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JEL Code: G12
5,802,669 Total downloads
Showing Papers 4,561 - 4,610 of 13,813
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Momentum Cycles and Limits to Arbitrage - Evidence from Victorian England and Post-Depression US Stock Markets
Benjamin Remy Chabot
,
Eric Ghysels and
Ravi Jagannathan
Federal Reserve Bank of Chicago
,
University of North Carolina (UNC) at Chapel Hill - Department of Economics
and
Northwestern University - Kellogg School of Management
Date Posted: December 12, 2009
Last Revised: September 18, 2012
Working Paper Series
223 downloads
On the Optimality of Non-Optimal Portfolios
John Rutledge
Claremont Graduate University, School of Politics and Economics
Date Posted: December 12, 2009
Working Paper Series
47 downloads
Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
ECB Working Paper No. 1124
Olli Castren
and
Ilja Kristian Kavonius
European Central Bank (ECB)
and
European Central Bank
Date Posted: December 11, 2009
Working Paper Series
297 downloads
Financial Markets Equilibrium with Heterogeneous Agents
Swiss Finance Institute Research Paper No. 09-45
Jaksa Cvitanic ,
Elyes Jouini ,
Semyon Malamud
and
Clotilde Napp
California Institute of Technology - Division of the Humanities and Social Sciences
,
Universite de Paris 9 Dauphine - CEREMADE
,
Ecole Polytechnique Federale de Lausanne and Swiss Finance Institute
and
Université Paris-Dauphine - CNRS-DRM
Date Posted: December 10, 2009
Working Paper Series
256 downloads
Estimating Earnings Trend Using Unobserved Components Framework
Economics Letters, Forthcoming
Arabinda Basistha
and
Alexander Kurov
West Virginia University - College of Business & Economics
and
West Virginia University - College of Business & Economics
Date Posted: December 09, 2009
Last Revised: December 17, 2009
Working Paper Series
53 downloads
Implications for Asset Returns in the Implied Volatility Skew
Financial Analysts Journal, Forthcoming
James S. Doran
Florida State University - Department of Finance
Date Posted: December 09, 2009
Accepted Paper Series
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, 2009
Accepted Paper Series
456 downloads
Leverage Effect Breakdowns & Flight from Risky Assets
Quantitative Finance, Aug 3, 2012
Stephen Matteo Miller
Monash University - Department of Economics
Date Posted: December 08, 2009
Last Revised: May 15, 2013
Accepted Paper Series
82 downloads
Bounded Rationality and Asset Pricing with Intermediate Consumption
Review of Finance, Vol. 13, No. 4, pp. 693-725, 2009
Tony Berrada
University of Geneva
Date Posted: December 08, 2009
Accepted Paper Series
Anomalies
The Review of Financial Studies, Vol. 22, Issue 11, pp. 4301-4334, 2009
Erica X. N. Li
,
Dmitry Livdan and
Lu Zhang
The Stephen M. Ross School of Business at the University of Michigan
,
University of California, Berkeley
and
Ohio State University - Fisher College of Business
Date Posted: December 08, 2009
Accepted Paper Series
Benchmarking Money Manager Performance: Issues and Evidence
The Review of Financial Studies, Vol. 22, Issue 11, pp. 4553-4599, 2009
Louis K.C. Chan ,
Stephen G. Dimmock
and
Josef Lakonishok
University of Illinois at Urbana-Champaign - Department of Finance
,
Nanyang Technological University - Division of Finance
and
University of Illinois at Urbana-Champaign
Date Posted: December 08, 2009
Accepted Paper Series
Good Times or Bad Times? Investors' Uncertainty and Stock Returns
The Review of Financial Studies, Vol. 22, Issue 11, pp. 4377-4422, 2009
Arzu Ozoguz
University of Texas at Dallas
Date Posted: December 08, 2009
Accepted Paper Series
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices
The Review of Financial Studies, Vol. 22, Issue 11, pp. 4335-4376, 2009
Haitao Li and
Feng Zhao
University of Michigan - Stephen M. Ross School of Business
and
University of Texas at Dallas - Jindal School of Management
Date Posted: December 08, 2009
Accepted Paper Series
A Reexamination of Corporate Governance and Equity Prices
The Review of Financial Studies, Vol. 22, Issue 11, pp. 4753-4786, 2009
Shane A. Johnson ,
Theodore C. Moorman and
Sorin M. Sorescu
Texas A&M University - Department of Finance
,
Baylor University - Department of Finance, Insurance & Real Estate
and
Texas A&M University (TAMU) - Department of Finance
Date Posted: December 08, 2009
Accepted Paper Series
Flawless Fundamental Indexing
Tom Vinaimont
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Date Posted: December 08, 2009
Working Paper Series
94 downloads
How Should the Distant Future Be Discounted When Discount Rates are Uncertain?
