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Showing Papers 3,881 - 3,930 of 13,813
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Financial Reporting Quality and Idiosyncratic Return Volatility Journal of Accounting & Economics, Forthcoming
Shivaram Rajgopal and
Mohan Venkatachalam
Date Posted: June 22, 2010
Information Content of Order Flow and Cross-Market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets HKIMR Working Paper No. 02/2010
Eric Girardin ,
Dijun Tan
and
Woon K. Wong
Date Posted: June 22, 201065 downloads
Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics Journal of Credit Risk Vol. 5, No. 1, pp. 1-21, 2009
Henrik Jönsson
and
Wim Schoutens
Date Posted: June 22, 201052 downloads
Trading Frequency and Asset Pricing on the London Stock Exchange: Evidence from a New Price Impact Ratio Journal of Banking and Finance, 2011, Vol. 35, pp. 3335-3350
Chris Florackis
,
Andros Gregoriou and
Alexandros Kostakis
Date Posted: June 22, 2010Last Revised: October 02, 2012354 downloads
An Empirical Examination of the Validity of the CAPM in the Vietnamese Stock Market Vietnam Securities Review, Vol. 140, pp. 9-11, 2010
Vuong Minh Giang
Date Posted: June 21, 2010
Money and Liquidity in Financial Markets Swiss Finance Institute Research Paper No. 10-25
Kjell G. Nyborg and
Per Östberg
Date Posted: June 21, 2010352 downloads
The Effect of Changes in Index Constitution: Evidence from the Korean Stock Market
Joo Young Yun
Date Posted: June 21, 201052 downloads
The Impact of Credit Risk and Implied Volatility on Stock Returns
Florian Steiger
Date Posted: June 21, 2010106 downloads
New Evidence on the Relation between Return Volatility and Trading Volume
Thomas Chinan Chiang ,
Zhuo Qiao
and
Wing-Keung Wong
Date Posted: June 20, 2010190 downloads
Predicting Premiums for the Market, Size, Value, and Momentum Factors Financial Markets and Portfolio Management, Vol. 23, No. 2, pp. 137-155, 2009
Michael Steiner
Date Posted: June 20, 2010
Pricing Volatility of Stock Returns with Volatile and Persistent Components Financial Markets and Portfolio Management, Vol. 23, No. 3, pp. 243-269, 2009
Jie Zhu
Date Posted: June 20, 2010
Risk Premiums in the Cross-Section of Commodity Convenience Yields
Axel Herbert Kind
and
Axel H. Kind
affiliation not provided to SSRN
and
University of Basel
Date Posted: June 20, 2010152 downloads
The Ex-Dividend Day Stock Price Anomaly: Evidence from the Greek Stock Market Financial Markets and Portfolio Management, Vol. 23, No. 1, pp. 59-91, 2009
Apostolos Dasilas
Date Posted: June 20, 2010
Ambiguity Aversion and the Arbitrage Pricing Theory
Valery Polkovnichenko
Date Posted: June 19, 2010Last Revised: July 08, 2010139 downloads
An Evaluation of Conditional Multi-Factor Models in Active Asset Allocation Strategies: An Empirical Study for the German Stock Market Financial Markets and Portfolio Management, Vol. 23, No. 3, pp. 285-313, 2009
Marcus Deetz
,
Thorsten Poddig
,
Irina Sidorovitch
and
Armin Varmaz
Date Posted: June 19, 2010
Heterogeneous Time Varying Transaction Costs and Asset Pricing in International Equity Markets Financial Markets and Portfolio Management, Vol. 23, No. 3, pp. 271-283, 2009
Andros Gregoriou ,
Christos Ioannidis and
Sugata Ghosh
Date Posted: June 19, 2010
Intraday Volatility Responses to Monetary Policy Events Financial Markets and Portfolio Management, Vol. 23, No. 4, pp. 383-399, 2009
Asger Lunde and
Allan A. Zebedee
Date Posted: June 19, 2010
It’s All Overreaction: Earning Momentum to Value/Growth CAAA Annual Conference 2011
Abdulaziz M. Alwathainani
Date Posted: June 19, 2010Last Revised: December 01, 201197 downloads
Lemmings in the Bond Market? An Empirical Analysis of the Term Structure of Credit Spreads Financial Markets and Portfolio Management, Vol. 23, No. 1, pp. 31-57, 2009
Date Posted: June 19, 2010
Short Interest in Exchange-Traded Funds Financial Markets and Portfolio Management, Vol. 22, No. 4, pp. 381-402, 2008
Jeff Madura and
Thanh Ngoc Do
affiliation not provided to SSRN
Date Posted: June 19, 2010
Asymmetric Information, Adverse Selection, and the Pricing of CMBS
Xudong An
,
Yongheng Deng and
Stuart A. Gabriel
Date Posted: June 18, 2010Last Revised: April 09, 2011143 downloads
Capital Assets Pricing on KSE-Pakistan and Fundamental Values: An Analysis of FCF and EPS World Applied Sciences Journal, Vol. 12, No. 5
Muhammad Hanif and
Zulfiqar Ali Shah
affiliation not provided to SSRN
Date Posted: June 18, 2010Last Revised: September 06, 2011201 downloads
Earnings Conference Calls and Stock Returns: The Incremental Informativeness of Textual Tone Journal of Banking and Finance, Vol. 36, No. 4, pp. 992-1011, 2012
S. McKay Price ,
James S. Doran ,
David R. Peterson and
Barbara A. Bliss
Date Posted: June 18, 2010Last Revised: February 25, 2012397 downloads
Forecasting the Past: The Case of Us Interest Rate Forecasts Financial Markets and Portfolio Management, Vol. 22, No. 4, pp. 357-379, 2008
Markus Spiwoks
,
