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Annals of Finance

Annals of Finance OnlineFirst articles

19.02.2019 | Research Article

The role of household debt and delinquency decisions in consumption-based asset pricing

I incorporate household debt and delinquency decisions into a standard model of lifecycle consumption-saving-investment. I also impose a punishment to the delinquent behavior by assuming that the percentage of endowment available is a linear …

07.02.2019 | Research Article

Relative performance concerns among investment managers

This paper examines the strategic interaction of n portfolio managers with relative performance concerns. We characterize the unique constant Nash equilibrium and derive some compelling results. Surprisingly, in equilibrium, more risk tolerant …

07.01.2019 | Research Article

Cash flows risk, capital structure, and corporate bond yields

This paper explores the effects of a firm’s cash flow systematic risk on its optimal capital structure. In a model where firms are allowed to borrow resources from a competitive lending sector, those with cash flows more correlated with the …

12.11.2018 | Research Article

Semi-nonparametric approximation and index options

In an arbitrage-free securities market, all state-contingent claims and the stochastic discount factors can be approximated appropriately by index options with a semi-nonparametric method. These index options are constructed by efficient …

13.10.2018 | Research Article

Change point dynamics for financial data: an indexed Markov chain approach

This paper uses an Indexed Markov Chain to model high frequency price returns of quoted rms. Introducing an Index process permits consideration of endogenous market volatility, and two important stylized facts of financial time series can be taken …

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Annals of Finance will, different from existing journals, cover all aspects of finance in one journal. In this way, the journal is different from the competition.
The purpose of Annals of Finance is to provide an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance's scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability.

Annals of Finance will also publish special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance.

Officially cited as: Ann Finance

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