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SSRN eLibrary Search Results
JEL Code: G10
1,446,572 Total downloads
Showing Papers 81 - 130 of 4,441
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Bond Risk Premia: A New Perspective
Andrea Carnelli and Paul Whelan
Imperial College London and Imperial College Business School
Date Posted: April 01, 2013
Last Revised: May 18, 2013
Working Paper Series

Incl. Electronic Paper Systemic Risk and Cross-Sectional Hedge Fund Returns
 Stephen J. Brown , Inchang Hwang , Francis Haeuck In and Tong Suk Kim
New York University - Stern School of Business , New York University Stern School of Business , Monash University - Department of Accounting and Finance and Korea Advanced Institute of Science and Technology (KAIST)
Date Posted: April 01, 2013
Last Revised: May 06, 2013
Working Paper Series
34 downloads

Time-Deformation Modeling of Stock Returns Directed by Duration Processes
Econometric Reviews, Forthcoming
 Dingan Feng , Peter X. K. Song and Tony S. Wirjanto
Independent , Independent and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: April 01, 2013
Accepted Paper Series

A Threshold Stochastic Conditional Duration Model for Financial Transaction Data
 Zhongxian Men , Tony S. Wirjanto and Adam W. Kolkiewicz
Independent , University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science and Independent
Date Posted: March 31, 2013
Working Paper Series

Stochastic Conditional Duration Models with Mixture Processes
 Tony S. Wirjanto , Adam W. Kolkiewicz and Zhongxian Men
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science , Independent and Independent
Date Posted: March 31, 2013
Working Paper Series

Bayesian Inference of Asymmetric Stochastic Conditional Duration Models
 Zhongxian Men , Adam W. Kolkiewicz and Tony S. Wirjanto
Independent , Independent and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Working Paper Series

Modeling the Leverage Effect with Copulas and Realized Volatility
Finance Research Letters 5 (2008) 221-227
 Cathy Ning , Tony S. Wirjanto and Dinghai Xu
Ryerson University , University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science and Independent
Date Posted: March 31, 2013
Accepted Paper Series

Incl. Electronic Paper Asset Price Trend Theory: Reframing Portfolio Theory from the Ground Up
 Robert Dubois
Trend Modus Capital Management LLC
Date Posted: March 31, 2013
Last Revised: May 11, 2013
Working Paper Series
698 downloads

Incl. Electronic Paper Financial Contagion in South Asia: An EGARCH Approach
American Journal of Scientific Research, 85,105-111 (2013)
 Syed Kashif Saeed , Khalid Riaz and Usman Ayub
COMSATS Institute of Information Technology , COMSATS Institute of Information Technology and COMSATS Institute of Information Technology
Date Posted: March 31, 2013
Working Paper Series
18 downloads

Incl. Electronic Paper An Investigation of Beta and Downside Beta Based CAPM-Case Study of Karachi Stock Exchange
American Journal of Scientific Research, 85,118-135 (2013)
 Mohammad Tahir , Qaiser Abbas , Shahid Mehmood Sargana , Usman Ayub and Syed Kashif Saeed
COMSATS Institute of Information Technology , CIIT , CIIT , COMSATS Institute of Information Technology and COMSATS Institute of Information Technology
Date Posted: March 31, 2013
Working Paper Series
32 downloads

Incl. Electronic Paper Estimation of Quarticity with High Frequency Data
Quantitative Finance, Vol. 12(4) (2012), pp. 607-622
 Maria Elvira Mancino and Simona Sanfelici
University of Florence - Department of Mathematics for Decisions and University of Parma - Facoltà di Economia
Date Posted: March 30, 2013
Last Revised: April 02, 2013
Accepted Paper Series
16 downloads

Incl. Electronic Paper Beta of Viet Nam Listed Banking and Other Financial Service Company Groups During and After the Financial Crisis 2007-2011
 Dinh Tran Ngoc Huy
International University of Japan - GSIM
Date Posted: March 29, 2013
Working Paper Series
14 downloads

Incl. Electronic Paper Barrier Options Under Lévy Processes: A Simple Short-Cut
 José Fajardo
Getulio Vargas Foundation
Date Posted: March 28, 2013
Last Revised: April 19, 2013
Working Paper Series
12 downloads

