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JEL Code: G12
5,797,578 Total downloads
Showing Papers 4,601 - 4,650 of 13,810
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Endless Leverage Certificates Journal of Banking and Finance, Vol. 33, No. 8, 2009
Jos van Bommel and
Silvia Rossetto
Date Posted: November 30, 2009
Habit, Long Run Risks, Prospect? A Statistical Inquiry Journal of Financial Econometrics, Forthcoming
Eric M. Aldrich and
A. Ronald Gallant
Date Posted: November 30, 2009Last Revised: November 30, 201046 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
Date Posted: November 30, 2009Last Revised: January 25, 2010228 downloads
Liquidity Risk and the Pricing of Sovereign Bonds in Emerging Markets
Sakkapop Panyanukul
Date Posted: November 30, 2009Last Revised: May 27, 2010235 downloads
Investor Overconfidence, Turnover, Volatility and the Disposition Effect: A Study Based on Price Target Updates
Roy Zuckerman
Date Posted: November 29, 2009Last Revised: March 15, 2011245 downloads
Long-run Consumption Risk and International Stock Returns: A Century of Evidence
Jesper Rangvid ,
Maik Schmeling
and
Andreas Schrimpf
Date Posted: November 29, 2009Last Revised: January 30, 201189 downloads
Calculating Delta Greeks of Callable Exotics in the LMM: A New Approach
Ahsan Amin
Date Posted: November 28, 2009Last Revised: February 24, 2010395 downloads
In Search of Money Illusion in CEE Stock Markets: The CAPM Approach Stockholm School of Economics in Riga Student Research Paper No. 2009:3 (112))
Ernesta Orlovaitė
and
Aurimas Racas
Date Posted: November 28, 2009201 downloads
Media Bias in Financial Newspapers: Evidence from Early-Twentieth-Century France University of Paris West Nanterre La Défense, Economix Working Papers Series # 2009-4,
Vincent Bignon and
Antonio Miscio
affiliation not provided to SSRN
Date Posted: November 28, 200968 downloads
Prices of Barrier and First-Touch Digital Options in Levy-Driven Models, Near Barrier
Mitya Boyarchenko ,
Marco de Innocentis and
Sergei Levendorskii
Date Posted: November 28, 2009105 downloads
The Determinants of Option-Adjusted Delta Credit Spreads: A Comparative Analysis of the United States, the United Kingdom and the Euro Area Bank of Finland Research Discussion Paper No. 34/2009
Leonardo Becchetti
,
Andrea Carpentieri
and
Iftekhar Hasan
affiliation not provided to SSRN
and
Fordham University
Date Posted: November 28, 200934 downloads
A Swan Song for the Value Driver Model-Modern Theory and Application of Constant-Growth Equity Valuation Models
Matthias Meitner
Date Posted: November 27, 2009279 downloads
Fundamental Capital Valuation for IT Companies: A Real Options Approach Frontiers in Finance and Economics, Vol. 5, No. 1, pp. 1-26, 2008
Chung Baek
,
Brice V. Dupoyet and
Arun J. Prakash
Date Posted: November 27, 200986 downloads
Small-Time Asymptotics for Implied Volatility Under a General Local-Stochastic Volatility Model Applied Mathematical Finance, Vol. 18, No. 6, 2011
Martin Forde
and
Antoine Jacquier
Date Posted: November 27, 2009Last Revised: June 04, 2012
The Large Maturity Smile for the Heston Model
Martin Forde
and
Antoine Jacquier
Date Posted: November 27, 2009Last Revised: June 04, 2012
Volatility Spreads and Earnings Announcement Returns
Yigit Atilgan
Date Posted: November 25, 2009Last Revised: March 19, 2013383 downloads
Adjusting Return Horizon According to Trade Activity with Application to Return Autocorrelation
Vallapuzha Sandhya and
Reza S. Mahani
Date Posted: November 25, 2009Last Revised: July 25, 201198 downloads
What Ties Return Volatilities to Price Valuations and Fundamentals? Chicago Booth Research Working Paper No. 10-05, CRSP Working Paper
Alexander David and
Pietro Veronesi
Date Posted: November 25, 2009Last Revised: December 25, 2012450 downloads
Cooperative Liquidation Under Competitive Stress European Review of Agricultural Economics, Vol. 36, No. 3, pp. 369-393, 2009
Robin M. M Cross ,
Steven Buccola and
Enrique A. Thomann
affiliation not provided to SSRN
Date Posted: November 24, 2009
Diminished Idiosyncrasy as an Explanation for the Temporal Increase in the Earnings' Cash Flows Predictability
Steve C. Lim
Date Posted: November 24, 200941 downloads
Short Seller Trading in Companies with a Severe Accounting Irregularity
Jap Efendi and
Edward P. Swanson
Date Posted: November 24, 2009180 downloads
An Institutional REE Model with Relative Performance
Zhigang Qiu
Date Posted: November 22, 2009Last Revised: November 29, 200933 downloads
Asymmetric Information, Endogenous Illiquidity and Asset Pricing with Imperfect Competition
Hong Liu and
Yajun Wang
Date Posted: November 22, 2009Last Revised: December 26, 2010103 downloads
Do Option Markets Undo Restrictions on Short Sales? Evidence from the 2008 Short-Sale Ban Journal of Financial Economics (JFE), Forthcoming
Bruce D. Grundy ,
Bryan Lim
and
Patrick Verwijmeren
