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Incl. Fee Electronic Paper The Probability of Backtest Overfitting
Journal of Computational Finance, Forthcoming
David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Date Posted: September 21, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Coherence and Elicitability
Mathematical Finance, Vol. 26, Issue 4, pp. 901-918, 2016
Johanna F. Ziegel
University of Bern
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling
Mathematical Finance, Vol. 26, Issue 4, pp. 748-784, 2016
Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel Szerszen
Ohio State University (OSU), Board of Governors of the Federal Reserve, City University of Hong Kong (CityUHK) and Board of Governors of the Federal Reserve System
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fast Swaption Pricing in Gaussian Term Structure Models
Mathematical Finance, Vol. 26, Issue 4, pp. 962-982, 2016
Jaehyuk Choi and SungChan Shin
Korea Advanced Institute of Science and Technology (KAIST) and Korea Advanced Institute of Science and Technology (KAIST)
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Fire Sales Forensics: Measuring Endogenous Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 835-866, 2016
Rama Cont and Lakshithe Wagalath
Imperial College London and IESEG School of Management
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Model‐Independent Lower Bound on Variance Swaps
Mathematical Finance, Vol. 26, Issue 4, pp. 939-961, 2016
Nabil Kahalé
ESCP Europe
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Risk Measures: A Constructive Approach Based on Selections
Mathematical Finance, Vol. 26, Issue 4, pp. 867-900, 2016
Ilya Molchanov and Ignacio Cascos
University of Bern - Department of Mathematical Statistics and Actuarial Science and Universidad Carlos III de Madrid
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multivariate Subordination of Markov Processes with Financial Applications
Mathematical Finance, Vol. 26, Issue 4, pp. 699-747, 2016
Rafael Mendoza-Arriaga and Vadim Linetsky
University of Texas at Austin - Department of Information, Risk and Operations Management and Northwestern University - Department of Industrial Engineering and Management Sciences
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk
Mathematical Finance, Vol. 26, Issue 4, pp. 785-834, 2016
Lijun Bo and Agostino Capponi
Xidian University and Columbia University
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Price‐Admissibility Conditions for Arbitrage‐Free Linear Price Function Models for the Term Structure of Interest Rates
Mathematical Finance, Vol. 26, Issue 4, pp. 919-938, 2016
Andrew F. Siegel
University of Washington - Department of Finance and Business Economics
Date Posted: September 20, 2016
Accepted Paper Series

Incl. Electronic Paper Back-Tests of the Dividend Discount Model Using Time-Varying Cost of Equity
Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 25, No. 2, 2015
Ping McLemore, George Woodward and Thomas Zwirlein
Federal Reserve Banks - Federal Reserve Bank of Richmond, University of Colorado, Colorado Springs and University of Colorado, Colorado Springs
Date Posted: September 16, 2016
Working Paper Series
14 downloads

Incl. Fee Electronic Paper Should the Advanced Measurement Approach Be Replaced with the Standardized Measurement Approach for Operational Risk?
Journal of Operational Risk, Vol. 11, No. 3, 2016
Gareth William Peters, Pavel V. Shevchenko, Bertrand Hassani and Ariane Chapelle
University College London - Department of Statistical Science, CSIRO Australia, Université Paris I Panthéon-Sorbonne and University College London - Department of Computer Science
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Electronic Paper Do the Stars Align? An Evaluation of the Efficacy of Independent Analysts’ Equity Ratings
Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 25, No. 2, 2015
Yi (Ian) Liu and Stephen Drew Peabody
University of North Texas and University of North Texas
Date Posted: September 15, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper The Determinants of Small Banks' Use of FHLB Advances: A Tobit Analysis
Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 25, No. 2, 2015
Seda Durguner
University of Southern California
Date Posted: September 15, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Declining Collateral and Increasing Low Leverage Firms
Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 25, No. 2, 2015
Mark Gruskin
Pennsylvania State University
Date Posted: September 15, 2016
Working Paper Series
3 downloads

