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JEL Code: G12
5,797,489 Total downloads
Showing Papers 1,461 - 1,510 of 13,810
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A Note on 'Discrete Time Hedging Errors for Options with Irregular Payoffs'
Ales Cerny and
Juraj Spilda
Date Posted: April 19, 2012Last Revised: April 26, 201233 downloads
An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting FRB of New York Staff Report No. 557
Michael J. Fleming ,
John P. Jackson
,
Ada Li
,
Asani Sarkar and
Patricia Zobel
Date Posted: April 19, 201272 downloads
Beyond the Carry Trade: Optimal Currency Portfolios
Pedro Barroso and
Pedro Santa-Clara
Date Posted: April 18, 2012Last Revised: June 25, 2012787 downloads
Does the South African Stock Market Values Independent Dual Board Leadership Structure? Economics and Business Letters, 1(1), 35-45, 2012
Collins G. Ntim
Date Posted: April 18, 2012Last Revised: May 01, 201213 downloads
Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates FRB of Cleveland Working Paper No. 08-10
Joseph G. Haubrich ,
George Pennacchi and
Peter H. Ritchken
Date Posted: April 18, 201233 downloads
Financial Innovations and the Risk Paradox
Hans J. Blommestein
Date Posted: April 18, 2012137 downloads
The Oil Price-Macroeconomy Relationship Since the Mid-1980s: A Global Perspective
Claudio Morana
Date Posted: April 18, 2012Last Revised: August 29, 201225 downloads
First Question About the Crisis in Spain (Primera Pregunta Sobre la Crisis de España)
Pablo Fernandez
Date Posted: April 17, 2012Last Revised: April 28, 20122030 downloads
The Efficiency of Linear Value Models for Stock Selection Across Regions and Sectors
Eddy H. Verbiest
affiliation not provided to SSRN
Date Posted: April 17, 201283 downloads
Non-Martingale Dynamics for Two Curve Derivatives Pricing
Mauricio Alvarez-Manilla
Date Posted: April 16, 2012129 downloads
Pricing Interest Rate Derivatives Under Monetary Policy Changes
Alan De Genaro
and
Marco Avellaneda
Date Posted: April 15, 2012111 downloads
Testing CAPM with a Large Number of Assets IZA Discussion Paper No. 6469
M. Hashem Pesaran and
Takashi Yamagata
Date Posted: April 14, 201257 downloads
Perturbative Expansion Technique for Non-Linear FBSDEs With Interacting Particle Method
Masaaki Fujii
and
Akihiko Takahashi
Date Posted: April 13, 2012Last Revised: April 23, 201249 downloads
Information Asymmetry, the Cost of Debt, and Credit Events
François Derrien ,
Ambrus Kecskes
and
Sattar Mansi
Date Posted: April 12, 2012192 downloads
A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium
Turan G. Bali ,
Nusret Cakici and
Fousseni Chabi-Yo
Date Posted: April 12, 2012Last Revised: May 01, 2013110 downloads
News Shocks and the Slope of the Term Structure of Interest Rates Federal Reserve Bank of St. Louis Working Paper No. 2012-011B
André Kurmann and
Christopher Otrok
Date Posted: April 12, 2012Last Revised: December 07, 201223 downloads
The Risk Premium and Long-Run Global Imbalances Federal Reserve Bank of St. Louis Working Paper No. 2012-009B
YiLi Chien
and
Kanda Naknoi
Date Posted: April 12, 2012Last Revised: November 28, 20129 downloads
Time-Varying Credit Risk Discovery in the Stock and CDS Markets: Evidence from Quiet and Crisis Times European Financial Management, Forthcoming
Santiago Forte
and
Lidija Lovreta
Date Posted: April 12, 2012Last Revised: April 26, 2013106 downloads
Assessing Models of Individual Equity Option Prices
Gurdip Bakshi ,
Charles Cao and
Zhaodong Zhong
Date Posted: April 11, 2012138 downloads
Cross-Sectional Stock Return Predictability in China
Nusret Cakici ,
Kalok Chan and
Kudret Topyan
Date Posted: April 11, 2012147 downloads
Market Value Chain Efficiency in Turkey: Application of DEA to the Pre- and Post-2001 Financial Crisis
Berna Kirkulak
and
Sabri Erdem
Date Posted: April 11, 2012
On Existence and Uniqueness of Equilibrium in Noisy Rational Expectations Economies
Bradyn M. Breon-Drish
Date Posted: April 11, 2012Last Revised: November 08, 2012260 downloads
Return Predictability of Turkish Stocks: An Empirical Investigation
Nusret Cakici and
Kudret Topyan
Date Posted: April 11, 201229 downloads
Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
Leonid Kogan and
Dimitris Papanikolaou
Date Posted: April 10, 2012Last Revised: March 20, 201368 downloads
The Effect of Issuer Conservatism on IPO Pricing and Performance Review of Finance, Forthcoming
Stephen P. Ferris ,
Grace Qing Hao and
Minyu Liao
affiliation not provided to SSRN
Date Posted: April 10, 2012Last Revised: April 18, 2012156 downloads
Linking Cross-Sectional and Aggregate Expected Returns
Serhiy Kozak
and
Shri Santosh
Date Posted: April 09, 2012Last Revised: March 18, 2013197 downloads
The Credit Risk Premium and Return Predictability in High Yield Bonds