Nils Bedke
and
Oliver Hein
affiliation not provided to SSRN
,
University of Goettingen (Gottingen)
and
Goethe University Frankfurt
Date Posted: June 18, 2010
Price Impact and Portfolio Impact Swiss Finance Institute Research Paper No. 10-26
Jaksa Cvitanic and
Semyon Malamud
Date Posted: June 18, 2010299 downloads
Return Dispersion and Expected Returns Financial Markets and Portfolio Management, Vol. 24, No. 2, pp. 107-135, 2010
Xiaoquan Jiang
Date Posted: June 18, 2010
The Information Content of Changes in Index Composition 23rd Australasian Finance and Banking Conference 2010 Paper
Joo Young Yun
and
Tong Suk Kim
Date Posted: June 18, 2010Last Revised: October 30, 201058 downloads
The Price of Risk in Equilibrium: A Novel Framework
Roger Dayala
Date Posted: June 18, 2010Last Revised: March 06, 2013
A Macro Finance Term Structure Model with Stochastic Volatility
Linlin Niu
Date Posted: June 17, 201060 downloads
A Note on Exchange Options Under Stochastic Interest Rates
Carole Bernard
and
Zhenyu Cui
Date Posted: June 17, 2010140 downloads
An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
Linlin Niu
Date Posted: June 17, 2010Last Revised: June 25, 201082 downloads
Daily Institutional Trades and Stock Price Volatility in a Retail Investor Dominated Emerging Market
Wei Li and
Steven Shuye Wang
Date Posted: June 16, 201077 downloads
Default Prone Bond Prices, Valuable Growth Options and the Option to Re-Organize
Osman Colak
and
Padmaja Kadiyala
Date Posted: June 16, 201031 downloads
Earnings Conference Call Content and Stock Price: The Case of REITs Journal of Real Estate Finance and Economics, Vol. 45, No. 2, pp. 402-434, 2012
James S. Doran ,
David R. Peterson and
S. McKay Price
Date Posted: June 16, 2010Last Revised: August 08, 2012139 downloads
The Price of Liquidity: Bank Characteristics and Market Conditions Swiss Finance Institute Research Paper No. 10-20
Falko Fecht
,
Kjell G. Nyborg and
Jörg Rocholl
Date Posted: June 16, 2010174 downloads
Uncertainty about Government Policy and Stock Prices Chicago Booth Research Paper No. 10-25, Fama-Miller Working Paper Series
Lubos Pastor and
Pietro Veronesi
Date Posted: June 16, 2010Last Revised: September 06, 20121179 downloads
Validity of Capital Assets Pricing Model: Evidence from KSE-Pakistan European Journal of Economics, Finance and Administrative Sciences, No. 20, 2010
Uzair Bhatti and
Muhammad Hanif
Date Posted: June 16, 2010Last Revised: November 07, 2010484 downloads
Bayesian Approaches for Portfolio Construction: A Review RETHINKING RISK MEASUREMENT AND REPORTING, UNCERTAINTY, BAYESIAN ANALYSIS AND EXPERT JUDGEMENT, Vol. I, pp. 361-384, K. Bocker, ed., Risk Books
Daniel Giamouridis
Date Posted: June 15, 2010Last Revised: September 05, 2011
Derivatives Traders’ Reaction to Mispricing in the Underlying Equity Journal of Banking and Finance, Vol. 36, No. 9, 2438–2454, 2012,
Darren K. Hayunga
,
Richard Holowczak ,
Peter P. Lung
and
Takeshi Nishikawa
Date Posted: June 14, 2010Last Revised: July 26, 201227 downloads
Seasoned Equity Offerings: Stock Market Liquidity and Duration of the Completion Cycle Managerial Finance, Vol. 37, No. 4, 2011
Darshana Palkar
and
Niranjan Tripathy
Date Posted: June 14, 2010Last Revised: March 27, 201360 downloads
The Price of Prospective Lending: Evidence from Short Sale Constraints
Melissa Porras Prado
Date Posted: June 14, 2010Last Revised: January 24, 2012163 downloads
Computational Efficiency and Accuracy In the Valuation of Basket Options Frontiers in Finance and Economics, Vol. 6, No. 1, pp. 1-25, 2009
Pengguo Wang
Date Posted: June 13, 201070 downloads
International Capital Constraints and Stock Market Dynamics INSEAD Working Paper No. 2010/43/FIN
Astrid V. Schornick
Date Posted: June 13, 201058 downloads
Microinformation, Nonlinear Filtering and Granularity Swiss Finance Institute Research Paper No. 10-23
Patrick Gagliardini ,
Christian Gourieroux and
Alain Monfort
Date Posted: June 13, 2010Last Revised: June 23, 201090 downloads
Performance Fees and Asset Prices in Equilibrium
Ioan Mirciov
Date Posted: June 13, 201042 downloads
The Chinese Government Bond Returns
Jiang Wang ,
Zhishu Yang
and
Dongyan Ye
Date Posted: June 13, 2010103 downloads
The Information Content of Forward-Looking Statements in Corporate Filings – A Naive Bayesian Machine Learning Approach Journal of Accounting Research, Forthcoming
Feng Li
Date Posted: June 13, 2010
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
Linda Allen ,
Turan G. Bali and
Yi Tang
Date Posted: June 12, 2010Last Revised: July 07, 2012504 downloads
Opportunity Cost, Excess Profit, and Counterfactual Conditionals Frontiers in Finance and Economics, Vol. 6, No. 1, pp. 118-154, April 2009
Carlo Alberto Magni
Date Posted: June 12, 201046 downloads
Multimarket Trading and the Cost of Debt: Evidence from Global Bonds ECB Working Paper No. 1212
Lubomir Petrasek
Date Posted: June 11, 201044 downloads
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