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Publisher: Springer-Verlag (Total: 2350 journals)

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Showing 1 - 200 of 2350 Journals sorted alphabetically
3D Printing in Medicine     Open Access   (Followers: 1)
3D Research     Hybrid Journal   (Followers: 21, SJR: 0.222, CiteScore: 1)
4OR: A Quarterly J. of Operations Research     Hybrid Journal   (Followers: 10, SJR: 0.825, CiteScore: 1)
AAPS J.     Hybrid Journal   (Followers: 22, SJR: 1.118, CiteScore: 4)
AAPS PharmSciTech     Hybrid Journal   (Followers: 7, SJR: 0.752, CiteScore: 3)
Abdominal Imaging     Hybrid Journal   (Followers: 15, SJR: 0.866, CiteScore: 2)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 4, SJR: 0.439, CiteScore: 0)
Academic Psychiatry     Full-text available via subscription   (Followers: 25, SJR: 0.53, CiteScore: 1)
Academic Questions     Hybrid Journal   (Followers: 8, SJR: 0.106, CiteScore: 0)
Accreditation and Quality Assurance: J. for Quality, Comparability and Reliability in Chemical Measurement     Hybrid Journal   (Followers: 27, SJR: 0.316, CiteScore: 1)
Acoustical Physics     Hybrid Journal   (Followers: 11, SJR: 0.359, CiteScore: 1)
Acoustics Australia     Hybrid Journal   (SJR: 0.232, CiteScore: 1)
Acta Analytica     Hybrid Journal   (Followers: 7, SJR: 0.367, CiteScore: 0)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1, SJR: 0.675, CiteScore: 1)
Acta Biotheoretica     Hybrid Journal   (Followers: 4, SJR: 0.284, CiteScore: 1)
Acta Diabetologica     Hybrid Journal   (Followers: 18, SJR: 1.587, CiteScore: 3)
Acta Endoscopica     Hybrid Journal   (Followers: 1)
acta ethologica     Hybrid Journal   (Followers: 4, SJR: 0.769, CiteScore: 1)
Acta Geochimica     Hybrid Journal   (Followers: 7, SJR: 0.24, CiteScore: 1)
Acta Geodaetica et Geophysica     Hybrid Journal   (Followers: 2, SJR: 0.305, CiteScore: 1)
Acta Geophysica     Hybrid Journal   (Followers: 10, SJR: 0.312, CiteScore: 1)
Acta Geotechnica     Hybrid Journal   (Followers: 7, SJR: 1.588, CiteScore: 3)
Acta Informatica     Hybrid Journal   (Followers: 5, SJR: 0.517, CiteScore: 1)
Acta Mathematica     Hybrid Journal   (Followers: 12, SJR: 7.066, CiteScore: 3)
Acta Mathematica Hungarica     Hybrid Journal   (Followers: 2, SJR: 0.452, CiteScore: 1)
Acta Mathematica Sinica, English Series     Hybrid Journal   (Followers: 6, SJR: 0.379, CiteScore: 1)
Acta Mathematica Vietnamica     Hybrid Journal   (SJR: 0.27, CiteScore: 0)
Acta Mathematicae Applicatae Sinica, English Series     Hybrid Journal   (SJR: 0.208, CiteScore: 0)
Acta Mechanica     Hybrid Journal   (Followers: 21, SJR: 1.04, CiteScore: 2)
Acta Mechanica Sinica     Hybrid Journal   (Followers: 5, SJR: 0.607, CiteScore: 2)
Acta Metallurgica Sinica (English Letters)     Hybrid Journal   (Followers: 7, SJR: 0.576, CiteScore: 2)
Acta Meteorologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.638, CiteScore: 1)
Acta Neurochirurgica     Hybrid Journal   (Followers: 6, SJR: 0.822, CiteScore: 2)
Acta Neurologica Belgica     Hybrid Journal   (Followers: 1, SJR: 0.376, CiteScore: 1)
Acta Neuropathologica     Hybrid Journal   (Followers: 5, SJR: 7.589, CiteScore: 12)
Acta Oceanologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.334, CiteScore: 1)
Acta Physiologiae Plantarum     Hybrid Journal   (Followers: 2, SJR: 0.574, CiteScore: 2)
Acta Politica     Hybrid Journal   (Followers: 15, SJR: 0.605, CiteScore: 1)
Activitas Nervosa Superior     Hybrid Journal   (SJR: 0.147, CiteScore: 0)
adhäsion KLEBEN & DICHTEN     Hybrid Journal   (Followers: 8, SJR: 0.103, CiteScore: 0)
ADHD Attention Deficit and Hyperactivity Disorders     Hybrid Journal   (Followers: 23, SJR: 0.72, CiteScore: 2)
Adhesion Adhesives & Sealants     Hybrid Journal   (Followers: 9)
Administration and Policy in Mental Health and Mental Health Services Research     Partially Free   (Followers: 16, SJR: 1.005, CiteScore: 2)
Adsorption     Hybrid Journal   (Followers: 4, SJR: 0.703, CiteScore: 2)
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 4, SJR: 0.698, CiteScore: 1)
Advances in Atmospheric Sciences     Hybrid Journal   (Followers: 37, SJR: 0.956, CiteScore: 2)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 19, SJR: 0.812, CiteScore: 1)
Advances in Contraception     Hybrid Journal   (Followers: 3)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 54, SJR: 1.09, CiteScore: 1)
Advances in Gerontology     Partially Free   (Followers: 8, SJR: 0.144, CiteScore: 0)
Advances in Health Sciences Education     Hybrid Journal   (Followers: 28, SJR: 1.64, CiteScore: 2)
Advances in Manufacturing     Hybrid Journal   (Followers: 3, SJR: 0.475, CiteScore: 2)
Advances in Polymer Science     Hybrid Journal   (Followers: 44, SJR: 1.04, CiteScore: 3)
Advances in Therapy     Hybrid Journal   (Followers: 5, SJR: 1.075, CiteScore: 3)
Aegean Review of the Law of the Sea and Maritime Law     Hybrid Journal   (Followers: 6)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2, SJR: 0.517, CiteScore: 1)
Aerobiologia     Hybrid Journal   (Followers: 3, SJR: 0.673, CiteScore: 2)
Aesthetic Plastic Surgery     Hybrid Journal   (Followers: 9, SJR: 0.825, CiteScore: 1)
African Archaeological Review     Hybrid Journal   (Followers: 16, SJR: 0.862, CiteScore: 1)
Afrika Matematika     Hybrid Journal   (Followers: 1, SJR: 0.235, CiteScore: 0)
AGE     Hybrid Journal   (Followers: 7)
Ageing Intl.     Hybrid Journal   (Followers: 7, SJR: 0.39, CiteScore: 1)
Aggiornamenti CIO     Hybrid Journal   (Followers: 1)
Aging Clinical and Experimental Research     Hybrid Journal   (Followers: 3, SJR: 0.67, CiteScore: 2)
Agricultural Research     Hybrid Journal   (Followers: 6, SJR: 0.276, CiteScore: 1)
Agriculture and Human Values     Hybrid Journal   (Followers: 14, SJR: 1.173, CiteScore: 3)
