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Full Text Papers: 473,995
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SSRN eLibrary Search Results
JEL Code: G12
6,808,131 Total downloads
Showing Papers 1,601 - 1,650 of 15,605
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Fourier Analysis of India's Implied Volatility Index
Indian Journal of Finance, Vol.8, No. 10, October 2014, pp. 7-19
Ronald T. Slivka , Chun Ho Chang and Sharon Yu
New York University (NYU) - NYU Polytechnic School of Engineering , New York University (NYU) and New York University (NYU) - NYU Polytechnic School of Engineering
Date Posted: October 25, 2014
Accepted Paper Series

Incl. Electronic Paper Production-Based Asset Pricing and the Oil Market
Steffen Hitzemann
Karlsruhe Institute of Technology (KIT)
Date Posted: October 24, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper A Unified Theory: Prospect Theory and Market Dynamics
Leilei Shi
Bank of China International (China) Co. Ltd--Beijing Business (Brokerage) Branch
Date Posted: October 23, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper The Non-Linear Trade-Off between Return and Risk: A Regime-Switching Multi-Factor Framework
John Cotter and Enrique Salvador
University College Dublin and Michael Smurfit Business School UCD
Date Posted: October 23, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper An Improved Framework for Asset Pricing with Heterogeneous Beliefs and Relative Performance
Jianfeng Yu , Weidong Xu and Chongfeng Wu
Zhejiang University - School of Management , Zhejiang University - School of Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Date Posted: October 23, 2014
Working Paper Series
4 downloads

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
27 downloads

Incl. Electronic Paper Default Near-the-Default-Point: The Value of and the Distance to Default
Alfredo Ibañez
Bankia (on leave)
Date Posted: October 23, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Pricing Turbo Warrants under Mixed-Exponential Jump Diffusion Model
Jianfeng Yu , Weidong Xu and Chongfeng Wu
Zhejiang University - School of Management , Zhejiang University - School of Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Date Posted: October 22, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper What Types of Macroeconomic Announcements Affect Stock Markets in Emerging Eastern Europe?
Kashif Saleem and Elena Fedorova
Lappeenranta University of Technology - School of Business (LSB) and Lappeenranta University of Technology, School of Business
Date Posted: October 22, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper A Calibration of Corn Spot Prices: Revisiting Kalman Filter and Two-Factor Commodity Pricing Model
Tianpeng Zhou
Department of Finance, Michigan State University
Date Posted: October 22, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Determinant of Return on Assets and Return on Equity and its Industry Wise Effects: Evidence from KSE (Karachi Stock Exchange)
Research Journal of Finance and Accounting, Vol.5, No.15, 2014, pp 148-157
Muhammad Mubin , Arsalan Arsalan Iqbal and Adnan Hussain
Department of Management, Faculty of Business Administration, Bilkent University , University of Karachi and Benazir Bhutto Shaheed University, Lyari, Karachi
Date Posted: October 22, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper Real-Time Forecasts of Auction Prices
Julien Penasse
ESSEC Business School
Date Posted: October 21, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Market Randomness and Weak-Form Efficiency Revisited: A Global Investigation
Berna Kirkulak and Hassan Ezzat
Dokuz Eylul University - Faculty of Business and Maastricht School of Management (MSM)
Date Posted: October 21, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Prospect Theory and Measurement on Crowd’s Subjective Behaviors in Trading
Leilei Shi
Bank of China International (China) Co. Ltd--Beijing Business (Brokerage) Branch
Date Posted: October 21, 2014
Working Paper Series
5 downloads

Incl. Fee Electronic Paper Switching Risk Off: Fx Correlations and Risk Premia
CEPR Discussion Paper No. DP10214
Alessandro Beber , Michael W. Brandt and Jason Cen
Cass Business School , Duke University - Fuqua School of Business and City University London - Sir John Cass Business School
Date Posted: October 21, 2014
Working Paper Series