Incl. Electronic Paper Outperformance Portfolio Optimization Via the Equivalence of Pure and Randomized Hypothesis Testing
Finance Stochastics, Forthcoming
 Tim Leung , Qingshuo Song and Jie Yang
Columbia University , City University of Hong Kong and University of Illinois, Chicago
Date Posted: March 27, 2013
Last Revised: April 01, 2013
Accepted Paper Series
41 downloads

Incl. Electronic Paper Futures Market and Economic Integrations
7th International Conference «Economic integration, cooperation and competition», Opatija, Croatia, 2009.,
Ivo Šperanda
Independent
Date Posted: March 27, 2013
Last Revised: April 17, 2013
Working Paper Series
3 downloads

Incl. Electronic Paper Worst-Case Consumption-Portfolio Optimization
 Sascha Desmettre , Ralf Korn and Frank Thomas Seifried
Fraunhofer ITWM - Department of Finance , University of Kaiserslautern - Department of Mathematics and University of Kaiserslautern
Date Posted: March 26, 2013
Working Paper Series
29 downloads

Incl. Electronic Paper Estimating Beta of Viet Nam Listed Public Utilities, Natural Gas and Oil Company Groups During and After the Financial Crisis 2007-2011
 Dinh Tran Ngoc Huy
International University of Japan - GSIM
Date Posted: March 25, 2013
Last Revised: April 03, 2013
Working Paper Series
6 downloads

Incl. Electronic Paper Do High-Frequency Traders Anticipate Buying and Selling Pressure?
 Nicholas Hirschey
London Business School
Date Posted: March 24, 2013
Last Revised: April 02, 2013
Working Paper Series
125 downloads

Incl. Electronic Paper Equity Risk Premiums (ERP): Determinants, Estimation and Implications – The 2013 Edition
 Aswath Damodaran
New York University - Stern School of Business
Date Posted: March 24, 2013
Working Paper Series
2447 downloads

Incl. Electronic Paper The Impact of Visible and Dark Orders
 Nataliya Bershova , Christopher R. Stephens and Henri Waelbroeck
AllianceBernstein LP , Universidad Nacional Autonoma de Mexico and Portware LLC
Date Posted: March 24, 2013
Last Revised: March 27, 2013
Working Paper Series
33 downloads

Study on Awareness Level and Usage of IPO Grading Among Investors of Gandhinagar City
Indira Management Review- Bi-Annual Research and Academic Journal, Vol. VII, Issue 1, January 2013, pp.57- 69, ISSN: 0974-3928
 Jigna C. Trivedi
Shri Jairambhai Patel Institute of Business Management and Computer Applications
Date Posted: March 24, 2013
Accepted Paper Series

Incl. Electronic Paper High Frequency Quoting: Short-Term Volatility in Bids and Offers
 Joel Hasbrouck
New York University (NYU) - Department of Finance
Date Posted: March 24, 2013
Last Revised: May 03, 2013
Working Paper Series
94 downloads

Incl. Electronic Paper Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets
 Vladimir Filimonov , David Bicchetti , Nicolas Maystre and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) , United Nations - Conference on Trade and Development (UNCTAD) , UNCTAD - United Nations Conference on Trade and Development and Swiss Finance Institute
Date Posted: March 23, 2013
Working Paper Series
692 downloads

Incl. Electronic Paper A Study of Impact of Macroeconomic Variables on Performance of Nifty
 Saurabh Singh , L. K. Tripathi and Arpan Arashar
Graduate School of Business, Devi Ahilya Vishwavidyalaya (DAVV) University , Devi Ahilya Vishwavidyalaya (DAVV) University and Devi Ahilya Vishwavidyalaya (DAVV) University
Date Posted: March 23, 2013
Last Revised: March 26, 2013
Working Paper Series
30 downloads

Incl. Electronic Paper Balkan Countries: Catching Up and Their Integration in the European Financial System
 Fabienne Bonetto , Srdjan Redžepagić and Anna Tykhonenko
Université de Nice Sophia Antipolis , Institute of Economic Sciences Belgrade and Université de Nice Sophia Antipolis
Date Posted: March 23, 2013
Working Paper Series
3 downloads