Agroforestry Systems     Hybrid Journal   (Followers: 20, SJR: 0.663, CiteScore: 1)
Agronomy for Sustainable Development     Hybrid Journal   (Followers: 12, SJR: 1.864, CiteScore: 6)
AI & Society     Hybrid Journal   (Followers: 8, SJR: 0.227, CiteScore: 1)
AIDS and Behavior     Hybrid Journal   (Followers: 14, SJR: 1.792, CiteScore: 3)
Air Quality, Atmosphere & Health     Hybrid Journal   (Followers: 4, SJR: 0.862, CiteScore: 3)
Akupunktur & Aurikulomedizin     Full-text available via subscription   (Followers: 1)
Algebra and Logic     Hybrid Journal   (Followers: 6, SJR: 0.531, CiteScore: 0)
Algebra Universalis     Hybrid Journal   (Followers: 2, SJR: 0.583, CiteScore: 1)
Algebras and Representation Theory     Hybrid Journal   (Followers: 1, SJR: 1.095, CiteScore: 1)
Algorithmica     Hybrid Journal   (Followers: 9, SJR: 0.56, CiteScore: 1)
Allergo J.     Full-text available via subscription   (Followers: 1, SJR: 0.234, CiteScore: 0)
Allergo J. Intl.     Hybrid Journal   (Followers: 2)
Alpine Botany     Hybrid Journal   (Followers: 5, SJR: 1.11, CiteScore: 3)
ALTEX : Alternatives to Animal Experimentation     Open Access   (Followers: 3)
AMBIO     Hybrid Journal   (Followers: 10, SJR: 1.569, CiteScore: 4)
American J. of Cardiovascular Drugs     Hybrid Journal   (Followers: 16, SJR: 0.951, CiteScore: 3)
American J. of Community Psychology     Hybrid Journal   (Followers: 28, SJR: 1.329, CiteScore: 2)
American J. of Criminal Justice     Hybrid Journal   (Followers: 8, SJR: 0.772, CiteScore: 1)
American J. of Cultural Sociology     Hybrid Journal   (Followers: 16, SJR: 0.46, CiteScore: 1)
American J. of Dance Therapy     Hybrid Journal   (Followers: 4, SJR: 0.181, CiteScore: 0)
American J. of Potato Research     Hybrid Journal   (Followers: 2, SJR: 0.611, CiteScore: 1)
American J. of Psychoanalysis     Hybrid Journal   (Followers: 21, SJR: 0.314, CiteScore: 0)
American Sociologist     Hybrid Journal   (Followers: 12, SJR: 0.35, CiteScore: 0)
Amino Acids     Hybrid Journal   (Followers: 8, SJR: 1.135, CiteScore: 3)
AMS Review     Partially Free   (Followers: 4)
Analog Integrated Circuits and Signal Processing     Hybrid Journal   (Followers: 7, SJR: 0.211, CiteScore: 1)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 5, SJR: 0.536, CiteScore: 1)
Analysis in Theory and Applications     Hybrid Journal   (Followers: 1)
Analysis of Verbal Behavior     Hybrid Journal   (Followers: 5)
Analytical and Bioanalytical Chemistry     Hybrid Journal   (Followers: 32, SJR: 0.978, CiteScore: 3)
Anatomical Science Intl.     Hybrid Journal   (Followers: 2, SJR: 0.367, CiteScore: 1)
Angewandte Schmerztherapie und Palliativmedizin     Hybrid Journal  
Angiogenesis     Hybrid Journal   (Followers: 3, SJR: 2.177, CiteScore: 5)
Animal Cognition     Hybrid Journal   (Followers: 19, SJR: 1.389, CiteScore: 3)
Annales françaises de médecine d'urgence     Hybrid Journal   (Followers: 1, SJR: 0.192, CiteScore: 0)
Annales Henri Poincaré     Hybrid Journal   (Followers: 3, SJR: 1.097, CiteScore: 2)
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4, SJR: 0.438, CiteScore: 0)
Annali dell'Universita di Ferrara     Hybrid Journal   (SJR: 0.429, CiteScore: 0)
Annali di Matematica Pura ed Applicata     Hybrid Journal   (Followers: 1, SJR: 1.197, CiteScore: 1)
Annals of Biomedical Engineering     Hybrid Journal   (Followers: 18, SJR: 1.042, CiteScore: 3)
Annals of Combinatorics     Hybrid Journal   (Followers: 4, SJR: 0.932, CiteScore: 1)
Annals of Data Science     Hybrid Journal   (Followers: 12)
Annals of Dyslexia     Hybrid Journal   (Followers: 10, SJR: 0.85, CiteScore: 2)
Annals of Finance     Hybrid Journal   (Followers: 30, SJR: 0.579, CiteScore: 1)
Annals of Forest Science     Hybrid Journal   (Followers: 7, SJR: 0.986, CiteScore: 2)
Annals of Global Analysis and Geometry     Hybrid Journal   (Followers: 1, SJR: 1.228, CiteScore: 1)
Annals of Hematology     Hybrid Journal   (Followers: 15, SJR: 1.043, CiteScore: 2)
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 12, SJR: 0.413, CiteScore: 1)
Annals of Microbiology     Hybrid Journal   (Followers: 11, SJR: 0.479, CiteScore: 2)
Annals of Nuclear Medicine     Hybrid Journal   (Followers: 4, SJR: 0.687, CiteScore: 2)
Annals of Operations Research     Hybrid Journal   (Followers: 10, SJR: 0.943, CiteScore: 2)
Annals of Ophthalmology     Hybrid Journal   (Followers: 11)
Annals of Regional Science     Hybrid Journal   (Followers: 7, SJR: 0.614, CiteScore: 1)
Annals of Software Engineering     Hybrid Journal   (Followers: 13)
Annals of Solid and Structural Mechanics     Hybrid Journal   (Followers: 9, SJR: 0.239, CiteScore: 1)
Annals of Surgical Oncology     Hybrid Journal   (Followers: 13, SJR: 1.986, CiteScore: 4)
Annals of Telecommunications     Hybrid Journal   (Followers: 9, SJR: 0.223, CiteScore: 1)
Annals of the Institute of Statistical Mathematics     Hybrid Journal   (Followers: 1, SJR: 1.495, CiteScore: 1)
Antonie van Leeuwenhoek     Hybrid Journal   (Followers: 5, SJR: 0.834, CiteScore: 2)
Apidologie     Hybrid Journal   (Followers: 4, SJR: 1.22, CiteScore: 3)
APOPTOSIS     Hybrid Journal   (Followers: 8, SJR: 1.424, CiteScore: 4)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 2, SJR: 0.294, CiteScore: 1)
Applications of Mathematics     Hybrid Journal   (Followers: 2, SJR: 0.602, CiteScore: 1)
Applied Biochemistry and Biotechnology     Hybrid Journal   (Followers: 43, SJR: 0.571, CiteScore: 2)
Applied Biochemistry and Microbiology     Hybrid Journal   (Followers: 17, SJR: 0.21, CiteScore: 1)
Applied Cancer Research     Open Access  
Applied Categorical Structures     Hybrid Journal   (Followers: 2, SJR: 0.49, CiteScore: 0)
Applied Composite Materials     Hybrid Journal   (Followers: 49, SJR: 0.58, CiteScore: 2)
