Clik here to view.
A coming out party for the world's most valuable company: Aramco's long...
In a year full of interesting initial public offerings, many of which I have looked at in this blog, it is fitting that the last IPO I value this year will be the most unique, a company that after its...
View ArticleGlued to the TV Distracted Noise Traders and Stock Market Liquidity
ABSTRACT In this paper we study the impact of noise tradersâ limited attention on financial markets. Specifically we exploit episodes of sensational news (exogenous to the market) that distract...
View ArticleEnhancing Time Series Momentum Strategies Using Deep Neural Networks....
While time series momentum is a well-studied phenomenon in finance, common strategies require the explicit definition of both a trend estimator and a position sizing rule. In this paper, we introduce...
View ArticleThe Impact of Renewable Energy Forecasts on Intraday Electricity Prices....
In this paper we study the impact of errors in wind and solar power forecasts on intraday electricity prices. We develop a novel econometric model which is based on day-ahead wholesale auction curves...
View ArticleCan Deep Learning Predict Risky Retail Investors? A Case Study in Financial...
The paper examines the potential of deep learning to support decisions in financial risk management. We develop a deep learning model for predicting whether individual spread traders secure profits...
View ArticleTime-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the...
Publication date: Available online 18 November 2019Source: Finance Research LettersAuthor(s): Christina Christou, David Gabauer, Rangan GuptaAbstractIn this paper, we analyse the impact of uncertainty...
View ArticleWhen Bitcoin meets economic policy uncertainty (EPU): Measuring risk...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Gang-Jin Wang, Chi Xie, Danyan Wen, Longfeng ZhaoAbstractBitcoin was launched to solve the distrust and uncertainty...
View ArticleEditorial Board
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s):
View ArticleCEO pay disparity, chaebol affiliations, and implied cost of equity capital
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Hong-min ChunAbstracThis paper examines CEO pay disparity and its effect on the implied cost of equity capital...
View ArticleCryptocurrencies as financial bubbles: The case of Bitcoin
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Julian Geuder, Harald Kinateder, Niklas F. WagnerAbstractWe study bubble behavior in Bitcoin prices during the years...
View ArticlePatience in financial decisions and post-secondary education
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Na Young ParkAbstractUsing the survey data, this paper tests whether one's level of post-secondary education is...
View ArticleDeterminants of within and cross-country economic policy uncertainty...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Yonghong Jiang, Zixuan Zhu, Gengyu Tian, He NieAbstractWe use a relatively novel TVP-VAR method to calculate...
View ArticleLinkages between crude oil and emerging Asian stock markets: New evidence...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Imran Yousaf, Arshad HassanAbstractThis study examines returns and volatility spillover between crude oil and...
View ArticleSeasonality in cryptocurrencies
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Lars KaiserAbstractConsidering a relatively large cross-section of ten cryptocurrencies, we test for the existence...
View ArticleOptimal margin requirement
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Edina Berlinger, Barbara Dömötör, Ferenc IllésAbstractWe investigate the optimal level of margin requirement in...
View ArticleNeighbors matter: Geographical distance and trade timing in the stock market
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): KÈ©stutis Baltakys, Margarita BaltakienÄ, Hannu Kärkkäinen, Juho KanniainenAbstractThe starting point of this...
View ArticleThe day of the week effect in the cryptocurrency market
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Guglielmo Maria Caporale, Alex PlastunAbstractThis paper examines the day of the week effect in the cryptocurrency...
View ArticleDoes government support promote SME tax payments? New evidence from Vietnam
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Vu Van Huong, Ly Kim CuongAbstractThis paper examines whether governments can benefit from their support for firms...
View ArticleThe policy uncertainty and market volatility puzzle: Evidence from wavelet...
Publication date: December 2019Source: Finance Research Letters, Volume 31Author(s): Aviral Kumar Tiwari, R.K. Jana, David RoubaudAbstractThis article communicates a new dimension on the relationship...
View Article