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393,706
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238,981
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JEL Code: G12
5,802,627 Total downloads
Showing Papers 6,301 - 6,350 of 13,813
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Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
Zhongjun Qu
Date Posted: June 30, 200879 downloads
Analysis of the Dot-Com Bubble of the 1990s
John J. Morris and
Pervaiz Alam
Date Posted: June 29, 2008737 downloads
The Effects of International Financial Reporting Standards on the Accounts and Accounting Quality of Australian Firms: A Retrospective Study Journal of Contemporary Accounting and Economics, December 2008
John Goodwin ,
Kamran Ahmed and
Richard A. Heaney
Date Posted: June 28, 2008
Housing, Home Production, and the Equity and Value Premium Puzzles FRB International Finance Discussion Paper No. 931
Morris A. Davis and
Robert F. Martin
Date Posted: June 27, 200836 downloads
The Long-Term Price Effect of S&P 500 Index Addition and Earnings Quality Financial Analysts Journal, Vol. 64, No. 5, 2008
Petya Platikanova
Date Posted: June 27, 2008Last Revised: September 24, 2008
Farmland Prices, Structural Breaks and Panel Data European Review of Agricultural Economics, Vol. 34, No. 2, pp. 161-179, 2007
L. Gutierrez ,
Joakim Westerlund and
Ken Erickson
Date Posted: June 26, 2008
Asset Pricing with Limited Risk Sharing and Heterogeneous Agents The Review of Financial Studies, Vol. 21, Issue 1, pp. 415-448, 2008
Francisco Gomes and
Alexander Michaelides
Date Posted: June 26, 2008
Bubbles: Some Perspectives (and Loose Talk) from History The Review of Financial Studies, Vol. 21, Issue 1, pp. 11-17, 2008
Maureen O'Hara
Date Posted: June 26, 2008
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence The Review of Financial Studies, Vol. 21, Issue 1, pp. 181-231, 2008
Fousseni Chabi-Yo
Date Posted: June 26, 2008
Estimating the Dynamics of Mutual Fund Alphas and Betas The Review of Financial Studies, Vol. 21, Issue 1, pp. 233-264, 2008
Harry Mamaysky
,
Matthew I. Spiegel and
Hong Zhang
Date Posted: June 26, 2008
Is Nonlinear Drift Implied by the Short End of the Term Structure? The Review of Financial Studies, Vol. 21, Issue 1, pp. 311-346, 2008
Hideyuki Takamizawa
Date Posted: June 26, 2008
Money Illusion and Housing Frenzies The Review of Financial Studies, Vol. 21, Issue 1, pp. 135-180, 2008
Markus K. Brunnermeier and
Christian Julliard
Date Posted: June 26, 2008
Relative Wealth Concerns and Financial Bubbles The Review of Financial Studies, Vol. 21, No. 1, pp. 19-50, 2008
Peter M. DeMarzo
and
Ron Kaniel
Date Posted: June 26, 2008
Turning Over Turnover The Review of Financial Studies, Vol. 20, Issue 6, pp. 1749-1782, 2007
Martijn Cremers and
Jianping Mei
Date Posted: June 26, 2008
Changing Characteristics of Betas: Are EREITs 'Glamorous' Stocks?
Tien Foo Sing ,
I. Chun Tsai
and
Ming-Chi Chen
Date Posted: June 25, 2008Last Revised: January 31, 201382 downloads
A Bridge between Mortgage TBA Options and Swaptions Risk, pp. 86-89, May 2008
Shijun Liu
Date Posted: June 25, 2008
A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices
Zhongjun Qu
and
Pierre Perron
Date Posted: June 25, 200878 downloads
An Iterated GMM Procedure for Estimating the Campbell-Cochrane Habit Formation Model, with an Application to Danish Stock and Bond Returns International Journal of Finance and Economics, Vol. 15, No. 2, pp. 213-227, 2010
Tom Engsted and
Stig Vinther Møller
Date Posted: June 25, 2008Last Revised: May 14, 201193 downloads
Analyst Behavior Following IPOs: The Bubble Period Evidence The Review of Financial Studies, Vol. 21, No. 1, pp. 101-133, 2008
Daniel J. Bradley ,
Bradford D. Jordan and
Jay R. Ritter
Date Posted: June 25, 2008
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation The Review of Financial Studies, Vol. 20, No. 5, pp. 1547-1581, 2007
Yongmiao Hong
and
Guofu Zhou
Date Posted: June 25, 2008
How Bad Will the Potential Economic Disasters Be? Evidences from S&P 500 Index Options Data
Du Du
Date Posted: June 25, 2008202 downloads
Real Interest Rate Persistence: Evidence and Implications
Christopher J. Neely and
David Rapach
Date Posted: June 25, 2008
Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach CREATES Research Paper No. 2008-15
Jie Zhu
Date Posted: June 25, 2008137 downloads
The Equity Premium in 100 Textbooks
Pablo Fernandez
Date Posted: June 25, 2008Last Revised: February 06, 20093149 downloads
The Scale-Invariant Brownian Motion Equation and the Lognormal Cascade in the Stock Market
Stephen H.T. Lihn
affiliation not provided to SSRN
Date Posted: June 25, 2008264 downloads
Was There a Bubble in Nasdaq? Information-Based Reexamination
Peter Lerner (Ret.)