Applied Entomology and Zoology     Partially Free   (Followers: 4, SJR: 0.422, CiteScore: 1)
Applied Geomatics     Hybrid Journal   (Followers: 3, SJR: 0.733, CiteScore: 3)
Applied Geophysics     Hybrid Journal   (Followers: 8, SJR: 0.488, CiteScore: 1)
Applied Intelligence     Hybrid Journal   (Followers: 12, SJR: 0.6, CiteScore: 2)
Applied Magnetic Resonance     Hybrid Journal   (Followers: 4, SJR: 0.319, CiteScore: 1)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 6, SJR: 0.886, CiteScore: 1)
Applied Mathematics - A J. of Chinese Universities     Hybrid Journal   (SJR: 0.17, CiteScore: 0)
Applied Mathematics and Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.461, CiteScore: 1)
Applied Microbiology and Biotechnology     Hybrid Journal   (Followers: 64, SJR: 1.182, CiteScore: 4)
Applied Physics A     Hybrid Journal   (Followers: 9, SJR: 0.481, CiteScore: 2)
Applied Physics B: Lasers and Optics     Hybrid Journal   (Followers: 24, SJR: 0.74, CiteScore: 2)
Applied Psychophysiology and Biofeedback     Hybrid Journal   (Followers: 8, SJR: 0.519, CiteScore: 2)
Applied Research in Quality of Life     Hybrid Journal   (Followers: 12, SJR: 0.316, CiteScore: 1)
Applied Solar Energy     Hybrid Journal   (Followers: 18, SJR: 0.225, CiteScore: 0)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 5, SJR: 0.542, CiteScore: 1)
Aquaculture Intl.     Hybrid Journal   (Followers: 24, SJR: 0.591, CiteScore: 2)
Aquarium Sciences and Conservation     Hybrid Journal   (Followers: 2)
Aquatic Ecology     Hybrid Journal   (Followers: 34, SJR: 0.656, CiteScore: 2)
Aquatic Geochemistry     Hybrid Journal   (Followers: 4, SJR: 0.591, CiteScore: 1)
Aquatic Sciences     Hybrid Journal   (Followers: 13, SJR: 1.109, CiteScore: 3)
Arabian J. for Science and Engineering     Hybrid Journal   (Followers: 5, SJR: 0.303, CiteScore: 1)
Arabian J. of Geosciences     Hybrid Journal   (Followers: 2, SJR: 0.319, CiteScore: 1)
Archaeological and Anthropological Sciences     Hybrid Journal   (Followers: 20, SJR: 1.052, CiteScore: 2)
Archaeologies     Hybrid Journal   (Followers: 12, SJR: 0.224, CiteScore: 0)
Archiv der Mathematik     Hybrid Journal   (Followers: 1, SJR: 0.725, CiteScore: 1)
Archival Science     Hybrid Journal   (Followers: 60, SJR: 0.745, CiteScore: 2)
Archive for History of Exact Sciences     Hybrid Journal   (Followers: 7, SJR: 0.186, CiteScore: 1)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 3, SJR: 0.909, CiteScore: 1)
Archive for Rational Mechanics and Analysis     Hybrid Journal   (SJR: 3.93, CiteScore: 3)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.79, CiteScore: 2)
Archives and Museum Informatics     Hybrid Journal   (Followers: 144, SJR: 0.101, CiteScore: 0)
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 5, SJR: 1.41, CiteScore: 5)
Archives of Dermatological Research     Hybrid Journal   (Followers: 7, SJR: 1.006, CiteScore: 2)
Archives of Environmental Contamination and Toxicology     Hybrid Journal   (Followers: 14, SJR: 0.773, CiteScore: 2)
Archives of Gynecology and Obstetrics     Hybrid Journal   (Followers: 16, SJR: 0.956, CiteScore: 2)
Archives of Microbiology     Hybrid Journal   (Followers: 8, SJR: 0.644, CiteScore: 2)
Archives of Orthopaedic and Trauma Surgery     Hybrid Journal   (Followers: 8, SJR: 1.146, CiteScore: 2)
Archives of Osteoporosis     Hybrid Journal   (Followers: 2, SJR: 0.71, CiteScore: 2)
Archives of Sexual Behavior     Hybrid Journal   (Followers: 10, SJR: 1.493, CiteScore: 3)
Archives of Toxicology     Hybrid Journal   (Followers: 17, SJR: 1.541, CiteScore: 5)
Archives of Virology     Hybrid Journal   (Followers: 5, SJR: 0.973, CiteScore: 2)
Archives of Women's Mental Health     Hybrid Journal   (Followers: 14, SJR: 1.274, CiteScore: 3)
Archivio di Ortopedia e Reumatologia     Hybrid Journal  
Archivum Immunologiae et Therapiae Experimentalis     Hybrid Journal   (Followers: 2, SJR: 0.946, CiteScore: 3)
ArgoSpine News & J.     Hybrid Journal  
Argumentation     Hybrid Journal   (Followers: 6, SJR: 0.349, CiteScore: 1)
Arid Ecosystems     Hybrid Journal   (Followers: 2, SJR: 0.2, CiteScore: 0)
Arkiv för Matematik     Hybrid Journal   (Followers: 1, SJR: 0.766, CiteScore: 1)
Arnold Mathematical J.     Hybrid Journal   (Followers: 1, SJR: 0.355, CiteScore: 0)
Arthropod-Plant Interactions     Hybrid Journal   (Followers: 2, SJR: 0.839, CiteScore: 2)
Arthroskopie     Hybrid Journal   (Followers: 1, SJR: 0.131, CiteScore: 0)
Artificial Intelligence and Law     Hybrid Journal   (Followers: 11, SJR: 0.937, CiteScore: 2)
Artificial Intelligence Review     Hybrid Journal   (Followers: 15, SJR: 0.833, CiteScore: 4)
Artificial Life and Robotics     Hybrid Journal   (Followers: 9, SJR: 0.226, CiteScore: 0)
Asia Europe J.     Hybrid Journal   (Followers: 5, SJR: 0.504, CiteScore: 1)
Asia Pacific Education Review     Hybrid Journal   (Followers: 12, SJR: 0.479, CiteScore: 1)
Asia Pacific J. of Management     Hybrid Journal   (Followers: 16, SJR: 1.185, CiteScore: 2)
Asia-Pacific Education Researcher     Hybrid Journal   (Followers: 12, SJR: 0.353, CiteScore: 1)
Asia-Pacific Financial Markets     Hybrid Journal   (Followers: 2, SJR: 0.187, CiteScore: 0)
Asia-Pacific J. of Atmospheric Sciences     Hybrid Journal   (Followers: 19, SJR: 0.855, CiteScore: 1)
Asian Business & Management     Hybrid Journal   (Followers: 9, SJR: 0.378, CiteScore: 1)
Asian J. of Business Ethics     Hybrid Journal   (Followers: 9)
Asian J. of Criminology     Hybrid Journal   (Followers: 6, SJR: 0.543, CiteScore: 1)
AStA Advances in Statistical Analysis     Hybrid Journal   (Followers: 3, SJR: 0.548, CiteScore: 1)
AStA Wirtschafts- und Sozialstatistisches Archiv     Hybrid Journal   (Followers: 5, SJR: 0.183, CiteScore: 0)
ästhetische dermatologie & kosmetologie     Full-text available via subscription  