Incl. Electronic Paper Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk.
Max Planck Institute for Social Law and Social Policy Discussion Paper No. 290-14
Daniel Harenberg and Alexander Ludwig
Swiss Federal Institute of Technology Zurich - CER-ETH - Center of Economic Research at ETH Zurich and Goethe University Frankfurt - Research Center SAFE
Date Posted: October 21, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Up- and Downside Variance Risk Premia in Global Equity Markets
Matthias Held and Marcel Omachel
WHU - Otto Beisheim School of Management and WHU - Otto Beisheim School of Management
Date Posted: October 21, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Profitability and Investment Factors for UK Asset Pricing Models
Economics Letters, Forthcoming
Eoghan Nichol and Michael M. Dowling
Dublin City University Business School and Dublin City University Business School
Date Posted: October 20, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Valuation Theory: Linearity, Discount Curves & Market Benchmarks
Alessio Rombolotti Axelrod
Independent
Date Posted: October 20, 2014
Working Paper Series
6 downloads

Incl. Fee Electronic Paper A New Method to Measure the Performance of Leveraged Exchange‐Traded Funds
Financial Review, Vol. 49, Issue 4, pp. 735-763, 2014
Narat Charupat and Peter Miu
McMaster University - DeGroote School of Business and McMaster University - DeGroote School of Business
Date Posted: October 20, 2014
Accepted Paper Series

Incl. Electronic Paper Optimal Long-Term Allocation with Pension Fund Liabilities
Swiss Finance Institute Research Paper No. 14-58
Eric Jondeau and Michael Rockinger
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: October 19, 2014
Last Revised: October 20, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Asymmetric Beta Comovement and Systematic Downside Risk
Swiss Finance Institute Research Paper No. 14-59
Eric Jondeau and Qunzi Zhang
University of Lausanne and Shandong University
Date Posted: October 19, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper Does Complexity Imply Value? AAII Value Strategies from 1963 to 2013
Jack Vogel and Yang Xu
Alpha Architect and Alpha Architect
Date Posted: October 18, 2014
Working Paper Series
289 downloads

Incl. Electronic Paper Forecasting Crashes: Correlated Fund Flows and the Skewness in Stock Returns
Xun Gong and Melissa Lin
Tinbergen Institute and Erasmus University Rotterdam
Date Posted: October 18, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Evaluating the Efficiency of 'Smart Beta' Indexes
Michael Hunstad and Jordan Dekhayser
Northern Trust Asset Management and Northern Trust Asset Management
Date Posted: October 18, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Incorporating Financing-Related Determinants of Value in the Discounted Cash Flow Model
Journal of Economic Surveys 22, 2008, pp. 274-98
Seth Armitage
University of Edinburgh
Date Posted: October 18, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper Which is the Right 'Market Beta'? 1,385 US Companies and 147 Betas/Company in a Single Date
Jose Paulo Carelli , Pablo Fernandez , Isabel Fernández Acín and Alberto Ortiz Pizarro
ISE Business School , University of Navarra - IESE Business School , University of Navarra and University of Navarra, IESE Business School
Date Posted: October 18, 2014
Last Revised: October 20, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Shades of Darkness: A Pecking Order of Trading Venues
Albert J. Menkveld , Bart Z. Yueshen and Haoxiang Zhu
VU University Amsterdam , INSEAD - Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: October 17, 2014
Last Revised: October 20, 2014
Working Paper Series
58 downloads

Incl. Electronic Paper False News, Informational Efficiency, and Price Reversals
Jérôme Dugast and Thierry Foucault
Banque de France - Economic Study and Research Division and HEC Paris (Groupe HEC) - Finance Department
Date Posted: October 17, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Feature Selection Risk
Alexander Chinco
University of Illinois at Urbana-Champaign - College of Business
Date Posted: October 17, 2014
Working Paper Series
4 downloads

Naked Short Selling and the Market Impact of Fails-to-Deliver: Evidence from the Trading of Real Estate Investment Trusts
Journal of Real Estate Finance and Economics, Vol. 49, No. 4, 2014
Erik Devos , Thomas H. McInish , Michael D. McKenzie and James Upson
University of Texas at El Paso - College of Business Administration - Department of Economics and Finance , University of Memphis - Fogelman College of Business and Economics , University of Sydney - Discipline of Finance and University of Texas at El Paso
Date Posted: October 17, 2014
Accepted Paper Series

Incl. Electronic Paper Pricing Path Dependent Contracts in the Presence of Stochastic Volatility - Combining Numerical Integration, Finite Difference and Conditional Monte Carlo
William A McGhee
Royal Bank of Scotland (RBS)
Date Posted: October 16, 2014
Working Paper Series
21 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
10 downloads

