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Robert H. Smith: Finance (Topic)
100,631 Total downloads

Robert H. Smith School of Business Logo
Showing Papers 1 - 50 of 215
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Incl. Electronic Paper Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading
José Manuel Corcuera , Florence Guillaume , Dilip B. Madan and Wim Schoutens
University of Barcelona - Faculty of Mathematics , KU Leuven , University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Date Posted: February 14, 2011
Working Paper Series
217 downloads

Incl. Electronic Paper Capital Requirements, the Option Surface, Market, Credit and Liquidity Risk
Robert H. Smith School Research Paper No. RHS 06-136
 Dilip B. Madan , Ernst Eberlein and Wim Schoutens
University of Maryland - Robert H. Smith School of Business , University of Freiburg and KU Leuven - Department of Mathematics
Date Posted: January 31, 2011
Last Revised: October 25, 2011
Working Paper Series
178 downloads

Incl. Electronic Paper Tenor Specific Pricing
Robert H. Smith School Research Paper No. RHS-06-143
 Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Date Posted: January 31, 2011
Last Revised: February 23, 2012
Working Paper Series
147 downloads

Incl. Electronic Paper The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
 Gurdip Bakshi , George Panayotov and Georgios Skoulakis
University of Maryland - Robert H. Smith School of Business , Georgetown University - Robert Emmett McDonough School of Business and University of Maryland - Department of Finance
Date Posted: January 25, 2011
Last Revised: February 29, 2012
Working Paper Series
960 downloads

Incl. Electronic Paper Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness
Robert H. Smith School Research Paper No. RHS 06-132
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: September 20, 2010
Last Revised: November 23, 2010
Working Paper Series
117 downloads

Incl. Electronic Paper Execution Costs and Efficient Execution Frontiers
Robert H. Smith School Research Paper No. RHS 06-131
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: September 20, 2010
Last Revised: November 23, 2010
Working Paper Series
92 downloads

Incl. Electronic Paper S&P 500 Index Option Surface Drivers and their Real World and Risk Neutral Covariations
Robert H. Smith School Research Paper No. RHS 06-130
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: September 20, 2010
Last Revised: November 20, 2010
Working Paper Series
125 downloads

Incl. Electronic Paper Conic Coconuts: The Pricing of Contingent Capital Notes Using Conic Finance
Robert H. Smith School Research Paper No. RHS 06-135
 Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Date Posted: July 08, 2010
Last Revised: November 23, 2010
Working Paper Series
268 downloads

Incl. Electronic Paper Joint Risk Neutral Laws and Hedging
Robert H. Smith School Research Paper No. RHS 06-140
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: May 08, 2010
Last Revised: January 27, 2011
Working Paper Series
118 downloads

Incl. Electronic Paper How Do Firm Financial Conditions Affect Product Quality and Pricing?
AFA 2011 Denver Meetings Paper, Robert H. Smith School Research Paper No. RHS RHS-06-141
 Gordon M. Phillips and Giorgo Sertsios
University of Southern California and University of Houston - C.T. Bauer College of Business
Date Posted: March 16, 2010
Last Revised: February 18, 2011
Working Paper Series
251 downloads

Incl. Electronic Paper The Valuation of Structured Products Using Markov Chain Models
Robert H. Smith School Research Paper No. RHS 06-142
 Dilip B. Madan , Martijn Pistorius and Wim Schoutens
University of Maryland - Robert H. Smith School of Business , Imperial College London and KU Leuven - Department of Mathematics
Date Posted: March 04, 2010
Last Revised: May 14, 2011
Working Paper Series
237 downloads

Incl. Electronic Paper The Cost Effectiveness of the Private-Sector Resolution of Failed Bank Assets
FDIC Center for Financial Research Working Paper No. 2009-11, Robert H. Smith School Research Paper No. RHS 06-143
 Rosalind L. Bennett and Haluk Unal
Government of the United States of America - Division of Research and Statistics and University of Maryland - Robert H. Smith School of Business
Date Posted: February 24, 2010
Last Revised: January 10, 2012
Working Paper Series
102 downloads

Incl. Electronic Paper Location Strategies for Agglomeration Economies
Harvard Business School Strategy Unit Working Paper No. 10-071, Robert H. Smith School Research Paper No. RHS 06-144
 Juan Alcacer and Wilbur Chung
Harvard University - Strategy Unit and University of Maryland - Robert H. Smith School of Business
Date Posted: February 20, 2010
Last Revised: January 30, 2011
Working Paper Series
161 downloads