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Journal Cover
Annals of Finance
Journal Prestige (SJR): 0.579
Citation Impact (citeScore): 1
Number of Followers: 30  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1614-2454 - ISSN (Online) 1614-2446
Published by Springer-Verlag Homepage  [2350 journals]
  • The pricing kernel puzzle: survey and outlook
    • Authors: Horatio Cuesdeanu; Jens Carsten Jackwerth
      Pages: 289 - 329
      Abstract: Abstract It has been a while since the literature on the pricing kernel puzzle was summarized in Jackwerth (Option-implied risk-neutral distributions and risk-aversion, The Research Foundation of AIMR, Charlotteville, 2004). That older survey also covered the topic of risk-neutral distributions, which was itself already surveyed in Jackwerth (J Deriv 2:66–82, 1999). Much has happened in those years and estimation of risk-neutral distributions has moved from new and exciting in the last half of the 1990s to becoming a well-understood technology. Thus, the present survey will focus on the pricing kernel puzzle, which was first discussed around 2000. We document the pricing kernel puzzle in several markets and present the latest evidence concerning its (non-)existence. Econometric studies are detailed which test for the pricing kernel puzzle. The present work adds much breadth in terms of economic explanations of the puzzle. New challenges for the field are described in the process.
      PubDate: 2018-08-01
      DOI: 10.1007/s10436-017-0317-9
      Issue No: Vol. 14, No. 3 (2018)
       
