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JEL Code: G12
5,797,104 Total downloads
Showing Papers 2,201 - 2,250 of 13,810
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Modifying Gaussian Term Structure Models When Interest Rates are Near the Zero Lower Bound CAMA Working Paper No. 36/2011
Leo Krippner
Date Posted: October 28, 201144 downloads
State Prices of Conditional Quantiles: New Evidence on Time-Varying Expected Returns
Konstantinos Metaxoglou
and
Aaron Smith
affiliation not provided to SSRN
and
University of California, Davis - Department of Agricultural and Resource Economics
Date Posted: October 28, 201127 downloads
Statistical Methods for Modeling Home Values
Joseph Wadalawala
Date Posted: October 28, 201150 downloads
The Risk Premium and Long-Run Global Imbalances
YiLi Chien
and
Kanda Naknoi
Date Posted: October 28, 2011Last Revised: February 08, 201233 downloads
Dynamic Signal Weighting: When it is Expected to Add Value and When it is Not
Mathieu L'Hoir
affiliation not provided to SSRN
Date Posted: October 27, 2011Last Revised: October 29, 201190 downloads
Incorporating Model Uncertainty and Model Instability in Forecasting Bond Risk Premia and Term Structure of Government Bond Yield – A Bayesian Model Averaging Approach
Hao (David) Zhou
Date Posted: October 27, 2011Last Revised: September 10, 2012110 downloads
Expected Volatility, Unexpected Volatility, and the Cross-Section of Stock Returns Journal of Financial Research, Vol. 33, No. 2, 2010
Choong Tze Chua
,
Jeremy Goh and
Zhe Zhang
Date Posted: October 26, 2011138 downloads
How Do Leverage Ratios Affect Bank Share Performance During Financial Crises: The Japanese Experience of the Late 1990s
Sichong Chen
Date Posted: October 26, 201172 downloads
An Empirical Investigation of International Asset Pricing Review of Financial Studies, Vol. 2, No. 4, pp. 553-585, 1989
Robert A. Korajczyk and
Claude Viallet
Date Posted: October 25, 201126 downloads
Analysis of Improved Bids in the Scope of a Risk Arbitrage Strategy
Stephane Dieudonne
,
Fabienne Cretin
and
Slimane Bouacha
Date Posted: October 25, 2011120 downloads
Efficient Semi-Analytical Simulation for Heston Model Forthcoming, Computational Economics
Xianming Sun
Date Posted: October 25, 2011Last Revised: April 19, 201327 downloads
Fast Computation of Vanilla Prices in Time-Changed Models and Implied Volatilities Using Rational Approximations
Martijn Pistorius and
Johannes Stolte
Date Posted: October 25, 2011Last Revised: November 04, 201179 downloads
Performance-Sensitive Government Bonds Midwest Finance Association 2013 Annual Meeting Paper
Matthias Bank
,
Alexander Kupfer
and
Rupert Sendlhofer
Date Posted: October 25, 2011Last Revised: January 25, 2013134 downloads
Strategic Allocation to Premiums in the Equity Market
David Blitz
Date Posted: October 25, 20111120 downloads
The Attributes, Behavior, and Performance of U.S. Mutual Funds Review of Quantitative Finance and Accounting, Vol. 1, No. 1, pp. 5-26, 1990
Gregory Connor and
Robert A. Korajczyk
Date Posted: October 25, 201130 downloads
An Intertemporal Equilibrium Beta Pricing Model Review of Financial Studies, Vol 2, No. 3, pp. 373-392, 1989
Gregory Connor and
Robert A. Korajczyk
Date Posted: October 24, 201127 downloads
Asset Pricing with Incomplete Information in a Discrete Time Pure Exchange Economy Journal of Applied Research in Finance, Vol. III, No. 1(5), pp. 9-26, 2011
Prasad V. Bidarkota and
Brice V. Dupoyet
Date Posted: October 24, 201122 downloads
Consumption Equilibrium Asset Pricing in Two
Asian Emerging Markets Journal of Asian Economics, Vol. 15, pp. 305–319, 2004,
Prasad V. Bidarkota
Date Posted: October 24, 2011
Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors
Man Fu
and
Prasad V. Bidarkota
affiliation not provided to SSRN
and
Florida International University (FIU) - Department of Economics
Date Posted: October 23, 201129 downloads
Pricing Derivatives with Liquidity Limitations
Mark Syrkin
affiliation not provided to SSRN
Date Posted: October 23, 201159 downloads
The Present Value Model with Stochastic Discount Rate and an ANN Process for Broad Dividends
Man Fu
and
Prasad V. Bidarkota
affiliation not provided to SSRN
and
Florida International University (FIU) - Department of Economics
Date Posted: October 23, 201123 downloads
Critical Analysis of the Binomial-Tree Approach to Convertible Bonds in the Framework of Tsiveriotis-Fernandes Model
Krasimir Milanov
and
Ognyan Kounchev
Date Posted: October 22, 2011Last Revised: October 09, 2012111 downloads
Do Margin Requirements Affect Asset Prices?
