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SSRN eLibrary Statistics:

Papers & Authors:
Abstracts: 566,481
Full Text Papers: 468,584
Authors: 262,643
Papers Received in
  Last 12 months:
63,649

Paper Downloads:
To date: 78,762,566
Last 12 months: 9,714,180
Last 30 days: 785,471

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  Resolved
  References:
263,937
Total References: 9,064,481
Papers with Cites: 243,212
Total Citation
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6,006,875
Papers with
  Resolved
  Footnotes:
93,431
Total Footnotes: 9,185,839


SSRN eLibrary Search Results
JEL Code: C5
1,387,865 Total downloads
Showing Papers 2,851 - 2,900 of 6,961
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Incl. Electronic Paper A Quantitative Approach to Tactical Asset Allocation
The Journal of Wealth Management, Spring 2007
Mebane T. Faber
Cambria Investment Management
Date Posted: February 11, 2007
Last Revised: March 03, 2014
Accepted Paper Series
132433 downloads

Incl. Electronic Paper Relative Strength Strategies for Investing
Mebane T. Faber
Cambria Investment Management
Date Posted: April 06, 2010
Last Revised: April 20, 2010
Working Paper Series
36445 downloads

Incl. Electronic Paper A Generalized Earnings Model of Stock Valuation
Andrew Ang and Jun Liu
Columbia Business School - Finance and Economics and University of California, San Diego (UCSD) - Rady School of Management
Date Posted: July 18, 1998
Working Paper Series
8796 downloads

Incl. Electronic Paper Forecasting Volatility
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Date Posted: July 13, 1999
Working Paper Series
8691 downloads

Incl. Electronic Paper The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies
ISMA Finance Discussion Paper No. 2002-08
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Date Posted: August 05, 2002
Working Paper Series
7469 downloads

Incl. Electronic Paper The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications
Sauder School of Business Working Paper
Kin Lo and Thomas Z. Lys
University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management
Date Posted: March 16, 2000
Working Paper Series
7296 downloads

Incl. Electronic Paper An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities
2014 Charles H. Dow Award Winner
Charles V. Bilello and Michael A. Gayed
Pension Partners, LLC and Pension Partners, LLC
Date Posted: March 31, 2014
Working Paper Series
6327 downloads

Incl. Electronic Paper The Exchange of Flow Toxicity
The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
David Easley , Marcos Lopez de Prado and Maureen O'Hara
Cornell University - Department of Economics , Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: January 27, 2011
Last Revised: February 27, 2012
Accepted Paper Series
6292 downloads

Incl. Electronic Paper Volatility, Correlation and Tails for Systemic Risk Measurement
Christian T. Brownlees and Robert F. Engle
Universitat Pompeu Fabra and New York University - Leonard N. Stern School of Business - Department of Economics
Date Posted: May 18, 2010
Last Revised: November 15, 2013
Working Paper Series
6128 downloads

Incl. Electronic Paper A Stochastic Model for Order Book Dynamics
Rama Cont , Sasha Stoikov and Rishi Talreja
Imperial College London , Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Date Posted: September 26, 2008
Last Revised: August 31, 2009
Working Paper Series
5543 downloads

Incl. Electronic Paper High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds
Purnendu Nath
London Business School
Date Posted: July 19, 2004
Working Paper Series
5012 downloads

Incl. Electronic Paper Valuing Customers
Journal of Marketing Research, pp. 7-18, February 2004, HBS Marketing Research Paper No. 03-08
Sunil Gupta , Donald R. Lehmann and Jennifer Ames Stuart
Harvard Business School , Columbia Business School - Marketing and Novartis International
Date Posted: November 13, 2003
Last Revised: July 27, 2011
Accepted Paper Series
3896 downloads

Incl. Electronic Paper Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Monica Billio , Andrew W. Lo , Mila Getmansky Sherman and Loriana Pelizzon
Ca Foscari University of Venice - Department of Economics , Massachusetts Institute of Technology (MIT) - Sloan School of Management , University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Ca Foscari University of Venice - Department of Economics
Date Posted: November 23, 2011
Last Revised: April 25, 2012
Working Paper Series
3727 downloads

Incl. Electronic Paper Financial Econometrics
International Library of Financial Econometrics, Forthcoming
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: June 14, 2007
Accepted Paper Series
3697 downloads

Incl. Electronic Paper Variance Risk Premia
AFA 2005 Philadelphia Meetings
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences
Date Posted: August 17, 2004
Last Revised: October 25, 2007
Working Paper Series
3638 downloads

Incl. Electronic Paper PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital

Peter D. Easton
University of Notre Dame - Department of Accountancy
Date Posted: September 09, 2003
Working Paper Series
3440 downloads

Incl. Electronic Paper Evaluating Credit Risk Models
FRBSF Working Paper No. 99-06
Jose A. Lopez and Marc R. Saidenberg
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Date Posted: July 27, 1999
Working Paper Series
3423 downloads