  • How does competition affect real earnings management to meet or beat
           targets' Evidence from import tariff reductions
    • Authors: Alex Young
      Pages: 331 - 342
      Abstract: Abstract Targets provide incentives for earnings management, and a longstanding question is whether earnings management is undertaken opportunistically or to communicate private information about future firm value. To discriminate between these motivations, I follow analytical research showing that an increase in competition through a large decrease in tariffs disciplines managers and better aligns their interests with those of shareholders. Thus, if earnings management reflects managerial opportunism, then an increase in competition will decrease earnings management; and if it signals future performance expectations, then an increase in competition will increase earnings management. Consistent with earnings management indicating managerial opportunism, I show that an increase in competition decreases real earnings management to avoid reporting negative earnings or a negative change in earnings. In addition, by showing that the lessening of trade barriers through import tariff reductions reduces the use of real earnings management to meet or beat earnings targets, I provide evidence on the role of macroeconomic conditions as a determinant of earnings quality.
      PubDate: 2018-08-01
      DOI: 10.1007/s10436-017-0313-0
      Issue No: Vol. 14, No. 3 (2018)
       
  • Approximate option pricing and hedging in the CEV model via path-wise
           comparison of stochastic processes
    • Authors: Vladislav Krasin; Ivan Smirnov; Alexander Melnikov
      Pages: 195 - 209
      Abstract: Abstract This paper presents a methodology of finding explicit boundaries for some financial quantities via comparison of stochastic processes. The path-wise comparison theorem is used to establish domination of the stock price process by a process with a known distribution that is relatively simple. We demonstrate how the comparison theorem can be applied in the constant elasticity of variance model to derive closed-form expressions for option price bounds, an approximate hedging strategy and a conditional value-at-risk estimate. We also provide numerical examples and compare precision of our method with the distribution-free approach.
      PubDate: 2018-05-01
      DOI: 10.1007/s10436-017-0309-9
      Issue No: Vol. 14, No. 2 (2018)
       