Incl. Electronic Paper Beta of Viet Nam Listed Computer and Electrical Company Groups During and after the Financial Crisis 2007-2011
Asian Journal of Finance and Accounting, Vol.5, No.1, 2013
 Dinh Tran Ngoc Huy
International University of Japan - GSIM
Date Posted: March 20, 2013
Last Revised: April 15, 2013
Accepted Paper Series
7 downloads

Incl. Electronic Paper Economic Uncertainty and the Cross-Section of Hedge Fund Returns
 Turan G. Bali , Stephen J. Brown and Mustafa O. Caglayan
Georgetown University - Robert Emmett McDonough School of Business , New York University - Stern School of Business and Ozyegin University
Date Posted: March 20, 2013
Working Paper Series
86 downloads

Weighting Methods for Financial Stress Indices - Comparison and Implications for Risk Management
Journal of Financial Management and Analysis, Volume 25, No. 2, July-December, 2012
 Dieter Gramlich , Timothy Bianco and Mikhail V. Oet
Baden-Württemberg Cooperative State University , Federal Reserve Banks - Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: March 20, 2013
Accepted Paper Series

Incl. Electronic Paper What Determines Stock Market Behavior in Russia and Other Emerging Countries?
BOFIT Discussion Paper No. 4/2013
 Iikka Korhonen and Anatoly Peresetsky
Bank of Finland - Institute for Economies in Transition (BOFIT) and National Research University Higher School of Economics
Date Posted: March 20, 2013
Working Paper Series
6 downloads

Incl. Electronic Paper The Small-Maturity Heston Forward Smile
 Antoine Jacquier and Patrick Roome
Imperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Date Posted: March 19, 2013
Last Revised: April 16, 2013
Working Paper Series
18 downloads

Incl. Electronic Paper Tracing Tails – Large Idiosyncratic Income Shocks in a Heterogeneous Agent Asset Pricing Model
 Tobias Langen
University of Tübingen
Date Posted: March 19, 2013
Last Revised: April 14, 2013
Working Paper Series
11 downloads

Incl. Electronic Paper Better the Devil You Know: The Role of Political Uncertainty in Determining Financial Market Uncertainty
 Lee A. Smales
Curtin University of Technology - School of Economics and Finance
Date Posted: March 19, 2013
Working Paper Series
9 downloads

Incl. Electronic Paper Experimental Research on Asset Pricing
CentER Discussion Paper Series No. 2013-020
 Charles N. Noussair and Steven James Tucker
Tilburg University and University of Waikato Management School - Economics
Date Posted: March 18, 2013
Working Paper Series
35 downloads

Incl. Electronic Paper Beta of Viet Nam Listed Hotel, Tourism and Entertainment Company Groups During and After the Financial Crisis 2007-2011
 Dinh Tran Ngoc Huy
International University of Japan - GSIM
Date Posted: March 17, 2013
Working Paper Series
6 downloads

Incl. Electronic Paper The Effects of the European Regulation 1606/2002 on Market Efficiency: Early Empirical Evidence and Some Suggestions for Future Research and Policy-Making Discussion
The European Union Review, Vol. 17, No 3, 2012, University of Turin Department of Economics Working Paper No. 10/2013
 Vera Palea
University of Turin
Date Posted: March 17, 2013
Last Revised: April 10, 2013
Accepted Paper Series
12 downloads

Incl. Electronic Paper Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies
 Steve Crawford and Shastri Sandy
Rice University and University of Missouri
Date Posted: March 16, 2013
Last Revised: April 16, 2013
Working Paper Series
41 downloads

Incl. Fee Electronic Paper Asymmetric Trading by Insiders – Comparing Abnormal Returns and Earnings Prediction in Spain and Australia
Accounting & Finance, Vol. 53, Issue 1, pp. 163-184, 2013
 Igor Goncharov , Allan Hodgson , Sonia Sanabria and Suntharee Lhaopadchan
WHU - Otto Beisheim School of Management , University of Queensland - Faculty of Business, Economics and Law , Universidad de Alicante-Dpto. Economía Financiera and Kasetsart University - Faculty of Management Sciences
Date Posted: March 16, 2013
Accepted Paper Series

