The North American Journal of Economics and Finance

1992 - 2024

Continuation of North American Review of Economics and Finance.

Current editor(s): Hamid Beladi

From Elsevier
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Volume 45, issue C, 2018

Busy directors and firm performance: Does firm location matter? pp. 1-37

Hui Liang James, Hongxia Wang and Yamin Xie

On credit and output: Is the supply of credit relevant? pp. 38-56

Joshua Wojnilower

Leverage and firm performance: New evidence on the role of firm size pp. 57-82

Oyakhilome Ibhagui and Felicia O. Olokoyo

Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas pp. 83-100

Felipe A. de Oliveira, Sinézio F. Maia, Diego P. de Jesus and Cássio Besarria

Overpaid CEOs got FDIC debt guarantees pp. 101-115

Linus Wilson and Yan Wendy Wu

Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach pp. 116-137

Lu Yang, Shuairu Tian, Wei Yang, Mingli Xu and Shigeyuki Hamori

Financial intermediation and real estate prices impact on business cycles: A Bayesian analysis pp. 138-160

Carlos Yepez

Foreign equity flows: Boon or bane to the liquidity of Malaysian stock market? pp. 161-181

Ping-Xin Liew, Kian-Ping Lim and Kim-Leng Goh

A model of currency crises with heterogeneous market beliefs pp. 182-195

Pompeo Della Posta

Cross herding between American industries and the oil market pp. 196-205

Houda BenMabrouk and Houda Litimi

OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach pp. 206-214

Rangan Gupta and Seong-Min Yoon

Clearinghouse loan certificates as a lender of last resort pp. 215-229

Christopher Hoag

European quanto option pricing in presence of liquidity risk pp. 230-244

Zhe Li, Wei-Guo Zhang and Yong-Jun Liu

The study on the tail dependence structure between the economic policy uncertainty and several financial markets pp. 245-265

Can-Zhong Yao and Bo-Yi Sun

The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico pp. 266-275

Nancy Areli Bermudez Delgado, Estefanía Bermudez Delgado and Eduardo Saucedo

Volume 44, issue C, 2018

The impact of credit and fiscal policy under a liquidity trap pp. 1-11

Carlos Yepez

Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States pp. 12-33

Shuming Bai and Kai S. Koong

Does the stock market really cause unemployment? A cross-country analysis pp. 34-43

Wei-Fong Pan

Inflation targeting and income velocity in developing economies: Some international evidence pp. 44-61

Than Than Soe and Makoto Kakinaka

Estimation of spot volatility with superposed noisy data pp. 62-79

Qiang Liu, Yiqi Liu, Zhi Liu and Li Wang

The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations pp. 80-91

Ronald Henry Lange

Are low-frequency data really uninformative? A forecasting combination perspective pp. 92-108

Feng Ma, Yu Li, Li Liu and Yaojie Zhang

Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets pp. 109-128

Cho-Hoi Hui, Chi-Fai Lo and Po-Hon Chau

Quantity of finance and financial crisis: A non-monotonic investigation☆ pp. 129-139

Xun Zhang, Zongyue He, Jiali Zhu and Jing Li

What determines the long-term correlation between oil prices and exchange rates? pp. 140-152

Lu Yang, Xiao Jing Cai and Shigeyuki Hamori

The impact of funding liquidity on market quality pp. 153-166

Wei-Peng Chen, Shu Ling Lin, Jun Lu and Chih-Chiang Wu

How money illusions and heterogeneous beliefs affect asset prices pp. 167-192

Chaoqun Ma, Hailong Wang, Fengchao Cheng and Duni Hu

Modeling dynamics of short-term international capital flows in China: A Markov regime switching approach pp. 193-203

Ye Ning and Lingxiang Zhang

Predicting failure risk using financial ratios: Quantile hazard model approach pp. 204-220

Manh Cuong Dong, Shaonan Tian and Cathy W. S. Chen

Switches in price discovery: Are U.S. traders more qualified in making valuations? pp. 221-234

