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JEL Code: C14

563,410 Total downloads

Viewing: 1 - 50 of 3,642 papers

1.

Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers

Miller, J. B., & Sanjurjo, A. (2018). Surprised by the hot hand fallacy? A truth in the law of small numbers. Econometrica, Vol. 86, No.6, pp. 2019–2047,
Number of pages: 42 Posted: 07 Jul 2015 Last Revised: 17 Dec 2018
Working Paper Series
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads 16,851
2.

The Dow Theory: William Peter Hamilton's Track Record Re-Considered

Number of pages: 46 Posted: 11 Feb 1998
Working Paper Series
New York University - Stern School of Business, University of Miami - Miami Herbert Business School and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 13,110
3.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 10,374
4.

Mutual Fund Performance

Number of pages: 86 Posted: 19 Jan 2007
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University College Cork
Downloads 6,851
5.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
University of Oxford and ENSAE Paris
Downloads 3,946
6.

Core Earnings: New Data and Evidence

Harvard Business School Accounting & Management Unit Working Paper No. 20-047, October 2019
Number of pages: 57 Posted: 11 Oct 2019 Last Revised: 14 Jan 2020
Working Paper Series
Harvard Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Harvard Business School
Downloads 3,790
7.

The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee

Number of pages: 74 Posted: 30 Jul 2004
Working Paper Series
Bank of Italy - Banking and Finance Supervision Department
Downloads 3,729
8.

Event Studies: A Methodology Review

Number of pages: 36 Posted: 02 Aug 2009 Last Revised: 20 Aug 2010
Working Paper Series
Deakin University - School of Accounting, Economics & Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,558
9.

The Omega Measure: Hedge Fund Portfolio Optimization

Number of pages: 45 Posted: 05 Feb 2003
Working Paper Series
University of Lausanne and Universite de Lausanne
Downloads 3,514
10.

Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning

Number of pages: 20 Posted: 16 Mar 2018 Last Revised: 29 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics and University of Oxford
Downloads 3,355
11.

The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk

Number of pages: 12 Posted: 07 Jan 1998
Working Paper Series
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 3,117
12.

The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation

Number of pages: 45 Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads 3,099
13.

How Much Should We Trust Estimates from Multiplicative Interaction Models? Simple Tools to Improve Empirical Practice

Political Analysis, forthcoming
Number of pages: 150 Posted: 29 Feb 2016 Last Revised: 29 Apr 2018
Accepted Paper Series
Stanford University - Department of Political Science, Princeton University and University of California, San Diego (UCSD) - Department of Political Science
Downloads 3,078
14.

Conditional Value-at-Risk: Aspects of Modeling and Estimation

MIT Dept. of Economics Working Paper No. 01-19
Number of pages: 28 Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Downloads 3,072
15.

A New Look at Minimum Variance Investing

Number of pages: 23 Posted: 24 Sep 2010
Working Paper Series
EDHEC Business School - Department of Economics & Finance
Downloads 3,063
16.

Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review

Journal of Derivatives, Vol. 7, No. 2, pp. 66-82, Winter 1999
Number of pages: 17 Posted: 21 Oct 1999 Last Revised: 20 Nov 2008
Accepted Paper Series
University of Konstanz - Department of Economics
Downloads 2,912
17.

Large Deviations and the Distribution of Price Changes

Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Number of pages: 30 Posted: 22 Apr 1998
Working Paper Series
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads 2,782
18.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,385
19.

Credit Risk Versus Capital Requirements Under Basel Ii: Are SME Loans and Retail Credit Really Different?

Journal of Financial Services Research, Forthcoming
Number of pages: 29 Posted: 18 Feb 2004
Accepted Paper Series
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads 2,377
20.

Machine Learning for Stock Selection

Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35 Posted: 04 Mar 2019 Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads 2,319
21.

Development and Validation of Credit Scoring Models

Journal of Credit Risk, Forthcoming
Number of pages: 70 Posted: 30 Jul 2008
Accepted Paper Series
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Downloads 2,230
22.

Evolution in Value Relevance of Accounting Information

Stanford University Graduate School of Business Research Paper No. 17-24
Number of pages: 64 Posted: 14 Mar 2017 Last Revised: 29 Aug 2019
Working Paper Series
Stanford University - Graduate School of Business, McMaster University - Michael G. DeGroote School of Business and University of Chicago Booth School of Business
Downloads 2,207
23.

Are Banks Too Big To Fail? Measuring Systemic Importance of Financial Institutions

Number of pages: 40 Posted: 04 Feb 2010
Working Paper Series
De Nederlandsche Bank
Downloads 2,187
24.

A Study on the Association between Brand Awareness and Consumer/Brand Loyalty for the Packaged Milk Industry in Pakistan

South Asian Journal of Management Sciences (SAJMS), Vol.5, No.1.
Number of pages: 11 Posted: 22 Oct 2010 Last Revised: 17 Feb 2011
Accepted Paper Series
Office of Research, Innovation & Commercialization - ORIC and Iqra University Research Centre - IURC
Downloads 1,984
25.

Recovering Risk-Neutral Densities: A New Nonparametric Approach

EFA 2000
Number of pages: 61 Posted: 19 Oct 2000
Working Paper Series
University of Illinois at Chicago - Department of Finance
Downloads 1,972
26.

The Real Effects of Financial Markets: The Impact of Prices on Takeovers

Journal of Finance 67(3), 933-971, June 2012
Number of pages: 58 Posted: 19 Mar 2008 Last Revised: 04 Jun 2014
Accepted Paper Series
London Business School - Institute of Finance and Accounting, University of Pennsylvania - The Wharton School - Finance Department and Columbia Business School - Finance and Economics
Downloads 1,969
27.

