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JEL Code: C20

159,591 Total downloads

Viewing: 1 - 50 of 546 papers

1.

…and the Cross-Section of Expected Returns

Number of pages: 101 Posted: 17 Apr 2013 Last Revised: 21 Apr 2015
Working Paper Series
Duke University - Fuqua School of Business, Purdue University and University of Oklahoma
Downloads 20,187
2.

Evaluating Trading Strategies

Number of pages: 16 Posted: 21 May 2019 Last Revised: 21 May 2019
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 10,329
3.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 6,952
4.

Augmented Dickey Fuller Test

Number of pages: 19 Posted: 17 Aug 2011
Working Paper Series
Université Paris I Panthéon-Sorbonne
Downloads 5,722
5.

Econometrics of the Basu Asymmetric Timeliness Coefficient and Accounting Conservatism

Chicago Booth Research Paper No. 09-16
Number of pages: 36 Posted: 13 Jul 2007 Last Revised: 19 Feb 2013
Working Paper Series
University of Chicago - Booth School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 5,474
6.

Shock-Based Causal Inference in Corporate Finance and Accounting Research

Critical Finance Review, 2016, vol. 5, pp. 207-304, ECGI - Finance Working Paper 448/2015, Northwestern Law & Econ Research Paper 11-08
Number of pages: 98 Posted: 08 May 2013 Last Revised: 14 Jan 2017
Accepted Paper Series
William and Mary - Raymond A. Mason School of Business and Northwestern University - Pritzker School of Law
Downloads 3,567
7.

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 3,413
8.

The Overlapping Data Problem

Number of pages: 38 Posted: 16 Apr 1998
Working Paper Series
Toyota Motor Credit Corporation and Oklahoma State University - Stillwater - Department of Agricultural Economics
Downloads 2,291
9.

Quantifying Trading Behavior in Financial Markets Using Google Trends

Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
Number of pages: 6 Posted: 04 May 2013
Accepted Paper Series
Data Science Lab, Behavioural Science, Warwick Business School, Data Science Lab, Behavioural Science, Warwick Business School and Boston University - Center for Polymer Studies
Downloads 2,223
10.

On Estimating Conditional Conservatism

Forthcoming, The Accounting Review, Chicago Booth Research Paper No. 11-09
Number of pages: 56 Posted: 12 Feb 2011 Last Revised: 03 Dec 2012
Accepted Paper Series
University of Chicago - Booth School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago Booth School of Business
Downloads 1,951
11.

Least Squares Percentage Regression

Journal of Modern Applied Statistical Methods, 2009
Number of pages: 12 Posted: 22 May 2009
Working Paper Series
University of Hertfordshire Business School
Downloads 1,797
12.

Go to YouTube and Call Me in the Morning: Use of Social Media for Chronic Conditions

Liu, X., Zhang, B., Susarla, A., and Padman, R. (2020) Go to YouTube and See Me Tomorrow: Social Media and Self-Care of Chronic Conditions. MIS Quarterly, 44(1b), 257–283.
Number of pages: 47 Posted: 30 Oct 2017 Last Revised: 06 Dec 2021
Accepted Paper Series
Arizona State University (ASU)University of Utah, Texas A&M University, Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management and School of Information Systems and Management, The H. John Heinz III College
Downloads 1,551
13.

Cash-Settled Swaptions - A Review of Cash-Settled Swaption Pricing

Number of pages: 15 Posted: 14 Feb 2018
Working Paper Series
University of Oxford - Said Business School
Downloads 1,409
14.

Análisis de regresión básica con Excel (Basic Regression Analysis with Excel)

Number of pages: 34 Posted: 23 Feb 2006 Last Revised: 01 Jul 2012
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,327
15.

Model Fitting for Multiple Variables by Minimising the Geometric Mean Deviation

TOTAL LEAST SQUARES AND ERRORS-IN-VARIABLES MODELING: ALGORITHMS, ANALYSIS AND APPLICATIONS, S.Van Huffel, P.Lemmerling, eds., Kluwer Academic, 2002
Number of pages: 6 Posted: 03 Jan 2008
Accepted Paper Series
University of Hertfordshire Business School
Downloads 1,323
16.

Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae

Journal of Economics and Financial Analysis, Vol:2, No:2 (2018) 87-103
Number of pages: 15 Posted: 05 Jan 2018 Last Revised: 05 Feb 2022
Accepted Paper Series
University of Oxford - Said Business School
Downloads 1,308
17.

Improved Inference in Regression with Overlapping Observations

Number of pages: 40 Posted: 23 Jun 2004 Last Revised: 15 Aug 2014
Working Paper Series
London Business School - Institute of Finance and Accounting, City University London - Faculty of Finance and Lancaster University - Department of Accounting and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,300
18.