Mahmoud Qadan

Bank shareholding and corporate cash management: Evidence from China pp. 235-253

Huili Zhang and Kam C. Chan

Economic shock and share repurchases pp. 254-264

Hsuan-Chi Chen, Joel T. Harper and Subramanian R. Iyer

London calling: Nonlinear mean reversion across national stock markets pp. 265-277

Hyeongwoo Kim and Jintae Kim

International synchronization of the Mexican states business cycles: Explaining factors pp. 278-288

Pablo Mejía-Reyes, Liliana Rendón-Rojas, Reyna Vergara-González and Patricio Aroca

The adjustment of bank ratings in the financial crisis: International evidence pp. 289-313

Carlos Salvador, Juan Fernández de Guevara and José Manuel Pastor

Volume 43, issue C, 2018

Size matters everywhere: Decomposing the small country and small industry premia pp. 1-18

Adam Zaremba and Mehmet Umutlu

Are hated stocks good investments? pp. 19-29

Jouahn Nam, Jun Wang, Cunyu Xing and Ge Zhang

Compound option pricing under a double exponential Jump-diffusion model pp. 30-53

Yu-hong Liu, I-Ming Jiang and Wei-tze Hsu

Determinants of the real impact of banking crises: A review and new evidence pp. 54-70

Philip Wilms, Job Swank and Jakob de Haan

Chinese bank efficiency during the global financial crisis: A combined approach using satisficing DEA and Support Vector Machines☆ pp. 71-86

Zhongfei Chen, Roman Matousek and Peter Wanke

Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model☆ pp. 87-96

Rangan Gupta, Christian Pierdzioch, Refk Selmi and Mark Wohar

Collateral damage: Dollar strength and emerging markets’ growth pp. 97-117

Pablo Druck, Nicolas Magud and Rodrigo Mariscal

Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach pp. 118-128

Kaiji Motegi and Akira Sadahiro

Optimal combination of currency strategies pp. 129-140

Ricardo Laborda

Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy pp. 141-157

Helder de Mendonça and Rafael Bernardo da Silva

The influence of family and pyramidal ownership on corporate diversification in Chile pp. 158-168

Christian Espinosa-Méndez, Mauricio Jara-Bertín and Carlos Maquieira

The “Sell in May” effect: A review and new empirical evidence pp. 169-205

Thomas Degenhardt and Benjamin R. Auer

Volume 42, issue C, 2017

Impact of SOX on the returns to targets and acquirers in corporate tender offers pp. 1-19

Harjeet S. Bhabra and Ashrafee T. Hossain

Cross-border mergers and acquisitions with heterogeneous firms: Technology vs. market motives pp. 20-37

Donghyun Lee

Determinants of commonality in liquidity: Evidence from an order-driven emerging market pp. 38-52

Sudhakara Reddy Syamala, Kavita Wadhwa and Abhinav Goyal

Moments expansion densities for quantifying financial risk pp. 53-69

Trino Ñíguez Grau and Javier Perote

The international transmission channels of US supply and demand shocks: Evidence from a non-stationary dynamic factor model for the G7 countries pp. 70-88

Max Hanisch and Bernd Kempa

The impacts of competition and shadow banking on profitability: Evidence from the Chinese banking industry pp. 89-106

Yong Tan

Herding behavior, market sentiment and volatility: Will the bubble resume? pp. 107-131

Stelios Bekiros, Mouna Jlassi, Brian Lucey, Kamel Naoui and Gazi Uddin

Structural vulnerability and resilience to currency crisis: Foreign currency debt versus export pp. 132-143

Ryota Nakatani

Sovereign debt composition and time-varying public finance sustainability pp. 144-155

Antonio Afonso and Joao Jalles

On the State and Wealth dependence of risk aversion: An analysis using severance pay allocation pp. 156-171

Patrizia Ordine and Giuseppe Rose

Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements pp. 172-192

Ya-Ting Chang, Yin-Feng Gau and Chih-Chiang Hsu

A comparison study of pricing credit default swap index tranches with convex combination of copulae pp. 193-217