Incl. Electronic Paper Forecasting Financial Market Volatility: A Review
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Date Posted: June 15, 2001
Working Paper Series
3346 downloads

Incl. Electronic Paper Forecasting Volatility in Financial Markets: A Review (revised edition)
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Date Posted: December 04, 2002
Working Paper Series
3311 downloads

Incl. Electronic Paper Effects of Brand Preference, Product Attributes, and Marketing Mix Variables in Technology Product Markets
Marketing Science, Forthcoming
S. Sriram , Pradeep K. Chintagunta and Ramya Neelamegham
The Stephen M. Ross School of Business at the University of Michigan , University of Chicago and Amrita Vishwa Vidyapeetham University - Amrita School of Business
Date Posted: November 04, 2005
Accepted Paper Series
3238 downloads

Incl. Electronic Paper An Econometric Analysis of Emission Trading Allowances
Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Luca Taschini and Marc S. Paolella
London School of Economics - Grantham Research Institute and University of Zurich
Date Posted: November 26, 2006
Last Revised: December 21, 2009
Accepted Paper Series
3083 downloads

Incl. Electronic Paper Analysis of Mortgage Backed Securities: Before and after the Credit Crisis
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Harvey J. Stein , Alexander L. Belikoff , Kirill Levin and Xusheng Tian
Bloomberg L.P. , Google Inc. , Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Date Posted: January 07, 2007
Last Revised: March 16, 2011
Accepted Paper Series
2931 downloads

Incl. Electronic Paper A Novel Simple but Empirically Consistent Model for Stock Price and Option Pricing
Huadong (Henry) Pang
J.P. Morgan Chase & Co., Quantitative Research
Date Posted: April 10, 2009
Last Revised: July 15, 2009
Working Paper Series
2902 downloads

Incl. Electronic Paper Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index
An-Sing Chen , Hazem Daouk and Mark T. Leung
National Chung Cheng University - Department of Finance , Cornell University - School of Applied Economics and Management and University of Texas at San Antonio - Department of Management Science and Statistics
Date Posted: August 13, 2001
Working Paper Series
2883 downloads

Incl. Electronic Paper A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, Swedish Institute for Financial Research Conference on The Economics of the Private Equity Market
Joost Driessen , Tse-Chun Lin and Ludovic Phalippou
Tilburg University - Department of Finance , University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
Date Posted: February 27, 2007
Last Revised: April 02, 2011
Accepted Paper Series
2879 downloads

Incl. Electronic Paper CAPM Over the Long-Run: 1926-2001
AFA 2004 San Diego Meetings
Andrew Ang and Joseph Chen
Columbia Business School - Finance and Economics and University of California, Davis - Graduate School of Management
Date Posted: November 23, 2003
Working Paper Series
2840 downloads

Incl. Electronic Paper FX Market Behavior and Valuation
Harvey J. Stein
Bloomberg L.P.
Date Posted: January 12, 2007
Working Paper Series
2765 downloads

Incl. Electronic Paper Crises and Hedge Fund Risk
UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08
Monica Billio , Mila Getmansky Sherman and Loriana Pelizzon
Ca Foscari University of Venice - Department of Economics , University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Ca Foscari University of Venice - Department of Economics
Date Posted: May 20, 2008
Last Revised: April 25, 2012
Working Paper Series
2715 downloads

Incl. Electronic Paper Conditional Value-at-Risk: Aspects of Modeling and Estimation
MIT Dept. of Economics Working Paper No. 01-19
Victor Chernozhukov and Len Umantsev
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Date Posted: June 07, 2001
Working Paper Series
2699 downloads

Incl. Electronic Paper Generalized Vanna-Volga Method and its Applications
Yuriy Shkolnikov
Optimal Selection Ltd.
Date Posted: July 30, 2008
Last Revised: July 13, 2009
Working Paper Series
2644 downloads

Incl. Electronic Paper A Survey of Systemic Risk Analytics
U.S. Department of Treasury, Office of Financial Research No. 0001
Dimitrios Bisias , Mark D. Flood , Andrew W. Lo and Stavros Valavanis
Massachusetts Institute of Technology (MIT) , Office of Financial Research , Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT)
Date Posted: January 11, 2012
Last Revised: September 20, 2014
Working Paper Series
2636 downloads

Incl. Electronic Paper A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
Brown Univ. Economics Working Paper No. 01-04
Peter Reinhard Hansen and Asger Lunde
European University Institute - Economics Department (ECO) and University of Aarhus - School of Economics and Management
Date Posted: April 13, 2001
Working Paper Series
2619 downloads

