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Abstracts: 557,056
Full Text Papers: 459,591
Authors: 258,585
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Last 12 months: 9,683,308
Last 30 days: 659,178

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SSRN eLibrary Search Results
JEL Code: G12
6,649,169 Total downloads
Showing Papers 151 - 200 of 15,364
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Bitcoin – Is it a Bubble? Evidence from Unit Root Tests
Akash Malhotra and Mayank Maloo
Indian Institute of Technology Bombay and Indian Institute of Technology Bombay
Date Posted: July 28, 2014
Working Paper Series

Short Interest and Credit Spread Dynamics
Vichet Sum
University of Maryland Eastern Shore - School of Business and Technology
Date Posted: July 27, 2014
Working Paper Series

Incl. Electronic Paper Supply and Demand Shocks in the Oil Market and their Predictive Power
Avihai (Avi) Rapaport
University of Chicago - Booth School of Business
Date Posted: July 27, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Margin Regulation and Volatility
ECB Working Paper No. 1698
Johannes Brumm , Felix Kubler , Michael Grill and Karl H. Schmedders
University of Zurich , University of Zurich , European Central Bank (ECB) and Swiss Finance Institute
Date Posted: July 27, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper The Divergence of High- and Low-Frequency Estimation: Implications for Performance Measurement
MIT Sloan Research Paper No. 5110-14
William B. Kinlaw , Mark Kritzman and David Turkington
State Street Global Exchange , Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Date Posted: July 26, 2014
Working Paper Series
5 downloads

Incl. Fee Electronic Paper What Drives ETF Flows?
Financial Review, Vol. 49, Issue 3, pp. 619-642, 2014
Christopher P. Clifford , Jon A. Fulkerson and Bradford D. Jordan
University of Kentucky , Loyola University Maryland - Sellinger School of Business & Management and University of Kentucky - Gatton College of Business and Economics
Date Posted: July 26, 2014
Accepted Paper Series

Incl. Fee Electronic Paper The Dynamic Relations between Market Returns and Two Types of Risk with Business Cycles
Financial Review, Vol. 49, Issue 3, pp. 593-618, 2014
Xiaoquan Jiang and Bong‐Soo Lee
Florida International University (FIU) - Department of Finance and Florida State University
Date Posted: July 26, 2014
Accepted Paper Series

Incl. Electronic Paper Bond Return Predictability: Economic Value and Links to the Macroeconomy
Antonio Gargano , Davide Pettenuzzo and Allan G. Timmermann
University of Melbourne , Brandeis University - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Date Posted: July 26, 2014
Working Paper Series
3 downloads

Heterogeneity in Beliefs and Volatility Tail Behavior
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
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: July 26, 2014
Accepted Paper Series

Incl. Electronic Paper The Price of Variance Risk
Ian Dew-Becker , Stefano Giglio , Anh Le and Marius Rodriguez
Kellogg School of Management - Department of Finance , University of Chicago - Booth School of Business , University of North Carolina Kenan-Flagler Business School and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Date Posted: July 26, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Deconstructing the Volatility Smile
Romano Trabalzini and William A McGhee
Royal Bank of Scotland (RBS) and Imperial College London - Department of Mathematics
Date Posted: July 25, 2014
Working Paper Series
13 downloads

Overreaction Evidence from Large-Cap Stocks
Review of Accounting and Finance, Forthcoming
Tibebe A. Assefa , Omar A. Esqueda and Emilios C. Galariotis
Kentucky State University , Tarleton State University - Department of Accounting, Finance, & Economics and Audencia Nantes School of Management
Date Posted: July 25, 2014
Accepted Paper Series

African Stock Market Returns and Liquidity Premia
Journal of International Financial Markets, Institutions and Money, No. 42, 2014
Tibebe A. Assefa and Andre V. Mollick
Kentucky State University and University of Texas - Pan American - College of Business Administration - Department of Economics & Finance
Date Posted: July 25, 2014
Accepted Paper Series

Incl. Electronic Paper Cape Around the World: Update 2014 – The Relationship between Risk and Return
Joachim Klement and Oliver Dettmann
Wellershoff & Partners Ltd. and Wellershoff & Partners Ltd
Date Posted: July 24, 2014
Working Paper Series
234 downloads