Ostap Okhrin and Ya Fei Xu

Diversification discount and investor sentiment pp. 218-236

Joel T. Harper, Subramanian Rama Iyer and Ali Nejadmalayeri

Abnormal research and development investments and stock returns pp. 237-249

Hilmi Songur and Jason E. Heavilin

Mispricing and trader positions in the S&P 500 index futures market pp. 250-265

Ya-Wen Lai, Chiou-Fa Lin and Mei-Ling Tang

Herd behavior of the overall market: Evidence based on the cross-sectional comovement of returns pp. 266-284

Kyuseok Lee

Investor sentiment and country exchange traded funds: Does economic freedom matter? pp. 285-299

Mei-Ping Chen, Chien-Chiang Lee and Yi-Chung Hsu

CEO overconfidence and agency cost of debt: An empirical analysis of CEO turnover events pp. 300-313

Subramanian R. Iyer, Harikumar Sankaran and Ali Nejadmalayeri

An intertemporal CAPM with higher-order moments pp. 314-337

Jeewon Jang and Jangkoo Kang

Stock price reactions to stock dividend announcements: A case from a sluggish economic period pp. 338-345

Aditya Khanal and Ashok Mishra

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises pp. 346-358

Xu Guo, Michael McAleer, Wing-Keung Wong and Lixing Zhu

Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks pp. 359-373

Shih-Kuei Lin, Shin-Yun Wang, Carl R. Chen and Lian-Wen Xu

Social trust environment and firm tax avoidance: Evidence from China pp. 374-392

Changyuan Xia, Chunfang Cao and Kam C. Chan

Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory pp. 393-420

Gabriel Rodríguez

Forecasting broad money velocity pp. 421-432

Alexander Jung

Fair valuation of mortgage insurance under stochastic default and interest rates pp. 433-447

Yang-Che Wu, Yi-Ting Huang, Shih-Kuei Lin and Ming-Che Chuang

Efficient modelling and forecasting with range based volatility models and its application pp. 448-460

Kok Haur Ng, Shelton Peiris, Jennifer Chan, David Allen and Kooi Huat Ng

Measuring systemic risk of the US banking sector in time-frequency domain pp. 461-472

Petr Teply and Ivana Kvapilikova

Ultimate consumption risk and investment-based stock returns pp. 473-486

Hankil Kang, Jangkoo Kang and Changjun Lee

Powerful CEOs, debt financing, and leasing in Chinese SMEs: Evidence from threshold model pp. 487-503

Qaiser Munir, Sook Ching Kok, Tamara Teplova and Tongxia Li

Investor sentiment, heterogeneous agents and asset pricing model pp. 504-512

Jinfang Li

Higher moment exchange rate exposure of S&P500 firms pp. 513-530

Marcelo Bianconi and Zhe Cai

Efficiency, growth and market power in the banking industry: New approach to efficient structure hypothesis pp. 531-545

Habib Hussain Khan, Ali Kutan, Iram Naz and Fiza Qureshi

The 2016 U.S. presidential election and the Stock, FX and VIX markets pp. 546-563

Imlak Shaikh

Fake news pp. 564-573

Matt Brigida and William R. Pratt

A two-step hybrid investment strategy for pension funds pp. 574-583

Bernardo K. Pagnoncelli, Arturo Cifuentes and Gabriela Denis

Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction pp. 584-596

Can-Zhong Yao and Qing-Wen Lin

Monetary policy transparency in a forward-looking market: Evidence from the United States pp. 597-617

Amir Kia

Mispricing in the odd lots market in Brazil pp. 618-628

Henrique P. Ramos, Marcelo Perlin and Marcelo B. Righi

Sovereign default risk in OECD countries: Do global factors matter? pp. 629-639

Daniel Ordoñez-Callamand, Jose Gomez-Gonzalez and Luis Melo-Velandia

The international REIT’s time-varying response to the U.S. monetary policy and macroeconomic surprises pp. 640-653

Hardik Marfatia, Rangan Gupta and Esin Cakan

Learning about individual managers’ performance in UK pension funds: The importance of specialization pp. 654-667

Mercedes Alda, Laura Andreu and José Luis Sarto

Risk pricing of wholesale funds and the behavior of retail deposit rates pp. 668-681

Ruby P. Kishan and Timothy P. Opiela