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SSRN eLibrary Search Results
Mutual Funds, Hedge Funds, & Investment Industry eJournal
1,711,424 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,893
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Incl. Electronic Paper Trading Efficiency of Fund Families: Impact on Fund Performance and Investment Behavior
Gjergji Cici , Laura K. Dahm and Alexander Kempf
College of William and Mary - Mason School of Business , University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Date Posted: October 24, 2014
Working Paper Series
5 downloads

Extreme Risk, Excess Return and Leverage: The LP Formula
Olivier Le Marois , Julie Mikhalevsky and Raphael Douady
fluks , Independent and Riskdata
Date Posted: October 24, 2014
Working Paper Series

Incl. Electronic Paper Survey Expectations of Returns and Asset Pricing Puzzles
Ralph S. J. Koijen , Maik Schmeling and Evert B. Vrugt
London Business School - Department of Finance , City University London - Sir John Cass Business School and VU University Amsterdam, PGO-IM
Date Posted: October 23, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Restructuring Failed Financial Firms in Bankruptcy: Learning from Lehman
Yale Journal on Regulation, Forthcoming
Mark J. Roe and Stephen Adams
Harvard Law School and Harvard University - Law School - Alumni
Date Posted: October 22, 2014
Last Revised: October 24, 2014
Accepted Paper Series
19 downloads

Incl. Electronic Paper Do Shocks to Personal Wealth Affect Risk Taking in Delegated Portfolios?
Veronika Krepely Pool , Noah Stoffman , Scott E. Yonker and Hanjiang Zhang
Indiana University - Kelley School of Business - Department of Finance , Indiana University - Kelley School of Business - Department of Finance , Indiana University - Kelley School of Business - Department of Finance and Nanyang Technological University - Nanyang Business School
Date Posted: October 22, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Investing in a Multidimensional Market
Forthcoming, Financial Analysts Journal, Vol. 70, No. 6, November/December 2014
Bruce I. Jacobs, Ph.D. and Kenneth N. Levy
Jacobs Levy Equity Management and Jacobs Levy Equity Management
Date Posted: October 20, 2014
Accepted Paper Series
18 downloads

Incl. Electronic Paper 4-Factor Model for Overnight Returns
Zura Kakushadze
Quantigic Solutions LLC
Date Posted: October 20, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper Mathematical Appendices to: 'Stop-Outs Under Serial Correlation'
Journal of Risk, 2014, Forthcoming
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Date Posted: October 20, 2014
Accepted Paper Series
28 downloads

Incl. Electronic Paper Are Bond Mutual Fund Flows Destabilizing? Examining the Evidence from the 'Taper Tantrum'
Sean Collins and L. Christopher Plantier
Investment Company Institute - Research and Investment Company Institute - Research
Date Posted: October 18, 2014
Last Revised: October 24, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Juicing the Dividend Yield: Mutual Funds and the Demand for Dividends
Journal of Financial Economics (JFE), Forthcoming
Lawrence Harris , Samuel M. Hartzmark and David H. Solomon
University of Southern California - Marshall School of Business - Finance and Business Economics Department , University of Chicago - Booth School of Business and University of Southern California - Marshall School of Business
Date Posted: October 17, 2014
Accepted Paper Series
16 downloads

Incl. Electronic Paper A Neoclassical Interpretation of Momentum
Journal of Monetary Economics, Vol. 67, 2014
Laura Xiaolei Liu and Lu Zhang
Hong Kong University of Science & Technology and Ohio State University - Fisher College of Business
Date Posted: October 16, 2014
Accepted Paper Series
9 downloads

Incl. Electronic Paper Harmonizing European Union Bank Resolution: Central Clearing of OTC Derivative Contracts Maintaining the Status Quo of Safe Harbors
Transnational Law & Contemporary Problems, Vol. 22, No. 1, 2013
Christoph Henkel
Mississippi College - School of Law
Date Posted: October 14, 2014
Accepted Paper Series
2 downloads