Incl. Electronic Paper The Price Impact of Order Book Events
Cont, Rama, Arseniy Kukanov, and Sasha Stoikov. "The Price Impact of Order Book Events." Journal of Financial Econometrics (2013).
Rama Cont , Arseniy Kukanov and Sasha Stoikov
Imperial College London , Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and Cornell Financial Engineering Manhattan
Date Posted: November 28, 2010
Last Revised: July 03, 2013
Accepted Paper Series
2615 downloads

Incl. Electronic Paper Easy Volatility Investing
Tony Cooper
Double-Digit Numerics
Date Posted: April 23, 2013
Working Paper Series
2535 downloads

Incl. Electronic Paper The Investment Opportunity Set and its Proxy Variables
Tim Adam and Vidhan K. Goyal
Humboldt University and Hong Kong University of Science & Technology - Department of Finance
Date Posted: January 23, 2002
Last Revised: September 28, 2008
Working Paper Series
2514 downloads

Incl. Electronic Paper Expected Stock Returns and Variance Risk Premia
AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Tim Bollerslev , George Tauchen and Hao Zhou
Duke University - Finance , Duke University - Economics Group and PBC School of Finance, Tsinghua University
Date Posted: September 21, 2006
Last Revised: December 14, 2008
Working Paper Series
2512 downloads

Incl. Electronic Paper Credit Risk Evaluation: Modeling - Analysis - Management
Center for Risk & Evaluation, 2002-2003
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Date Posted: June 14, 2005
Accepted Paper Series
2480 downloads

Incl. Electronic Paper Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Michael McAleer , Juan-Angel Jiménez-Martin and Teodosio Perez Amaral
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute , Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Date Posted: April 30, 2009
Last Revised: January 27, 2010
Working Paper Series
2462 downloads

Incl. Electronic Paper An Improved Moving Average Technical Trading Rule
Quantf Research Working Paper Series No. WP01/2014
Fotis Papailias and Dimitrios D. Thomakos
quantf research and University of Peloponnese - School of Management and Economics
Date Posted: September 13, 2011
Last Revised: June 02, 2014
Working Paper Series
2448 downloads

Incl. Electronic Paper Exposed to the J-Curve: Understanding and Managing Private Equity Fund Investments (Discussion and Bibliography)
Uli Grabenwarter and Tom Weidig
European Investment Fund and QuantExperts
Date Posted: January 13, 2005
Working Paper Series
2369 downloads

Incl. Electronic Paper Principal Component Analysis of Volatility Smiles and Skews
EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Carol Alexander
University of Sussex - School of Business, Management and Economics
Date Posted: December 08, 2000
Working Paper Series
2367 downloads

Incl. Electronic Paper Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
Liuren Wu and Peter Carr
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences
Date Posted: June 24, 2005
Working Paper Series
2366 downloads

Incl. Electronic Paper A New Framework for Analyzing Volatility Risk and Premium Across Option Strikes and Expiries
Peter Carr and Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: November 03, 2010
Last Revised: July 04, 2013
Working Paper Series
2360 downloads

Incl. Electronic Paper Testing, Comparing, and Combining Value-at-Risk Measures
Peter Christoffersen , Jinyong Hahn and Atsushi Inoue
University of Toronto - Rotman School of Management , University of California, Los Angeles and Southern Methodist University
Date Posted: November 16, 1999
Working Paper Series
2335 downloads

Incl. Electronic Paper Market Timing & Trading Strategies Using Asset Rotation
Panagiotis Schizas and Dimitrios D. Thomakos
University of Peloponnese and University of Peloponnese - School of Management and Economics
Date Posted: January 18, 2010
Last Revised: February 19, 2010
Working Paper Series
2329 downloads

Incl. Electronic Paper Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market
QUT School of Economics and Finance Discussion Paper No. 01-01
John Anderson
Queensland University of Technology - School of Economics and Finance
Date Posted: May 08, 2001
Working Paper Series
2302 downloads

Incl. Electronic Paper Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
Journal of Financial Economics, Vol. 91, pp. 24-37, January 2009
Fangjian Fu
Singapore Management University - Lee Kong Chian School of Business
Date Posted: July 08, 2005
Last Revised: November 13, 2013
Accepted Paper Series
2285 downloads

Incl. Electronic Paper An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation
2014 Wagner Award, 3rd Place
Michael A. Gayed and Charles V. Bilello
Pension Partners, LLC and Pension Partners, LLC
Date Posted: May 01, 2014
Working Paper Series
2274 downloads

Incl. Electronic Paper Arbitrage-Free Construction of the Swaption Cube
Simon Johnson and Bereshad Nonas
Commerzbank Corporates & Markets and Commerzbank Corporates & Markets
Date Posted: January 22, 2009
Working Paper Series
2245 downloads

Incl. Electronic Paper Relative Strength and Portfolio Management
Dorsey Wright Money Management, January 2012
John Lewis
Dorsey Wright Money Management
Date Posted: February 04, 2012
Accepted Paper Series
2210 downloads


 

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