SSRN Capital Markets: Asset Pricing & Valuation

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Capital Markets: Asset Pricing & Valuation

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Records 1 - 20 of 12293 matches
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Incl. Electronic Paper eDocument is available from the SSRN eLibrary for free
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An Examination of the Role of Time and its Impact on Price Revision
ECU Working Paper Series
Shelton Peiris , David E. Allen and Wenling Joey Yang
University of Sydney - School of Mathematics and Statistics , Edith Cowan University - School of Finance and Business Economics and Securities Industry Research Centre of Asia Pacific (SIRCA)
Date Posted:
Last Revised: August 25, 2006
Working Paper Series
336 downloads

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Monetary Unification and the Price of Risk: An Unconditional Analysis
Review of World Economics, Vol. 139, No. 2, pp. 276-305, 2003.
Hans Dewachter , Konstantijn Maes and Kristien Smedts
Catholic University of Leuven (KUL) - Department of Economics , National Bank of Belgium and Catholic University of Leuven (KUL) - Faculty of Business and Economics (FBE)
Date Posted:
Last Revised: August 18, 2006
Working Paper Series
130 downloads

Incl. Electronic Paper

Preference Heterogeneity and Asset Prices: An Exact Solution
David Weinbaum
Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: November 24, 2009
Last Revised: November 24, 2009
Working Paper Series
4 downloads

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Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk
Deniz Anginer and Celim Yildizhan
University of Michigan at Ann Arbor - Stephen M. Ross School of Business and University of Michigan at Ann Arbor - Stephen M. Ross School of Business
Date Posted: November 19, 2009
Last Revised: November 19, 2009
Working Paper Series
276 downloads

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What Explains the Variance of Prices and Returns?: Time-series Vs. Cross-section
Denis B. Chaves
University of Chicago - Booth School of Business
Date Posted: November 19, 2009
Last Revised: November 23, 2009
Working Paper Series
12 downloads

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Globalization and Asset Prices
Geert Bekaert and Xiaozheng Sandra Wang
Columbia University - Columbia Business School, Economics Department and Columbia University - Columbia Business School
Date Posted: November 18, 2009
Last Revised: November 18, 2009
Working Paper Series
11 downloads

IPO Underpricing Over Time: Evidence from the UK
University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Stephen P. Ferris , Gregory Noronha and Emre Unlu
University of Missouri at Columbia - Department of Finance , University of Washington, Tacoma - Milgard School of Business and University of Nebraska at Lincoln
Date Posted: November 17, 2009
Last Revised: November 17, 2009
Accepted Paper Series

Signalling and the Pricing of New Issues
University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Mark Grinblatt and Chuan Yang Hwang
University of California, Los Angeles - Finance Area and affiliation not provided to SSRN
Date Posted: November 17, 2009
Last Revised: November 18, 2009
Accepted Paper Series

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When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009
Marcin T. Kacperczyk and Philipp Schnabl
New York University - Leonard N. Stern School of Business and New York University, Stern School of Business
Date Posted: November 17, 2009
Last Revised: November 19, 2009
Working Paper Series
4 downloads

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Volatility Spillovers and Contagion from Mature to Emerging Stock Markets
ECB Working Paper No. 1113
John Beirne , Guglielmo Maria Caporale , Marianne Schulze-Ghattas and Nicola Spagnolo
European Central Bank (ECB) , London South Bank University , International Monetary Fund (IMF) and Brunel University
Date Posted: November 15, 2009
Last Revised: November 15, 2009
Working Paper Series
3 downloads

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Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
CIRANO - Scientific Publications 2009s-20
Rene Garcia and Richard Luger
EDHEC Business School and Emory University - Department of Economics
Date Posted: November 14, 2009
Last Revised: November 14, 2009
Working Paper Series
5 downloads

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Forecasting Expected Shortfall with a Generalized Asymmetric Student-T Distribution
CIRANO - Scientific Publications Paper No. 2009s-24
Dongming Zhu and John W. Galbraith
Peking University and McGill University - Department of Economics
Date Posted: November 12, 2009
Last Revised: November 12, 2009
Working Paper Series
2 downloads

Predicting Systematic Risk: Implications from Growth Options
CIRANO - Scientific Publications Paper No. 2009s-26
Eric Jacquier , Sheridan Titman and Atakan Yalcin
HEC Montreal - Department of Finance , University of Texas at Austin - Department of Finance and Koc University - Finance
Date Posted: November 12, 2009
Last Revised: November 12, 2009
Working Paper Series

A Simple Model for Time - Varying Expected Returns on the S&P 500 Index
Journal of Investment Management, Second Quarter 2009
James S. Doran , Ehud I. Ronn and Robert S. Goldberg
Florida State University - Department of Finance , University of Texas at Austin - Department of Finance and Adelphi University - School of Business
Date Posted: November 11, 2009
Last Revised: November 11, 2009
Accepted Paper Series

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Evaluating the Performance of Finnish Mutual Funds using a Conditional CAPM
Markus S. Broman
Hanken School of Economics / Department of Finance and Statistics
Date Posted: November 11, 2009
Last Revised: November 11, 2009
Working Paper Series
10 downloads

The Value Spread as a Market Timing Signal: Evidence from Asia
Journal of Investment Management, Second Quarter 2009
Charles E. Hyde and Michael Triguboff
MIR Investment Management and MIR Investment Management
Date Posted: November 11, 2009
Last Revised: November 11, 2009
Accepted Paper Series

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Share Price Formation, Financial Instability and Accounting Design
Yuri Biondi and Pierpaolo Giannoccolo
National Center for Scientific Research (CNRS) and University of Bologna
Date Posted: November 10, 2009
Last Revised: November 19, 2009
Working Paper Series
20 downloads

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A Preferred-Habitat Model of the Term Structure of Interest Rates
NBER Working Paper No. w15487
Dimitri Vayanos and Jean-Luc Vila
London School of Economics and Merrill Lynch & Co.
Date Posted: November 9, 2009
Last Revised: November 13, 2009
Working Paper Series
2 downloads

Forecasting Forward Exchange Rate Risk Premium in Singapore Dollar/US Dollar Exchange Rate Market
The Singapore Economic Review, Vol. 54, No. 2, pp. 283-298, 2009
Khurshid M. Kiani
affiliation not provided to SSRN
Date Posted: November 9, 2009
Last Revised: November 9, 2009
Accepted Paper Series

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A Computing Bias in Estimating the Probability of Informed Trading - Supplement
Hsiou-Wei William Lin and Wen-Chyan Ke
National Taiwan University - Department of International Business and National Taiwan University - Department of International Business
Date Posted: November 8, 2009
Last Revised: November 8, 2009
Working Paper Series
10 downloads