CESifo Working Paper Series No. 2863
Christian Gollier and
Martin Weitzman
University of Toulouse 1 - Industrial Economic Institute (IDEI)
and
Harvard University - Department of Economics
Date Posted: December 08, 2009
Working Paper Series
124 downloads
Incentive Contracts in Delegated Portfolio Management
The Review of Financial Studies, Vol. 22, Issue 11, pp. 4681-4714, 2009
C. Wei Li
and
Ashish Tiwari
University of Iowa
and
University of Iowa
Date Posted: December 08, 2009
Accepted Paper Series
Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets
Jing Chen ,
Roger Buckland and
Julian M. Williams
Swansea University
,
University of Aberdeen - Business School
and
University of Aberdeen Business School
Date Posted: December 08, 2009
Working Paper Series
97 downloads
Stock Return Seasonalities and Investor Structure: Evidence from China's B-Share Markets
BOFIT Discussion Paper No. 20/2009
Martin T. Bohl ,
Michael Schuppli
and
Pierre L. Siklos
University of Muenster
,
University of Muenster
and
Wilfrid Laurier University - School of Business & Economics
Date Posted: December 08, 2009
Working Paper Series
103 downloads
Why Do Firms Issue Private Equity Repeatedly? On the Motives and Information Content of Multiple PIPE Offerings
Journal of Banking and Finance, Forthcoming
Ioannis V. Floros and
Travis Sapp
Iowa State University - Department of Finance
and
Iowa State University - Department of Finance
Date Posted: December 08, 2009
Last Revised: August 18, 2012
Accepted Paper Series
277 downloads
CDS Index Tranches and the Pricing of Credit Risk Correlations
BIS Quarterly Review, March 2005
Jeffery D. Amato and
Jacob Gyntelberg
Goldman Sachs International
and
Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: December 07, 2009
Accepted Paper Series
340 downloads
Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P 500
Carl Chiarella
and
Xuezhong He
University of Technology, Sydney - UTS Business School, Finance Discipline Group
and
University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: December 07, 2009
Last Revised: February 17, 2011
Working Paper Series
118 downloads
Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets
Finance and Corporate Governance Conference 2010 Paper
Roger Buckland ,
Julian M. Williams
and
Jing Chen
University of Aberdeen - Business School
,
University of Aberdeen Business School
and
Swansea University
Date Posted: December 07, 2009
Working Paper Series
47 downloads
Modeling the Dynamics of Temperature with a View to Weather Derivatives
Gkaren Papazian
and
George S. Skiadopoulos
Accenture
and
University of Piraeus
Date Posted: December 06, 2009
Last Revised: January 22, 2010
Working Paper Series
181 downloads
Credit Derivatives and Structured Credit: The Nascent Markets of Asia and the Pacific
BIS Quarterly Review, June 2008
Eli M. Remolona and
Ilhyock Shim
Bank for International Settlements (BIS) - Monetary and Economic Department
and
Bank for International Settlements (BIS)
Date Posted: December 05, 2009
Accepted Paper Series
88 downloads
Liquidity and Asset Returns: A Literature Survey
Date Posted: December 05, 2009
Working Paper Series
240 downloads
The ABX: How Do the Markets Price Subprime Mortgage Risk?
BIS Quarterly Review, September 2008
Ingo Fender and
Martin Scheicher
Bank for International Settlements (BIS)
and
European Central Bank (ECB)
Date Posted: December 05, 2009
Accepted Paper Series
146 downloads
The Spillover of Money Market Turbulence to FX Swap and Cross-Currency Swap Markets
BIS Quarterly Review, March 2008
Naohiko Baba
,
Frank Packer and
Teppei Nagano
Bank of Japan - Financial Markets Department
,
Bank for International Settlements (BIS)
and
Bank of Japan - Research and Statistics Department
Date Posted: December 05, 2009
Accepted Paper Series
341 downloads
Hedging: Scaling and the Investor Horizon
John Cotter and
Jim Hanly
University College Dublin
and
Dublin Institute of Technology
Date Posted: December 04, 2009
Working Paper Series
59 downloads
Housing Risk and Return: Evidence from a Housing Asset-Pricing Model
Karl E. Case ,
John Cotter and
Stuart A. Gabriel
Wellesley College
,
University College Dublin
and
University of California, Los Angeles - Anderson School of Management
Date Posted: December 04, 2009
Last Revised: April 22, 2011
Working Paper Series
188 downloads
Interbank Rate Fixings during the Recent Turmoil
BIS Quarterly Review, March 2008
Jacob Gyntelberg
and
Philip D. Wooldridge
Bank for International Settlements (BIS) - Monetary and Economic Department
and
Bank for International Settlements (BIS)
Date Posted: December 04, 2009
Accepted Paper Series
245 downloads
Modeling of CPDOs-Identifying Implied and Optimal Leverage
Journal of Banking and Finance, Vol. 34, No 6, 2010
Jochen Dorn
ASB, Aarhus University
Date Posted: December 04, 2009
Last Revised: June 24, 2010
Accepted Paper Series
Private Equity Performance and Liquidity Risk
Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 09-43
