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JEL Code: G12
5,802,845 Total downloads
Showing Papers 621 - 670 of 13,813
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On the Design of Sell-Side Limit and Market Order Tactics The Journal of Trading, Summer 2012, Vol. 7, No. 3, pp. 29-39
Vladimir Markov
Date Posted: December 13, 201260 downloads
Design and Implementation of Schedule-Based Trading Strategies Based on Uncertainty Bands The Journal of Trading, Fall 2011, Vol. 6, No. 4, pp. 45-52
Vladimir Markov
,
Slava Mazur
and
David Saltz
Date Posted: December 13, 201270 downloads
Incorporating Technical Risk in Compound Real Option Models to Value a Pharmaceutical R&D Licensing Opportunity Research Policy, Vol. 40, No. 9, November 2011
Danny Cassimon
,
Marianne De Backer
,
Peter-Jan Engelen
,
Martine Van Wouwe
and
Vilimir Yordanov
Date Posted: December 12, 2012Last Revised: April 18, 20133 downloads
Option Bounds for Short Variance Swaps and the Variance Risk Premium Adjusting for Skewness
Steven J. Jordan
and
Shirley J. Huang
affiliation not provided to SSRN
and
University of Auckland - Department of Mathematics
Date Posted: December 12, 201233 downloads
Evaluating Hedge Funds with Pooled Benchmarks
Michael O'Doherty
,
N. Eugene Savin and
Ashish Tiwari
Date Posted: December 12, 2012Last Revised: February 05, 201334 downloads
Noise, Beliefs, and Momentum
Steven J. Jordan
affiliation not provided to SSRN
Date Posted: December 12, 2012145 downloads
Decomposing the Value of a Pharmaceutical Firm International Journal of Pharmaceutical Medicine, Vol. 20, No. 2, pp. 87-97, 2006
Danny Cassimon
,
Peter-Jan Engelen
and
Vilimir Yordanov
Date Posted: December 12, 2012Last Revised: March 05, 201332 downloads
On the Robustness of Fama and French Model: Evidence from Italy Journal of Applied Finance and Banking, Vol. 1, No. 4, pp. 201-221
Antonella Silvestri
and
Stefania Veltri
Date Posted: December 11, 201231 downloads
Let's Celebrate! Cultural New Year Holidays and Stock Returns Around the World
Kelley Bergsma
and
Danling Jiang
Date Posted: December 11, 2012Last Revised: March 23, 201318 downloads
On the Risk and Return of the Carry Trade Swiss Finance Institute Research Paper No. 12-36
Fabian Ackermann
,
Walt Pohl
and
Karl H. Schmedders
Date Posted: December 11, 2012308 downloads
Investor Sophistication and Asset Prices
George M. Korniotis
,
Alok Kumar and
Jeremy K. Page
Date Posted: December 10, 2012Last Revised: March 15, 2013118 downloads
Accounting Standards, Cost of Capital, Resource Allocation, and Welfare in a Large Economy Forthcoming in The Accounting Review (2013)
Guochang Zhang
Date Posted: December 10, 2012151 downloads
Hopf Bifurcation Analysis in a Chartist-Fundamentalist Model with Time-Delays
Loretti Dobrescu ,
Mihaela Neamtu
and
Dumitru Opris
Date Posted: December 10, 20128 downloads
Investors' Heterogeneity and Implied Volatility Smiles
Tao Li
Date Posted: December 10, 201272 downloads
Forecasting Stock Returns Under Economic Constraints
Davide Pettenuzzo ,
Allan G. Timmermann and
Rossen I. Valkanov
Date Posted: December 09, 201279 downloads
Market Belief Risk and the Cross-Section of Stock Returns Swiss Finance Institute Research Paper No. 12-37
Rajna Gibson and
Songtao Wang
Date Posted: December 08, 2012129 downloads
Multifactor Explanations of Returns on the Warsaw Stock Exchange in Light of the ICAPM Economic Systems, Vol. 36, No. 4, 2012
Stanislaw Urbanski
Date Posted: December 08, 2012
Firm Volatility in Granular Networks Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-56
Bryan T. Kelly ,
Hanno N. Lustig and
Stijn Van Nieuwerburgh
Date Posted: December 07, 2012Last Revised: March 31, 2013207 downloads
A Quantitative Study of the Role of Wealth Inequality on Asset Prices FRB Richmond Working Paper No. 05-12
Juan Carlos Hatchondo
Date Posted: December 06, 20124 downloads
IPOs as an Exit Strategy for Financial Investors in German IPO Market Corporate Finance Biz (German), No. 1/2011, pp. 52-60
Tim Alexander Herberger
and
Andreas Oehler
Date Posted: December 06, 2012
Extended Dividend, Cash Flow and Residual Income Valuation Models - Accounting for Deviations from Ideal Conditions Contemporary Accounting Research, Forthcoming
Nicolas Heinrichs ,
Dieter Hess ,
Carsten Homburg ,
Michael Lorenz
and
Soenke Sievers
Date Posted: December 06, 2012
Valoracion de una expropiacion: YPF y Repsol en Argentina (Valuation of an Expropriated Company: The Case of YPF and Repsol in Argentina)
Pablo Fernandez
Date Posted: December 06, 2012Last Revised: April 18, 20132213 downloads
Risk Perceptions and Attitudes
Miroslav Misina
Date Posted: December 06, 2012
Credit-IR-FX Hybrid Derivatives without Stochastic Hazard Rates
Roman Werpachowski and
Jerome Connor
Date Posted: December 06, 2012Last Revised: December 12, 201266 downloads
Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory
Riccardo Colacito ,
Eric Ghysels and
Jinghan Meng
Date Posted: December 06, 2012Last Revised: May 05, 201373 downloads
The Valuation of Callable Bonds with Floored CMS-Spread Coupons Wilmott Magazine, pp. 106-125, November 2007
Peter Løchte Jørgensen and
David Skovmand
Date Posted: December 06, 2012
Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les 'Credit Default Swap' (Credit Derivatives: A Study of the Impact of the Risk Premium of Variance (PRV) on 'Credit Default Swap')
Ghada Zgolli
Date Posted: December 05, 201236 downloads
Investment Horizons and Asset Prices Under Asymmetric Information Marshall School of Business Working Paper No. FBE 03.13
Elias Albagli
Date Posted: December 05, 2012Last Revised: April 24, 201366 downloads
Asymptotics of Forward Implied Volatility
Antoine Jacquier
and
Patrick Roome
Date Posted: December 05, 2012Last Revised: December 18, 201243 downloads
The Scale of Predictability
Federico M. Bandi ,
Benoit Perron ,
Andrea Tamoni
and
Claudio Tebaldi
Date Posted: December 05, 2012Last Revised: December 15, 2012128 downloads
A Separating Equilibrium for Stock Repurchase Programs via PUT Options:
Transforming a Mathematical Proof into Visual Form
Stanley B. Gyoshev and
Michael Gombola
Date Posted: December 04, 201229 downloads
Why Do Financial Intermediaries Buy Put Options from Companies?
