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JEL Code: G13
1,853,310 Total downloads
Showing Papers 3,501 - 3,550 of 4,934
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Does Using Time-Varying Target Leverage Ratios in Structural Credit Risk Models Improve Their Accuracy? Journal of Risk Model Validation, Volume 6/Number 3, page 27-49, 2012
C. H. Hui ,
T. C. Wong ,
C.F. Lo and
M. X. Huang
Date Posted: March 07, 2008Last Revised: October 05, 2012177 downloads
Does the Information Content of Option Prices Add Value for Asset Allocation? ICMA Centre Discussion Paper No. DP2011-03
Vladimir V. Zdorovenin
and
Jacques Pezier
Date Posted: July 09, 2011Last Revised: December 17, 201278 downloads
Does the Implied Volatility Flatten Out? Testing with Jensen's Inequality
Kerstin Birnthaler
and
Sebastien Galy
Date Posted: January 28, 2004168 downloads
Does the Early Exercise Premium Contain Information About Future Underlying Returns? AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Rossen I. Valkanov ,
Yuzhao Zhang
and
Pradeep K. Yadav
Date Posted: August 05, 2005Last Revised: October 18, 2011256 downloads
Does Surplus Sharing Increase Risk-Taking in a Corporate Defined Benefit Pension Plan?
Katarzyna Romaniuk
Date Posted: October 09, 201213 downloads
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Turan G. Bali and
Scott Murray
Date Posted: January 30, 2012Last Revised: April 25, 2012159 downloads
Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?
Turan G. Bali and
Scott Murray
Date Posted: March 22, 2010Last Revised: May 05, 2012439 downloads
Does Option Trading Convey Stock Price Information?
Jianfeng Hu
Date Posted: December 11, 2011157 downloads
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? AFA 2003 Washington, DC Meetings
Nicolas P. B. Bollen and
Robert E. Whaley
Date Posted: August 08, 2002884 downloads
Does Mortgage Hedging Amplify Movements in Long-term Interest Rates? FEDS Working Paper No. 2003-49
Brian P. Sack and
Roberto Perli
Date Posted: November 30, 2003346 downloads
Does Modeling Framework Matter? A Comparative Study of Structural and Reduced-Form Models
Yalin Gunduz
and
Marliese Uhrig-Homburg
Date Posted: February 19, 2009Last Revised: January 23, 2011101 downloads
Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options Henley University ICMA Centre Discussion Paper in Finance No. DP2010-05
Carol Alexander and
Andreas Kaeck
Date Posted: June 04, 2010149 downloads
Does it Matter Who Trades Energy Derivatives? Review of Environment, Energy and Economics, March 2012
Bahattin Buyuksahin
and
Michel A. Robe
Date Posted: March 28, 2012Last Revised: May 01, 201253 downloads
Does it Matter Who Trades Energy Derivatives? FEEM (Fondazione Eni Enrico Mattei), Review of Environment, Energy and Economics (Re3), March 2012
Bahattin Buyuksahin
and
Michel A. Robe
Date Posted: March 28, 201269 downloads
Does Informed Trading Occur in the Options Market? Some Revealing Clues
Natividad Blasco
,
Pilar Corredor
and
Rafael Santamaria
Date Posted: May 31, 2006Last Revised: November 21, 2008256 downloads
Does Futures Exhibit Maturity Effect? New Evidence from an Extensive Set of Us and Foreign Futures Contracts Review of Financial Economics, Vol. 15, No. 2, 2006
Elton Daal
,
Joseph Farhat
and
Peihwang Wei
Date Posted: May 16, 2009
Does Frequent Trading Always Improve Liquidity? EFMA 2002 London Meetings
Philip Y. K. Cheng
,
Saji Gopinath and
Chandrasekhar Krishnamurti
Date Posted: June 19, 2002304 downloads
Does Expected Supply Affect the Price of Emission Permits? Evidence from Phase I in the European System IEFE Working Paper No. 23
Andrea Beltratti ,
Paolo Colla
and
Anna Creti
Date Posted: October 14, 200930 downloads
Does Executive Portfolio Structure Affect Risk Management? CEO Risk-taking Incentives and Corporate Derivatives Usage Journal of Banking and Finance, Forthcoming
Daniel A. Rogers
Date Posted: September 12, 2001
Does Executive Portfolio Structure Affect Risk Management? CEO Risk-taking Incentives and Corporate Derivatives Usage
Daniel A. Rogers
Date Posted: September 07, 2001955 downloads
Does Correlation Matter in Pricing Caps and Swaptions?
A. R. Radhakrishnan
Date Posted: September 21, 19981137 downloads
Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusions? Journal of Financial and Quantitative Analysis, Cass Business School Research Paper
Abhay Abhyankar and
Devraj Basu
Date Posted: February 11, 2001
Does Co-Movement of Conditional Volatility Matter in Asset Pricing? Further Evidence in the Downside and Conventional Pricing Frameworks Icfai Journal of Applied Finance, Forthcoming, 20th Australasian Finance & Banking Conference 2007 Paper
Song Li
and
Don (Tissa) U. A. Galagedera
Date Posted: September 25, 2007Last Revised: September 07, 200854 downloads
Does Adverse Selection Affect Bid-Ask Spreads for Options‘ Journal of Futures Markets, Vol. 28, No. 5, pp. 417-437, May 2008
Söhnke M. Bartram ,
Frank Fehle and
David G. Shrider
Date Posted: February 04, 2008Last Revised: August 21, 2010179 downloads
Do Variance Risk Premia Predict Commodity Futures Returns? Evidence from the Crude Oil Market
Xuhui (Nick) Pan
and
Sang Baum Kang
Date Posted: May 18, 2011Last Revised: September 22, 2011165 downloads
Do Transaction Costs Affect the Optimal Exercise Strategy for American Put Options?