Incl. Electronic Paper Modern Real Estate Portfolio Management (MREPM): Applications in Modern and Post-Modern Real Estate Portfolio Theory (MREPT/PMREPT)
Lawrence Anthony Souza
Golden Gate University
Date Posted: October 13, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper High-Frequency and Model-Free Volatility Estimators
Robert Slepaczuk and Grzegorz Zakrzewski
University of Warsaw - Faculty of Economic Sciences and Deutsche Bank
Date Posted: October 12, 2014
Working Paper Series
32 downloads

Incl. Electronic Paper Investment Strategies Beating the Market: What Can We Squeeze from the Market?
Robert Slepaczuk , Grzegorz Zakrzewski and Pawel Sakowski
University of Warsaw - Faculty of Economic Sciences , Deutsche Bank and University of Warsaw
Date Posted: October 12, 2014
Working Paper Series
59 downloads

Incl. Electronic Paper Simple Heuristics for Pricing VIX Options
Juliusz Jablecki , Ryszard Kokoszczynski , Pawel Sakowski , Robert Slepaczuk and Piotr Wojcik
University of Warsaw - Faculty of Economic Sciences , Warsaw University - Dept. of Economics , University of Warsaw , University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: October 12, 2014
Working Paper Series
29 downloads

Incl. Electronic Paper Options Delta Hedging with No Options at All
University of Warsaw Faculty of Economic Sciences Working Paper No. 27/2014
Juliusz Jablecki , Ryszard Kokoszczynski , Pawel Sakowski , Robert Slepaczuk and Piotr Wojcik
University of Warsaw - Faculty of Economic Sciences , Warsaw University - Dept. of Economics , University of Warsaw , University of Warsaw - Faculty of Economic Sciences and University of Warsaw - Faculty of Economic Sciences
Date Posted: October 12, 2014
Working Paper Series
26 downloads

Incl. Electronic Paper The Financial Crisis and the Behavior of S&P 500 Index Option Prices
Mo Chaudhury
McGill University - Desautels Faculty of Management
Date Posted: October 12, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Portfolio Optimization in the Financial Market with Regime Switching Under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
Vladimir Dombrovskii and Tatyana Obedko
Tomsk State University and Tomsk State University
Date Posted: October 10, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Statistical Overfitting and Backtest Performance
David H. Bailey , Stephanie Ger , Marcos Lopez de Prado , Alexander Sim and Kesheng Wu
Lawrence Berkeley National Laboratory , Northwestern University - Department of Engineering Sciences and Applied Mathematics , Guggenheim Partners, LLC , Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Date Posted: October 09, 2014
Last Revised: October 20, 2014
Working Paper Series
90 downloads

Incl. Electronic Paper Do Financial Experts Make Better Investment Decisions?
Journal of Financial Intermediation, Forthcoming
Andriy Bodnaruk and Andrei Simonov
University of Notre Dame - Mendoza College of Business and Michigan State University - Eli Broad Graduate School of Management
Date Posted: October 09, 2014
Accepted Paper Series
13 downloads

Incl. Electronic Paper Institutional Investors and Stock Return Anomalies
Roger M. Edelen , Ozgur Ince and Gregory B. Kadlec
University of California, Davis - Graduate School of Management , University of South Carolina - Moore School of Business and Virginia Polytechnic Institute & State University - Pamplin College of Business
Date Posted: October 08, 2014
Working Paper Series
29 downloads

Incl. Fee Electronic Paper The Elephant in the Ground: Managing Oil and Sovereign Wealth
CEPR Discussion Paper No. DP10188
Ton Van Den Bremer , Rick van der Ploeg and Samuel Wills
University of Oxford , University of Oxford and University of Oxford
Date Posted: October 06, 2014
Working Paper Series

Incl. Electronic Paper Fundamentals, Derivatives Market Information and Oil Price Volatility
Michel A. Robe and Jonathan Wallen
American University - Kogod School of Business and American University
Date Posted: October 05, 2014
Last Revised: October 08, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Do Long-Term Investors Improve Corporate Decision Making?
Jarrad Harford , Ambrus Kecskes and Sattar Mansi
University of Washington , York University - Schulich School of Business and Virginia Polytechnic Institute & State University
Date Posted: October 05, 2014
Working Paper Series
143 downloads

