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JEL Code: G12
5,795,757 Total downloads
Showing Papers 4,651 - 4,700 of 13,809
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Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations
Damiano Brigo ,
Andrea Pallavicini
and
Vasileios Papatheodorou
Date Posted: November 17, 2009Last Revised: February 04, 2010414 downloads
Risk Appetite, Securities Valuations, and the Current Crisis
Arjun Kumar Mathrani
affiliation not provided to SSRN
Date Posted: November 17, 2009
Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity
Rui A. Albuquerque
Date Posted: November 17, 2009Last Revised: March 30, 201148 downloads
The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential Journal of Alternative Investments, Forthcoming
Laurent Cavenaile
,
Alain Coen
and
Georges Hubner
Date Posted: November 17, 2009Last Revised: February 19, 2011
Asymptotic Formulae for Implied Volatility in the Heston Model Proceedings of the Royal Society A
Martin Forde
,
Antoine Jacquier
and
Aleksandar Mijatovic
Date Posted: November 16, 2009Last Revised: March 23, 2012
Broker-Dealer Risk Appetite and Commodity Returns FRB of New York Staff Report No. 406
Erkko Etula
affiliation not provided to SSRN
Date Posted: November 16, 2009Last Revised: March 29, 2010426 downloads
Heat Baths and Computational Agent-Based Modeling
Andrew Clark
Date Posted: November 16, 2009Last Revised: June 17, 201247 downloads
Statistical Inference for Risk-Adjusted Performance Measure Frontiers in Finance and Economics, Vol. 5, No. 1, 27-45
Miranda Lam
Date Posted: November 16, 200998 downloads
Exchange Trading Rules and Stock Market Liquidity
Douglas Cumming ,
Sofia Johan and
Dan Li
Date Posted: November 14, 2009142 downloads
Option Valuation Using Asymptotic Expansion
Wael H. Fayyad
Date Posted: November 14, 200966 downloads
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates CIRANO - Scientific Publications 2009s-20
René Garcia and
Richard Luger
Date Posted: November 14, 200926 downloads
The New Interventionist Economics
Roger Koppl
Date Posted: November 14, 2009
Using Artificial Neural Networks (ANNs) to Investigate the Usefulness of Accounting Information in the Egyptian Settings AAA AIS-SET Mid-Year Meeting, 2010
Dina Elmahdy
Date Posted: November 14, 2009Last Revised: January 14, 2010
Impact of Derivatives on Stock Market Indian Finance Summit, January 2009
Ravi Agarwal ,
Shiva Kumar ,
Wasif Mukhtar and
Hemanth Abar
affiliation not provided to SSRN
Date Posted: November 12, 2009Last Revised: November 13, 2009976 downloads
Asset Pricing with Long Run Risk and Stochastic Differential Utility: An Analytic Approach
Yu Chen
,
Thomas F. Cosimano ,
Alex A. Himonas
and
Peter Kelly
Date Posted: November 11, 200982 downloads
Credit Default Swap Market: 'Big Bang'?
Makrem Boumlouka
Date Posted: November 11, 2009189 downloads
How to Increase the Efficiency of Bond Covenants: A Proposal for the Italian Corporate Market
Flavio Bazzana
and
Marco Palmieri
Date Posted: November 11, 200958 downloads
A PDE Pricing Framework for Cross-Currency Interest Rate Derivatives
Duy Minh Dang ,
Christina Christara
,
Kenneth R. Jackson
and
Asif Lakhany
Date Posted: November 10, 2009Last Revised: May 02, 2010897 downloads
Institutional Ownership and Aggregate Volatility Risk Midwest Finance Association 2012 Annual Meetings Paper
Alexander Barinov
Date Posted: November 10, 2009Last Revised: July 07, 201176 downloads
Risk Sentiment Index (RSI) and Market Anomalies
Guy Kaplanski and
Haim Levy
Date Posted: November 10, 2009Last Revised: January 22, 2010498 downloads
The Duration of Foreclosures in the Subprime Mortgage Market: A Competing Risks Model with Mixing Journal of Real Estate Finance and Economics, Vol. 40, No. 2, 2010
Anthony Pennington-Cross
Date Posted: November 10, 2009Last Revised: November 16, 2011
Intangible Determinants of Market Value in the New Economy: A Dynamic Panel Data Analysis of the Indian Software Industry The Singapore Economic Review, Vol. 54, No. 3, pp. 379-398, 2009
Supriyo De
Date Posted: November 09, 2009
A Computing Bias in Estimating the Probability of Informed Trading - Supplement
Hsiou-Wei William Lin
and
Wen-Chyan Ke
Date Posted: November 08, 2009Last Revised: May 14, 201163 downloads
Bid and Ask Asset Pricing Through the Extended Gini Premium Principle: Sufficient and Necessary Conditions for Trading
Luisa Tibiletti ,
Bennet Eisenberg
and
Marta Cardin
Date Posted: November 08, 200965 downloads
Informed Trading, Earnings Surprises, and Stock Returns 2010 CRSP Forum
Hui Guo and
Buhui Qiu
Date Posted: November 08, 2009Last Revised: March 15, 2012213 downloads
Review of the Russian Professional Valuation (Анализ российской профессиональной оценки: ее история, институты и состояние методологических дебатов) (Russian)
Andrey Igorevich Artemenkov
Date Posted: November 08, 200930 downloads
