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SSRN eLibrary Statistics:

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Abstracts: 484,422
Full Text Papers: 393,787
Authors: 226,737
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  Last 12 months: 		68,988

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Last 12 months: 11,186,475
Last 30 days: 1,057,634

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SSRN eLibrary Search Results
JEL Code: G12
5,805,137 Total downloads
Showing Papers 2,381 - 2,430 of 13,817
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Incl. Electronic Paper Bayesian Estimation of a Dynamic Asset Pricing Model with Long-Run Risk
Debasis Rooj
Northern Illinois University - Department of Economics
Date Posted: September 12, 2011
Last Revised: September 27, 2011
Working Paper Series
33 downloads

Incl. Electronic Paper Index Price Discovery in the Cash Market
Midwest Finance Association 2012 Annual Meetings Paper
 Yanhao Fang and Gary C. Sanger
Louisiana State University, Baton Rouge - Department of Finance and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Date Posted: September 12, 2011
Last Revised: February 29, 2012
Working Paper Series
63 downloads

Incl. Electronic Paper Momentum Trading and Limits to Arbitrage
Date Posted: September 12, 2011
Last Revised: February 13, 2013
Working Paper Series
115 downloads

Incl. Electronic Paper Systematic and Liquidity Risk in Subprime-Mortgage Backed Securities
 Mardi H. Dungey , Gerald P. Dwyer and Thomas Flavin
University of Tasmania , University of Carlos III and National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics
Date Posted: September 12, 2011
Working Paper Series
63 downloads

Incl. Electronic Paper The Predictability Implied by Consumption-Based Asset Pricing Models: A Review of the Theory and Empirical Evidence
Midwest Finance Association 2012 Annual Meetings Paper
 Hyoseok Hwang
Louisiana State University
Date Posted: September 12, 2011
Last Revised: June 12, 2012
Working Paper Series
46 downloads

The Quanto Adjustment and the Smile
Journal of Futures Markets, Vol. 32, No. 9, pp. 877–908, 2012 ,
Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Date Posted: September 12, 2011
Last Revised: February 28, 2013
Accepted Paper Series

Incl. Electronic Paper Volatility Regimes for the VIX Index
Revista de Economía Aplicada, XX, (2012) 114-134,
 Jacinto Marabel Romo
Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Date Posted: September 12, 2011
Last Revised: October 08, 2012
Accepted Paper Series
248 downloads

Incl. Electronic Paper The Joint Dynamics of Equity Market Factors
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
 Peter Christoffersen and Hugues Langlois
University of Toronto - Rotman School of Management and McGill University - Desautels Faculty of Management
Date Posted: September 10, 2011
Last Revised: July 11, 2012
Accepted Paper Series
397 downloads

Incl. Electronic Paper Towards an Understanding Approach of the Insurance Linked Securities Market
 Mathieu Gatumel and Dominique Guegan
French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG) and Universite Paris 1 Pantheon-Sorbonne
Date Posted: September 10, 2011
Working Paper Series
47 downloads

Incl. Electronic Paper Rationalizing the Value Premium Under Economic Fundamentals in an Emerging Market
 Muhammed Shahid Ebrahim , Sourafel Girma and M. Eskandar Shah
Bangor University - University of Wales System , Nottingham University Business School and affiliation not provided to SSRN
Date Posted: September 09, 2011
Last Revised: October 28, 2012
Working Paper Series
11 downloads

Incl. Electronic Paper High Short Interest Effect and Aggregate Volatility Risk
 Alexander Barinov and Juan (Julie) Wu
University of Georgia - Terry College of Business and University of Georgia
Date Posted: September 08, 2011
Last Revised: February 26, 2013
Working Paper Series
54 downloads

Incl. Electronic Paper Mood and Precious Metal Prices
 Brian M. Lucey and Michael M. Dowling
Trinity College, Dublin - School of Business and Dublin City University Business School
Date Posted: September 08, 2011
Last Revised: September 09, 2011
Working Paper Series
66 downloads