Incl. Electronic Paper The Role of Fund Size in the Performance of Mutual Funds Assessed with DEA Models
Department of Management, Università Ca' Foscari Venezia Working Paper No. 2014/18,
Antonella Basso and Stefania Funari
Ca Foscari University of Venice - Department of Economics and Ca Foscari University of Venice - Department of Management
Date Posted: October 05, 2014
Working Paper Series
17 downloads

Are Trade Size-Based Inferences About Traders Reliable? Evidence from Institutional Earnings-Related Trading
Journal of Accounting Research, Vol. 52, No. 4, 2014
William M. Cready , Abdullah Kumas and Musa Subasi
University of Texas at Dallas - Naveen Jindal School of Management , University of Richmond-Robins School of Business and University of Missouri at Columbia - Robert J. Trulaske, Sr. College of Business
Date Posted: October 05, 2014
Accepted Paper Series

Sell-Side Analyst Research and Stock Comovement
Journal of Accounting Research, Vol. 52, No. 4, 2014
Volkan Muslu , Michael J. Rebello and Yexiao Xu
Bauer College of Business University of Houston , University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - School of Management
Date Posted: October 05, 2014
Accepted Paper Series

Incl. Electronic Paper Value-Based Performance Measurement: Further Explanation
Journal of Performance Measurement 13, Winter 2008-09, pp. 58-74
Seth Armitage and Gordon Bagot
University of Edinburgh and University of Strathclyde
Date Posted: October 05, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper What Has the Manager Done for Me? A Value-Based Solution to the Measurement of Fund Performance in Relation to a Benchmark
Journal of Performance Measurement 9, 2004, pp. 19-34
Gordon Bagot and Seth Armitage
University of Strathclyde and University of Edinburgh
Date Posted: October 05, 2014
Accepted Paper Series
1 downloads

Incl. Electronic Paper Floor and Upside Investing in Retirement without Annuities
Gordon Irlam
Independent
Date Posted: October 04, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Friends in Need are Friends Indeed: The Effects of Social Ties between Financial Analysts and Mutual Fund Managers
Zhaoyang Gu , Guangqing Li , Zengquan Li and Yong George Yang
Chinese Univ of Hong Kong - School of Accountancy , China Galaxy Securities , Shanghai University of Finance and Economics - School of Accountancy and The Chinese University of Hong Kong (CUHK) - Faculty of Business Administration
Date Posted: October 04, 2014
Working Paper Series
36 downloads

Incl. Electronic Paper The Stability and Accuracy of Credit Ratings
Paulo Viegas Carvalho , Paul A. Laux and João Pedro Pereira
ISCTE , University of Delaware - Alfred Lerner College of Business and Economics and ISCTE-IUL Business School - Lisbon
Date Posted: October 04, 2014
Working Paper Series
17 downloads

Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds
Journal of Real Estate Finance and Economics, Vol. 49, No. 3, 2014
Julia Chou and William G. Hardin III
Florida International University and Florida International University (FIU) - College of Business Administration
Date Posted: October 03, 2014
Accepted Paper Series

Incl. Electronic Paper Are Concerns About Leveraged ETFs Overblown?
Ivan Ivanov and Stephen L Lenkey
Board of Governors of the Federal Reserve System (FRB) and Pennsylvania State University
Date Posted: October 02, 2014
Working Paper Series
70 downloads

Incl. Electronic Paper A Simple and Efficient Macroeconomic Framework for Asset Allocation
Thomas Raffinot
BNPP Cardif Investment & Asset Management
Date Posted: October 02, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Small Is Beautiful: 'Bond King' Expected Alpha and Assets Under Management
Claude B. Erb
TR
Date Posted: October 01, 2014
Last Revised: October 05, 2014
Working Paper Series
266 downloads

Valuation Effects of REIT Mergers and the Role of Diversification
Tilan Tang , John C. Alexander and Thomas M. Springer
Clemson University , Clemson University and Florida Atlantic University - Department of Finance & Real Estate
Date Posted: October 01, 2014
Working Paper Series