Analysis of Financial Time-Series Using Fourier and Wavelet Methods

Number of pages: 36 Posted: 27 Oct 2008
Working Paper Series
Ecole hôtelière de Lausanne
Downloads 1,920
28.

The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach

Number of pages: 69 Posted: 29 Apr 2008 Last Revised: 31 Jan 2010
Working Paper Series
Nova School of Business and Economics, Nova School of Business and Economics and Pennsylvania State University - Department of Economics
Downloads 1,882
29.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 1,875
30.

Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms

FEDS Discussion Paper No. 2005-63, Review of Financial Studies, Forthcoming, BIS Working Paper No. 181
Number of pages: 43 Posted: 20 Sep 2007 Last Revised: 18 Oct 2013
Working Paper Series
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,855
31.

Asset Allocation and Long-Term Returns: An Empirical Approach

Number of pages: 53 Posted: 02 Jan 2006
Working Paper Series
Morgan Stanley and Morgan Stanley
Downloads 1,807
32.

Operators on Inhomogeneous Time Series

Olsen & Associates Working Paper No. 324
Number of pages: 33 Posted: 21 Mar 2000
Working Paper Series
University of Applied Sciences Western Switzerland - Geneva School of Business Administration and Olsen & Associates

Multiple version iconThere are 2 versions of this paper

Downloads 1,731
33.

Robust Standard Error Estimation in Fixed-Effects Panel Models

Number of pages: 30 Posted: 30 Sep 2004
Working Paper Series
Central European University (CEU) - Department of Economics
Downloads 1,723
34.

Measuring Bank Branch Performance Using Data Envelopment Analysis (DEA): The Case of Turkish Bank Branches

African Journal of Business Management, 5(3), 889–901. DOI: 10.5897/AJBM10.584 ,
Number of pages: 13 Posted: 26 Apr 2013
Accepted Paper Series
K?rklareli University UBYO and K?rklareli University
Downloads 1,691
35.

Riding Bubbles

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 80 Posted: 17 Mar 2008 Last Revised: 18 Mar 2010
Working Paper Series
University of Muenster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society

Multiple version iconThere are 2 versions of this paper

Downloads 1,673
36.

Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis

International Journal of Operations Research, Forthcoming
Number of pages: 36 Posted: 12 Jan 2007
Accepted Paper Series
Amrita University - Amrita School of Business, University of California, Santa Barbara (UCSB) - Department of Economics and Cranfield University - School of Management
Downloads 1,645
37.

Corporate Credit Risk Modeling: Quantitative Rating System and Probability of Default Estimation

Number of pages: 70 Posted: 17 May 2005
Working Paper Series
Banco BPI
Downloads 1,635
38.

A Cold Shower for the Hot Hand Fallacy: Robust Evidence that Belief in the Hot Hand is Justified

IGIER Working Paper No. 518
Number of pages: 47 Posted: 15 Jun 2014 Last Revised: 28 Aug 2019
Working Paper Series
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads 1,626
39.

Multivariate and Propensity Score Matching Software with Automated Balance Optimization: The Matching Package for R

Journal of Statistical Software, Forthcoming
Number of pages: 47 Posted: 29 May 2008
Accepted Paper Series
UC Berkeley
Downloads 1,626
40.

Estimating Probabilities of Default for Low Default Portfolios

Number of pages: 24 Posted: 27 Dec 2004
Working Paper Series
Swiss Financial Market Supervisory Authority (FINMA) and Deutsche Bundesbank
Downloads 1,613
41.

Economic Characteristics, Corporate Governance, and the Influence of Compensation Consultants on Executive Pay Levels

Rock Center for Corporate Governance Working Paper No. 15, Review of Accounting Studies, Vol. 17, No. 2, June 2012
Number of pages: 62 Posted: 15 Jun 2008 Last Revised: 12 Sep 2013
Accepted Paper Series
University of Pennsylvania - Accounting Department, University of Pennsylvania - Accounting Department and Stanford University - Graduate School of Business
Downloads 1,603
42.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads 1,561
43.

Robust and Practical Estimation for Measures of Tail Risk

Number of pages: 50 Posted: 02 Jun 2014
Working Paper Series
Independent
Downloads 1,527
44.

Bank Relationships: A Review

Number of pages: 37 Posted: 11 Dec 1998
Working Paper Series
University of Virginia - McIntire School of Commerce and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,486
45.

A Survey of the Literature on Hedge Fund Performance

Number of pages: 58 Posted: 04 Dec 2004
Working Paper Series
EDHEC Business School - EDHEC Risk and Asset Management Research Centre
Downloads 1,447
46.

Good Volatility, Bad Volatility and the Cross-Section of Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 77 Posted: 17 Feb 2015 Last Revised: 12 Dec 2018
Accepted Paper Series
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Duke University, Department of Economics
Downloads 1,433
47.

Total Factor Productivity Estimation: A Practical Review

LICOS Discussion Paper No. 182/2007
Number of pages: 45 Posted: 02 Aug 2007 Last Revised: 16 Feb 2009
Working Paper Series
De Nederlandsche Bank

Multiple version iconThere are 2 versions of this paper

Downloads 1,381
48.

Difference-in-Differences with Multiple Time Periods

Number of pages: 37 Posted: 24 Mar 2018 Last Revised: 25 Nov 2019
Working Paper Series
Temple University and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads 1,362
49.

Accounting for Biases in Black-Scholes

Number of pages: 46 Posted: 03 Sep 2004
Working Paper Series
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,351
50.

Deep Learning in Asset Pricing

Number of pages: 92 Posted: 04 Apr 2019 Last Revised: 06 Dec 2019
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 1,320