Incl. Electronic Paper Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them?
 Shawkat M. Hammoudeh , Ramaprasad Bhar and Tengdong Liu
Drexel University - Lebow College of Business , University of New South Wales (UNSW) - School of Banking and Finance and Drexel University - Bennett S. LeBow College of Business
Date Posted: September 08, 2011
Working Paper Series
32 downloads

Incl. Electronic Paper The Term Structure of Interbank Risk
Swiss Finance Institute Research Paper No. 11-34
 Damir Filipovic and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: September 08, 2011
Last Revised: May 15, 2013
Working Paper Series
798 downloads

Incl. Electronic Paper Resilient Price Impact of Trading and the Cost of Illiquidity
 Alexandre F. Roch and Halil Mete Soner
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and ETH Zürich
Date Posted: September 07, 2011
Last Revised: February 24, 2013
Working Paper Series
142 downloads

Can Facebook Predict Stock Market Activity?
 Yigitcan Karabulut
Goethe University Frankfurt
Date Posted: September 07, 2011
Last Revised: December 04, 2012
Working Paper Series

Incl. Electronic Paper The Pre-FOMC Announcement Drift
FRB of New York Staff Report No. 512
 David O. Lucca and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: September 07, 2011
Last Revised: May 07, 2013
Working Paper Series
1461 downloads

Incl. Electronic Paper Co-Movements of International Term Structure Slopes and Affine Term Structure Models
Seoul Journal of Economics, Vol. 24, No. 3, pp. 389-426, 2011
 Won Tark Doh and In Seok Baek
Samsung Asset Management and Samsung Asset Management
Date Posted: September 06, 2011
Accepted Paper Series
24 downloads

Incl. Electronic Paper Accounting for Risk Aversion in Derivatives Purchase Timing
Mathematics & Financial Economics, 2012
 Tim Leung and Mike Ludkovski
Columbia University and University of California, Santa Barbara
Date Posted: September 05, 2011
Last Revised: March 05, 2012
Accepted Paper Series
141 downloads

Incl. Electronic Paper Are Short Sellers Positive Feedback Traders? Evidence from the Global Financial Crisis
Journal of Financial Stability, Forthcoming
 Martin T. Bohl , Arne Christian Klein and Pierre L. Siklos
University of Muenster , University of Muenster and Wilfrid Laurier University - School of Business & Economics
Date Posted: September 05, 2011
Last Revised: December 01, 2012
Accepted Paper Series
155 downloads

Incl. Electronic Paper Theoretical Role of the Most Recent Prior Period’s Equity Price in Value Relevance Studies
 Samithamby Senthilnathan
Eastern University, Sri Lanka
Date Posted: September 04, 2011
Working Paper Series
34 downloads

Incl. Electronic Paper A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models
 Leo Krippner
Reserve Bank of New Zealand
Date Posted: September 03, 2011
Working Paper Series
47 downloads

Incl. Electronic Paper Generic Computing Alternatives for Better Greeks
 Cristian Homescu
affiliation not provided to SSRN
Date Posted: September 03, 2011
Last Revised: September 12, 2011
Working Paper Series
545 downloads

Incl. Electronic Paper Extreme Correlation of Stock and Bond Futures Markets: International Evidence
Working paper, July 2011
 Chin Man Chui and Jian Yang
Xiamen University - Institute for Financial and Accounting Studies and University of Colorado Denver - The Business School
Date Posted: September 02, 2011
Last Revised: September 26, 2011
Working Paper Series
142 downloads

Incl. Electronic Paper The Price of Liquidity: The Effects of Market Conditions and Bank Characteristics
ECB Working Paper No. 1376
 Falko Fecht , Kjell G. Nyborg and Jörg Rocholl
Frankfurt School of Finance & Management , University of Zurich - Department of Banking and Finance and ESMT European School of Management and Technology
Date Posted: September 02, 2011
Working Paper Series
52 downloads

