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SSRN eLibrary Statistics:

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Abstracts: 489,242
Full Text Papers: 398,123
Authors: 228,655
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  Last 12 months: 		69,587

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Last 12 months: 11,224,159
Last 30 days: 834,566

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SSRN eLibrary Search Results
JEL Code: G12
5,856,442 Total downloads
Showing Papers 2,321 - 2,370 of 13,873
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Incl. Electronic Paper Variance Trading and Market Price of Variance Risk
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Date Posted: October 14, 2011
Last Revised: June 07, 2013
Working Paper Series
426 downloads

Incl. Electronic Paper Equity Risk Premia and the Pricing of Foreign Exchange Risk
Journal of International Economics, Vol. 33, Nos. 3-4, 1992
 Robert A. Korajczyk and Claude Viallet
Northwestern University - Kellogg School of Management and INSEAD
Date Posted: October 13, 2011
Accepted Paper Series
27 downloads

Incl. Electronic Paper Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads
Paris December 2011 Finance Meeting EUROFIDAI - AFFI
 Vladimir Borgy , Thomas Laubach , Jean-Stéphane Mésonnier and Jean-Paul Renne
Banque de France , Goethe University Frankfurt , Banque de France -DGEI-DEMFI-RECFIN and Banque de France
Date Posted: October 13, 2011
Last Revised: November 03, 2011
Working Paper Series
119 downloads

Incl. Electronic Paper Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange
Journal of Economics and Business, Vol. 3, No. 3, pp. 203-223, 2009
 Rowland Bismark Pasaribu
Gunadarma University
Date Posted: October 13, 2011
Accepted Paper Series
100 downloads

Incl. Electronic Paper Risk Premia and Optimal Liquidation of Credit Derivatives
International Journal of Theoretical and Applied Finance, Forthcoming
 Tim Leung and Peng Liu
Columbia University and Johns Hopkins University - Department of Applied Mathematics and Statistics
Date Posted: October 13, 2011
Last Revised: September 30, 2012
Accepted Paper Series
38 downloads

The Alternative Three-Factor Model: An Alternative Beyond U.S. Markets?
European Financial Management, Forthcoming
 Christian Walkshäusl and Sebastian Lobe
University of Regensburg - Center of Finance and University of Regensburg
Date Posted: October 13, 2011
Accepted Paper Series

Incl. Electronic Paper The Impact of Government Interventions on CDS and Equity Markets
Finance Meeting EUROFIDAI - AFFI, Paris, December 2011 , AFA 2012 Chicago Meetings
 Frederic Schweikhard and Zoe Tsesmelidakis
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: October 13, 2011
Last Revised: September 19, 2012
Working Paper Series
50 downloads

Incl. Electronic Paper Volatility Activity: Specification and Estimation
Economic Research Initiatives at Duke (ERID) Working Paper No. 114
 Viktor Todorov , George Tauchen and Iaryna Grynkiv
Northwestern University , Duke University - Economics Group and Duke University
Date Posted: October 13, 2011
Accepted Paper Series
126 downloads

Incl. Electronic Paper Which Firms are Responsible for Characteristic Anomalies? A Statistical Leverage Analysis
 Kevin Aretz and Marc Aretz
Manchester Business School and RWTH Aachen University
Date Posted: October 13, 2011
Working Paper Series
191 downloads

Incl. Electronic Paper High Frequency Trading and Price Discovery
 Jonathan Brogaard , Terrence Hendershott and Ryan Riordan
University of Washington - Department of Finance and Business Economics , University of California, Berkeley - Haas School of Business and University of Ontario Institute of Technology - Faculty of Business and Information Technology
Date Posted: October 12, 2011
Last Revised: April 26, 2013
Working Paper Series
1948 downloads

Incl. Electronic Paper Inflation, Stock Market and Long-Term Investors: Real Effects of Changing Demographics
Paris December 2011 Finance Meeting EUROFIDAI - AFFI
 Arie Eskenazi Gozluklu
Warwick Business School
Date Posted: October 12, 2011
Last Revised: May 28, 2012
Working Paper Series
88 downloads

Incl. Electronic Paper Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
Economic Research Initiatives at Duke (ERID) Working Paper No. 112
 Viktor Todorov and George Tauchen
Northwestern University and Duke University - Economics Group
Date Posted: October 12, 2011
Working Paper Series
59 downloads