Incl. Electronic Paper Conic Financial Markets and Corporate Finance
Robert H. Smith School Research Paper No. RHS 06-121
 Wim Schoutens and Dilip B. Madan
KU Leuven - Department of Mathematics and University of Maryland - Robert H. Smith School of Business
Date Posted: February 04, 2010
Last Revised: May 13, 2010
Working Paper Series
261 downloads

Incl. Electronic Paper Simple Processes and the Pricing and Hedging of Cliquets
Robert H. Smith School Research Paper No. RHS 06-111
 Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Date Posted: February 03, 2010
Last Revised: May 03, 2010
Working Paper Series
162 downloads

Incl. Electronic Paper A Tale of Two Volatilities
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 13, 2010
Working Paper Series
132 downloads

Incl. Electronic Paper Accounting to Acceptability: With Applications to the Pricing of Ones Own Credit Risk
Robert H. Smith School Research Paper No. RHS 06-113
 Ernst Eberlein , Thomas Gehrig and Dilip B. Madan
University of Freiburg , University of Vienna - Faculty of Business, Economics, and Statistics and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 03, 2010
Working Paper Series
223 downloads

Incl. Electronic Paper Illiquid Markets as a Counterparty: An Introduction to Conic Finance
Robert H. Smith School Research Paper No. RHS 06-115
 Dilip B. Madan and Alexander S. Cherny
University of Maryland - Robert H. Smith School of Business and Moscow State University
Date Posted: January 28, 2010
Last Revised: May 11, 2010
Working Paper Series
415 downloads

Incl. Electronic Paper Local Volatility Enhanced by a Jump to Default
Robert H. Smith School Research Paper No. RHS 06-119
 Peter Carr and Dilip B. Madan
New York University (NYU) - Courant Institute of Mathematical Sciences and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 13, 2010
Working Paper Series
224 downloads

Incl. Electronic Paper Non Gaussian Models of Dependence in Returns
Robert H. Smith School Research Paper No. RHS 06-112
 Ajay Khanna and Dilip B. Madan
affiliation not provided to SSRN and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 14, 2010
Working Paper Series
174 downloads

Incl. Electronic Paper On Correlating Lévy Processes
Robert H. Smith School Research Paper No. RHS 06-118
 Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 13, 2010
Working Paper Series
212 downloads

Incl. Electronic Paper On Pricing Risky Loans and Collateralized Fund Obligations
Robert H. Smith School Research Paper No. RHS 06-145
 Ernst Eberlein , Hélyette Geman and Dilip B. Madan
University of Freiburg , University of London, Birkbeck College - School of Economics, Mathematics and Statistics and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: January 30, 2011
Working Paper Series
77 downloads

Incl. Electronic Paper Pricing and Hedging Basket Options to Prespecified Levels of Acceptability
Robert H. Smith School Research Paper No. RHS 06-147
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: January 30, 2011
Working Paper Series
139 downloads

Incl. Electronic Paper Short Positions, Rally Fears and Option Markets
Robert H. Smith School Research Paper No. RHS 06-120
 Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 13, 2010
Working Paper Series
70 downloads

Incl. Electronic Paper The Distribution of Returns at Longer Horizons
Robert H. Smith School Research Paper No. RHS 06-146
 Ernst Eberlein and Dilip B. Madan
University of Freiburg and University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: January 30, 2011
Working Paper Series
102 downloads

Incl. Electronic Paper The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX
Robert H. Smith School Research Paper No. RHS 06-117
 Dilip B. Madan and Marc Yor
University of Maryland - Robert H. Smith School of Business and Universite Paris
Date Posted: January 28, 2010
Last Revised: May 13, 2010
Working Paper Series
278 downloads

Incl. Electronic Paper Variance Swap Portfolio Theory
Robert H. Smith School Research Paper No. RHS 06-114
 Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: January 28, 2010
Last Revised: May 03, 2010
Working Paper Series
294 downloads

Incl. Electronic Paper Corporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies
Management Science, Forthcoming, Robert H. Smith School Research Paper No. RHS 06-106
 Andrea Gamba and Alexander J. Triantis
Warwick Business School - University of Warwick and University of Maryland - Robert H. Smith School of Business
Date Posted: September 20, 2009
Last Revised: March 20, 2013
Accepted Paper Series
685 downloads