Forecasting Product Life Cycle Curves: Practical Approach and Empirical Analysis

Manufacturing & Service Operations Management, Forthcoming, Vanderbilt Owen Graduate School of Management Research Paper No. 2867528
Number of pages: 39 Posted: 10 Nov 2016 Last Revised: 07 Jun 2018
Accepted Paper Series
Vanderbilt University - Operations Management, Penn State University, Smeal College of Business, Dell Inc., University of Virginia - Darden School of Business and Northwestern University - Kellogg School of Management
Downloads 1,239
19.

A Critical Examination of Orthogonal Regression

Number of pages: 40 Posted: 16 Jul 2003
Working Paper Series
University of Cambridge - Judge Business School and University of Sheffield - School of Management
Downloads 1,204
20.

Usefulness of Correlation Analysis

Number of pages: 9 Posted: 11 Jul 2019
Working Paper Series
International Training Institute
Downloads 1,201
21.

Quantifying the Impact of Impact Investing

Number of pages: 69 Posted: 18 Oct 2021 Last Revised: 19 Apr 2022
Working Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Peking University
Downloads 1,142
22.

When Do Covariates Matter? And Which Ones, and How Much?

Journal of Labor Economics, Forthcoming
Number of pages: 40 Posted: 26 Jun 2009 Last Revised: 16 Sep 2014
Accepted Paper Series
University of California, Berkeley - School of Law
Downloads 1,122
23.

Forecasting Housing Prices with Google Econometrics

GMU School of Public Policy Research Paper No. 2009-10
Number of pages: 38 Posted: 25 Jul 2009 Last Revised: 25 May 2015
Working Paper Series
Schar School of Policy & Government, GMU, Schar School of Policy and Government, George Mason University, George Mason University - School of Policy, Government, and International Affairs and Erasmus University Rotterdam (EUR) - Department of Economics
Downloads 1,070
24.

An Evaluation of Alternative Measures of Corporate Tax Rates

Number of pages: 48 Posted: 25 Sep 1999
Working Paper Series
University of Connecticut School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,056
25.

Testing the Pecking Order Theory of Capital Structure in Brazilian Firms

Number of pages: 14 Posted: 09 Dec 2005
Working Paper Series
Universidade de Brasília (UnB) - Campus Universitario Darcy Ribeiro and Universidade de Brasilia - Faculdade de Administracao
Downloads 1,017
26.

Recent Dynamics of Crude Oil Prices

IMF Working Paper No. 06/299
Number of pages: 30 Posted: 12 Jan 2007
Working Paper Series
International Monetary Fund (IMF) - African Department
Downloads 1,007
27.

Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems: A Probability Density Function Approach

Number of pages: 12 Posted: 14 Jan 2015 Last Revised: 06 Jun 2015
Working Paper Series
Market Memory Trading L.L.C.Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 988
28.

Residents’ Perceptions of Tourism Impacts and Attitudes Towards Tourism Policies in a Small Mountain Community

Benchmarking: An International Journal, Forthcoming
Number of pages: 30 Posted: 20 May 2011 Last Revised: 09 Jun 2011
Working Paper Series
Universidad de la República, Bournemouth University AFE Department and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 987
29.

A Review of the Vasicek & Hull-White Models & the Likelihood of Negative Rates

Number of pages: 13 Posted: 14 Feb 2018 Last Revised: 19 Nov 2018
Working Paper Series
University of Oxford - Said Business School
Downloads 959
30.

Financial Development and Economic Growth in Brazil: Causality Evidences

Banco Central do Brasil Working Paper No. 49
Number of pages: 67 Posted: 29 Jan 2003
Working Paper Series
Central Bank of Brazil
Downloads 938
31.

An Econometric Model of the Brazilian Stock Market

Number of pages: 16 Posted: 20 Apr 2005
Working Paper Series
Universidade de Brasília (UnB) - Campus Universitario Darcy Ribeiro
Downloads 887
32.

Introducing Linear Regression: An Example Using Basketball Statistics

Number of pages: 29 Posted: 09 Jan 2011
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and Georgia State University - Department of Finance
Downloads 864
33.

NSE NIFTY and Its Correlation with Sectorial Indexes

International Journal of Conceptions on Management and Social Sciences, Vol. 2, Issue. 1, March’ 2014
Number of pages: 11 Posted: 02 Apr 2018 Last Revised: 14 Apr 2021
Working Paper Series
REVA Business School (RBS), REVA University
Downloads 858
34.

Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments

Number of pages: 32 Posted: 20 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Princeton University - Industrial Relations Section

Multiple version iconThere are 2 versions of this paper

Downloads 827
35.