Liquidation Value and Related Exposure Periods: Toward an Analytic Approach
Vladimir B. Michailetz
and
Andrey Igorevich Artemenkov
Date Posted: November 07, 2009
Taking TARP Funds Can Be Hazardous to Your Bank's Wealth
Dan J. Jordan
,
Douglas Rice ,
Jacques Sanchez
and
Donald H. Wort
Date Posted: November 07, 2009118 downloads
Dynamic Trading and Asset Prices: Keynes vs. Hayek CESifo Working Paper Series No. 2839
Giovanni Cespa and
Xavier Vives
Date Posted: November 06, 2009147 downloads
Optimal Basket Liquidation for CARA Investors is Deterministic
Alexander Schied
,
Torsten Schoeneborn
and
Michael Tehranchi
Date Posted: November 06, 2009Last Revised: February 24, 2010354 downloads
Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market FRB International Finance Discussion Paper No. 980
Alain Chaboud ,
Erik Hjalmarsson ,
Clara Vega
and
Ben Chiquoine
Date Posted: November 06, 2009Last Revised: February 21, 20131912 downloads
Short-Sales Constraints, Investor Disagreement, and the Asymmetric Market Reaction to Earnings News
Christina A. Mashruwala
,
Shamin D. Mashruwala
and
Bharat Sarath
Date Posted: November 06, 2009Last Revised: January 28, 2012
Stock Market Liberalization and Return Volatility: Evidence from the Emerging Market of Sri Lanka Journal of Multinational Financial Management, Vol. 19, No. 5, 2009
Fazeel Mohamed Jaleel
and
Lalith P. Samarakoon
Date Posted: November 06, 2009Last Revised: November 09, 2009156 downloads
Fair Value Accounting and Gains from Asset Securitizations: A Convenient Earnings Management Tool with Compensation Side-Benefits Journal of Accounting & Economics (JAE), 2009
Patricia M. Dechow ,
Linda A. Myers and
Catherine Shakespeare
Date Posted: November 05, 2009
Beyond Cap-Weight: The Search for Efficient Beta Journal of Indexes, January-February 2010
Robert D. Arnott ,
Vitali Kalesnik ,
Paul Moghtader
and
Craig Scholl
affiliation not provided to SSRN
and
Lazard Asset Management
Date Posted: November 04, 2009Last Revised: November 02, 2010742 downloads
Disclosure Quality and Stock Returns in the UK Journal of Applied Accounting Research, Forthcoming
Khaled Hussainey
Date Posted: November 04, 2009Last Revised: February 14, 2010377 downloads
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
Aurélien Alfonsi
and
Alexander Schied
Date Posted: November 04, 2009Last Revised: April 16, 2010418 downloads
Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem SIAM Journal on Financial Mathematics, Forthcoming
Aurélien Alfonsi
,
Alexander Schied
and
Alla Slynko
Date Posted: November 04, 2009Last Revised: April 02, 2012691 downloads
Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units
Duy Minh Dang
Date Posted: November 04, 2009Last Revised: February 17, 2010482 downloads
Smart Money or Smart about Money? Evidence from Hedge Funds
Gideon Ozik
and
Ronnie Sadka
Date Posted: November 04, 2009Last Revised: March 16, 2010283 downloads
An Empirical Comparison of Default Swap Pricing Models ERIM Report Series Reference No. ERS-2002-23-F&A
Patrick Houweling and
Ton Vorst
Date Posted: November 03, 2009191 downloads
Does Secondary Loan Market Trading Destroy Lenders’ Incentives? Chicago Booth Research Paper No. 09-45
Robert M. Bushman and
Regina Wittenberg Moerman
Date Posted: November 03, 2009Last Revised: September 02, 2012356 downloads
How Do Alphas and Betas Move? Uncertainty, Learning and Time Variation in Risk Loadings
Carmine Trecroci
Date Posted: November 03, 2009Last Revised: July 27, 2010289 downloads
Is Oil a Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years Università degli Studi di Firenze, Dipartimento di Scienze Economiche Working Paoer No. 12/2009,
Giulio Cifarelli
and
Giovanna Paladino
Date Posted: November 03, 200977 downloads
Use of Mathematical Models of the Interest Rate Processes for the Analysis of Yield Time Series
Natalia Ilieva
affiliation not provided to SSRN
Date Posted: November 03, 200958 downloads
Two Heads are Less Bubbly than One: Team Decision-Making in an Experimental Asset Market IZA Discussion Paper No. 4507
Stephen L. Cheung
and
Stefan Palan
Date Posted: November 02, 200974 downloads
Hedge Funds: Pricing Controls and the Smoothing of Self-Reported Returns Chicago Booth Research Paper No. 09-43
Gavin Cassar
and
Joseph Gerakos
Date Posted: November 02, 2009497 downloads
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes Journal of Wealth Management, Vol. 12, No. 3, pp. 61-77, 2009
Niels Bekkers
,
Ronald Q. Doeswijk and
Trevin W. Lam
Date Posted: November 02, 2009
A Model of Price, Volume and Sequential Information International Journal of Business and Economics, Vol. 6, 2007
Gaiyan Zhang
Date Posted: November 01, 200956 downloads
A New Value-to-Price Anomaly and the Idiosyncratic Risk
Lee-Seok Hwang and
Byungcherl Charlie Sohn
Date Posted: November 01, 2009Last Revised: January 27, 2011191 downloads
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