Incl. Fee Electronic Paper Comments on the Basel Committee On Banking Supervision Proposal for a New Standardized Approach for Operational Risk
Journal of Operational Risk, Vol. 11, No. 3, 2016
Giulio Mignola, Roberto Ugoccioni and Eric Cope
Intesa SanPaolo Spa, Intesa SanPaolo Spa and Credit Suisse AG
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper An Assessment of Operational Loss Data and Its Implications for Risk Capital Modeling
Journal of Operational Risk, Vol. 11, No. 3, 2016
Ruben D. Cohen
Independent
Date Posted: September 15, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Does Short Selling Enhance the Allocational Role of Stock Price? Evidence from Hong Kong
Journal of International Financial Management & Accounting, Vol. 27, Issue 3, pp. 269-297, 2016
Li Jiang and Lei Pang
Hong Kong Polytechnic University - School of Accounting and Finance and Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences
Date Posted: September 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper IFRS and Secrecy: Assessing Accounting Value Relevance Across Africa
Journal of International Financial Management & Accounting, Vol. 27, Issue 3, pp. 237-268, 2016
David Hillier, Allan Hodgson and Shaban Ngole
University of Strathclyde - Department of Accounting and Finance, University of Queensland - Faculty of Business, Economics and Law and Institute of Finance Management
Date Posted: September 09, 2016
Accepted Paper Series

Incl. Fee Electronic Paper What Determines Managers' Perceptions of Cash Flow Forecasting Quality? Evidence from a Multinational Corporation
Journal of International Financial Management & Accounting, Vol. 27, Issue 3, pp. 298-346, 2016
Martin Glaum, Peter Schmidt and Kati Schnürer
WHU - Otto Beisheim School of Management, Justus-Liebig-University Giessen, Germany, and Higher School of Economics (HSE) Moscow, Russia and University of Giessen
Date Posted: September 09, 2016
Accepted Paper Series

Risk Governance E Performance Delle Banche Italiane: Un’Analisi Empirica (Risk Governance and Performance of the Italian Banks: An Empirical Analysis)
Bancaria No. 02-16
Elisa Cavezzali and Gloria Gardenal
Ca Foscari University of Venice - Department of Management and Ca Foscari University of Venice - Department of Management
Date Posted: September 07, 2016
Accepted Paper Series

Performance, Quotazione E Sostituzione Dell’Amministratore Delegato: Un’Analisi Empirica Su Italia E Regno Unito (CEO Turnover, IPOs and Performance: An Analysis in UK and Italy)
Bancaria No. 04-16
Donatella Depperu, Marco Minciullo and Daniele Cerrato
Università Cattolica del Sacro Cuore, Independent and Independent
Date Posted: September 07, 2016
Accepted Paper Series

Le Operazioni Di Fusione E Acquisizione Post-Quotazione: L’Evidenza Empirica Italiana (Corporate Acquisitions of Newly Listed Companies: The Italian Evidence)
Bancaria No. 03-16
Giancarlo Giudici and Matteo Bonaventura
Polytechnic University of Milan - Dipartimento di Ingegneria Gestionale and Polytechnic University of Milan - Dipartimento di Ingegneria Gestionale
Date Posted: September 07, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Antitakeover Statutes and Internal Corporate Governance
Corporate Governance: An International Review, Vol. 24, Issue 5, pp. 468-489, 2016
Choonsik Lee and Kee H. Chung
Quinnipiac University and State University of New York at Buffalo - School of Management
Date Posted: September 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Corporate Governance and Credit Access in Brazil: The Sarbanes‐Oxley Act as a Natural Experiment
Corporate Governance: An International Review, Vol. 24, Issue 5, pp. 528-547, 2016
Bruno Funchal and Danilo Soares Monte‐Mor
FUCAPE Business School and FUCAPE Business School
Date Posted: September 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper How Does Regulation Affect the Relation between Family Control and Reported Cash Flows? Comparative Evidence from India and the United States
Corporate Governance: An International Review, Vol. 24, Issue 5, pp. 490-508, 2016
Neerav Nagar and Kaustav Sen
Indian Institute of Management Ahmedabad and Pace University - Lubin School of Business
Date Posted: September 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Institutional Determinants of Private Shareholder Engagement in Brazil and South Africa: The Role of Regulation
Corporate Governance: An International Review, Vol. 24, Issue 5, pp. 509-527, 2016
Camila Yamahaki and Jedrzej G. Frynas
Independent Researcher and Middlesex University - Business School
Date Posted: September 06, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Systematic Analysis of the Evolution of Electricity and Carbon Markets Under Deep Decarbonization
Journal of Energy Markets, Vol. 9, No. 3, 2016
William Blyth, Derek W. Bunn, Michail Chronopoulos and José Muñoz
Chatham House, London Business School, Norwegian School of Economics (NHH) - Department of Business and Management Science and University of Castilla-La Mancha
Date Posted: September 03, 2016
Accepted Paper Series