Date Posted: June 25, 2008115 downloads
Can Exchange Traded Funds be Used to Exploit Country and Industry Momentum? Financial Markets and Portfolio Management, Forthcoming
Laura Andreu
,
Laurens A. P. Swinkels and
Liam Tjong-A-Tjoe
Date Posted: June 24, 2008Last Revised: October 07, 2012596 downloads
Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation
Damiano Brigo ,
Kyriakos Chourdakis and
Imane Bakkar
Date Posted: June 24, 2008564 downloads
Forward-Looking Betas CREATES Research Paper No. 2007-39
Peter Christoffersen ,
Kris Jacobs and
Gregory Vainberg
Date Posted: June 24, 2008267 downloads
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model CREATES Research Paper No. 2007-10
Bent Jesper Christensen ,
Morten Ørregaard Nielsen and
Jie Zhu
Date Posted: June 24, 200854 downloads
Models for S&P 500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices CREATES Research Paper No. 2007-37
Peter Christoffersen ,
Kris Jacobs and
Karim Mimouni
Date Posted: June 24, 2008204 downloads
The Value-Relevance of Financial Statement Recognition Versus Note Disclosure: Evidence from Goodwill Accounting European Accounting Review, Forthcoming
Khaled Aljifri
and
David B. Citron
Date Posted: June 24, 2008
Construction and Interpretation of Model-Free Implied Volatility
Torben G. Andersen and
Oleg Bondarenko
Date Posted: June 23, 2008Last Revised: October 12, 2011358 downloads
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities CREATES Research Paper 2007-16
Tim Bollerslev ,
Michael S. Gibson and
Hao Zhou
Date Posted: June 23, 2008Last Revised: September 25, 2009262 downloads
Habit Formation, Surplus Consumption and Return Predictability: International Evidence Journal of International Money and Finance, Vol. 29, pp. 1237-1255, 2010
Tom Engsted ,
Stuart Hyde and
Stig Vinther Møller
Date Posted: June 23, 2008Last Revised: May 14, 2011148 downloads
Individualism and Momentum Around the World Journal of Finance, Forthcoming
Andy C.W. Chui ,
Sheridan Titman and
K. C. John Wei
Date Posted: June 23, 2008Last Revised: February 25, 2009947 downloads
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks CREATES Research Paper No. 2007-15
Viktor Todorov
and
Tim Bollerslev
Date Posted: June 23, 2008222 downloads
Pricing Options on the Dax - An Empirical Investigation
Rene Reinsberg
Date Posted: June 23, 2008178 downloads
Risk, Jumps, and Diversification CREATES Research Paper 2007-19
Tim Bollerslev ,
Tzuo Hann Law
and
George Tauchen
affiliation not provided to SSRN
and
Duke University - Economics Group
Date Posted: June 23, 2008131 downloads
Testing for Bubbles in Housing Markets: A Panel Data Approach CERGE-EI Working Paper No. 338
Vyacheslav Mikhed
and
Petr Zemcik
Date Posted: June 23, 2008170 downloads
Uninsurable Risk and Financial Market Puzzles
Parantap Basu ,
Andrei Semenov
and
Kenji Wada
Date Posted: June 23, 200855 downloads
Sell-Side Debt Analysts and Market Efficiency
Umit G. Gurun
,
Rick Johnston and
Stanimir Markov
Date Posted: June 22, 2008Last Revised: September 30, 2011291 downloads
What Does Equity Sector Orderflow Tell Us About the Economy?
Alessandro Beber
,
Michael W. Brandt and
Kenneth A. Kavajecz
Date Posted: June 21, 2008410 downloads
The Effect of Long Memory in Volatility on Stock Market Fluctuations
Morten Ørregaard Nielsen
Date Posted: June 20, 2008113 downloads
Extended Dividend, Cash Flow and Residual Income Valuation Models - Accounting for Deviations from Ideal Conditions
Nicolas Heinrichs ,
Dieter Hess ,
Carsten Homburg ,
Michael Lorenz
and
Soenke Sievers
Date Posted: June 19, 2008Last Revised: June 04, 20111724 downloads
Short-Run Exchange-Rate Dynamics: Theory and Evidence CREATES Research Paper 2008-1
John A. Carlson ,
Christian Dahl
and
Carol L. Osler
affiliation not provided to SSRN
and
Brandeis University - International Business School
Date Posted: June 19, 2008187 downloads
Can Analysts Help to Predict Stock Returns? Implied Cost of Capital and Value-to-Price Ratio in International Capital Markets
Florian Esterer
and
David Schröder
Date Posted: June 18, 2008Last Revised: May 14, 2011338 downloads
Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates
Peter Christoffersen ,
Kris Jacobs ,
Lotfi Karoui
and
Karim Mimouni
Date Posted: June 18, 2008Last Revised: August 01, 2009398 downloads
Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
Chiaki Hara
,
James Huang and
Christoph Kuzmics
Date Posted: June 17, 200869 downloads
The Equity Share in New Issues and Aggregate Stock Returns Journal of Finance, Vol. 55, No. 5, October 2000
Malcolm P. Baker and
Jeffrey Wurgler
Date Posted: June 17, 2008Last Revised: January 13, 2009
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