Bruno Cara Giovannetti
and
Guilherme Martins
Date Posted: October 22, 2011Last Revised: March 19, 201273 downloads
Short Sale Constraints and the Likelihood of Crashes and Bubbles
Arne Christian Klein
and
Martin T. Bohl
Date Posted: October 22, 2011Last Revised: March 01, 2012141 downloads
A Theory of Asset Prices Based on Heterogeneous Information Cowles Foundation Discussion Paper No. 1827
Elias Albagli
,
Christian Hellwig
and
Aleh Tsyvinski
Date Posted: October 21, 201181 downloads
Assessing the Market Timing Performance of Managed Portfolios Journal of Business, Vol. 59, No. 2, pp. 217-235, 1986
Ravi Jagannathan and
Robert A. Korajczyk
Date Posted: October 21, 2011Last Revised: May 03, 2012278 downloads
Asymmetric News and Asset Pricing
Date Posted: October 21, 201192 downloads
Market Risk Premium Used in 56 Countries in 2011: A Survey with 6,014 Answers IESE Business School Working Paper No. 920
Pablo Fernandez ,
Javier Aguirreamalloa
and
Luis Corres Avendaño
Date Posted: October 21, 2011644 downloads
Momentum or Contrarian Investment Strategies: Evidence from Dutch Institutional Investors De Nederlandsche Bank Working Paper No. 242
Leo de Haan
and
Jan Kakes
Date Posted: October 21, 201156 downloads
Pricing Adjustable-Rate Real Estate Lease Contracts with Embedded Options and Credit Risk
Chuang-Chang Chang ,
Hsiao-Wei Ho
,
Hongming Huang
and
Yildiray Yildirim
affiliation not provided to SSRN
,
National Central University at Taiwan
and
Syracuse University - Whitman School of Management
Date Posted: October 21, 2011Last Revised: October 22, 201175 downloads
Evolutionary Strategic Beliefs and Financial Markets
Elyes Jouini ,
Clotilde Napp
and
Yannick Viossat
Date Posted: October 20, 201129 downloads
Integration and Contagion in US Housing Markets
John Cotter ,
Stuart A. Gabriel and
Richard Roll
Date Posted: October 20, 2011Last Revised: December 16, 201169 downloads
Capital Ratios and the Cross-Section of Bank Stock Returns: Evidence from Japan Journal of Asian Economics, Forthcoming
Sichong Chen
Date Posted: October 19, 201170 downloads
Fuel Mix Characteristics and Expected Stock Returns of European Power Companies EWL Working Paper No. 06/2011
Malte Sunderkötter
Date Posted: October 19, 2011Last Revised: December 08, 201123 downloads
Inflation-Hedging Portfolios: Economic Regimes Matter Journal of Portfolio Management, Forthcoming
Ombretta Signori
and
Marie Briere
Date Posted: October 19, 2011267 downloads
The Predictability of Aggregate Japanese Stock Returns: Implications of Dividend Yield International Review of Economics and Finance, Forthcoming
Sichong Chen
Date Posted: October 19, 201163 downloads
What Drives the Time-Series and Cross-Sectional Variations in Bank Capital Ratios? Evidence from Japan Pacific Economic Review, Forthcoming
Sichong Chen
Date Posted: October 19, 2011Last Revised: October 20, 201131 downloads
Opaque Trading, Disclosure and Asset Prices: Implications for Hedge Fund Regulation Rotman School of Management Working Paper No. 1945347, Johnson School Research Paper Series No. 53-2011, AFA 2013 San Diego Meetings Paper
David Easley ,
Maureen O'Hara and
Liyan Yang
Date Posted: October 17, 2011Last Revised: December 11, 2012281 downloads
Do Investors Care About Credit Ratings? An Analysis Through the Cycle
Giuliano Iannotta
,
Giacomo Nocera
and
Andrea Resti
Date Posted: October 17, 2011Last Revised: October 22, 201138 downloads
On the Equity and Interest Rate Predictability for Balanced Portfolios and Coverage Ratios for Pension Plans
Foort Hamelink
Date Posted: October 17, 2011114 downloads
Ratings and Performance of German Mutual Funds: A Comparison of Feri Trust, Euro Fondsnote and Finanztest
Christian Meinhardt
Date Posted: October 17, 2011Last Revised: December 14, 201178 downloads
The Equity Risk Premium Across European Markets: An Analysis Using the Implied Cost of Capital
Christoph Jäckel
and
Katja Mühlhäuser
Date Posted: October 17, 2011380 downloads
Integration and Contagion in US Housing Markets
Stuart A. Gabriel ,
John Cotter and
Richard Roll
Date Posted: October 16, 201121 downloads
The Impact of Strategic Order Activity During Trading Halts
Wai-Man (Raymond) Liu ,
James Panaust
and
Bohui Zhang
Date Posted: October 15, 201164 downloads
A General Framework for the Derivation of Asset Price Bounds: An Application to Stochastic Volatility Option Models
Oleg Bondarenko and
I. Rodriguez Longarela
Date Posted: October 14, 201134 downloads
Do Investors Value Dividend Smoothing Stocks Differently? Johnson School Research Paper Series No. 51-2011
Yelena Larkin
,
Mark T. Leary and
Roni Michaely
Date Posted: October 14, 2011Last Revised: March 17, 2012244 downloads
Market Liquidity and Exposure of Hedge Funds Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Arjen Siegmann and
Denitsa Stefanova
Date Posted: October 14, 201147 downloads
Multiple Risky Securities Valuation I
Ilya I. Gikhman
Date Posted: October 14, 2011Last Revised: November 02, 201156 downloads
Overconfident Individual Day Traders: Evidence from the Taiwan Futures Market Journal of Banking and Finance, Forthcoming, Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Wei-Yu Kuo
and
Tse-Chun Lin
Date Posted: October 14, 2011Last Revised: April 22, 2013110 downloads
Pricing of Volatility Risk in REITs Journal of Real Estate Research, 2013, Vol. 35, No. 2, pp. 223-248.
Jared DeLisle
,
S. McKay Price and
C. F. Sirmans
Date Posted: October 14, 2011Last Revised: May 15, 201385 downloads
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