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Notes, Comments and Preliminary results

May 15 2019 Antonis A Michis
  The systematic risk of gold at different time-scales
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
May 15 2019 Clark Lundberg
  Identifying horizon-based heterogeneity in the cross section of portfolio returns
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
May 15 2019 Benjamin Carl Anderson and Stoyu I Ivanov
  Study of the impact of the Great Recession on the relation between earnings surprises and stock returns
  Abstract  Contact Information  Citation  Full Text  -  Note
 
May 02 2019 Benjamin M. Blau and Ryan J. Whitby
  The Introduction of Bitcoin Futures: An Examination of Volatility and Potential Spillover Effects
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 27 2019 Román Ferrer , Syed Jawad Hussain Shahzad and Adrián Maizonada
  Nonlinear and extreme dependence between long-term sovereign bond yields and the stock market: A quantile-on-quantile analysis
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Apr 26 2019 Amélie Charles and Olivier Darné
  Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Feb 18 2019 Paulo Ferreira and Éder Pereira
  The impact of the Brexit referendum on British and European Union bank shares: a cross-correlation analysis with national indices
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Feb 02 2019 Jamal Bouoiyour , Refk Selmi and Mark E. Wohar
  Bitcoin: competitor or complement to gold?
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Feb 02 2019 Jinghan Cai , Jia He , Jibao He and Weili Zhai
  Individual Investors and R^2
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jan 10 2019 Euikyu Choi , Wei Du and Michael Malcolm
  The cost of the travel ban to high-tech firms: An event study
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Dec 13 2018 Rafael C Gatsios , Fabiano G Lima and Vinícius M Magnani
  The impact of IFRS adoption on the accuracy and dispersion of analysts' forecasts in the Brazilian stock market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Dec 10 2018 Juanjuan Zhuo and Masao Kumamoto
  Threshold effects of population aging on stock prices
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Oct 30 2018 Refk Selmi , Aviral Kumar Tiwari and Shawkat Hammoudeh
  Efficiency or speculation? A dynamic analysis of the Bitcoin market
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Oct 10 2018 Roman Mestre and Michel Terraza
  Time-Frequency varying beta estimation -a continuous wavelets approach-
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Sep 07 2018 Harri Pönkä
  Sentiment and sign predictability of stock returns
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Aug 05 2018 Michael E Araki , Marcelo Cabus Klotzle and Antonio C. F. Pinto
  Carry trades and economic policy uncertainty: measuring the political dimension of the forward rate bias in emerging countries
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Apr 29 2018 Mansokku Lee , Changkuk Jung and Taeyoung Lee
  Social order and financial development
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 23 2018 Mohammad Q. M. Momani
  Revisiting the momentum factor in the U.K. stock market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Feb 27 2018 Alejandro Mosiño and Alejandro Tatsuo Moreno-Okuno
  On modeling fossil fuel prices: geometric Brownian motion vs. variance-gamma process
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Feb 27 2018 Brent J. Davis
  Does financial well-being affect portfolio construction? Evidence from an online survey
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jan 24 2018 Yasuyuki Sawada , Hiroyuki Nakata , Kunio Sekiguchi and Yoko Okuyama
  Land and Real Estate Price Sensitivity to a Disaster: Evidence from the 2011 Thai Floods
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jan 21 2018 Wahyoe Soedarmono
  Stock market integration in the Asia-Pacific region: Evidence from cointegration of liquidity risk
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Dec 01 2017 José Antonio Núñez-Mora , Roberto Joaquín Santillán-Salgado and Leovardo Mata
  Efficient portfolios and the generalized hyperbolic distribution
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 19 2017 Adedoyin Isola Lawal , Russel O Somoye and Abiola Ayopo Babajide
  Are African stock markets efficient? Evidence from wavelet unit root test for random walk
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 19 2017 Paulo Sergio Ceretta and Alexandre Silva Da costa
  The Gap Effect on the Brazilian Exchange
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 19 2017 Nawazish Mirza and Krishna Reddy
  Asset Pricing in a Developing Economy: Evidence from Pakistan
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Oct 26 2017 Bala A. Dahiru , Pam W. Jim and Kalu N. Nwonyuku
  Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Oct 26 2017 Arzé Karam
  The effects of intraday news flow on market liquidity, price volatility and trading activity
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Aug 31 2017 Taizo Motonishi
  The Effects of the Great East Japan Earthquake on Investors' Risk and Time Preferences
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Aug 31 2017 Raushan Kumar
  Price Discovery in Some Primary Commodity Markets in India
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jul 29 2017 Paolo Vitale
  Ambiguity-aversion in a Single Auction Market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jul 08 2017 Pierre O. De souza , Tiago P. Filomena , João F. Caldeira , Denis Borenstein and Marcelo B. Righi
  Risk parity in the brazilian market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jul 02 2017 Taro Ikeda
  A fractal analysis of world stock markets
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jul 02 2017 Benjamin M Tabak , Dimas M Fazio , Regis A Ely , Joao M. T. Amaral and Daniel O Cajueiro
  The effects of capital buffers on profitability: An empirical study
  Abstract  Contact Information  Citation  Full Text  -  Note
 
May 25 2017 Amrendra Kumar and Vikash Gautam
  Gold as inflation and exchange rate hedge: The case of India
  Abstract  Contact Information  Citation  Full Text  -  Note
 
May 25 2017 Oguzhan Cepni and Doruk Kucuksarac
  Optimal Mix of the Extended Nelson Siegel Model for Turkish Sovereign Yield Curve
  Abstract  Contact Information  Citation  Full Text  -  Note
 