  • Correction to: Analysis of the SRISK measure and its application to the
           Canadian banking and insurance industries
    • Authors: Thomas F. Coleman; Alex LaPlante; Alexey Rubtsov
      Abstract: In the original publication, Table 6 was incorrect. The correct version of Table 6 is given for your reading. The original article has been corrected
      PubDate: 2018-09-15
      DOI: 10.1007/s10436-018-0332-5
       
  • Implied liquidity risk premia in option markets
    • Authors: Florence Guillaume; Gero Junike; Peter Leoni; Wim Schoutens
      Abstract: Abstract The theory of conic finance replaces the classical one-price model by a two-price model by determining bid and ask prices for future terminal cash flows in a consistent manner. In this framework, we derive closed-form solutions for bid and ask prices of plain vanilla European options, when the density of the log-returns is log-concave. Assuming that log-returns are normally or Laplace distributed, we apply the results to a time-series of real market data and compute an implied liquidity risk premium to describe the bid–ask spread. We compare this approach to the classical attempt of describing the spread by quoting Black–Scholes implied bid and ask volatilities and demonstrate that the new approach characterize liquidity over time significantly better.
      PubDate: 2018-09-14
      DOI: 10.1007/s10436-018-0339-y
       
  • Optimal risk-averse timing of an asset sale: trending versus
           mean-reverting price dynamics
    • Authors: Tim Leung; Zheng Wang
      Abstract: Abstract This paper studies the optimal risk-averse timing to sell a risky asset. The investor’s risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price— the geometric Brownian motion and exponential Ornstein–Uhlenbeck models—to account for, respectively, the trending and mean-reverting price dynamics. In all cases, we derive the optimal thresholds and certainty equivalents to sell the asset, and compare them across models and utilities, with emphasis on their dependence on asset price, risk aversion, and quantity. We find that the timing option may render the investor’s value function and certainty equivalent non-concave in price. Numerical results are provided to illustrate the investor’s strategies and the premium associated with optimally timing to sell.
      PubDate: 2018-09-11
      DOI: 10.1007/s10436-018-0336-1
       
  • Inconspicuousness and obfuscation: how large shareholders dynamically
           manipulate output and information for trading purposes
    • Authors: Bart Taub
      Abstract: Abstract I model a large shareholder who can affect firm fundamentals. I demonstrate that the large shareholder amplifies the component of his private information that is unforecastable by uninformed traders and thus alters the fundamental value of the firm to facilitate his trading profits: he obfuscates. I then construct a continuous time dynamic version of the model using Fourier transform methods. In the dynamic model, the large shareholder does not just simply amplify the unforecastable part of the fundamental: he also alters its stochastic structure. The model thus marries market microstructure with real resource allocation. There are two consequences: (i) the large shareholder induces the fundamental value of the firm to more closely mimic the noise traders, and (ii) market liquidity is reduced.
      PubDate: 2018-08-23
      DOI: 10.1007/s10436-018-0334-3
       
  • Endogenous heterogeneity in duopoly with deterministic one-way spillovers
    • Authors: Adriana Gama; Isabelle Maret; Virginie Masson
      Abstract: Abstract This paper examines the standard symmetric two-period R&D duopoly model, but with a deterministic one-way spillover structure. Though the two firms are ex-ante identical, one obtains a unique pair of asymmetric equilibria of R&D investments, leading to inter-firm heterogeneity in the industry, in R&D roles as well as in unit costs. We analyze the impact of a change in the spillover parameter and R&D costs on firms’ levels of R&D and profits. We find that higher spillovers need not lead to lower R&D investments for both firms. In addition, equilibrium profits may improve due to the presence of spillovers, and it may be advantageous to be the R&D imitator rather than the R&D innovator.
      PubDate: 2018-08-21
      DOI: 10.1007/s10436-018-0329-0
       
  • Conic asset pricing and the costs of price fluctuations
    • Authors: Dilip B. Madan; Wim Schoutens
      Abstract: Abstract Prudent upper and lower valuations from the literature on arbitrage free two price economies provide risk characteristics driving required returns. The risk characteristics assess the risk of price fluctuations. The difference between the upper and lower prudent valuations can be viewed as a capital charge. In addition the lower valuation assesses the down side tail risk. The required risk characteristics may be estimated on a daily basis from past data and we elaborate on how to perform such upper and lower valuations using distorted expectations. Details are provided for calculations using just the raw data, or by first fitting a probability distribution, or in terms of estimated arrival rates for jumps. The valuations are obtained with a dynamic calibration of a parametric distortion on the S&P 500 index options market. Results for required returns based on capital charges and down side risk compensation show an improvement when risk is represented by the arrival rates of jump sizes. For risk assessments based on arrival rates, capital charges constitute between 67 and 85% of the required return. The rest being a charge for downside risk exposures. After the introduction of risk characteristics into required returns there is little scope for covariation measures like asset betas. Different proposed constructions for required returns deliver differences in the value of an invested dollar and associated differences in asset rankings across time.
      PubDate: 2018-06-11
      DOI: 10.1007/s10436-018-0328-1
       
