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JEL Code: G12
5,803,566 Total downloads
Showing Papers 4,521 - 4,570 of 13,814
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The LIBOR/SABR Market Models: A Critical Review
Sanjay K. Nawalkha
Date Posted: December 26, 2009742 downloads
The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market
Brajesh Kumar
,
Priyanka Singh
and
Ajay Pandey
Date Posted: December 25, 2009182 downloads
Priors and Bayesian Parameter Estimation of Affine Term Structure Models
Leopold Sögner
Date Posted: December 23, 2009Last Revised: April 27, 201389 downloads
Asset Management and Industry Index Portfolios: Momentum and Reversal Abnormal Returns
Mario Toscano
and
Giuseppe Torluccio
Date Posted: December 22, 2009364 downloads
Capacity Constraints, Investor Information, and Hedge Fund Returns Journal of Financial Economics (JFE), Forthcoming
Tarun Ramadorai
Date Posted: December 22, 2009Last Revised: June 30, 2011271 downloads
Dynamic Pairs Trading Strategy for the Companies Listed in the Istanbul Stock Exchange
Evren Bolgün ,
Serhat Guven and
Engin Kurun
Date Posted: December 22, 2009263 downloads
Periodically Collapsing Speculative Bubbles in Industries Advances in Investment Analysis and Portfolio Management, Forthcoming
Megan Y. Sun and
Amit K. Sinha
affiliation not provided to SSRN
and
Bradley University
Date Posted: December 22, 200933 downloads
The Inventory Growth Spread Fisher College of Business Working Paper No. 201203-023, Charles A. Dice Center Working Paper No. 2012-023
Frederico Belo and
Xiaoji Lin
Date Posted: December 22, 2009Last Revised: November 26, 2012473 downloads
Man or Machine? Rational Trading without Information about Fundamentals
Stefano Rossi
and
Katrin Tinn
Date Posted: December 21, 2009Last Revised: April 29, 2013100 downloads
A Regime Switching Approach to Modeling Rental Prices of UK Real Estate Sectors Real Estate Economics, Forthcoming
Roland Füss
,
Michael Stein
and
Joachim Zietz
Date Posted: December 21, 2009Last Revised: January 20, 2011
A Sentiment-Based Explanation of the Forward Premium Puzzle
Jianfeng Yu
Date Posted: December 21, 2009Last Revised: March 22, 2013213 downloads
Financial Distress and Idiosyncratic Volatility: An Empirical Investigation
Jing Chen
,
Lorán Chollete and
Rina Ray
Date Posted: December 21, 2009Last Revised: March 24, 2010
General Equilibrium Pricing of Options with Habit Formation and Event Risks Journal of Financial Economics, Forthcoming
Du Du
Date Posted: December 21, 200982 downloads
Hedge Funds and Unconscious Fantasy
Arman Eshraghi
and
Richard Taffler
Date Posted: December 21, 2009Last Revised: October 03, 2012181 downloads
Modeling Corporate Bond Spreads: An Application-Oriented Forecasting Exercise
Klaus-Michael Menz
Date Posted: December 21, 2009Last Revised: December 24, 2009137 downloads
Non-Parametric Estimation of Historical Volatility Quantitative Finance, Vol. 4, No. 4, pp. 427-440, August 2004
John Randal
,
Martin Lally and
Peter J. Thomson
affiliation not provided to SSRN
Date Posted: December 21, 2009
Robust Volatility Estimation and Analysis of the Leverage Effect
John Randal
Date Posted: December 21, 2009
The Stability of Islamic Banks During the Subprime Crisis
Aniss Boumediene
and
Jerome Caby
Date Posted: December 21, 2009Last Revised: March 19, 2012563 downloads
Modelling the Volatility-Return Trade-Off When Volatility May Be Nonstationary CREATES Research Paper 2009-59
Christian M. Dahl and
Emma M. Iglesias
Date Posted: December 20, 200924 downloads
Real World Interest Rate Modelling with the BGM Model
James P. Norman
Date Posted: December 20, 2009421 downloads
The Asset Pricing When the Interest Rates are Differentiable Stochastic Processes 11th Annual International AFIR Symposium, Vol. 2, pp. 517-536, Toronto, 2001
Gennady Medvedev
Date Posted: December 20, 200940 downloads
Endogenizing Exogenous Default Barrier Models: The MM Algorithm Journal of Banking and Finance, Vol. 36, Issue 6, 1639-1652
Santiago Forte
and
Lidija Lovreta
Date Posted: December 19, 2009Last Revised: April 14, 2012
U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices? Networks Financial Institute Working Paper No. 2009-WP-14
John Tatom
Date Posted: December 19, 200945 downloads
Does Total Risk Matter? The Case of Emerging Markets Multinational Finance Journal, Vol. 10, No. 1/2, pp. 117-151, 2006
Eric Girard
and
Amit K. Sinha
Date Posted: December 18, 200942 downloads
Information Revelation and Expected Stock Returns FMA 2009 Reno Meetings Paper, NFA 2009 Niagara-on-the-Lake Meetings Paper
Umut Gokcen
Date Posted: December 18, 2009100 downloads
Investment-Based Expected Stock Returns Journal of Political Economy, Vol. 117, No. 6, pp. 1105-1139, 2009
Laura Xiaolei Liu
