2015

Chen, Y., Wang, S.S., Li, W., Sun, Q. and Tonge, W.H.S.  (2015). Institutional environment, firm ownership, and IPO first-day returns: Evidence from China. Journal of Corporate Finance 32.150-168.

Da Fonseca, J. and Wang, P. (2015) A Joint Analysis of Market Indexes in Credit Default Swap, Volatility and Stock Market”, Applied Economics. DOI: 10.1080/00036846.2015.1109036

Da Fonseca, J. and Ziveyi, J. (2015) Valuing Variable Annuity Guarantees on Multiple Asset, Scandinavian Actuarial Journal. DOI: 10.1080/03461238.2015.1102167

Da Fonseca, J., Gnoatto, A. and Grasselli, M. (2015) Analytic Pricing of Volatility-Equity Options within Wishart-Based Stochastic Volatility Models, Operations Research Letters, 43(6), 601-607, (2015). DOI: 10.1016/j.orl.2015.09.006

Dodd, O., & Frijns, B. (2015). Cross-Listing Decisions and the Foreign Bias of Investors. Finance Research Letters, forthcoming.

Dodd, O., Louca, C., & Paudyal, K. (2015). The Determinants of Foreign Trading Volume of Stocks Listed in Multiple Markets. Journal of Economics and Business, 79, 38-61.

Dodd, O., Frijns, B. & Gilbert, A. (2015). On the Role of Cultural Distance in the Decision to Cross-List. European Financial Management, 21 (4), 706-741.

Fernandez-Perez, A., Fernández-Rodríguez, F. and Andrada-Félix, J. (2015). Fixed Income Technical Strategies Based on the Prediction of Parameters in the Nelson and Siegel Model. SERIEs (Journal of the Spanish Economic Association), 6, 207-245.

Frijns, B., Gilbert, A. and Tourani-Rad, A. (2015) The Determinants of Price Discovery: Evidence from US-Canadian Cross-listed Shares, Journal of Banking and Finance 59, 457-468.

Frijns, B., I. Indriawan and Tourani-Rad, A. (2015). Macroeconomic News Announcements and Price Discovery: Evidence from Canadian-US cross-listed firms, Journal of Empirical Finance 32, 35-48.

Frijns, B. and Y. Tse (2015). On the Informativeness of Trades and Quotes in the FTSE 100 Index Market, Journal of Futures Markets 35, 105-126.

Frijns, B., A. Gilbert and A. Tourani-Rad (2015). On the Performance of KiwiSaver Funds, Pacific Accounting Review 27, 266-281.

Fuertes A.-M., Miffre, J. and Fernandez-Perez, A. (2015). Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility. Journal of Futures Markets, 35, 274–297.

Kumar, S. (2015). Is the U.S. Consumer Credit Asymmetric? Forthcoming in Scottish Journal of Political Economy

Kumar, S. (2015). Regional Integration, Capital Mobility and Financial Intermediation Revisited: Application of GETS Procedure in Panel Data,” Journal of International Financial Markets, Institutions and Money, Vol.36, pp.1-17

Lehnert, T., Bekkour, L., Jin, X., Rasmouki, F. and Wolff, C. (2015).  Euro at Risk: The Impact of Member Countries' Credit Risk on the Stability of the Common Currency, Journal of Empirical Finance, 33, 67-83.

Lehnert, T., Otsubo, Y. and Grammatikos, T. (2015). Market Perceptions of US and European Policy Actions around the Subprime Crisis, Journal of International Financial Markets, Institutions & Money, 37, 99-113.

Miffre, J. and Fernandez-Perez, A. (2015). The Case for Long-Short Commodity Investing: Performance, Volatility and Diversification Benefits. Journal of Alternative Investments, 18, 92–104.

Miffre, J., Fuertes A.-M. and Fernandez-Perez, A. (2015). Commodity Markets, Long-Horizon Predictability and Intertemporal Pricing. Review of Finance, forthcoming.

Zwinkels, R.C.J., Kouwenberg, R., Markiewicz, A., and Verhoeks, R. (2015). Model Uncertainty and Exchange Rate Forecasting, Journal of Financial and Quantitative Analysis, forthcoming.

Zwinkels, R.C.J., Frijns, B., Gilbert, A. (2015). On the Style-Based Feedback Trading of Mutual Fund Managers, Journal of Financial and Quantitative Analysis, forthcoming.

Zwinkels, R.C.J., Kouwenberg, R. (2015). Endogenous Price Bubbles in a Multi-Agent System of the Housing Market, PLOS One, 10(6): e129070.

Zwinkels, R.C.J., Eichholtz, P., and Huisman, R. (2015). Fundamentals or Trend? A Long-Term Perspective on House Prices, Applied Economics 47(10): 1050-1059.