Incl. Electronic Paper Transfer of Financial Risk in Emerging Eastern European Stock Markets: A Sectoral Perspective
BOFIT Discussion Paper No. 24/2011
 Elena Fedorova
Lappeenranta University of Technology, School of Business
Date Posted: October 12, 2011
Working Paper Series
24 downloads

A Mathematical Model for American Call Option with Dividends and Variable Volatility
Int. J. of Appl. Math. and Mech., Vol. 7, No. 17, pp. 46-60, 2011
 Asad Ahmad
Maya Institute of Technology and Management
Date Posted: October 10, 2011
Accepted Paper Series

Numerical Solution of Pricing of European Put Option with Stochastic Volatility
International Journal of Engineering, Vol. 24, No. 2, pp. 189-203, 2011
 Asad Ahmad
Maya Institute of Technology and Management
Date Posted: October 10, 2011
Accepted Paper Series

Incl. Electronic Paper The Impact of Operating Leases and Purchase Obligations on Credit Market Prices
 Sandro C. Andrade , Elaine Henry and Dhananjay Nanda
University of Miami - Department of Finance , Fordham University and University of Miami - School of Business Administration
Date Posted: October 10, 2011
Last Revised: January 06, 2012
Working Paper Series
142 downloads

Incl. Fee Electronic Paper How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data
Financial Review, Vol. 46, Issue 4, pp. 723-747, 2011
 Mohamed Zouaoui , Geneviève Nouyrigat and Francisca Beer
University of Burgundy , affiliation not provided to SSRN and California State University, San Bernardino
Date Posted: October 08, 2011
Accepted Paper Series
2 downloads

Incl. Electronic Paper An Analysis of CDS Transactions: Implications for Public Reporting
FRB of New York Staff Report No. 517
 Kathryn Chen , Michael J. Fleming , John P. Jackson , Ada Li and Asani Sarkar
Federal Reserve Banks - Federal Reserve Bank of New York , Federal Reserve Bank of New York , Bank of England , Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: October 08, 2011
Last Revised: September 18, 2012
Working Paper Series
82 downloads

Incl. Electronic Paper Equity Premia Around the World
 Elroy Dimson , Paul Marsh and Mike Staunton
London Business School , London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Date Posted: October 08, 2011
Last Revised: September 10, 2012
Working Paper Series
2254 downloads

Incl. Electronic Paper Investor Behavior, Hedge Fund Returns and Strategies
 Andres Bello , Gokce Soydemir and Jan M. Smolarski
The University of Texas Pan American , California State University, Stanislaus and Stockholm University
Date Posted: October 08, 2011
Working Paper Series
157 downloads

Incl. Electronic Paper Market Cycles and the Performance of Relative-Strength Strategies
Financial Management, Forthcoming.
 Christopher Todd Stivers and Licheng Sun
University of Louisville and Old Dominion University
Date Posted: October 08, 2011
Last Revised: June 28, 2012
Accepted Paper Series
552 downloads

Incl. Electronic Paper The Nature of the Risk-Free Asset: Evidence from Credit Default Swaps
 Jin Xiang and Zhiyi Qian
Arizona State University (ASU) - W.P. Carey School of Business and W. P. Carey School of Business
Date Posted: October 08, 2011
Last Revised: August 31, 2012
Working Paper Series
36 downloads

Incl. Electronic Paper What Drives the Value Effect? Risk versus Mispricing: Evidence from International Markets
 Denis B. Chaves , Jason C. Hsu , Vitali Kalesnik and Yoseop Shim
Research Affiliates, LLC , Research Affiliates, LLC , Research Affiliates LLC and Research Affiliates, LLC
Date Posted: October 08, 2011
Last Revised: February 14, 2012
Working Paper Series
204 downloads

Incl. Electronic Paper The Evaluation of Euro Investment Grade Corporate Bonds - A Sectoral Analysis
 Klaus-Michael Menz
Bergische Universität Wuppertal
Date Posted: October 07, 2011
Last Revised: December 31, 2012
Working Paper Series
17 downloads

Incl. Electronic Paper Market Declines: Is Banning Short Selling the Solution?
FRB of New York Staff Report No. 518
 Robert H. Battalio , Hamid Mehran and Paul H. Schultz
University of Notre Dame - Department of Finance , Federal Reserve Bank of New York and University of Notre Dame - Department of Finance
Date Posted: October 07, 2011
Last Revised: September 18, 2012
Working Paper Series
138 downloads