Incl. Electronic Paper Alpha Representation for Active Portfolio Management and High Frequency Trading in Seemingly Efficient Markets
JSM Proceedings, Business and Economic Statistics Section, pp. 673-687, American Statistical Association, Alexandria, VA, 2011
Date Posted: September 01, 2011
Last Revised: March 29, 2012
Accepted Paper Series
396 downloads

Incl. Electronic Paper Assessing the Emerging Caveats of the New Market Risk Metrics
 Péter Dobránszky
BNP Paribas, Risk - Investment & Markets
Date Posted: September 01, 2011
Last Revised: October 30, 2011
Working Paper Series
132 downloads

Incl. Electronic Paper Asset Pricing Anomalies and Macroeconomic Risk
24th Australasian Finance and Banking Conference 2011 Paper
 Paul Docherty , H. Chan and Stephen Andrew Easton
University of Newcastle (Australia) , University of Melbourne - Department of Finance and University of Newcastle
Date Posted: September 01, 2011
Working Paper Series
139 downloads

Incl. Electronic Paper On Incentives to Stand Out in the Family: Deviation from a Family Portfolio and Mutual Fund Performance
 Mikhail Simutin
University of Toronto - Rotman School of Management
Date Posted: September 01, 2011
Last Revised: March 17, 2012
Working Paper Series
164 downloads

Incl. Electronic Paper Understanding the Effect of Advertising on Stock Returns and Firm Value: Theory and Evidence from a Structural Model
 Maria Ana Vitorino
University of Minnesota - Carlson School of Management
Date Posted: August 31, 2011
Last Revised: January 14, 2013
Working Paper Series
406 downloads

Incl. Electronic Paper Gravity and Culture in Foreign Portfolio Investment
 Raj Aggarwal , Colm Kearney and Brian M. Lucey
University of Akron - Department of Finance , Monash University - Faculty of Business and Economics and Trinity College, Dublin - School of Business
Date Posted: August 31, 2011
Working Paper Series
98 downloads

Incl. Electronic Paper Signaling or Wealth Transfer: Evidence from the Response of Corporate Bonds to Payout Changes
 Lucy Zhao
University of Technology, Sydney (UTS)
Date Posted: August 31, 2011
Working Paper Series
35 downloads

Incl. Electronic Paper Target-Date Fund Use in 401(k) Plans and the Persistence of Their Use, 2007-2009
EBRI Issue Brief, No. 361, August 2011
 Craig Copeland
Employee Benefit Research Institute (EBRI)
Date Posted: August 31, 2011
Accepted Paper Series
23 downloads

Incl. Electronic Paper Value of Debt Tax Shields in Colombia: An Empirical Study
 Rafael Salas Pérez , Juan Gutiérrez Ruiz and Ignacio Velez-Pareja
Universidad Tecnologica de Bolivar , Universidad Tecnológica de Bolívar and Master Consultores
Date Posted: August 31, 2011
Last Revised: November 09, 2011
Working Paper Series
85 downloads

Incl. Electronic Paper Airline Hedging Using Derivatives
ICFAI Journal of Derivatives Markets, Vol. 1, No. 2, April 2009
 Tumellano Sebehela and Kagiso Madimabe
Sebehela Inc and Bojanala Platinum District Municipality
Date Posted: August 30, 2011
Last Revised: May 14, 2013
Working Paper Series
122 downloads

Incl. Electronic Paper Derivatives Hedging: SASOL (Pty) Ltd. as an Example
ICFAI Journal of Derivatives Markets, Vol. 6, No. 1, January 2009
 Tumellano Sebehela
Sebehela Inc
Date Posted: August 30, 2011
Last Revised: May 14, 2013
Working Paper Series
41 downloads

Incl. Electronic Paper Liquidity Measures, Liquidity Drivers and Expected Returns on an Early Call Auction Market
MPI Collective Goods Preprint, No. 2011/19
 Carsten Burhop and Sergey Gelman
Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Research on Collective Goods and National Research University Higher School of Economics
Date Posted: August 30, 2011
Working Paper Series
36 downloads