Incl. Electronic Paper Industry Costs of Equity: Incorporating Prior Information
Ping McLemore
University of Arizona - Department of Finance
Date Posted: July 24, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Rethinking Risk (II): The Size and Value Effects
Javier Estrada
IESE Business School
Date Posted: July 24, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Monopolistic Dealer versus Broker: The Impact of Proprietary Trading with Transaction Fees
Katsumasa Nishide and Yuan Tian
Department of Economics, Yokohama National University and Kyoto University - Graduate School of Economics
Date Posted: July 23, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Investor Sentiments, Rational Beliefs and Option Prices
Panayiotis C. Andreou , Anastasios Kagkadis and Dennis Philip
Cyprus University of Technology , Durham Business School and Durham University Business School
Date Posted: July 23, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Share Issuance and Equity Returns in BIST
Yigit Atilgan , K. Ozgur Demirtas and Alper Erdogan
Sabanci University , Sabanci University and Sabanci University - Graduate School of Management
Date Posted: July 23, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns
Massimo Guidolin and Alexei G. Orlov
Bocconi University - Department of Finance and Radford University - Department of Economics
Date Posted: July 22, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper How Do Equity Lending Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands
Tse-Chun Lin and Xiaolong Lu
University of Hong Kong - Faculty of Business and Economics and University of Hong Kong - Faculty of Business and Economics
Date Posted: July 22, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Why Does the Option to Stock Volume Ratio Predict Stock Returns?
Li Ge , Tse-Chun Lin and Neil D. Pearson
University of Hong Kong - Faculty of Business and Economics , University of Hong Kong - Faculty of Business and Economics and University of Illinois at Urbana-Champaign - Department of Finance
Date Posted: July 22, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Recency Bias and Post-Earnings Announcement Drift
Qingzhong Ma , David A. Whidbee and Athena Wei Zhang
Cornell University , Washington State University - Department of Finance, Insurance and Real Estate and Ithaca College
Date Posted: July 22, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Trust and Market Efficiency
Chishen Wei and Lei Zhang
Nanyang Technological University (NTU) - Division of Banking & Finance and Nanyang Technological University (NTU)
Date Posted: July 22, 2014
Last Revised: July 25, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Pricing in Complex and Efficient Financial Markets
Gabriel Frahm
Helmut Schmidt University
Date Posted: July 21, 2014
Last Revised: July 26, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Belief Uncertainty, Volatility Risk Premium, and Speculative Trading
Ming Guo and Hao Zhou
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and PBC School of Finance, Tsinghua University
Date Posted: July 21, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Global Convergence of Health Care Financing in OECD Countries: An Equilibrium Based Asset Pricing Approach
William R. Pratt , Gokce Soydemir and Elena Bastida
Clarion University of Pennsylvania , California State University, Stanislaus and Florida International University (FIU)
Date Posted: July 21, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Redefining Short Sales Constraints
Daniel Dupuis and Lawrence Kryzanowski
Concordia University - John Molson School of Business and Concordia University, Quebec - John Molson School of Business
Date Posted: July 20, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Options Trading and Firm Innovation
Iván Blanco and David Wehrheim
Universidad Carlos III de Madrid and Universidad Carlos III de Madrid
Date Posted: July 20, 2014
Last Revised: July 25, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Web Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns'
Antonio Di Cesare , Philip A. Stork and Casper G. de Vries
Bank of Italy , VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Date Posted: July 20, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Exploiting Closed-End Fund Discounts: The Market May Be Much More Inefficient than You Thought
Dilip K. Patro , Louis R Piccotti and Yangru Wu
Independent , State University of New York at Albany and Rutgers University, Newark - School of Business - Department of Finance & Economics
Date Posted: July 19, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Stock Lending from Lenders’ Perspective: Are Lenders Price Takers?
Zsuzsa R. Huszar , R.S.K. Tan and Weina Zhang
National University of Singapore , National University of Singapore and National University of Singapore (NUS) - Department of Finance
Date Posted: July 19, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Competition Among Exchanges Through Simplified Disclosure Requirements: Evidence from the American and Global Depositary Receipts
Accounting and Business Research, 44 (1), 2014
Oksana Kim and Matt Pinnuck
Minnesota State University and University of Melbourne - Department of Accounting and Business Information Systems
Date Posted: July 19, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Trading Anonymity and Order Anticipation
Sylvain J. Friederich and Richard Payne
University of Bristol and City University London - Sir John Cass Business School
Date Posted: July 18, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Evaluating the Performance of Hedge Funds Using Two-Stage Peer Group Benchmarks
Marco Wilkens , Juan Yao , Nagaratnam Jeyasreedharan and Patrick Boehler
University of Augsburg , University of Sydney - Business School - Finance Discipline , University of Tasmania and University of Augsburg
Date Posted: July 18, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Forecasting Stock Returns: Do Commodity Prices Help?
Angela J. Black , Olga Klinkowska , David G. McMillan and Fiona Jayne McMillan
University of Aberdeen - Business School , University of Aberdeen - Business School , University of Stirling and University of Saint Andrews
Date Posted: July 18, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Time Varying Investment Barriers and Closed-End Country Fund Pricing
John Richard (Dick) Davies , Mary Fletcher and Andrew P. Marshall
University of Strathclyde - Department of Accounting and Finance , University of Strathclyde - Department of Accounting and Finance and University of Strathclyde - Strathclyde Business School
Date Posted: July 17, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Does Sentiment Predict UK Closed-End Country Fund Pricing?
John Richard (Dick) Davies , Mary Fletcher and Andrew P. Marshall
University of Strathclyde - Department of Accounting and Finance , University of Strathclyde - Department of Accounting and Finance and University of Strathclyde - Strathclyde Business School
Date Posted: July 17, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Short-Term Persistence in Mutual Fund Performance: International Evidence
Javier Vidal-García
Harvard University
Date Posted: July 17, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Pricing Volatility Options Under Stochastic Skew with Application to the VIX Index
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Date Posted: July 17, 2014
Working Paper Series
19 downloads

