana Cucinelli, Maria Luisa Di Battista, Laura NieriAbstractThis paper contributes to the...
View ArticleStock distributions and the Retained Earnings Hypothesis revisited
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Jason E. Heavilin, Hilmi SongurAbstractLarge stock distributions may be accounted for as stock splits or stock...
View ArticleHow much happiness can we find in the U.S. fear Index?
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Mahmoud Qadan, David Y. AharonAbstractUsing high-frequency data for the S&P 500, we decompose the so-called...
View ArticleHow does the stock market react to financial innovation regulations?
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Minhua Yang, Yu HeAbstractThis study examines the market reactions of Chinese stock markets to 28 announcements of...
View ArticleWho has volatility information in the index options market?
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Doojin Ryu, Heejin YangAbstractWe examine volatility information embedded in the demand for options by analyzing...
View ArticleCorporate governance and procyclicality in a banking crisis: Empirical...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Francisco J. Ibáñez-Hernández, Miguel A. Peña-Cerezo, Andrés Araujo-de-la-MataAbstractThis paper presents our...
View ArticleCEO compensation, pay inequality, and the gender diversity of bank board of...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Ann L. Owen, Judit TemesvaryAbstractGreater gender diversity on bank board of directors is associated with higher...
View ArticleTime-consistent investment and reinsurance strategies for mean-variance...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Huainian Zhu, Ming Cao, Chengke ZhangAbstractThis paper considers the optimal time-consistent investment and...
View ArticleDoes anti-corruption campaign promote corporate R&D investment? Evidence...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Weiyu Gan, Xixiong XuAbstractWe investigate the impact of China's anti-corruption campaign on corporate innovation....
View ArticleForecasting realized variance using asymmetric HAR model with time-varying...
Publication date: September 2019Source: Finance Research Letters, Volume 30Author(s): Xinyu Wu, Xinmeng HouAbstractThis paper proposes an asymmetric HAR model with time-varying coefficients (TVC-AHAR)...
View ArticleAnalyzing herding behavior in commodities markets – an empirical approach
Publication date: Available online 2 September 2019Source: Finance Research LettersAuthor(s): Gerson de Souza Raimundo Júnior, Rafael Baptista Palazzi, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo...
View Article
