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JEL Code: G12
5,796,174 Total downloads
Showing Papers 201 - 250 of 13,809
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The Impact of Liquidity on Senior Credit Spreads During the Subprime Crisis
Miriam Marra
Date Posted: March 30, 201319 downloads
Human Security as a Measure of Country Risk in the Assessment of Emerging Market Bonds
Allan Dwyer
Date Posted: March 29, 20135 downloads
Reset Options on South African Equities
Antonie Kotze
Date Posted: March 29, 2013Last Revised: April 16, 20135 downloads
Comparing Futures and Forwards for Managing Currency Exposures in a South African Context
Antonie Kotze
Date Posted: March 29, 20136 downloads
Leisure, Consumption and Long Run Risk: An Empirical Evaluation
Xiang Zhang
Date Posted: March 29, 20137 downloads
Sequential Static-Dynamic Hedging for Long-Term Derivatives Procedia Computer Science, Volume 9, 2012, pp.1211--1218
Tim Leung
Date Posted: March 28, 2013
Expecting the Fed
Anna Cieslak
and
Pavol Povala
Date Posted: March 28, 2013Last Revised: May 14, 201321 downloads
Long Memory in the Ukrainian Stock Market DIW Berlin Discussion Paper No. 1279
Guglielmo Maria Caporale and
Luis A. Gil-Alana
Date Posted: March 28, 20137 downloads
Foreign Investor Flows and 'Blue Chip' Stock Returns International Journal of Emerging Markets, Vol.8, No.2, 2013, pp.170-181
Cahit Adaoglu and
Salih Turan Katircioglu
Date Posted: March 28, 2013
Functional of the Diffusion Path of a Two-State Markov-Chain Model for Option Pricing
James Redekop
and
Tony S. Wirjanto
Date Posted: March 27, 20139 downloads
The Drivers of Downside Equity Tail Risk
Kyle Moore
,
Pengfei Sun
,
Casper G. de Vries and
Chen Zhou
Date Posted: March 27, 201358 downloads
The Cross-Section of Tail Risks in Stock Returns
Kyle Moore
,
Pengfei Sun
,
Casper G. de Vries and
Chen Zhou
Date Posted: March 27, 201346 downloads
Outperformance Portfolio Optimization Via the Equivalence of Pure and Randomized Hypothesis Testing Finance Stochastics, Forthcoming
Tim Leung ,
Qingshuo Song
and
Jie Yang
Date Posted: March 27, 2013Last Revised: April 01, 201341 downloads
Understanding Jumps in the High-Frequency VIX
Inna Khagleeva
Date Posted: March 27, 201348 downloads
Interdependence and Dynamic Interactions among Fundamental Factors and Stock Prices
Sony Thomas
Date Posted: March 26, 2013
Warranted Multiples and Future Returns Journal of Accounting, Auditing and Finance, Vol. 25, No. 2, 2010
Jiyoun An
,
Sanjeev Bhojraj and
David Ng
Date Posted: March 26, 201332 downloads
Dividend Growth Predictability: Isn't It There?
Abhay Abhyankar and
Pedro Angel Garcia-Ares
Date Posted: March 25, 201345 downloads
Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2013 Edition
Aswath Damodaran
Date Posted: March 24, 20132439 downloads
Capital Investment, Option Generation, and Stock Returns
Praveen Kumar and
Dongmei Li
Date Posted: March 24, 201335 downloads
Equity Returns for Dividend-Paying and Non-Dividend Paying Firms
George Blazenko and
Yufen Fu
Date Posted: March 24, 201323 downloads
A Heterogeneous Agents Equilibrium Model for the Term Structure of Bond Market
Liquidity
Philipp Schuster
,
Monika Trapp
and
Marliese Uhrig-Homburg
Date Posted: March 24, 201321 downloads
The Impact of Visible and Dark Orders
Nataliya Bershova
,
Christopher R. Stephens
and
Henri Waelbroeck
Date Posted: March 24, 2013Last Revised: March 27, 201333 downloads
On the Reconciliation of the Extended Nelson-Siegel and the Extended Vasicek Models (with a View Towards Swap and Swaption Valuation)
Peter Løchte Jørgensen
Date Posted: March 24, 201324 downloads
Country and Sector Drive Low-Volatility Investing in Global Equity Markets
Sanne De Boer ,
Janet Campagna
and
James H. Norman
Date Posted: March 23, 2013Last Revised: April 03, 2013236 downloads
Market Valuation of Intangible Capital in China
Yin Yu and
Carol Padgett
Date Posted: March 23, 201315 downloads
Optimal Real Option Generation and Investment-Return Dynamics
Praveen Kumar and
Dongmei Li
Date Posted: March 23, 2013Last Revised: April 10, 201322 downloads
A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives
Duy Minh Dang ,
Christina Christara
and
Kenneth R. Jackson
Date Posted: March 23, 2013Last Revised: April 28, 201333 downloads
Investors' Heterogeneity and Implied Volatility Smiles Management Science, Forthcoming
Tao Li
Date Posted: March 23, 2013Last Revised: March 28, 201337 downloads
Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets
Vladimir Filimonov
,
David Bicchetti
,
Nicolas Maystre and
Didier Sornette
Date Posted: March 23, 2013691 downloads
Reinvestigating the Uncovered Interest Rate Parity Puzzle Via Analysis of Multivariate Tail Dependence in Currency Carry Trades
Matthew Ames ,
Guillaume Bagnarosa
and
Gareth William Peters
Date Posted: March 22, 201336 downloads
Volatility of Volatility and Tail Risk Premiums
Yang-Ho Park
Date Posted: March 22, 2013Last Revised: May 14, 2013149 downloads
Can Institutional Investors Cherry-Pick Hot IPOs?