Incl. Electronic Paper On Information Quality
Robert H. Smith School Research Paper No. RHS 06-100
 Ron S. Kenett and Galit Shmueli
KPA Ltd. and Indian School of Business
Date Posted: August 31, 2009
Last Revised: August 13, 2012
Working Paper Series
389 downloads

Incl. Electronic Paper Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels
Robert H. Smith School Research Paper No. RHS 06-107
 Gurdip Bakshi , Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business , University of Maryland - Robert H. Smith School of Business and Georgetown University - Robert Emmett McDonough School of Business
Date Posted: August 28, 2009
Last Revised: February 29, 2012
Working Paper Series
127 downloads

Incl. Electronic Paper Judging Borrowers by the Company They Keep: Friendship Networks and Information Asymmetry in Online Peer-to-Peer Lending
Western Finance Association 2009 Annual Meeting Paper
 Mingfeng Lin , Nagpurnanand R. Prabhala and Siva Viswanathan
University of Arizona - Eller College of Management , University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Date Posted: March 09, 2009
Last Revised: April 30, 2013
Working Paper Series
1254 downloads

Incl. Electronic Paper Strategic Legacy Creation
Viewpoints, pp. 39-50, 2004
 Maximilian Martin
University of St. Gallen
Date Posted: January 02, 2009
Accepted Paper Series
71 downloads

Incl. Electronic Paper Do Higher-Moment Equity Risks Explain Hedge Fund Returns?
Robert H. Smith School Research Paper No. RHS 06-153
 Vikas Agarwal , Gurdip Bakshi and Joop Huij
Georgia State University , University of Maryland - Robert H. Smith School of Business and Erasmus University - Rotterdam School of Management
Date Posted: March 21, 2008
Last Revised: January 30, 2011
Working Paper Series
763 downloads

Incl. Electronic Paper False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
 Laurent Barras , O. Scaillet and Russ Wermers
McGill University - Desautels Faculty of Management , University of Geneva - HEC and University of Maryland - Robert H. Smith School of Business
Date Posted: March 05, 2008
Last Revised: February 03, 2011
Accepted Paper Series
4125 downloads

Incl. Electronic Paper New Measures for Performance Evaluation
 Alexander S. Cherny and Dilip B. Madan
Moscow State University and University of Maryland - Robert H. Smith School of Business
Date Posted: January 08, 2007
Last Revised: April 28, 2008
Working Paper Series
1013 downloads

Incl. Electronic Paper Analyst Conflicts and Research Quality
Robert H. Smith School Research Paper No. RHS 06-042, EFA 2004 Maastricht
 Anup Agrawal and Mark A. Chen
University of Alabama - Culverhouse College of Commerce & Business Administration and Georgia State University - Department of Finance
Date Posted: July 26, 2006
Working Paper Series
505 downloads

Incl. Electronic Paper Small Trades and the Cross-Section of Stock Returns
AFA 2007 Chicago Meetings Paper, Robert H. Smith School Research Paper No. RHS 06-018
 Soeren Hvidkjaer
Copenhagen Business School
Date Posted: March 15, 2006
Last Revised: February 03, 2011
Working Paper Series
828 downloads

Incl. Electronic Paper A Theory of Volatility Spreads
Robert H. Smith School Research Paper No. RHS 06-028
 Gurdip Bakshi and Dilip B. Madan
University of Maryland - Robert H. Smith School of Business and University of Maryland - Robert H. Smith School of Business
Date Posted: February 02, 2006
Working Paper Series
1102 downloads

Incl. Electronic Paper Flight to Quality or to Captivity: Information and Credit Allocation
IMF Working Paper No. 01/20
 Giovanni Dell'Ariccia and Robert Marquez
International Monetary Fund (IMF) - Research Department and University of California, Davis
Date Posted: January 31, 2006
Working Paper Series
55 downloads

Incl. Electronic Paper Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics
Journal of Financial Economics, Forthcoming, Robert H. Smith School Research Paper No. RHS 06-017
 Hui Ou-Yang and Gurdip Bakshi
Cheung Kong Graduate School of Business and University of Maryland - Robert H. Smith School of Business
Date Posted: January 27, 2006
Accepted Paper Series
130 downloads

