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Journal of Financial Markets, ISSN 1386-4181, 1998, Volume 1, Issue 2, pp. 203 - 219
This paper provides an alternative test of Amihud and Mendelson's (1986, Journal of Financial Economics, 8, 31-35) model using the turnover rate (number of... 
G12
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 02/2015, Volume 115, Issue 2, pp. 283 - 303
Consistent with predictions from the psychology literature, we find that stock prices co-move more (less) in culturally tight (loose) and collectivistic... 
Openness | Tightness | Culture | Individualism | G02 | G12 | G15
Journal Article
Journal of Financial Research, ISSN 0270-2592, 06/2003, Volume 26, Issue 2, pp. 259 - 274
We investigate whether return volatility, trading volume, return asymmetry, business cycles, and day‐of‐the‐week are potential determinants of conditional... 
G12
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 05/2012, Volume 104, Issue 2, pp. 288 - 302
This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting in which the presence of... 
Investor sentiment | Anomalies | G12 | G14 | MARKET | INSTITUTIONAL INVESTORS | RESTRICTIONS | SHORT SALES | CROSS-SECTION | ASSET PRICES | BUSINESS, FINANCE | EXPECTED STOCK RETURNS | EMPIRICAL-EVIDENCE | ECONOMICS | LIQUIDITY RISK | INVESTMENTS
Journal Article
Journal of Financial Research, ISSN 0270-2592, 12/2005, Volume 28, Issue 4, pp. 539 - 554
We examine the interactive effect of default and interest rate risk on duration of defaultable bonds. We show that duration for defaultable bonds can be longer... 
G12
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 01/2014, Volume 111, Issue 1, pp. 1 - 25
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central... 
Liquidity | Asset prices | Margin requirements | CAPM | Leverage constraints | Beta | G11 | G01 | G12 | G15 | G14 | PERFORMANCE | MULTIVARIATE TESTS | ASSET-PRICING ANOMALIES | CROSS-SECTION | CONSISTENT COVARIANCE-MATRIX | BUSINESS, FINANCE | EXPECTED STOCK RETURNS | CONSTRAINTS | ECONOMICS | HETEROSKEDASTICITY | CAPITAL MARKET EQUILIBRIUM | LIQUIDITY RISK | Treasury securities | Analysis
Journal Article
Journal of Financial Research, ISSN 0270-2592, 12/2005, Volume 28, Issue 4, pp. 503 - 518
Because they are scaled by price, the ability of size (i.e., the market capitalization of a firm) and the book‐to‐market equity ratio to determine expected... 
G12
Journal Article
Journal of Accounting and Economics, ISSN 0165-4101, 2011, Volume 51, Issue 1, pp. 1 - 20
Journal Article
Neurosignals, ISSN 1424-862X, 02/2009, Volume 17, Issue 1, pp. 55 - 70
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 3/2015, Volume 28, Issue 3, pp. 650 - 705
An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross... 
G12 | G14 | PRICES | ANALYSTS FORECASTS | MARKET VALUE | EARNINGS | CORPORATE-INVESTMENT | RISK | ACCRUALS | FULLY REFLECT | CROSS-SECTION | STOCK RETURNS | BUSINESS, FINANCE | ECONOMICS
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 08/2015, Volume 117, Issue 2, pp. 350 - 368
We examine the illiquidity premium in stock markets across 45 countries and present two findings. First, the average illiquidity return premium across... 
G12 | Illiquidity premium | G15 | International markets | F37 | Commonality in illiquidity premium | TESTS | PRICES | BIASES | CROSS-SECTION | BUSINESS, FINANCE | COSTS | INTEGRATION | EXPECTED STOCK RETURNS | EMERGING MARKETS | ECONOMICS | EFFICIENCY | LIQUIDITY RISK
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 05/2012, Volume 104, Issue 2, pp. 251 - 271
A number of authors have suggested that investors derive utility from gains and losses on assets that they own. We present a model of this “realization... 
Trading | Disposition effect | Behavioral finance | Individual investors | D03 | G11 | G12 | HOUSING-MARKET | RETURNS | VOLUME | WEALTH | DISPOSITION | INVESTORS TRADE | OVERCONFIDENCE | BUSINESS, FINANCE | STOCK-MARKET | ECONOMICS | LOSS AVERSION | PROSPECT-THEORY | Analysis | Electric utilities
Journal Article
Applied Economics, ISSN 0003-6846, 11/2018, Volume 50, Issue 55, pp. 5950 - 5965
We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical... 
heavy tails | cryptocurrency market | long-range dependence | autocorrelations | Stylized facts | G12 | volatility clustering | G14 | RANDOMNESS | INEFFICIENCY | RETURNS | BITCOIN | HEDGE | ECONOMICS | VOLATILITY | EFFICIENCY | Digital currencies | Economic models | Volatility
Journal Article
Applied Economics, ISSN 0003-6846, 04/2016, Volume 48, Issue 19, pp. 1799 - 1815
This is the first article that studies BitCoin price formation by considering both the traditional determinants of currency price, e.g., market forces of... 
E31 | E42 | BitCoin | financial indicators | supply and demand | G12 | financial investment | exchange rate | MONEY | COINTEGRATION | UNIT-ROOT | ECONOMICS | LEVEL | Usage | Forecasts and trends | Crypto-currencies | Macroeconomics | Analysis
Journal Article
Financial Markets and Portfolio Management, ISSN 1555-4961, 9/2011, Volume 25, Issue 3, pp. 239 - 264
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 05/2012, Volume 104, Issue 2, pp. 401 - 419
Motivated by psychological evidence on limited investor attention and anchoring, we propose two proxies for the degree to which traders under- and overreact to... 
Underreaction | Anchor | Attention | Overreaction | 52-week high | G12 | G14 | HABIT | MARKET | EARNINGS | MODEL | BUSINESS, FINANCE | ECONOMICS | CONSUMPTION | PROSPECT-THEORY | Monte Carlo method | Analysis
Journal Article