Incl. Electronic Paper Momentum
 Narasimhan Jegadeesh and Sheridan Titman
Emory University - Department of Finance and University of Texas at Austin - Department of Finance
Date Posted: August 30, 2011
Working Paper Series
1435 downloads

Incl. Electronic Paper Regime Changes and Financial Markets
Netspar Discussion Paper No. 06/2011-068
 Andrew Ang and Allan G. Timmermann
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Department of Economics
Date Posted: August 30, 2011
Working Paper Series
306 downloads

Incl. Electronic Paper The Damped Fluctuations as a Base of Market Quotations
Economics and Management, No. 16, p. 1108, 2011
 Magomet Yandiev
Moscow State University - Economic Department
Date Posted: August 30, 2011
Accepted Paper Series
19 downloads

Google Search Volume and its Influence on Liquidity and Returns of German Stocks
Financial Markets and Portfolio Management, Vol. 25, No. 3, pp. 239-264, 2011
 Matthias Bank , Martin Larch and Georg Peter
University of Innsbruck , University of Innsbruck and University of Innsbruck
Date Posted: August 29, 2011
Accepted Paper Series

Do Option Open-Interest Changes Foreshadow Future Equity Returns?
Financial Markets and Portfolio Management, Vol. 25, No. 3, pp. 265-280, 2011
 Andy Fodor and James S. Doran
Ohio University and Florida State University - Department of Finance
Date Posted: August 29, 2011
Accepted Paper Series

Incl. Electronic Paper New Methodologies in the Valuation of Interest Rate Options
The International Journal of Finance, Vol. 23, No 1, 2011
 Ako Doffou
The Institute of International Studies
Date Posted: August 29, 2011
Accepted Paper Series
72 downloads

Incl. Electronic Paper Rules and Regression Discontinuities in Asset Markets
 Yen-Cheng Chang and Harrison G. Hong
Shanghai Advanced Institute of Finance and Princeton University - Department of Economics
Date Posted: August 29, 2011
Last Revised: August 29, 2012
Working Paper Series
445 downloads

Incl. Electronic Paper Board Structure and Market Decline Liquidity Risk
24th Australasian Finance and Banking Conference 2011 Paper
 Te-Feng Chen , Huimin Chung and Ming-Ying Lin
New York University (NYU) , National Chiao-Tung University - Graduate Institute of Finance and National Chiao Tung University
Date Posted: August 28, 2011
Last Revised: November 23, 2011
Working Paper Series
103 downloads

Dividend Policy, Signaling, and Discounts on Closed-End Funds
Journal of Financial Economics (JFE), Vol. 81, No. 3, 2006
 Shane A. Johnson , Ji-Chai Lin and Kyojik Song
Texas A&M University - Department of Finance , Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Sungkyunkwan University
Date Posted: August 28, 2011
Last Revised: October 18, 2011
Accepted Paper Series

Incl. Electronic Paper Do Local Individual Investors Learn from Foreign Fund Flows?
24th Australasian Finance and Banking Conference 2011 Paper
 Sith Chaisurote and Charles Gaa
University of Oregon and University of Oregon - Lundquist College of Business
Date Posted: August 28, 2011
Last Revised: February 17, 2012
Working Paper Series
63 downloads

Incl. Electronic Paper Liquidity Comovement in the Foreign Exchange Market
 Aditya Kaul and Carmen Stefanescu
University of Alberta - Department of Finance and Statistical Analysis and ESSEC Business School
Date Posted: August 27, 2011
Working Paper Series
55 downloads

Incl. Electronic Paper Are Co-Skewness and Co-Kurtosis Factors Priced?
24th Australasian Finance and Banking Conference 2011 Paper
 Richard A. Heaney , Yihui Lan and Sirimon Treepongkaruna
University of Western Australia , University of Western Australia - UWA Business School and University of Western Australia
Date Posted: August 27, 2011
Working Paper Series
181 downloads

Incl. Electronic Paper Black Scholes Pricing and Dynamic Hedging I
 Ilya I. Gikhman
Independent
Date Posted: August 27, 2011
Last Revised: October 10, 2011
Working Paper Series
151 downloads


 

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