Incl. Electronic Paper Estimating Firm-Specific Implied Risk Premium
Pengguo Wang
Xfi, University of Exeter
Date Posted: October 16, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Incremental Variables and the Investment Opportunity Set
Chicago Booth Research Paper No. 14-35, Fama-Miller Working Paper
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Date Posted: October 15, 2014
Last Revised: October 17, 2014
Working Paper Series
34 downloads

Incl. Electronic Paper Retrieving Inflation Expectations and Risk Premia Effects from the Term Structure of Interest Rates
Efthymios Argyropoulos and Elias Tzavalis
Athens University of Economics and Business - Department of Economics and Athens University of Economics and Business - Department of Economics
Date Posted: October 14, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Full-Rank Maximum Correlation Portfolio Approach in Asset Pricing Tests
KAIST College of Business Working Paper Series No. 2014-018
Jinyong Kim
KAIST College of Business
Date Posted: October 14, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Switching Risk Off: FX Correlations and Risk Premia
Alessandro Beber , Michael W. Brandt and Jason Cen
Cass Business School , Duke University - Fuqua School of Business and City University London - Sir John Cass Business School
Date Posted: October 12, 2014
Working Paper Series
42 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 Asset Growth and the Cross Section of Stock Returns: Evidence from Vietnam
Võ Xuân Vinh and Bùi Hồng Thu
University of Economics Ho Chi Minh City and Ho Chi Minh City University of Foreign Languages and Information Technology
Date Posted: October 12, 2014
Working Paper Series
6 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
18 downloads

Incl. Electronic Paper Recovery with Unbounded Diffusion Processes
Johan Walden
University of California, Berkeley - Finance Group
Date Posted: October 12, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper A Pragmatist's Guide to Long-Run Equity Returns, Market Valuation, and the CAPE
John Edwin Golob
Federal Reserve Bank of Kansas City (Retired)
Date Posted: October 12, 2014
Working Paper Series
12 downloads

The Effect of the Diversification in Korean Banks: The Impact on Profit and Risk
Journal of Accounting and Finance, Forthcoming
Seungho Baek , Seung Youn Cha and Namhoon Lee
University of North Dakota - College of Business & Public Administration , Seoul National University and Vanguard University
Date Posted: October 12, 2014
Accepted Paper Series

Incl. Electronic Paper Digesting Anomalies: An Investment Approach
Review of Financial Studies, Forthcoming
Kewei Hou , Chen Xue and Lu Zhang
Ohio State University (OSU) - Department of Finance , University of Cincinnati and Ohio State University - Fisher College of Business
Date Posted: October 12, 2014
Accepted Paper Series
56 downloads

Incl. Electronic Paper American Call Options for Power System Balancing
John Moriarty and Jan Palczewski
University of Manchester - School of Mathematics and University of Leeds - School of Mathematics
Date Posted: October 12, 2014
Last Revised: October 13, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Ex-Day Returns of Stock Distributions: An Anchoring Explanation
Eric C. Chang , Yan Luo and Jinjuan Ren
University of Hong Kong - School of Business , University of Hong Kong - School of Business and University of Macau - Faculty of Business Administration
Date Posted: October 11, 2014
Last Revised: October 16, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Cross-Listings and Liquidity Commonality Around the World
Journal of Financial Markets, Forthcoming
Tung Lam Dang , Fariborz Moshirian , Claudia Wee and Bohui Zhang
UNSW Business School , University of New South Wales (UNSW) - Institute of Global Finance, Australian School of Business , University of New South Wales (UNSW) and University of New South Wales (UNSW) - School of Banking and Finance
Date Posted: October 11, 2014
Accepted Paper Series
5 downloads

Incl. Electronic Paper Consumption-Based Asset Pricing with Rare Disaster Risk
CFS Working Paper No. 480
Joachim Grammig and Jantje Soenksen
Eberhard Karls Universitaet Tübingen and University of Tuebingen
Date Posted: October 11, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Give Me Strong Moments and Time: Combining GMM and SMM to Estimate Long-Run Risk Asset Pricing Models
CFS Working Paper No. 479
Joachim Grammig and Eva-Maria Schaub
Eberhard Karls Universitaet Tübingen and Eberhard Karls Universitaet Tuebingen
Date Posted: October 11, 2014
Working Paper Series
8 downloads


 

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