Capital Ratios and Disclosure Bias: The Evidence From the Asset Quality Review (Le Determinanti Del Disclosure Bias: Evidenze Dall’Asset Quality Review Della BCE)
Bancaria No. 05-2016
Marika Carboni and Jacopo Raponi
University of Rome Tor Vergata and University of Rome III
Date Posted: September 03, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Day Late and a Dollar Short? A Study of Budget Passage in New York State
Public Budgeting & Finance, Vol. 36, Issue 3, pp. 3-21, 2016
Yi (Elaine) Lu and Gang Chen
City University of New York (CUNY) and State University of New York (SUNY) - Rockefeller College of Public Affairs & Policy
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Banking on Infrastructure: Exploring the Fiscal Impacts of State Infrastructure Bank (SIB) Loans on Leveraging State and Local Transportation Investment
Public Budgeting & Finance, Vol. 36, Issue 3, pp. 94-113, 2016
Can Chen
Florida International University (FIU) - Department of Political Science
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Municipality Budget Rules and Debt: Is the Italian Regulation Effective?
Public Budgeting & Finance, Vol. 36, Issue 3, pp. 114-140, 2016
Daniela Monacelli, Maria Grazia Pazienza and Chiara Rapallini
Bank of Italy, University of Florence - Dipartimento di Studi sullo Stato and University of Florence
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Eagle Ford Shale Development and Local Government Fiscal Behavior
Public Budgeting & Finance, Vol. 36, Issue 3, pp. 45-68, 2016
Dianne Rahm, Jayce L. Farmer and Billy Fields
Texas State University, San Marcos, Texas State University, San Marcos - Department of Political Science and University of New Orleans - Department of Planning & Urban Studies
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Responsiveness of Casino Revenue to the Casino Tax Rate
Public Budgeting & Finance, Vol. 36, Issue 3, pp. 22-44, 2016
Kathryn L. Combs, Jaebeom Kim, Jim Landers and John A. Spry
University of St. Thomas - Department of Economics, Oklahoma State University - Stillwater, Indiana Legislative Services Agency and University of St. Thomas
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Too Close for Comfort: Does the Intensity of Municipal Advisor and Underwriter Relationship Impact Borrowing Costs?
Public Budgeting & Finance, Vol. 36, Issue 3, pp. 69-93, 2016
Tima T. Moldogaziev and Martin Luby
University of Georgia - Department of Public Administration and Policy and DePaul University
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper A Combination Rule for Portfolio Selection with Transaction Costs
International Review of Finance, Vol. 16, Issue 3, pp. 393-420, 2016
Sangwon Suh
Chung-Ang University - Department of Economics
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Brand Firm Performance and Tough Economic Times
International Review of Finance, Vol. 16, Issue 3, pp. 357-391, 2016
Candie (Yuk Ying) and Martin R. Young
Massey University and Massey University - School of Economics and Finance
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper How Does Corporate Governance Affect Loan Collateral? Evidence from Chinese SOEs and Non‐SOEs
International Review of Finance, Vol. 16, Issue 3, pp. 325-356, 2016
Can An, Xiaofei Pan and Gary Gang Tian
University of Wollongong, University of Wollongong and Macquarie University
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Valuation Model for a Risky Asset When its Risky Factors Follow Gamma Distributions
International Review of Finance, Vol. 16, Issue 3, pp. 421-444, 2016
Ming-Shann Tsai and Shu-Ling Chiang
