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JEL Code: G12
5,796,116 Total downloads
Showing Papers 1,981 - 2,030 of 13,809
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Fitting the Skew with an Analytical Local Volatility Function International Review of Applied Financial Issues and Economics, Vol. 3, pp. 721-736, 2011
Jacinto Marabel Romo
Date Posted: December 31, 2011Last Revised: February 28, 201397 downloads
Interest Rate Sensitivities Under the Vasicek and Cox-Ingersoll-Ross Models
Yves Rakotondratsimba
Date Posted: December 31, 201190 downloads
A Stock's Liquidity and Cross-Sectional Stock Dynamics Around Extreme VIX Shocks
Naresh Bansal
,
Robert A. Connolly Jr. and
Christopher Todd Stivers
Date Posted: December 30, 2011133 downloads
Predictability of Currency Carry Trades and Asset Pricing Implications
Gurdip Bakshi and
George Panayotov
Date Posted: December 30, 2011312 downloads
Risk-Return Tradeoff in the Pacific Basin Equity Markets
Ai-ru Meg Cheng and
Mohammad R. Jahan-Parvar
Date Posted: December 28, 2011Last Revised: April 26, 201343 downloads
Family Business and Stock Market: Return Analysis and Trading Strategies Spanish Journal of Finance and Accounting, Forthcoming
Jose Luis Miralles-Marcelo
,
Maria del Mar Miralles-Quiros
and
Inês Lisboa
Date Posted: December 27, 2011Last Revised: September 25, 201265 downloads
Steering a Bank Around a Death Spiral: Multiple Trigger CoCos
Jan De Spiegeleer and
Wim Schoutens
Date Posted: December 26, 2011128 downloads
Pricing of Liquidity Risks: Evidence from Multiple Liquidity Measures
Soon-Ho Kim
and
Kuan-Hui Lee
Date Posted: December 25, 2011Last Revised: July 09, 2012127 downloads
A Behavioural Finance Approach with Fundamentalists and Chartists in the Gold Market
Dirk G. Baur
and
Kristoffer J. Glover
Date Posted: December 24, 2011169 downloads
Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk
Marti G. Subrahmanyam ,
Dragon Yongjun Tang
and
Sarah Qian Wang
Date Posted: December 24, 2011Last Revised: February 24, 2012204 downloads
Endogenous Asset Fire Sales and Bank Lending Incentives
Zhongzhi Song
Date Posted: December 24, 201133 downloads
Nominal Bonds, Real Bonds, and Equity Netspar Discussion Paper No. 12/2011-103
Andrew Ang and
Maxim Ulrich
Date Posted: December 24, 2011Last Revised: March 06, 2012100 downloads
The Microstructure of the TIPS Market Economic Policy Review, 2012
Michael J. Fleming and
Neel Krishnan
affiliation not provided to SSRN
Date Posted: December 24, 201184 downloads
The Real Effects of Financial Markets ECGI - Finance Working Paper No. 323/2012
Philip Bond ,
Alex Edmans
and
Itay Goldstein
Date Posted: December 24, 2011Last Revised: March 28, 2012624 downloads
Volatility Spillovers from the Chinese Stock Market to Economic
Neighbours
David E. Allen ,
Ron Amram
and
Michael McAleer
affiliation not provided to SSRN
and
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Date Posted: December 24, 2011196 downloads
Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM
Date Posted: December 23, 2011192 downloads
Liquidity and Asset Pricing: Evidence from the Hong Kong Stock Market Journal of Banking and Finance, Vol. 35, No. 9, 2011
Keith Lam
and
Lewis Tam
Date Posted: December 23, 2011
Measuring Market Liquidity: An Introductory Survey Quaderni DSE Working Paper No. 802
Alexandros Gabrielsen
,
Massimiliano Marzo and
Paolo Zagaglia
Date Posted: December 23, 2011100 downloads
Trade and Payments Theory in a Financialized Economy Levi Economics Institute Working Paper No. 699
Michael Hudson
Date Posted: December 23, 201144 downloads
Great Moderation or Great Mistake: Can Rising Confidence in Low Macro-Risk Explain the Boom in Asset Prices? CEPR Discussion Paper No. DP8700
Tobias Broer and
Afroditi Kero
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: December 22, 20113 downloads
Hope, Change, and Financial Markets: Can Obama's Words Drive the Market? CEPR Discussion Paper No. DP8713
Sharmin Sazedj and
José Tavares
affiliation not provided to SSRN
and
Universidad Nova de Lisboa - Faculdade de Economia
Date Posted: December 22, 20114 downloads
Pricing Liquidity Risk with Heterogeneous Investment Horizons CEPR Discussion Paper No. DP8710
Alessandro Beber
,
Joost Driessen and
Patrick Tuijp
Date Posted: December 22, 20119 downloads
Scattered Trust - Did the 2007-08 Financial Crisis Change Risk Perceptions? CEPR Discussion Paper No. DP8714
Roland Füss
,
Thomas Gehrig and
Philipp B. Rindler
Date Posted: December 22, 20115 downloads
Earnings News, Expected Earnings and Aggregate Stock Returns
Jung Ho Choi
,
Alon Kalay
and
Gil Sadka
Date Posted: December 21, 2011Last Revised: May 03, 2013242 downloads
Asset Pricing with a Bank Risk Factor
João Pedro Pereira and
Antonio Rua
Date Posted: December 21, 2011Last Revised: March 15, 201234 downloads
Fundamental Analysis and Option Returns
Theodore H. Goodman
,
Monica Neamtiu
and
Frank Zhang
Date Posted: December 21, 2011Last Revised: January 03, 2013570 downloads
Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures Journal of Futures Markets, Forthcoming
Junmao Chiu ,
Huimin Chung
and
George H. K. Wang
Date Posted: December 21, 2011Last Revised: August 03, 2012129 downloads
Idiosyncratic Risk and Mutual Fund Performance Persistence Midwest Finance Association 2013 Annual Meeting Paper
Nan Qin
Date Posted: December 20, 2011Last Revised: January 25, 2013111 downloads
Internet Appendix for 'Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums'
Loriano Mancini
,
Angelo Ranaldo and
Jan Wrampelmeyer
Date Posted: December 20, 2011Last Revised: June 18, 201266 downloads
Liquidity Spillovers in Sovereign Bond and CDs Markets: An Analysis of the Eurozone Sovereign Debt Crisis
Giovanni Calice
,
Jing Chen and
Julian M. Williams
Date Posted: December 20, 2011Last Revised: January 21, 201240 downloads
Mind the Solvency II Gap: A Coherent Measure of Market Consistent Embedded Value to Interest Rate Risk in ALM
Ludovic Dubrana
Date Posted: December 20, 2011287 downloads
Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis Journal of Financial Economics (JFE), Vol. 84, No. 1, 2007
Robert Kosowski ,
Narayan Y. Naik and
Melvyn Teo
Date Posted: December 19, 2011
Dynamic Risk, Accounting-Based Valuation and Firm Fundamentals CAAA Annual Conference 2012
Matthew R. Lyle
,
Jeffrey L. Callen and
Robert J. Elliott
Date Posted: December 19, 2011Last Revised: April 19, 2012155 downloads
Pricing of Derivatives Contracts Under Collateral Agreements: Liquidity and Funding Value Adjustments
Antonio Castagna
Date Posted: December 19, 2011Last Revised: June 03, 2012325 downloads
Beyond the Planning Period - Tips on Crafting a Terminal Valuation (TV) Part I: The Impracticality of Forecasting to an Infinite Time Horizon Using the FCF Valuation Approach Makes the Construction of a TV Inevitable
Robert Richard Stockfis
affiliation not provided to SSRN
Date Posted: December 18, 2011Last Revised: August 02, 201270 downloads
Stock Issues and Speculative Demand
Maurizio Montone
Date Posted: December 18, 2011Last Revised: January 12, 201328 downloads
The Effects of Monetary Policy Regime Shifts on the Term Structure of Interest Rates
Azamat Abdymomunov
and
Kyu Ho Kang
affiliation not provided to SSRN
Date Posted: December 18, 201136 downloads
The Impact of Corporate Board Meetings on Corporate Performance in South Africa African Review of Economics and Finance, Vol. 2, No. 2, pp.83-103, 2011
Collins G. Ntim and
Kofi
Date Posted: December 18, 2011Last Revised: January 13, 201282 downloads
The Relative Value Relevance of Shareholder Versus Stakeholder Corporate Governance Disclosure Policy Reforms in South Africa Corporate Governance: An International Review, Vol. 20, No. 1, pp. 84-105, 2012
Collins G. Ntim ,
Kwaku K. Opong and
Jo Danbolt
Date Posted: December 18, 2011Last Revised: January 14, 2012
Voluntary Corporate Governance Disclosures by Post-Apartheid South African Corporations Journal of Applied Accounting Research, April 2012
Collins G. Ntim ,
Kwaku K. Opong ,
Jo Danbolt and
Dennis A. Thomas
Date Posted: December 18, 2011
Up Close It Feels Dangerous: ‘Anxiety’ in the Face of Risk Economic Theory Center Working Paper No. 29-2011
Thomas M. Eisenbach
and
Martin C. Schmalz
Date Posted: December 17, 2011Last Revised: April 02, 2013113 downloads
Discount Factor in Analyst’s Notes in Russian Capital Market (37 Analytical Teams): Testing Predicted Beta with Liquidity Adjustment Vanguard Scientific Instruments, Vol. 3, 2010
Tamara Teplova
Date Posted: December 17, 2011Last Revised: January 31, 201263 downloads
Estimating the Cost of Capital with Basis Assets
Stephen J. Brown ,
Paul Lajbcygier
and
Woon Weng Wong
Date Posted: December 17, 2011Last Revised: April 21, 201278 downloads
Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
Olesya V. Grishchenko
,
Eduard Dubin
and
Vasily Kartashov
affiliation not provided to SSRN
Date Posted: December 17, 2011Last Revised: June 11, 201247 downloads
Information Environment and Equity Risk Premium Volatility Around the World
Sie Ting Lau ,
Lilian K. Ng and
Bohui Zhang
Date Posted: December 17, 2011115 downloads
Portfolio Home Bias and External Habit Formation
Andreas Stathopoulos
Date Posted: December 17, 2011Last Revised: December 22, 201284 downloads
Realized Expectations and the Equilibrium Risk-Return Trade Off
Roberto Marfè
Date Posted: December 17, 2011Last Revised: November 23, 2012139 downloads
Speculative Dynamics I: Imperfect Competition, and the Implications for High Frequency Trading
Su Li
Date Posted: December 17, 2011Last Revised: March 17, 201253 downloads
The Role of Transitory Shocks in Equity Financing: Evidence from IPOs
Sung Bin Sohn
Date Posted: December 17, 2011Last Revised: May 17, 201345 downloads
Aggregate Investment and its Consequences
Salman Arif
Date Posted: December 16, 2011Last Revised: March 06, 201296 downloads
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