Incl. Electronic Paper Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis
Journal of Finance, Forthcoming
 Robert Kosowski , Allan G. Timmermann , Russ Wermers and Halbert L. White, Jr.
Imperial College Business School , University of California, San Diego (UCSD) - Department of Economics , University of Maryland - Robert H. Smith School of Business and University of California, San Diego (UCSD) - Department of Economics
Date Posted: November 28, 2005
Accepted Paper Series
949 downloads

Incl. Electronic Paper Deposit Insurance and Bank Intermediation in the Long Run
BIS Working Paper No. 156
 Robert Cull , Marco Sorge and Lemma W. Senbet
World Bank - Development Research Group (DECRG) , World Bank Group - International Finance Corporation and University of Maryland - Robert H. Smith School of Business
Date Posted: November 22, 2005
Working Paper Series
268 downloads

Incl. Electronic Paper How Important are Financing Constraints? The Role of Finance in the Business Environment
World Bank Policy Research Working Paper No. 3820
 Vojislav Maksimovic , Asli Demirgüç-Kunt and Meghana Ayyagari
University of Maryland - Robert H. Smith School of Business , World Bank - Financial and Private Sector Development and George Washington University - School of Business
Date Posted: November 14, 2005
Working Paper Series
839 downloads

Incl. Electronic Paper Self-Selection Models in Corporate Finance
Robert H. Smith School Research Paper No. RHS 06-020
 Kai Li and Nagpurnanand R. Prabhala
University of British Columbia (UBC) - Sauder School of Business and University of Maryland - Robert H. Smith School of Business
Date Posted: November 08, 2005
Working Paper Series
2134 downloads

Incl. Electronic Paper Why Do Firms Go Dark? Causes and Economic Consequences of Voluntary SEC Deregistrations
ECGI - Finance Working Paper No. 155/2007, AFA 2006 Boston Meetings Paper, Robert H. Smith School Research Paper No. RHS 06-045
 Christian Leuz , Alexander J. Triantis and Tracy Yue Wang
University of Chicago - Booth School of Business , University of Maryland - Robert H. Smith School of Business and University of Minnesota - Twin Cities - Carlson School of Management
Date Posted: October 24, 2005
Last Revised: February 13, 2011
Working Paper Series
2962 downloads

Incl. Electronic Paper Credit Market Competition and Capital Regulation
Robert H. Smith School Research Paper No. RHS 06-37, Wharton Financial Institutions Center Working Paper No. 05-27, CFS Working Paper No. 2005/23, FEDS Working Paper No. 2006-11, EFA 2006 Zurich Meetings
 Franklin Allen , Elena Carletti and Robert Marquez
University of Pennsylvania - Finance Department , University of Frankfurt - Center for Financial Studies and University of California, Davis
Date Posted: October 09, 2005
Last Revised: December 05, 2011
Working Paper Series
457 downloads

Incl. Electronic Paper Relationship Lending, Accounting Disclosure, and Credit Availability During the Asian Financial Crisis
FDIC Center For Financial Research Working Paper No. 2005-08, Robert H. Smith School Research Paper No. RHS 06-022
 Wenying Jiangli , Haluk Unal and Chiwon Yom
U.S. Federal Deposit Insurance Corporation (FDIC) , University of Maryland - Robert H. Smith School of Business and Federal Deposit Insurance Corporation (FDIC)
Date Posted: August 08, 2005
Last Revised: February 13, 2011
Working Paper Series
358 downloads

Who is Afraid of Reg FD? The Behavior and Performance of Sell-Side Analysts Following the SEC's Fair Disclosure Rules
Journal of Business, 2006
 Anup Agrawal , Mark A. Chen and Sahiba Chadha
University of Alabama - Culverhouse College of Commerce & Business Administration , Georgia State University - Department of Finance and University of Alabama - Culverhouse College of Commerce & Business Administration
Date Posted: July 08, 2005
Accepted Paper Series

Gains in Bank Mergers: Evidence from the Bond Markets
Journal of Financial Economics, Vol. 74, pp. 149-179, 2004
 Maria Fabiana Penas and Haluk Unal
Tilburg Law and Economics Center (TILEC) and University of Maryland - Robert H. Smith School of Business
Date Posted: June 27, 2005
Accepted Paper Series

Competition and Strategic Information Acquisition in Credit Markets
Review of Financial Studies, Forthcoming
 Robert B. H. Hauswald and Robert Marquez
American University - Department of Finance and Real Estate and University of California, Davis
Date Posted: June 07, 2005
Accepted Paper Series


 

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