Incl. Fee Electronic Paper The Effect of US Holidays on the European Markets: When the Cat's Away…
Accounting & Finance, Vol. 53, Issue 1, pp. 111-136, 2013
 Jorge Casado , Luis Muga and Rafael Santamaria
NordKapp , University of Navarra and University of Navarra
Date Posted: March 16, 2013
Accepted Paper Series

Incl. Electronic Paper The Shape and Information Content of a Post-MiFID Limit Order Book
 Alfonso Dufour and Satchit Sagade
University of Reading - Henley Business School, ICMA Centre and ICMA Centre, Henley Business School, University of Reading
Date Posted: March 14, 2013
Working Paper Series
50 downloads

Incl. Electronic Paper Early Warning for Currency Crises: What is the Role of Financial Openness?
De Nederlandsche Bank Working Paper No. 373
 Jon Frost and Ayako Saiki
De Nederlandsche Bank and De Nederlandsche Bank - Monetary and Economic Policy Department
Date Posted: March 14, 2013
Working Paper Series
9 downloads

Incl. Electronic Paper Investment Constraints and Delegated Portfolio Management
 Wei-Lin Liu
Nanyang Technological University (NTU)
Date Posted: March 13, 2013
Working Paper Series
39 downloads

Detecting News in Aggregate Accounting Earnings: Implications for Stock Market Valuation
Review of Accounting Studies, Forthcoming
 Panos N. Patatoukas
University of California, Berkeley - Haas School of Business
Date Posted: March 13, 2013
Accepted Paper Series

Incl. Electronic Paper A Bayesian Understanding of Information Uncertainty and the Cost of Capital
 David James Johnstone
University of Sydney - Discipline of Finance
Date Posted: March 12, 2013
Working Paper Series
73 downloads

Incl. Electronic Paper Identifying Term Interbank Loans from Fedwire Payments Data
FRB of New York Staff Report No. 603
 Dennis Kuo , David R. Skeie , James I. Vickery and Thomas Youle
University of California, Los Angeles (UCLA) , Federal Reserve Bank of New York , Federal Reserve Bank of New York and University of Minnesota - Twin Cities - Department of Economics
Date Posted: March 12, 2013
Working Paper Series
20 downloads

Incl. Electronic Paper Risk Adjustments of Option Prices under Time-Changed Dynamics
 Elisa Nicolato and David Sloth
University of Aarhus - Business and Social Sciences and Graduate School of Business, Aarhus University
Date Posted: March 11, 2013
Last Revised: May 11, 2013
Working Paper Series
39 downloads

Weak Form Efficiency of the Nigerian Stock Market: An Empirical Analysis (1984–2009)
International Journal of Economics and Financial Issues Vol. 2, No. 3, 2012, pp. 340-347
Pyemo Afego
North-Eastern Hill University
Date Posted: March 11, 2013
Accepted Paper Series

Incl. Electronic Paper End the Charade: Replacing the Efficient Frontier with the Efficient Range
 Meir Statman and Joni Clark
Santa Clara University - Department of Finance and Loring Ward
Date Posted: March 10, 2013
Working Paper Series
28 downloads

Incl. Electronic Paper Time-Varying Mixture GARCH Models and Asymmetric Volatility
Swiss Finance Institute Research Paper No. 13-04
 Markus Haas , Jochen Krause , Marc S. Paolella and Sven C. Steude
Ludwig Maximilians University of Munich - Department of Statistics , University of Zurich - Department of Banking and Finance , University of Zurich and University of Zurich - Department of Banking and Finance
Date Posted: March 10, 2013
Working Paper Series
44 downloads

Incl. Electronic Paper Is Your Fund's Board Watching Out for You?
 Javier Vidal
Harvard University
Date Posted: March 10, 2013
Last Revised: March 20, 2013
Working Paper Series
24 downloads

Incl. Electronic Paper Ek Parasal Sıkılaştırma’nın Döviz Kurları Üzerindeki Etkisi (The Effects of Additional Monetary Tightening on Exchange Rates)
Central Bank of the Republic of Turkey Economic Notes No. 12/30
Yasin Akcelik , Ergun Ermisoglu , Arif Oduncu and Temel Taskin
Central Bank of Turkey , Central Bank of Turkey , Central Bank of Turkey and Central Bank of the Republic of Turkey
Date Posted: March 10, 2013
Last Revised: March 13, 2013
Working Paper Series
7 downloads


 

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