Norman Seeger
Date Posted: February 17, 2009Last Revised: May 28, 200939 downloads
Do Transaction Costs Affect the Optimal Exercise Strategy for American Put Options?
Norman Seeger
Date Posted: March 19, 2009Last Revised: March 26, 201264 downloads
Do the Recovery Rate and the Accounting Regime Matter for Pricing Corporate Bonds and Loans? Evidence from Models with Incomplete Accounting
Information
Dirk Herkommer
Date Posted: February 03, 2006120 downloads
Do Sovereign Credit Default Swaps Represent a Clean Measure of Sovereign Default Risk? A Factor Model Approach
Saad Badaoui
,
Lara Cathcart
and
Lina El-Jahel
Date Posted: March 15, 2012Last Revised: January 29, 201385 downloads
Do Price Limits Limit Price Discovery in the Presence of Options?
David Reiffen
,
Bahattin Buyuksahin
and
Michael S. Haigh
Date Posted: September 05, 2006275 downloads
Do Option Traders on Value and Growth Stocks React Differently to New Information?
Wei He
,
Yen-Sheng Lee
and
Peihwang Wei
Date Posted: January 07, 2008146 downloads
Do Oil Futures Prices Help Predict Future Oil Prices? FRBSF Economic Letter No. 2005-38
Andrew H. McCallum and
Tao Wu
Date Posted: December 03, 201173 downloads
Do Not Forget the Cancellation - Marking-to-Market and Hedging LCDX Tranches
Péter Dobránszky
and
Wim Schoutens
Date Posted: March 19, 200982 downloads
Do Noise Traders Move Markets? EFA 2006 Zurich Meetings Paper
Brad M. Barber ,
Terrance Odean and
Ning Zhu
Date Posted: December 15, 20052733 downloads
Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
Didier Cossin and
Gero Jung
Date Posted: April 03, 2005290 downloads
Do Lead-Lag Effects Affect Derivative Pricing? EFMA 2002 London Meetings
Olaf Korn and
Marliese Uhrig-Homburg
Date Posted: March 10, 2002281 downloads
Do Individual Investors Trade Stocks as Gambling? Evidence from Repeated Natural Experiments
Xiaohui Gao
and
Tse-Chun Lin
Date Posted: June 09, 2010Last Revised: July 09, 2011218 downloads
Do Implied Volatilities Provide Early Warning of Market Stress? The RiskMetrics Group Working Paper No. 00-01
Allan M. Malz
Date Posted: March 10, 2000852 downloads
Do Gamblers Correctly Price Momentum in NBA Betting Markets? Journal of Prediction Markets, Vol. 5, No. 1, pp. 31-50, 2011
Jeremy Arkes
Date Posted: July 21, 201160 downloads
Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?
Juan Cabrera
,
Tao Wang and
Jian Yang
Date Posted: April 02, 2008193 downloads
Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas CESifo Working Paper Series No. 3270
Remco van Eijkel
Date Posted: December 07, 201046 downloads
Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas IESE Business School Working Paper No. 864
Remco van Eijkel
Date Posted: July 21, 201040 downloads
Do Federal Funds Futures Need Adjustment for Excess Returns? A State-Dependent Approach FRB of Kansas City Working Paper No. 07-08
Brent Bundick
Date Posted: November 05, 200765 downloads
Do Equity Markets Favor Credit Markets News Over Options Market News? AFA 2008 New Orleans Meetings Paper
Antje Berndt and
Anastasiya Ostrovnaya
Date Posted: March 16, 2007Last Revised: April 06, 2008565 downloads
Do Different Futures Contracts in one Stock Exchange have the Same Discovery Capability? Empirical Study of Taiwan Futures Exchange Journal of Financial Management and Analysis, Vol. 17, No. 1, pp. 34-44, 2004
Ching-Chung Lin
,
Shih-Ju Chan
and
Hsinan Hsu
Date Posted: April 07, 2005
Do Derivatives Disclosures Impede Sound Risk Management? Chicago GSB Research Paper No. 08-04
Haresh Sapra
and
Hyun Song Shin
Date Posted: July 17, 2008341 downloads
Do Credit Spreads Reflect Stationary Leverage Ratios? Reconciling Structural and Reduced-Form Frameworks AFA 2001 New Orleans; Dice Working Paper 99-10
Pierre Collin-Dufresne and
Robert S. Goldstein
Date Posted: November 16, 1999957 downloads
Do CDS Spreads Reflect Credit Risks? Evidence from UK Bank Bailouts
Azusa Takeyama
,
Nick Constantinou
and
Dmitri Vinogradov
Date Posted: October 30, 2010Last Revised: November 25, 2011145 downloads
Do Call Prices and the Underlying Stock Always Move in the Same Direction? Review of Financial Studies
Zhiwu Chen ,
Gurdip Bakshi and
Charles Cao
Date Posted: October 14, 1999
Do Birds of a Feather Flock Together? Speculator Herding in Derivatives Markets
Robert J. Weiner
Date Posted: March 18, 2005297 downloads
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