National University of Kaohsiung - Department of Finance and National Taiwan Normal University
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Capital Flight and Bitcoin Regulation
International Review of Finance, Vol. 16, Issue 3, pp. 445-455, 2016
Lan Ju, Timothy (Jun) Lu and Zhiyong Tu
Peking University - HSBC School of Business, Peking University HSBC Business School and Peking University - HSBC School of Business
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Does Bank Diversification Improve Output Growth? Evidence from the Recent Global Crisis
International Review of Finance, Vol. 16, Issue 3, pp. 467-481, 2016
Ali Mirzaei and Ali M. Kutan
American University of Sharjah and Southern Illinois University at Edwardsville
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Market and Style Timing: German Equity and Bond Funds
European Financial Management, Vol. 22, Issue 4, pp. 667-696, 2016
Keith Cuthbertson, Simon Hayley and Dirk Nitzsche
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and City University London - Sir John Cass Business School
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Multiple Large Shareholders and Corporate Risk‐Taking: Evidence from French Family Firms
European Financial Management, Vol. 22, Issue 4, pp. 697-745, 2016
Sabri Boubaker, Pascal Nguyen and Wael Rouatbi
Champagne School of Management (Groupe Esc Troyes), Neoma Business School and Montpellier Business School
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Non‐Cancellable Operating Leases and Operating Leverage
European Financial Management, Vol. 22, Issue 4, pp. 576-612, 2016
Figen Gunes
Bilkent University
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Persistent Doubt: An Examination of Hedge Fund Performance
European Financial Management, Vol. 22, Issue 4, pp. 613-639, 2016
Maria O. Gonzalez, Nicolas A. Papageorgiou and Frank S. Skinner
University of Castilla-La Mancha, HEC Montreal - Department of Finance and Brunel University
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Systematic Risk in Conventional and Islamic Equity Markets
International Review of Finance, Vol. 16, Issue 3, pp. 457-466, 2016
Ahmet Sensoy
Borsa Istanbul
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper Target Risk Funds
European Financial Management, Vol. 22, Issue 4, pp. 519-539, 2016
Edwin J. Elton, Martin J. Gruber and Andre de Souza
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Bright Side of Discretionary Accruals: Evidence from Finance and Innovation
European Financial Management, Vol. 22, Issue 4, pp. 540-575, 2016
Grace Qing Hao and Keming Li
Department of Finance and Real Estate, The University of Texas at Arlington and University of Texas at Arlington
Date Posted: September 02, 2016
Accepted Paper Series

Incl. Fee Electronic Paper The Effect of Diversification on Tail Risk: Evidence from Us Equity Mutual Fund Portfolios
International Review of Finance, Vol. 16, Issue 3, pp. 483-495, 2016
Simon Dong-Zhe Xu, Francis Haeuck In and Inchang Hwang
Monash University - Department of Accounting, Monash University - Department of Accounting and KAIST Business School
Date Posted: September 02, 2016
Accepted Paper Series
1 downloads

Incl. Fee Electronic Paper Unbundling the Expense Ratio: Hidden Distribution Costs in European Mutual Fund Markets
European Financial Management, Vol. 22, Issue 4, pp. 640-666, 2016
Marco A. Navone and Giacomo Nocera
Finance Discipline Group - UTS Business School and Audencia Nantes School of Management
Date Posted: September 02, 2016
Accepted Paper Series


 

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