Incl. Electronic Paper Asset Managers in Emerging Market Economies
BIS Quarterly Review September 2014
Ken Miyajima and Ilhyock Shim
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Date Posted: October 01, 2014
Accepted Paper Series
15 downloads

Incl. Electronic Paper The Cost of Easy Credit: Loan Contracting with Non-Bank Investors
Matthew G Osborn
Boston College - Department of Finance
Date Posted: October 01, 2014
Last Revised: October 08, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Optimal Trading Rules Without Backtesting
Marcos Lopez de Prado
Guggenheim Partners, LLC
Date Posted: September 29, 2014
Last Revised: October 02, 2014
Working Paper Series
163 downloads

Incl. Electronic Paper Volatility of Aggregate Volatility and Hedge Fund Returns
Vikas Agarwal , Yakup Eser Arisoy and Narayan Y. Naik
Georgia State University , Université Paris-Dauphine - DRM-CEREG and London Business School - Institute of Finance and Accounting
Date Posted: September 29, 2014
Working Paper Series
50 downloads

Incl. Electronic Paper A Note on Sorting Bias Correction in Regression-Based Mutual Fund Tournament Tests
Financial Markets and Portfolio Management (Forthcoming)
Aymen Karoui and Iwan Meier
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and HEC Montreal - Department of Finance
Date Posted: September 26, 2014
Last Revised: October 16, 2014
Accepted Paper Series
8 downloads

Incl. Electronic Paper Physical versus Synthetic Exchange Traded Funds. Which One Replicates Better?
Cesario Mateus and Yana Rahmani
University of Greenwich Business School and University of Greenwich - Business School
Date Posted: September 25, 2014
Working Paper Series
30 downloads

Incl. Fee Electronic Paper Asset Management Contracts and Equilibrium Prices
CEPR Discussion Paper No. DP10152
Andrea M. Buffa , Dimitri Vayanos and Paul Woolley
Boston University , London School of Economics and London School of Economics
Date Posted: September 25, 2014
Working Paper Series

Incl. Fee Electronic Paper The Impact of Hedge Funds on Asset Markets
CEPR Discussion Paper No. DP10151
Mathias Kruttli , Andrew J. Patton and Tarun Ramadorai
University of Oxford - Oxford-Man Institute of Quantitative Finance , Duke University - Department of Economics and University of Oxford - Said Business School
Date Posted: September 25, 2014
Working Paper Series

Incl. Electronic Paper Determinants of Short-Term Institutional Trading During Tranquil and Crisis Time
KAIST College of Business Working Paper Series No. 2014-013
Soo-Hyun Kim and Kyuseok Lee
Soongsil University and Korea Advanced Institute of Science and Technology (KAIST) - College of Business
Date Posted: September 25, 2014
Working Paper Series
4 downloads

Incl. Fee Electronic Paper Valuation Scepticism, Liquidity Benefits and Closed‐End Fund Premiums/Discounts: Evidence from Fair Value Disclosures
Accounting & Finance, Vol. 54, Issue 3, pp. 729-751, 2014
Charles P. Cullinan and Xiaochuan Zheng
Bryant University and Bryant University - Department of Accounting
Date Posted: September 24, 2014
Accepted Paper Series

Incl. Fee Electronic Paper Cross‐Region and Cross‐Sector Asset Allocation with Regimes
Accounting & Finance, Vol. 54, Issue 3, pp. 809-846, 2014
Paul Y. Dou , David Schneider , David R. Gallagher and Terry S. Walter
Macquarie University - Department of Marketing and Management , UniSuper Management Limited , UNSW Business School and University of Sydney
Date Posted: September 24, 2014
Accepted Paper Series

Detecting Superior Mutual Fund Managers: Evidence from Copycats
Review of Asset Pricing Studies, Forthcoming
Blake Phillips , Kuntara Pukthuanthong and P. Raghavendra Rau
University of Waterloo , University of Missouri, Columbia and University of Cambridge
Date Posted: September 24, 2014
Accepted Paper Series


 

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