Incl. Electronic Paper Market-Based Structural Determinants of Australian CDS Spreads
 Andrew B. Ainsworth and Jiri Svec
University of Sydney - Finance Discipline and University of Sydney - Discipline of Finance
Date Posted: October 06, 2011
Working Paper Series
38 downloads

Incl. Electronic Paper Measuring Investor Sentiment in the Stock Market
 Francisca Beer and Mohamed Zouaoui
California State University, San Bernardino and University of Burgundy
Date Posted: October 06, 2011
Last Revised: October 09, 2011
Working Paper Series
229 downloads

Incl. Electronic Paper Optimal Trade Execution Under Price-Sensitive Risk Preferences
 Stefan Ankirchner and Thomas Kruse
University of Bonn and University of Bonn - Institute for Applied Mathematics
Date Posted: October 06, 2011
Working Paper Series
120 downloads

Incl. Electronic Paper Time-Varying Sharpe Ratios and Market Timing
 Yi Tang and Robert Whitelaw
Fordham University - School of Business and New York University
Date Posted: October 06, 2011
Working Paper Series
141 downloads

Incl. Electronic Paper A New Keynesian Model with Diverse Beliefs
 Mordecai Kurz
National Bureau of Economic Research (NBER)
Date Posted: October 05, 2011
Working Paper Series
60 downloads

Incl. Electronic Paper Does the Price Influence the Assessment of Fundamental Value? Experimental Evidence
 Sylvain Marsat and Benjamin Williams
affiliation not provided to SSRN and Université d'Auvergne - Clermont 1
Date Posted: October 05, 2011
Last Revised: March 06, 2012
Working Paper Series
48 downloads

Incl. Electronic Paper Long Horizons, High Risk-Aversion, and Endogenous Spreads
Boston U. School of Management Research Paper No. 2011-18
 Paolo Guasoni and Johannes Muhle-Karbe
Boston University - Department of Mathematics and Statistics and ETH Zürich
Date Posted: October 05, 2011
Last Revised: February 01, 2013
Working Paper Series
98 downloads

Semivariance Decomposition of Country-Level Returns
International Review of Economics & Finance, Vol. 20, No. 4, 2011
 Steven L. Beach
Radford University - Department of Accounting, Finance & Business Law
Date Posted: October 04, 2011
Accepted Paper Series

Incl. Electronic Paper Factors Affecting the Birth and Fund Flows of CTAS
Midwest Finance Association 2012 Annual Meetings Paper
 Viet Minh Do , Robert W. Faff , Paul Lajbcygier and Madhu Veeraraghavan
Monash University - Department of Accounting and Finance , University of Queensland , Monash University - Department of Accounting and Finance and Monash University – Department of Accounting and Finance and Corporate Finance Cluster
Date Posted: October 03, 2011
Working Paper Series
40 downloads

Incl. Electronic Paper Mutual Fund Herding in Taiwan
 Tony Chieh-tse Hou , Phillip J. McKnight and Charlie Weir
National Dong Hwa University , University of Wisconsin - Milwaukee and Robert Gordon University - Aberdeen Business School
Date Posted: October 03, 2011
Working Paper Series
18 downloads

Incl. Electronic Paper Pricing Stock Options with Stochastic Interest Rate
 Menachem (Meni) Abudy and Yehuda (Yud) Izhakian
Graduate School of Business Administration - Bar Ilan University and New York University (NYU) - Leonard N. Stern School of Business
Date Posted: October 03, 2011
Working Paper Series
344 downloads

Incl. Electronic Paper Shadow Probability Theory for Asset Pricing under Ambiguity
 Yehuda (Yud) Izhakian
New York University (NYU) - Leonard N. Stern School of Business
Date Posted: October 03, 2011
Last Revised: October 05, 2011
Working Paper Series
410 downloads

Incl. Electronic Paper The Behaviour of Small Cap vs. Large Cap Stocks in Recessions and Recoveries: Empirical Evidence for the United States and Canada
North American Journal of Economics and Finance, Vol. 21, pp. 332-346, 2010
 Lorne N. Switzer
Concordia University, Quebec - Department of Finance
Date Posted: October 03, 2011
Accepted Paper Series
363 downloads