,
Toni M. Whited and
Lu Zhang
Date Posted: December 18, 2009
Subjective Expected Utility Theory with 'Small Worlds' Univ. of Copenhagen Dept. of Economics Discussion Paper No. 09-26
Jacob Gyntelberg
and
Frank Hansen
Date Posted: December 18, 200924 downloads
The Efficient Market, Random Walk, and the Ohlson (1995) Model
Samithamby Senthilnathan
Date Posted: December 18, 2009110 downloads
Aged and Recent Market Betas in Securities Pricing
Gerard Hoberg
and
Ivo Welch
Date Posted: December 17, 2009683 downloads
Differences Among Banks are More Important than Their Common Risks in Explaining Banking Profits
James Kurt Dew
Date Posted: December 17, 200945 downloads
Psychological Determinants of Occurrence and Magnitude of Market Crashes Euromed Marseille Working Paper No. 05-2009
Patrick L. Leoni
Date Posted: December 17, 200926 downloads
Risk and Return in the Next Frontier Journal of Emerging Market Finance, Vol. 7, pp. 43-80, January 2008
Eric Girard
and
Amit K. Sinha
Date Posted: December 17, 2009122 downloads
The CAPM Controversy: Policy and Strategy Implications for Investment Management: An Overview 'CAPM Controversy: Policy and Strategy Implications for Investment Management' Conference, Charlottesville, October 1993
Diana Harrington and
Robert A. Korajczyk
affiliation not provided to SSRN
and
Northwestern University - Kellogg School of Management
Date Posted: December 17, 2009124 downloads
Asset Fire Sales and Purchases and the International Transmission of Funding Shocks Journal of Finance Forthcoming, AFA 2011 Denver Meetings Paper
Pab Jotikasthira ,
Christian T. Lundblad and
Tarun Ramadorai
Date Posted: December 16, 2009Last Revised: September 19, 2012599 downloads
Accounting Conservatism and Stock Price Crash Risk: Firm-Level Evidence
Jeong-Bon Kim V
and
Liandong Zhang
Date Posted: December 15, 2009Last Revised: December 16, 20121515 downloads
Risk in Inventory Models: The Case of the Newsboy Problem - Optimality Conditions The Journal of the Operational Research Society, Vol. 41, No. 2, pp. 173-176, February 1990
Kee H. Chung
Date Posted: December 15, 2009
The Impact of New Financial Technologies on Stock Prices Journal of Academy of Business and Economics, Vol. 6, No. 1, 2006
James F. Refalo and
Manoj Dalvi
Date Posted: December 15, 2009229 downloads
Analyst Coverage, Information, and Bubbles Fourth Singapore International Conference on Finance 2010 Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Sandro C. Andrade
,
Jiangze Bian
and
Timothy R. Burch
Date Posted: December 14, 2009Last Revised: June 28, 2012231 downloads
Ex Ante Skewness and Expected Stock Returns
Jennifer S. Conrad ,
Robert F. Dittmar and
Eric Ghysels
Date Posted: December 14, 2009637 downloads
Optimal Hedging in Discrete and Continuous Time
Bruno Remillard and
Sylvain Rubenthaler
Date Posted: December 14, 2009Last Revised: June 25, 2010134 downloads
The Role of Industry Classification in Estimating Discretionary Accruals Review of Quantitative Finance and Accounting, Vol. 40, No. 1, pp. 15-39, 2013
Thomas W. Scott and
Karel Hrazdil
Date Posted: December 13, 2009Last Revised: January 01, 2013
Momentum Cycles and Limits to Arbitrage - Evidence from Victorian England and Post-Depression US Stock Markets
Benjamin Remy Chabot
,
Eric Ghysels and
Ravi Jagannathan
Date Posted: December 12, 2009Last Revised: September 18, 2012223 downloads
On the Optimality of Non-Optimal Portfolios
John Rutledge
Date Posted: December 12, 200947 downloads
Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area ECB Working Paper No. 1124
Olli Castren
and
Ilja Kristian Kavonius
Date Posted: December 11, 2009297 downloads
Financial Markets Equilibrium with Heterogeneous Agents Swiss Finance Institute Research Paper No. 09-45
Jaksa Cvitanic ,
Elyes Jouini ,
Semyon Malamud
and
Clotilde Napp
Date Posted: December 10, 2009256 downloads
Estimating Earnings Trend Using Unobserved Components Framework Economics Letters, Forthcoming
Arabinda Basistha
and
Alexander Kurov
Date Posted: December 09, 2009Last Revised: December 17, 200953 downloads
Implications for Asset Returns in the Implied Volatility Skew Financial Analysts Journal, Forthcoming
James S. Doran
Date Posted: December 09, 2009
The Death of CAPM: A Critical Review The Lahore Journal of Economics, Vol. 10, No. 2, pp. 35-54, Winter 2005
Date Posted: December 09, 2009457 downloads
Leverage Effect Breakdowns & Flight from Risky Assets Quantitative Finance, Aug 3, 2012
Stephen Matteo Miller
Date Posted: December 08, 2009Last Revised: May 15, 201382 downloads
Bounded Rationality and Asset Pricing with Intermediate Consumption Review of Finance, Vol. 13, No. 4, pp. 693-725, 2009
Tony Berrada
Date Posted: December 08, 2009
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