Date Posted: April 09, 2012Last Revised: April 18, 2012156 downloads
The Money Value of a Man PIER Working Paper No. 12-014
Mark Huggett and
Greg Kaplan
Date Posted: April 09, 201250 downloads
An Anatomy of Fundamental Indexing
Lieven De Moor and
Tom Vinaimont
Date Posted: April 06, 201252 downloads
Short Run and Long Run Dynamics of Macroeconomics Variables and Stock Prices: Case Study of KSE (Karachi Stock Exchange) Kashmir Economic Review, Vol. XVIII, Nos. 1 & 2, January-December, 2009
Adnan Hussain
,
Irfan Lal and
Muhammad Mubin
Date Posted: April 06, 201271 downloads
Are REITs Real Estate? Evidence from International Sector Level Data Swiss Finance Institute Research Paper No. 12-15
Martin Hoesli and
Elias Oikarinen
Date Posted: April 05, 2012362 downloads
Capital Rationing and Managerial Retention: The Role of External Capital Journal of Management Accounting Research, Forthcoming
Ying-Ju Chen
and
Mingcherng Deng
Date Posted: April 05, 2012Last Revised: April 08, 2012
Commonality in Hedge Fund Returns: Driving Factors and Implications Banque de France Working Paper No. 373
Matthieu Bussière ,
Marie Hoerova
and
Benjamin Klaus
Date Posted: April 05, 201284 downloads
Monitoring Risks Before They Go Viral: Is it Time for the Board to Embrace Social Media? Rock Center for Corporate Governance at Stanford University, Closer Look Series: Topics, Issues and Controversies in Corporate Governance No. CGRP-25
David F. Larcker ,
Sarah M. Larcker
and
Brian Tayan
Date Posted: April 05, 2012Last Revised: March 29, 2013220 downloads
Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble 25th Australasian Finance and Banking Conference 2012
Vitor Leone
Date Posted: April 05, 2012Last Revised: May 22, 201245 downloads
Theoretical and Empirical Review of Asset Pricing Models: A Structural Synthesis International Journal of Economics and Financial Issues, Vol. 2, No. 2, 2012, pp.141-178
Saban Celik
Date Posted: April 05, 201281 downloads
Timescale Betas and the Cross Section of Equity Returns: Framework, Application, and Implication for Interpreting the Fama-French Factors
Byoung Uk Kang
,
Francis Haeuck In
and
Tong Suk Kim
Date Posted: April 05, 2012Last Revised: February 06, 201388 downloads
Why are Mutual Fund Alphas Systematically Negative? Markets and Investors, 2013
Patrice C. Fontaine
,
Radu Burlacu Sr.
and
Sonia G. Jimenez-Garcès
Date Posted: April 05, 201268 downloads
Can Rare Events Explain the Equity Premium Puzzle? CEPR Discussion Paper No. DP8899
Anisha Ghosh
and
Christian Julliard
Date Posted: April 04, 20125 downloads
Regulation and Risk: A Cross‐Country Survey of Regulated Companies Bulletin of Economic Research, Vol. 64, Issue 2, pp. 226-238, 2012
Alberto A. Gaggero
Date Posted: April 04, 2012
Discount Rate and Cost of Capital: Some More about the Puzzle
Alfonso A. Rojo-Ramirez ,
Juana Alonso Canadas
and
Salvador Cruz-Rambaud
Date Posted: April 04, 2012110 downloads
Heterogeneous Beliefs and the Cross Section of Asset Returns
Xuezhong He and
Lei Shi
Date Posted: April 04, 201250 downloads
Itô’s Excursion Theory, the Hurst Coefficient, and Fractional Excursions in Finance
Paitoon Wongsasutthikul
and
Calum G. Turvey
Date Posted: April 04, 201287 downloads
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility Applied Mathematical Finance
17 (3): 241-259
Martin Forde
and
Antoine Jacquier
Date Posted: April 04, 2012
The Cross-Section of German Stock Returns: New Data and New Evidence Schmalenbach Business Review, Vol. 64, January 2012, pp. 20-43
Sabine Artmann
,
Philipp Finter
,
Alexander Kempf ,
Stefan Koch
and
Erik Theissen
Date Posted: April 04, 201257 downloads
Shaping Liquidity: On the Causal Effects of Voluntary Disclosure NYU Working Paper No. FIN-11-019
Karthik Balakrishnan
,
Mary Brooke Billings ,
Bryan T. Kelly and
Alexander Ljungqvist
Date Posted: April 03, 2012Last Revised: April 15, 2013171 downloads
Arbitrage-Free SVI Volatility Surfaces
Jim Gatheral
and
Antoine Jacquier
Date Posted: April 03, 2012Last Revised: March 25, 2013808 downloads
Asset Pricing Under Keeping Up with the Joneses and Heterogeneous Beliefs
Xuezhong He ,
Lei Shi
and
Min Zheng
affiliation not provided to SSRN
Date Posted: April 02, 201242 downloads
A Dynamic Inflation Hedging Trading Strategy Using a CPPI Journal of Finance & Risk Perspectives, Volume 1 (2) 2012 , 12th ACRN International Research Conference Proceeding 2012, Steyr , European Business Research Conference Proceedings 2012, Rome
Nicolas Fulli-Lemaire
Date Posted: April 02, 2012Last Revised: January 07, 2013161 downloads
Fixed Income Valuation in the Equity Market: Evidence from the Canadian Income Trust Sector Journal of Financial Management and Analysis Vol. 24 No.2 (Jul-Dec 2011)
Ian Glew
Date Posted: April 02, 2012
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