Fundamental Analysis in China: An Empirical Study of the Relationship between...
The informational context is regularly questioned in a transitional economic regime like the one implemented in China or Vietnam. This article investigates this issue and the predictive power of...
View ArticleThe Cobb-Douglas production function revisited. (arXiv:1910.06739v1 [econ.GN])
Charles Cobb and Paul Douglas in 1928 used data from the US manufacturing sector for 1899-1922 to introduce what is known today as the Cobb-Douglas production function that has been widely used in...
View ArticleStochastic leverage effect in high-frequency data: a Fourier based analysis....
We study the finite sample properties of the Fourier estimator of the integrated leverage effect in the presence of microstructure noise contamination. Our estimation strategy is related to a measure...
View ArticlePrecisamos de uma Contabilidade Ambiental para as "Amaz^onias"...
This paper has the following objectives: to understand the concepts of Environmental Accounting in Brazil; Make criticisms and propositions anchored in the reality or demand of environmental accounting...
View ArticleSingular Perturbation Expansion for Utility Maximization with Order-$epsilon$...
We present an expansion for portfolio optimization in the presence of small, instantaneous, quadratic transaction costs. Specifically, the magnitude of transaction costs has a coefficient that is of...
View ArticleOptimal Dynamic Futures Portfolio in a Regime-Switching Market Framework....
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach...
View ArticleTail dependence in the return-volume of leading cryptocurrencies
Publication date: Available online 14 October 2019Source: Finance Research LettersAuthor(s): Muhammad Naeem, Elie Bouri, Gideon Boako, David RoubaudAbstractWe analyze the average and extreme dependence...
View ArticleThe Pricing Efficiency of Crude Oil Futures in the Shanghai International...
Publication date: Available online 14 October 2019Source: Finance Research LettersAuthor(s): Chen Yang, Fei Lv, Libing Fang, Xingxing ShangAbstractWe investigate the pricing efficiency of the newly...
View ArticleDissecting the Effectiveness of Firm Financial Strength in Predicting Chinese...
Publication date: Available online 14 October 2019Source: Finance Research LettersAuthor(s): Fuwei Jiang, Fujing Jin, Guohao TangAbstractThis paper studies whether the financial strength measure,...
View ArticleThe other side of forward guidance: Are central banks constrained by...
Publication date: Available online 15 October 2019Source: Finance Research LettersAuthor(s): Matthieu Picault, Louis RaffestinAbstractWe present a theoretical model in which the central bank cares...
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