Ufuk Gucbilmez
Date Posted: March 22, 201342 downloads
On Risks and Opportunities in Financial Markets Tinbergen Institute Research Series No. 543
Simon D. Lansdorp
Date Posted: March 21, 201350 downloads
Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model
Date Posted: March 21, 201336 downloads
Risk and the Volatility Anomaly: A Global Analysis
Charles D. Collver Jr.
,
Jack De Jong
and
Darshana Palkar
Date Posted: March 21, 201382 downloads
Mortgage Hedging in Fixed Income Markets
Aytek Malkhozov
,
Philippe Mueller
,
Andrea Vedolin and
Gyuri Venter
Date Posted: March 21, 2013Last Revised: May 10, 201366 downloads
Risk Premia in Gold Leasing Markets
Anh Le
and
Haoxiang Zhu
Date Posted: March 20, 2013Last Revised: March 27, 201326 downloads
The Role of Institutional Investors in Propagating the Crisis of 2007-2008 Journal of Financial Economics (JFE), Vol. 104, No. 3, 2012
Alberto Manconi ,
Massimo Massa and
Ayako Yasuda
Date Posted: March 20, 201317 downloads
The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence Journal of Real Estate Finance and Economics, Vol. 46, No. 4, 2013
Gang-Zhi Fan
,
Zsuzsa R. Huszar and
Weina Zhang
Date Posted: March 20, 2013
The Small-Maturity Heston Forward Smile
Antoine Jacquier
and
Patrick Roome
Date Posted: March 19, 2013Last Revised: April 16, 201318 downloads
Fully Liquidity Adjusted CVA
Christian Kamtchueng
Date Posted: March 19, 2013Last Revised: March 22, 201334 downloads
Tracing Tails – Large Idiosyncratic Income Shocks in a Heterogeneous Agent Asset Pricing Model
Tobias Langen
Date Posted: March 19, 2013Last Revised: April 14, 201311 downloads
Corporate Bond Risk Premia
Christian Speck
Date Posted: March 19, 201342 downloads
Credit Cycle Dependent Spread Determinants in Emerging Sovereign Debt Markets Emerging Markets Review, Forthcoming
Christoph Riedel
,
Kannan S. Thuraisamy
and
Niklas Wagner
Date Posted: March 19, 201321 downloads
Identification and Inference Using Event Studies CEPR Discussion Paper No. DP9388
Refet S. Gurkaynak and
Jonathan H. Wright
Date Posted: March 19, 20133 downloads
A Joint Non-Parametric Approach to the Decomposition of Bond Yields and CDS Spreads: Application of Eurozone Market Data Higher School of Economics Research Paper No. WP BPR 13/FE/2012
Victor Lapshin
and
Marat Kurbangaleev
Date Posted: March 18, 20139 downloads
Media and Google: The Impact of Information Supply and Demand on Stock Returns
Yanbo Wang
Date Posted: March 18, 2013Last Revised: April 20, 2013335 downloads
Optimal Carry and Momentum Returns in Futures Markets: A Compensation for Capital Constrained Hedge Funds?
Jan Danilo Ahmerkamp
and
James Grant
Date Posted: March 17, 2013Last Revised: May 01, 201318 downloads
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?
Jianqing Fan
,
Michael B. Imerman
and
Wei Dai
Date Posted: March 17, 2013Last Revised: April 10, 201387 downloads
House Prices, Expectations, and Time-Varying Fundamentals Federal Reserve Bank of San Francisco Working Paper Series, Working Paper 2013-03
Paolo Gelain
and
Kevin J. Lansing
Date Posted: March 16, 201316 downloads
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