Stanley B. Gyoshev ,
Todd R. Kaplan ,
Samuel H. Szewczyk and
George P. Tsetsekos
Date Posted: December 04, 2012Last Revised: January 06, 201339 downloads
Orphans Deserve Attention: Financial Reporting in the Missing Months When Corporations Change Fiscal Year Accounting Review, May 2013
Kai Du
and
Frank Zhang
Date Posted: December 04, 201251 downloads
Implications of Predictability Across Horizons for Asset Pricing Models
Carlo A. Favero ,
Fulvio Ortu ,
Andrea Tamoni
and
Haoxi Yang
Date Posted: December 04, 201248 downloads
Precificação do Retorno de Mercados Latinos: Uma Abordagem Intertemporal e Interquantílica (Latin Markets Return Pricing: An Intertemporal and Interquantile Approach)
Paulo Sergio Ceretta
,
Bruno Milani
,
Fernanda and
Marcelo Brutti Righi
Date Posted: December 03, 201214 downloads
Risk of Volatility and Capital Structure: A Cross-sectional Analysis
Babak Lotfaliei
Date Posted: December 03, 2012Last Revised: May 09, 2013
Comparing Asset Pricing Models: What Does the Hansen-Jagannathan Distance Tell Us?
Abhay Abhyankar and
Xiang Zhang
Date Posted: December 02, 2012Last Revised: March 28, 201336 downloads
Computing Reliable Default Probabilities in Turbulent Times Rethinking Valuation and Pricing Models, pp. 241-255, Academic Press - Elsevier, 2013, Forthcoming
Mario Maggi
affiliation not provided to SSRN
Date Posted: December 02, 2012
Bad Arbitrage and Enforcement Mechanisms in Economies with Default
José Fajardo
Date Posted: December 02, 2012Last Revised: May 15, 20133 downloads
What is Risk Neutral Volatility?
Stephen Figlewski
Date Posted: December 02, 2012189 downloads
Do Bubbles Occur in Gold Prices? Evidence from Gold Lease Rates and Markov Switching Models
Brian M. Lucey and
Fergal A. O'Connor
Date Posted: December 02, 2012124 downloads
The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models
Paola Brighi
,
Stefano d'Addona
and
Antonio Carlo Francesco Della Bina
Date Posted: December 02, 201235 downloads
Expected Returns Dynamics Implied by Firm Fundamentals Harvard Business School Accounting & Management Unit Working Paper No. 13-050, Rotman School of Management Working Paper No. 2182628
Matthew R. Lyle
and
Charles C. Y. Wang
Date Posted: December 02, 2012Last Revised: March 26, 2013454 downloads
From the Horse's Mouth: How Do Investor Expectations of Risk and Return Vary with Economic Conditions? FRB of Chicago Working Paper No. 2012-08
Gene Amromin
and
Steven A. Sharpe
Date Posted: December 02, 201240 downloads
Risk Aversion and Reaction to News About Long-Term Economic Growth Rates
Jan Schneider
Date Posted: December 01, 201248 downloads
Regime Identification in Limit Order Books
Rossen Trendafilov
and
Erick Williams Rengifo
Date Posted: December 01, 2012Last Revised: April 12, 201399 downloads
Whether Cross-Listing, Stock-Specifi c and Market-Wide Calendar Events Impact Intraday Volatility Dynamics? Evidence from the Indian Stock Market Using High-Frequency Data
Sobhesh Kumar Agarwalla and
Ajay Pandey
Date Posted: November 30, 201222 downloads
Calibrating and Pricing with Stochastic-Local Volatility Model
Yu Tian
,
Zili Zhu
,
Fima Klebaner
and
Kais Hamza
Date Posted: November 30, 2012242 downloads
A Comparison of Cost of Equity Estimates of Local and Global CAPM: Experience from a Developing Country, Mexico Proceedings of the 18th International Business Research Conference, 2012
Cuauhtemoc Villarreal Celestino
Date Posted: November 30, 201215 downloads
Firm Characteristics and Empirical Factor Models: A Data-Mining Experiment FRB International Finance Discussion Paper
Leonid Kogan and
Mary H. Tian
Date Posted: November 29, 2012Last Revised: January 16, 2013177 downloads
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