Comprehensive Time-Series Regression Models Using Gretl — U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013

Number of pages: 82 Posted: 21 Dec 2014 Last Revised: 17 Aug 2019
Working Paper Series
affiliation not provided to SSRN
Downloads 819
36.

Causal Inference in Accounting Research

Journal of Accounting Research, Vol. 54, No. 2, 2016, Rock Center for Corporate Governance at Stanford University Working Paper No. 217, Stanford University Graduate School of Business Research Paper No. 16-16
Number of pages: 64 Posted: 09 Feb 2016 Last Revised: 29 Jun 2016
Accepted Paper Series
University of Melbourne, Stanford University - Graduate School of Business and Stanford Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 802
37.

Ultra-Simple Shiller's CAPE: How One Year's Data Can Predict Equity Market Returns Better Than Ten (Presentation Slides)

Number of pages: 37 Posted: 03 Sep 2019 Last Revised: 04 Nov 2019
Working Paper Series
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and New York University (NYU)
Downloads 800
38.

Multi-Fractal Processes as Models for Financial Returns: A First Assessment

Working Paper No. B-456
Number of pages: 18 Posted: 14 Nov 1999
Working Paper Series
University of Kiel - Institute of Economics
Downloads 789
39.

The Illusion of Predictability: How Regression Statistics Mislead Experts

International Journal of Forecasting, Forthcoming
Number of pages: 39 Posted: 01 Feb 2012
Accepted Paper Series
Universitat Pompeu Fabra and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 763
40.

Calibration of Credit Spread Scenarios for Monte Carlo Simulations

Number of pages: 117 Posted: 13 Jun 2012 Last Revised: 16 Jun 2012
Working Paper Series
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 728
41.

Empirical Copyright: A Case Study of File Sharing and Music Output

Tulane Public Law Research Paper No. 14-2
Number of pages: 33 Posted: 30 Dec 2013 Last Revised: 24 Jan 2014
Working Paper Series
Texas A&M University School of Law
Downloads 689
42.

Seasonality in Hedge Fund Strategies

Number of pages: 29 Posted: 01 Sep 2006
Working Paper Series
Perella Weinberg Partners
Downloads 675
43.

Financial Econometrics - R Tutorial Guidance

Number of pages: 521 Posted: 10 Jun 2021
Working Paper Series
Trinity College (Dublin) - Trinity Business School and Trinity College (Dublin) - Trinity Business School
Downloads 667
44.

A Review of the Generalized Black-Scholes Formula & It’s Application to Different Underlying Assets

Number of pages: 12 Posted: 23 Aug 2017 Last Revised: 15 Feb 2018
Working Paper Series
University of Oxford - Said Business School
Downloads 642
45.

The Logic and Limits of Event Studies in Securities Fraud Litigation

Texas Law Review, Vol. 96, p. 553, 2018, ECGI - Law Working Paper No. 328/2016, U of Penn, Inst for Law & Econ Research Paper No. 16-16
Number of pages: 69 Posted: 03 Aug 2016 Last Revised: 30 Mar 2018
Accepted Paper Series
University of Pennsylvania Carey Law School, University of California, Berkeley - School of Law and University of Pennsylvania Carey Law School

Multiple version iconThere are 2 versions of this paper

Downloads 621
46.

Statistics in Ancient History

MIT Department of Economics Working Paper No. 13-06
Number of pages: 38 Posted: 14 Feb 2013 Last Revised: 19 Feb 2013
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 597
47.

DEoptim: An R Package for Global Optimization by Differential Evolution

Journal of Statistical Software, Vol. 40, No. 6, pp. 1-26, April 2011
Number of pages: 26 Posted: 21 Dec 2009 Last Revised: 03 Aug 2018
Accepted Paper Series
Government of the United States of America - National Institute of Standards and Technology (NIST), HEC Montreal - Department of Decision Sciences, Independent, Independent and Independent
Downloads 593
48.

High Frequency Trading Strategy for the 30 Year Treasury Bond

Number of pages: 30 Posted: 13 Mar 2020
Working Paper Series
Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University, Cornell University and Cornell University
Downloads 585
49.

Modeling Effects of Foreign Direct Investment on Macroeconomic Variables in Sudan

Number of pages: 13 Posted: 21 Jan 2012 Last Revised: 15 Apr 2012
Working Paper Series
Al-Neelain University - Department of Economics and affiliation not provided to SSRN
Downloads 575
50.

Do Investors Care About Auditor Dismissals and Resignations? What Drives the Response?

UC Davis Graduate School of Management Research Paper No. 03-10
Number of pages: 31 Posted: 30 Dec 2007 Last Revised: 09 Feb 2010
Working Paper Series
University of California, Davis - Graduate School of Management and University of Otago - Department of Accountancy and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 553