Incl. Electronic Paper The Volume Profile of Call Options
 Dallas Brozik
Marshall University - Division of Finance & Economics
Date Posted: October 03, 2011
Working Paper Series
14 downloads

Incl. Electronic Paper Deep Value Investing and Unexplained Returns
Midwest Finance Association 2012 Annual Meetings Paper
 Jeffrey Oxman , Sunil Mohanty and Tobias Eric Carlisle
University of St. Thomas (Minnesota) - University of St. Thomas, Minneapolis , University of St. Thomas (Minnesota) - Opus College of Business and Eyquem Investment Management LLC
Date Posted: October 02, 2011
Last Revised: January 05, 2012
Working Paper Series
294 downloads

Incl. Electronic Paper Capital Gains Taxes and Expected Rates of Return
The Accounting Review, Forthcoming
 Stephanie A. Sikes and Robert E. Verrecchia
University of Pennsylvania - Accounting Department and University of Pennsylvania - Accounting Department
Date Posted: October 01, 2011
Last Revised: March 01, 2012
Accepted Paper Series
189 downloads

Incl. Electronic Paper Implied Returns and the Value Premium
Midwest Finance Association 2012 Annual Meetings Paper
 Joseph Goebel
Ball State University
Date Posted: October 01, 2011
Last Revised: February 16, 2012
Working Paper Series
31 downloads

Incl. Electronic Paper Is Momentum an Echo?
 Amit Goyal and Sunil Wahal
University of Lausanne and Arizona State University (ASU) - Finance Department
Date Posted: October 01, 2011
Last Revised: April 27, 2013
Working Paper Series
410 downloads

Incl. Electronic Paper Optimal Consumption and Portfolio Choice For Long-Horizon Investors with Nontradable Labor Income When Asset Returns are Predictable
 Hui-Ju Tsai and Yangru Wu
Washington College - Department of Business Management and Rutgers University, Newark - School of Business - Department of Finance & Economics
Date Posted: October 01, 2011
Last Revised: February 22, 2012
Working Paper Series
36 downloads

The Persistence of Long-Run Abnormal Stock Returns: Evidence from Stock Repurchases and Offerings
 Fangjian Fu , Sheng Huang and Hu Lin
Singapore Management University - School of Business , Singapore Management University and Peking University
Date Posted: September 30, 2011
Last Revised: May 01, 2013
Working Paper Series

Incl. Electronic Paper Foreign Exchange Market Structure, Players and Evolution
Norges Bank Working Paper No. 2011/10
 Michael R. King , Carol L. Osler and Dagfinn Rime
University of Western Ontario - Richard Ivey School of Business , Brandeis University - International Business School and Central Bank of Norway
Date Posted: September 30, 2011
Working Paper Series
316 downloads

Incl. Electronic Paper Valuation of Liabilities in Hybrid Pension Plans
Midwest Finance Association 2012 Annual Meetings Paper
 Dirk Broeders , An Chen and David R. Rijsbergen
De Nederlandsche Bank , University of Ulm - Department of Mathematics and Economics and De Nederlandsche Bank
Date Posted: September 30, 2011
Working Paper Series
47 downloads

Incl. Fee Electronic Paper The Delegated Lucas Tree
CEPR Discussion Paper No. DP8578
 Ron Kaniel and Peter Kondor
University of Rochester - Simon Graduate School of Business and Central European University (CEU)
Date Posted: September 29, 2011
Working Paper Series
5 downloads

East India Bonds, 1718-1763: Early Exotic Derivatives and London Market Efficiency
European Review of Economic History, Vol. 11, No. 3, pp. 367-394, 2007
 Pilar Nogues-Marco and Camila Vam Malle
Universidad Carlos III de Madrid and OECD
Date Posted: September 29, 2011
Accepted Paper Series

Incl. Electronic Paper How Risky are Structured Exposures Compared to Corporate Bonds? Evidence from Bond and ABS Returns
STRUCTURED CREDIT PRODUCTS: PRICING, RATING, RISK MANAGEMENT AND BASEL II., W. Perraudin, ed., Risk Books, 2004
 William Robert Maurice Perraudin and Astrid Van Landschoot
Risk Control Limited and European Commission - Chief Economist Team (DG Competition)
Date Posted: September 29, 2011
Last Revised: November 17, 2011
Accepted Paper Series
45 downloads


 

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