  • Option pricing under fast-varying and rough stochastic volatility
    • Authors: Josselin Garnier; Knut Sølna
      Abstract: Abstract Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the origin. Another classic stylistic feature often assumed for the volatility is that it is mean reverting. In this paper it is shown that the price impact of a rapidly mean reverting rough volatility model coincides with that associated with fast mean reverting Markov stochastic volatility models. This reconciles the empirical observation of rough volatility paths with the good fit of the implied volatility surface to models of fast mean reverting Markov volatilities. Moreover, the result conforms with recent numerical results regarding rough stochastic volatility models. It extends the scope of models for which the asymptotic results of fast mean reverting Markov volatilities are valid. The paper concludes with a general discussion of fractional volatility asymptotics and their interrelation. The regimes discussed there include fast and slow volatility factors with strong or small volatility fluctuations and with the limits not commuting in general. The notion of a characteristic term structure exponent is introduced, this exponent governs the implied volatility term structure in the various asymptotic regimes.
      PubDate: 2018-06-08
      DOI: 10.1007/s10436-018-0325-4
       
  • Analysis of the SRISK measure and its application to the Canadian banking
           and insurance industries
    • Abstract: Abstract In this paper, we analyse, modify, and apply one of the most widely used measures of systemic risk, SRISK, developed by Brownlees and Engle (in Rev Financ Stud 30:48–79, 2016). The measure is defined as the expected capital shortfall of a firm conditional on a prolonged market decline. We argue that segregated funds, also known as separate accounts in the US, should be excluded from actuarial liabilities when SRISK is calculated for insurance companies. We also demonstrate the importance of careful analysis of accounting standards when specifying the prudential capital ratio used in SRISK methodology. Based on the proposed adjustments to SRISK, we assess the systemic risk of the Canadian banking and insurance industries. It is shown that in its current implementation, the SRISK methodology substantially overestimates the systemic risk of Canadian insurance companies.
      PubDate: 2018-06-06
      DOI: 10.1007/s10436-018-0326-3
       
  • Vanishing central bank intervention in stochastic impulse control
    • Authors: Gregory Gagnon
      Abstract: Abstract Stochastic control of exchange rates when a central bank employs anti-inflationary stochastic differential equation (SDE) monetary policy is the key topic of our paper. Despite low money growth SDE policy means exchange rates invariably violate the central bank’s targets. Monetary policy also incorporates interventions reflected by sudden money supply jumps that moderate deviations from targets. Controlling exchange rates involves minimizing target deviation and intervention costs. Restrictions on these costs ensure intervention vanishes under the optimal control, implying the central bank engineers freely floating exchange rates instead of managed floating or fixed exchange rates. Econometric evidence suggests discretionary interventions may be ineffective or generate excess volatility and speculation in currency markets. Our result demonstrates mathematically that such collateral damage discourages intervention.
      PubDate: 2018-06-01
      DOI: 10.1007/s10436-018-0327-2
       
  • Correction to: Modeling the inconsistency in intertemporal choice: the
           generalized Weibull discount function and its extension
    • Authors: Salvador Cruz Rambaud; Isabel González Fernández; Viviana Ventre
      Abstract: In the original publication, the second author’s name was incorrect. The correct name should be Isabel González Fernández.
      PubDate: 2018-05-23
      DOI: 10.1007/s10436-018-0322-7
       
  • What determines the share of non-resident public debt ownership'
           Evidence from Euro Area countries
    • Authors: João Tovar Jalles
      Abstract: Abstract This paper provides, for the first time, a detailed picture of the composition of public debt by type of holder (foreign vs. domestic) and type of holding institution for a set of 7 Euro Area countries between 1991Q1 and 2015Q4. In addition, it empirically inspects the determinants of nonresident public debt ownership, accounting for both domestic and external factors and paying special attention to the global financial crisis period. Using a previously unexplored dataset and by means of panel and country-specific time series regressions, we find that improved fiscal positions, systemic stress and financial volatility, a strong business cycle position, all increase share of public debt held by non-residents. Also, a higher share of monetary and financial institutions cross-border holdings of sovereign debt issued by the other Euro Area countries was correlated with higher share of public debt held by non-residents. Finally, results are robust to outliers inspection and other sensitivity checks.
      PubDate: 2018-03-27
      DOI: 10.1007/s10436-018-0321-8
       