May 14 2017 Elie Bouri , Imad Kachacha , Donald Lien and David Roubaud
  Short- and long-run causality across the implied volatility of crude oil and agricultural commodities
  Abstract  Contact Information  Citation  Full Text  -  Note
 
May 05 2017 Nidhal Mgadmi and Khemaies Bougatef
  Modeling volatility of the French stock market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 22 2017 Wilfredo Leiva Maldonado and Jussara Ribeiro
  Construction of a dividend index with all the distributed revenues
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 22 2017 Giray Gozgor and Ender Demir
  Excess stock returns, oil shocks, and policy uncertainty in the U.S.
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 22 2017 Liam Ison and Robert Hudson
  Stock predictability and preceding stock price changes – evidence from central and eastern european markets
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 22 2017 Stoyu Ivanov
  Comparative Analysis of ETF and Common Stock Intraday Bid-Ask Spread Behavior
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Apr 22 2017 Ritika Jain
  Is Demonetisation a Windfall for the banking sector? Evidence from the Indian stock market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 09 2017 Taro Ikeda
  Fractal analysis revisited: The case of the US industrial sector stocks
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Feb 22 2017 Sébastien Galanti and Zahra Ben Braham
  Information efficiency on an emerging market: analysts' recommendations in Tunisia
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Feb 22 2017 Siew-Pong Cheah , Thian-Hee Yiew and Cheong-Fatt Ng
  A nonlinear ARDL analysis on the relation between stock price and exchange rate in Malaysia.
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Jan 13 2017 Selim baha Yildiz and Abdelbari El khamlichi
  The Performance Ranking of Emerging Markets Islamic Indices Using Risk Adjusted Performance Measures
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jan 13 2017 Suan Poh , Chee wooi Hooy and Kian-ping Lim
  Effect of Geographical Diversification on Informational Efficiency in Malaysia
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jan 13 2017 Chi Dong , Hooi Hooi Lean and Zamri Ahmad
  Intra-industry information diffusion in China's stock market
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Dec 21 2016 Syed jawad hussain Shahzad , Saba Ameer and Muhammad Shahbaz
  Disaggregating the correlation under bearish and bullish markets: A Quantile-quantile approach
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Dec 10 2016 Valeriya V. Lakshina and Andrey M. Silaev
  Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts?
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 26 2016 Mohsen Bahmani-Oskooee , Tsangyao Chang , Tsung-hsien Chen and Han-wen Tzeng
  "Revisiting the efficient market hypothesis in transition countries using quantile unit root test."
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Oct 05 2016 Francesco Cesarone , Jacopo Moretti and Fabio Tardella
  Optimally chosen small portfolios are better than large ones
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Sep 03 2016 Jamal Bouoiyour and Refk Selmi
  Brexit concerns, UK and European equities: A lose-lose scenario?
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jun 11 2016 Flavio C. Sanematsu and Ricardo P. C. Leal
  Survivorship bias in Brazilian stock funds
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
May 18 2016 Xing Lu and Neel Patel
  Festivity Anomaly in Indian Stock Market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 29 2016 Ramzi Boussaidi and Abaoub Ezzeddine
  The dynamics of Stock price adjustment to fundamentals: an empirical essay via STAR models in the Tunisian stock market
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Apr 14 2016 Abd Halim Ahmad , Nur Adiana Hiau Abdullah and Kamarun Nisham Taufil Mohd
  Market reactions to financial distress announcements: Does the market react differently to different outcomes?
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Feb 04 2016 Maiko Koga
  Momentum trading behavior in the FX market: Evidence from Japanese retail investors
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Feb 04 2016 Aneel Keswani , David Stolin and Maxim Zagonov
  UK fund returns and sector diversification
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 20 2015 Wael Louhichi and Ousayna Zreik
  Corporate Risk Reporting: A study of The Impact of Risk Disclosure on Firms Reputation
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Oct 02 2015 Franck Martin and Mai lan Nguyen
  Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Jul 24 2015 Omar Farooq and Imad Jabbouri
  Ownership structure and portfolio performance: Pre- and post-crisis evidence from the Casablanca Stock Exchange
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Mar 30 2015 Ran Shao and Na Wang
  Effects of Aging on Gender Differences in Financial Markets
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Mar 29 2015 Dimitrios P. Louzis
  The economic value of flexible dynamic correlation models
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 29 2015 Svein olav Krakstad and Peter Molnar
  Characteristics of Norwegian Rights Issues
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Mar 11 2015 Prateek Sharma and Swati Sharma
  Forecasting gains of robust realized variance estimators: evidence from European stock markets
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 06 2014 Shangkari V Anusakumar , Ruhani Ali and Chee-Wooi Hooy
  Are momentum and contrarian effects related? Evidence from the Chinese stock market
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 06 2014 Enareta Kurtbegu and Juliana Caicedo-llano
  European equity fund managers: luck or skill?!
  Abstract  Contact Information  Citation  Full Text  -  Note
 
Nov 05 2014 Wen-chung Guo and Ying-huei Chen
  Pricing of put warrants and competition among issuers
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Nov 05 2014 Alexandru Todea and Andrei Rusu
  Liquidity, information and market efficiency: an intraday approach on a frontier stock market
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result
 
Oct 24 2014 Nicholas Mangee
  Stock Prices, the Business Cycle and Contingent Change: Evidence from Bloomberg News Market Wraps
  Abstract  Contact Information  Citation  Full Text  -  Preliminary Result