Date Posted: November 22, 2009Last Revised: December 22, 2011374 downloads
New Bounds on Real Option Values The Engineering Economist, Vol. 53, No. 1, pp. 4-41, 2008
Unyong Pyo
Date Posted: November 22, 200940 downloads
Stock Market Anomalies: A Survey of Calendar Effect in BSE-SENSEX Indian Journal of Finance , Vol. 5, Issue V, May 2011
Abhijeet Chandra
Date Posted: November 22, 2009Last Revised: July 14, 2011458 downloads
Stock Markets in the Russian Federation, Transitional Europe & the United States: Profitability vs. Pessimism/Optimism Academy of Finance Proceedings, pp. 1-9, 2003
Tanweer Hasan
,
Lalith P. Samarakoon and
Munzoor Shaikh
affiliation not provided to SSRN
Date Posted: November 22, 200958 downloads
Does Money Grow on Trees? The Diversification Properties of US Timberland Investments Netspar Discussion Paper No. 03/2009-017
Laura Spierdijk and
Bert Scholtens
Date Posted: November 21, 200961 downloads
Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market
Andras Fulop
and
Laurence Lescourret
Date Posted: November 21, 200981 downloads
Intraday Patterns in the Cross-Section of Stock Returns Journal of Finance, Vol. 65, No. 4, pp. 1369-1407, Forthcoming
Steven L. Heston ,
Robert A. Korajczyk and
Ronnie Sadka
Date Posted: November 21, 2009Last Revised: May 27, 2010429 downloads
Options on Realized Variance by Transform Methods: A Non-Affine Stochastic Volatility Model Quantitative Finance, 12(11), 1679-1694, (2012)
Gabriel G. Drimus
Date Posted: November 21, 2009Last Revised: November 07, 2012459 downloads
The Competitive Effect of Rivals' Earnings News on Initial Public Offerings
Tony Ruan
and
Hong Qian
Date Posted: November 21, 2009Last Revised: February 05, 201247 downloads
Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model Tinbergen Institute Discussion Paper No. 09-102/2
Falko Juessen
,
Ludger Linnemann
and
Andreas Schabert
Date Posted: November 20, 2009Last Revised: December 21, 200986 downloads
Optimal Execution Strategies in Limit Order Books with General Shape Functions
Aurélien Alfonsi
,
Antje Fruth
and
Alexander Schied
Date Posted: November 20, 2009430 downloads
Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
Deniz Anginer
and
Celim Yildizhan
Date Posted: November 19, 2009Last Revised: May 14, 2013821 downloads
An Empirical Analysis of the Relationship between Fundamentals and Stock Returns in Sri Lanka Research Monograph, University of Sri Jayewardenepura, Sri Lanka, 1998
Lalith P. Samarakoon
Date Posted: November 19, 2009213 downloads
Boundedly Rational Exuberance on Commodity Markets NYU Poly Research Paper No. 09-11
Bertrand Munier
Date Posted: November 19, 2009318 downloads
Credit Gap Risk in a First Passage Time Model with Jumps Centre for Practical Quantitative Finance Working Paper No. 22
Natalie Packham
,
Lutz Schloegl
and
Wolfgang M. Schmidt
affiliation not provided to SSRN
and
Frankfurt School of Finance & Management Gemeinnützige GmbH
Date Posted: November 19, 2009101 downloads
Directed Technical Change, Skills Gap and Predictability
Ziemowit Bednarek
Date Posted: November 19, 2009Last Revised: February 07, 201158 downloads
Government Investment and the Stock Market
Frederico Belo and
Jianfeng Yu
Date Posted: November 19, 2009Last Revised: October 04, 2012345 downloads
What Explains the Variance of Prices and Returns?: Time-series Vs. Cross-section
Denis B. Chaves
Date Posted: November 19, 2009Last Revised: November 23, 2009362 downloads
Comparison of Historical and Parametric Value-at-Risk Methodologies
Péter Dobránszky
Date Posted: November 18, 2009690 downloads
Human Resource Accounting Practices and Indian Industries
Neha Seth
Date Posted: November 18, 2009Last Revised: March 03, 2010
Meeting Analyst Forecasts and Stock Returns
Ioan Mirciov
Date Posted: November 18, 2009Last Revised: June 14, 2010267 downloads
The Optimal Method for Pricing Bermudan Options by Simulation
Alfredo Ibanez
and
Carlos Velasco
Date Posted: November 18, 2009Last Revised: February 05, 2012188 downloads
The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets
Álvaro Cartea and
Dimitris Karyampas
Date Posted: November 18, 2009Last Revised: May 14, 2011344 downloads
Where Does the Information in Mark-to-Market Come From? Chicago Booth Research Paper #10-06
Alexander Bleck
and
Pingyang Gao
Date Posted: November 18, 2009Last Revised: September 06, 2012603 downloads
A Neoclassical Model of Managed Distribution Plans: Theory and Evidence
Martin Cherkes ,
Jacob S. Sagi and
Zhi Jay Wang
Date Posted: November 17, 20094 downloads
Dynamic Trading and Asset Prices: Keynes Vs. Hayek CEPR Discussion Paper No. DP7506
Giovanni Cespa and
Xavier Vives
Date Posted: November 17, 20092 downloads
Government Bond Risk Premiums in the EU Revisited: The Impact of the Financial Crisis CEPR Discussion Paper No. DP7499
Ludger Schuknecht ,
Jürgen von Hagen and
Guido Wolswijk
Date Posted: November 17, 20096 downloads
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