On 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 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 ArticleCan CBOE gold and silver implied volatility help to forecast gold futures...
Publication date: Available online 5 September 2019Source: Finance Research LettersAuthor(s): Yu Wei, Chao Liang, Yan Li, Xunhui Zhang, Guiwu WeiAbstractThe main purpose of this paper is to detect...
View ArticleA bootstrap test for predictability of asset returns
Publication date: Available online 5 September 2019Source: Finance Research LettersAuthor(s): Jae H. Kim, Abul ShamsuddinAbstractA bootstrap test is proposed for predictability of asset returns. The...
View ArticleExamining framing effect when subject's perspective matters: Evidence from China
Publication date: Available online 5 September 2019Source: Finance Research LettersAuthor(s): Wen Fan, Lifang ZhangAbstractIn decision-making research, people's perspectives have received little...
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