  • Bubbles, growth and imperfection of credit market in a two-country model
    • Authors: Ryosuke Shimizu
      Abstract: Abstract This study extends Hirano and Yanagawa (Rev Econ Stud 84(1):406–443, 2017) to an asymmetric two-country model and examines bubbles effects on each country’s long-run economic growth rate. This study also provides numerical examples with respect to the relationship between each country’s growth rate and their financial frictions in the balanced growth equilibria with bubbles and without bubbles. It shows that foreign bubbles have positive and negative effects on both countries’ growth rates, and which effect dominates depends on the level of financial development in both countries. In this study, the positive effect of bubbles tends to dominate when the total level of financial frictions in both countries is relatively low. When the total effect of bubbles on the growth rate is positive, the burst of foreign bubbles leads to a decrease in the growth rate in both countries. This implies that there is a positive correlation between foreign bubbles and the domestic as well as the foreign country’s growth rate.
      PubDate: 2018-03-08
      DOI: 10.1007/s10436-018-0320-9
       
  • A nonparametric quantity-of-quality approach to assessing financial asset
           return performance
    • Authors: M. Ryan Haley
      Abstract: Abstract This paper adapts two recent developments from the bibliometric literature to the problem of assessing the return performance of a financial asset. The result is a quantity-of-quality metric, which is both nonparametric and moment-free. As such, it offers a nonstandard perspective on the informational patterns in asset returns, and accordingly can complement traditional moment-based asset evaluation methods. The proposed approach is simple to apply, and while moment-free, captures intuitively important aspects of asset performance such as location, upside potential, downside risk, and volatility. It can also be expressed as a reward-to-risk ratio, which serves as a counterpart to the Sharpe ratio. Empirical and simulation results suggest that, relative to the Sharpe ratio, the proposed approach prefers assets with moderately higher means and standard deviations, and more favorable skewness.
      PubDate: 2018-02-26
      DOI: 10.1007/s10436-018-0319-2
       
  • Modeling the inconsistency in intertemporal choice: the generalized
           Weibull discount function and its extension
    • Authors: Salvador Cruz Rambaud; Isabel Fernández González; Viviana Ventre
      Abstract: Abstract The aim of this paper is to obtain the family of the so-called generalized Weibull discount functions, introduced by Takeuchi (Game Econ Behav 71:456–478, 2011), by deforming the q-exponential discount function by means of the Stevens’ “power” law. The obtained discount functions exhibit different degrees of inconsistency and so they can be classified according to the value of their characteristic deforming parameters. Moreover, we extend the construction of the generalized Weibull discount function starting from any discount function instead of the q-exponential discounting. In any case, the value of the parameter \(\theta \) of these new discount functions is extended from (0, 1] to the union of the intervals \((-\,\infty ,0) \cup (0,+\,\infty )\) .
      PubDate: 2018-02-13
      DOI: 10.1007/s10436-018-0318-3
       
  • Asset market equilibrium with liquidity risk
    • Authors: Robert Jarrow
      Abstract: Abstract This paper derives an equilibrium asset pricing model with endogenous liquidity risk. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Under a strong set of assumptions, we prove that a unique equilibrium liquidity cost process and a unique equilibrium price process exists for our economy. We characterize the market’s state price density, which enables the derivation of the risk-return relation for the stock’s expected return including liquidity risk. We derive a generalized intertemporal CAPM and consumption CAPM for these markets. In contrast to the traditional models without liquidity risk, there is an additional systematic liquidity risk factor which is related to the stock return’s covariation with the market’s stochastic liquidity cost. Traditional transaction costs are a special case of our formulation.
      PubDate: 2017-12-08
      DOI: 10.1007/s10436-017-0316-x
       
  • On the implied market price of risk under the stochastic numéraire
    • Authors: Nikolai Dokuchaev
      Abstract: Abstract This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. An equivalent martingale measure is not unique for this market, and there are non-replicable claims. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures calculated from bond prices constructed as a risk-free investment with deterministic payoff at the terminal time. This leads to possibility to infer a implied market price of risk process from observed historical bond prices.
      PubDate: 2017-12-02
      DOI: 10.1007/s10436-017-0315-y
       
  • Financial equilibrium with non-linear valuations
    • Authors: Dilip B. Madan
      Abstract: Abstract Classical Arrow Debreu equilibria employ budget feasibility to require individuals to ensure excess supplies to be nonnegative in value using the single equilibrium price system for valuation purposes. Yet by the selection of state contingent prices, they seek excess supplies that are nonnegative in each component, and not just the value. A financial equilibrium, on the other hand, defines acceptable economic risks as excess supplies that are nonnegative in value for a number of prespecified valuation price systems. The collection of prespecified valuation price systems may be referred to as features for which clearing is sought. The number of features will generally be less than the number of states. It is then shown that by also defining budget feasibility nonlinearly one may construct a financial equilibrium with fewer securities than there are features to be cleared.
      PubDate: 2017-11-08
      DOI: 10.1007/s10436-017-0312-1
       
 
 
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