Francesco A. Franzoni
,
Eric Nowak and
Ludovic Phalippou
Swiss Finance Institute
,
University of Lugano
and
University of Oxford - Said Business School
Date Posted: December 04, 2009
Last Revised: September 13, 2012
Accepted Paper Series
1134 downloads
Testing the CAPM Revisited
Journal of Empirical Finance, Vol. 16, No. 5, 2009
Surajit D. Ray
,
N. Eugene Savin and
Ashish Tiwari
Morgan Stanley
,
University of Iowa - Henry B. Tippie College of Business - Department of Economics
and
University of Iowa
Date Posted: December 04, 2009
Accepted Paper Series
103 downloads
The World Price of Home Bias
Journal of Financial Economics (JFE), Forthcoming
Sie Ting Lau ,
Lilian K. Ng and
Bohui Zhang
Nanyang Technological University (NTU) - Division of Banking & Finance
,
University of Wisconsin - Milwaukee - Sheldon B. Lubar School of Business
and
The University of New South Wales - School of Banking and Finance
Date Posted: December 04, 2009
Accepted Paper Series
278 downloads
Time Varying Risk Aversion: An Application to Energy Hedging
John Cotter and
Jim Hanly
University College Dublin
and
Dublin Institute of Technology
Date Posted: December 04, 2009
Working Paper Series
57 downloads
U.S. Venture Capital Meets Clean-Technology
PIER Working Paper No. 09-043
Emanuel Shachmurove
and
Yochanan Shachmurove
Independent
and
The City College of The City University of New York - Department of Economics
Date Posted: December 03, 2009
Working Paper Series
406 downloads
Venture Capital Meets Industrial Sector and Location
PIER Working Paper No. 09-042
Emanuel Shachmurove
and
Yochanan Shachmurove
Independent
and
The City College of The City University of New York - Department of Economics
Date Posted: December 03, 2009
Working Paper Series
393 downloads
Excess Cash and Mutual Fund Performance
AFA 2011 Denver Meetings Paper
Mikhail Simutin
University of Toronto - Rotman School of Management
Date Posted: December 02, 2009
Last Revised: January 01, 2013
Working Paper Series
473 downloads
Annuitization and Retirement Timing Decisions
Zhen Shi
University of Melbourne
Date Posted: December 02, 2009
Working Paper Series
72 downloads
IPO Offer Prices and Firm Performance
Mikhail Simutin
University of Toronto - Rotman School of Management
Date Posted: December 02, 2009
Working Paper Series
145 downloads
Profiting from Regulation: An Event Study of the European Carbon Market
James B. Bushnell
,
Howard Chong
and
Erin T. Mansur
University of California - Energy Institute
,
University of California, Berkeley
and
Dartmouth College - Dartmouth Economics Department
Date Posted: December 02, 2009
Working Paper Series
172 downloads
Analysts’ Accrual-Related Over-Optimism: Do Analyst Characteristics Play a Role?
Review of Accounting Studies, Vol. 16, No. 4, 2011
Michael S. Drake
and
Linda A. Myers
Brigham Young University - Marriott School
and
University of Arkansas
Date Posted: November 30, 2009
Accepted Paper Series
Endless Leverage Certificates
Journal of Banking and Finance, Vol. 33, No. 8, 2009
Jos van Bommel and
Silvia Rossetto
Universite du Luxembourg - Luxembourg School of Finance
and
University of Toulouse 1 - Toulouse School of Economics (TSE)
Date Posted: November 30, 2009
Accepted Paper Series
Habit, Long Run Risks, Prospect? A Statistical Inquiry
Journal of Financial Econometrics, Forthcoming
Eric M. Aldrich and
A. Ronald Gallant
UC Santa Cruz
and
Duke University - Fuqua School of Business, Economics Group
Date Posted: November 30, 2009
Last Revised: November 30, 2010
Accepted Paper Series
46 downloads
How Did Financial-Crisis-Based Criticisms of Market Efficiency Get it so Wrong?
CEB (Centre Emile Bernheim) Working Paper No. 09/048
Ariane Szafarz
Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Date Posted: November 30, 2009
Last Revised: January 25, 2010
Working Paper Series
228 downloads
Liquidity Risk and the Pricing of Sovereign Bonds in Emerging Markets
Sakkapop Panyanukul
University of Warwick - Warwick Business School
Date Posted: November 30, 2009
Last Revised: May 27, 2010
Working Paper Series
235 downloads
Investor Overconfidence, Turnover, Volatility and the Disposition Effect: A Study Based on Price Target Updates
Roy Zuckerman
Rutgers Business School
Date Posted: November 29, 2009
Last Revised: March 15, 2011
Working Paper Series
245 downloads
Long-run Consumption Risk and International Stock Returns: A Century of Evidence
Jesper Rangvid ,
Maik Schmeling
and
Andreas Schrimpf
Copenhagen Business School
,
City University London - Sir John Cass Business School
and
Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: November 29, 2009
Last Revised: January 30, 2011
Working Paper Series
89 downloads
Calculating Delta Greeks of Callable Exotics in the LMM: A New Approach
Ahsan Amin
Infiniti Derivatives Solutions
Date Posted: November 28, 2009
Last Revised: February 24, 2010
Working Paper Series
395 downloads
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