New Estimates of Time-Varying Currency Betas: A Trivariate BEKK Approach
Economic Modelling, Vol. 42, 2014
Prabhath Jayasinghe , Albert K.C. Tsui and Zhaoyong Zhang
University of Colombo - Department of Business Economics , National University of Singapore (NUS) - Department of Economics and Edith Cowan University - Faculty of Business and Law
Date Posted: July 17, 2014
Accepted Paper Series

Incl. Electronic Paper Optimality of Momentum and Reversal
Xuezhong He , Kai Li and Youwei Li
University of Technology Sydney (UTS) - School of Finance and Economics , University of Technology Sydney (UTS) - Finance Discipline Group and Queen's University Belfast - School of Management
Date Posted: July 17, 2014
Working Paper Series
36 downloads

The Information Content of Three Credit Ratings: The Case of European Residential Mortgage-Backed Securities
The European Journal of Finance, Forthcoming
Dennis Vink and Frank J. Fabozzi
Nyenrode Business University and EDHEC Business School
Date Posted: July 17, 2014
Accepted Paper Series

Incl. Electronic Paper The Cost of Business Cycles with Heterogeneous Trading Technologies
FRB of St. Louis Working Paper No. 2014-015A
YiLi Chien
Federal Reserve Bank of St. Louis
Date Posted: July 16, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects
Swiss Finance Institute Research Paper No. 14-47
Ines Chaieb , Vihang R. Errunza and Rajna Gibson
University of Geneva and Swiss Finance Institute , McGill University - Desautels Faculty of Management and University of Geneva - Graduate School of Business (HEC-Geneva)
Date Posted: July 16, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Discounting the Distant Future
Cowles Foundation Discussion Paper No. 1951
J. Doyne Farmer , John Geanakoplos , Jaume Masoliver , Miquel Montero and Josep Perelló
Santa Fe Institute , Yale University - Cowles Foundation , University of Barcelona - Department of Physics , University of Barcelona - Department de Física Fonamental and University of Barcelona - Department of Physics
Date Posted: July 16, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Pricing Bounds and Approximations for Discrete Arithmetic Asian Options under Time-Changed Lévy Processes
Pingping Zeng and Yue Kuen Kwok
Hong Kong University of Science & Technology - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Date Posted: July 15, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects
Ines Chaieb , Vihang R. Errunza and Rajna Gibson
University of Geneva and Swiss Finance Institute , McGill University - Desautels Faculty of Management and University of Geneva - Graduate School of Business (HEC-Geneva)
Date Posted: July 15, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Stochastic Control Model for R&D Race in a Mixed Duopoly with Spillovers and Knowledge Stocks
Jingjing Wang , Chi Man Leung and Yue Kuen Kwok
Hong Kong University of Science & Technology , Hong Kong Baptist University (HKBU) - Department of Mathematics and Hong Kong University of Science & Technology - Department of Mathematics
Date Posted: July 14, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Analogy Making and the Structure of Implied Volatility Skew
Hammad Siddiqi
University of Queensland
Date Posted: July 14, 2014
Working Paper Series
12 downloads


 

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