SSRN JEL Code: C38

1.

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011

Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013

Accepted Paper Series

Marcos Lopez de Prado and Matthew Foreman

Guggenheim Partners, LLC and University of California, Irvine

Downloads 3,197

2.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014

Working Paper Series

Marcos Lopez de Prado

Guggenheim Partners, LLC

Downloads 935

3.

Stock Return Prediction and Anomaly Detection by Regression Trees

Number of pages: 79 Posted: 14 Sep 2011

Working Paper Series

Eddy H. Verbiest

affiliation not provided to SSRN

Downloads 778

4.

The Behavioral Aspect of Mergers and Acquisitions: A Case Study from India

Global Journal of Business Research, Vol. 6, No. 3, pp. 103-113, 2012

Number of pages: 11 Posted: 05 Jan 2012

Accepted Paper Series

Md Sahanur Islam, Partha Pratim Sengupta, Sukanya Ghosh and Samir Chandra Basu

Meghnad Saha Institute of Technology, Vishweshwarayya National Institute of Technology, affiliation not provided to SSRN and Meghnad Saha Institute of Technology

Downloads 729

5.

Patent Citations and Stock Performance: Constructing a Dynamic Industry Classification

Number of pages: 46 Posted: 17 Sep 2014 Last Revised: 11 Sep 2015

Working Paper Series

Sebastien Gay and Ezra Karger

The University of Chicago and University of Chicago

Downloads 643

6.

Consumers’ Attitudes Toward Medical Tourism

Number of pages: 44 Posted: 12 May 2011

Working Paper Series

Lydia L. Gan and James R. Frederick

University of North Carolina at Pembroke and University of North Carolina (UNC) at Pembroke - Medical Tourism Research Center

Downloads 606

7.

The Global Entrepreneurship and Development Index Methodology

Number of pages: 30 Posted: 05 Jun 2011 Last Revised: 14 Jun 2011

Working Paper Series

László Szerb and Zoltan J. Acs

University of Pécs and Schar School of Policy and Government

Downloads 599

8.

Governance Regulatory Changes, IFRS Adoption, and New Zealand Audit and Non-Audit Fees: Empirical Evidence

Number of pages: 39 Posted: 15 Feb 2008 Last Revised: 11 Jan 2009

Working Paper Series

Paul A. Griffin, David H. Lont and Estelle Sun

University of California, Davis - Graduate School of Management, University of Otago - Department of Accountancy and Finance and Boston University - Questrom School of Business

Downloads 525

9.

Evaluación Del Impacto De La Política De Incentivos Sectoriales En El Desarrollo De Los Municipios Mineros De Castilla Y León (Evaluation of the Impact of Aids Sectorial Policy in the Development of the Mining Region of Castilla y León)

Journal of Economics, Finance & Administrative Science, Vol. 17, No. 33, 2012

Number of pages: 16 Posted: 05 Dec 2012

Accepted Paper Series

Sergio A. Berumen

Universidad Rey Juan Carlos - Department of Applied Economics

Downloads 474

10.

Less Income Inequality and More Growth – Are They Compatible?: Part 1: Mapping Income Inequality Across the OECD

OECD Working Paper No. 924

Number of pages: 45 Posted: 04 Mar 2012

Working Paper Series

Peter Hoeller, Isabelle Joumard, Debra Bloch and Mauro Pisu

Organization for Economic Co-Operation and Development (OECD), Organization for Economic Co-Operation and Development (OECD) - Economics Department (ECO), Organization for Economic Co-Operation and Development (OECD) - Economics Department (ECO) and OECD

Downloads 439

11.

What is the Relation (If Any) between a Firm's Corporate Governance Arrangements and its Financial Performance?

CESifo Working Paper Series No. 4599

Number of pages: 25 Posted: 12 Feb 2014

Working Paper Series

Roberto E. Wessels and Tom Wansbeek

University of Groningen - Faculty of Economics and Business and University of Groningen - Faculty of Economics and Business

There are 3 versions of this paper

Downloads 398

12.

Positional Portfolio Management

Swiss Finance Institute Research Paper No. 14-20

Number of pages: 80 Posted: 07 Mar 2014 Last Revised: 17 Sep 2016

Working Paper Series

Patrick Gagliardini, Christian Gourieroux and Mirco Rubin

University of Lugano and Swiss Finance Institute, University of Toronto - Department of Economics and University of Bristol

Downloads 357

13.

A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering

Forthcoming in Quantitative Finance

Number of pages: 33 Posted: 05 Dec 2013 Last Revised: 17 Feb 2015

Accepted Paper Series

Quan Gan, Wang Chun Wei and David James Johnstone

University of Sydney Business School, Macquarie Group and University of Sydney Business School

Downloads 271

14.

Identifying Latent Structures in Panel Data

Number of pages: 75 Posted: 13 Jun 2014 Last Revised: 30 Jun 2016

Working Paper Series

Liangjun Su, Zhentao Shi and Peter C. B. Phillips

Singapore Management University, Department of Economics, the Chinese University of Hong Kong and Yale University - Cowles Foundation

Downloads 267

15.

Disappearing Paradigms in Shareholder Protection: Leximetric Evidence for 30 Countries, 1990-2013

Journal of Corporate Law Studies vol. 15 (2015), pp. 127-160

Number of pages: 57 Posted: 18 Mar 2015 Last Revised: 09 Nov 2015

Accepted Paper Series

Dionysia Katelouzou and Mathias M. Siems

King's College London – The Dickson Poon School of Law and Durham University - Durham Law School

Downloads 252

16.

The Merit of High-Frequency Data in Portfolio Allocation

Number of pages: 43 Posted: 12 Sep 2011

Working Paper Series

Nikolaus Hautsch, Lada M. Kyj and Peter Malec

University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and University of Cambridge - Faculty of Economics

Downloads 236

17.

Understanding Systematic Risk: A High-Frequency Approach

Number of pages: 61 Posted: 24 Aug 2015 Last Revised: 25 Aug 2015

Working Paper Series

Markus Pelger

Stanford University - Management Science & Engineering

Downloads 218

18.

Wavelet Improvement in Turning Point Detection Using a Hidden Markov Model

NHH Dept. of Business and Management Science Discussion Paper No. 2014/10

Number of pages: 23 Posted: 27 Mar 2014

Working Paper Series

Yushu Li and Simon Reese

Norwegian School of Economics (NHH) - Department of Business and Management Science and Lund University - Department of Economics

Downloads 218

19.

Large-Dimensional Factor Modeling Based on High-Frequency Observations

Number of pages: 113 Posted: 25 Mar 2015 Last Revised: 13 Nov 2016

Working Paper Series

Markus Pelger

Stanford University - Management Science & Engineering

Downloads 212

20.

What Lies Beneath? A Time-Varying FAVAR Model for the UK Transmission Mechanism

ECB Working Paper No. 1320

Number of pages: 50 Posted: 11 Apr 2011

Working Paper Series

Haroon Mumtaz, Pawel Zabczyk and Colin Ellis

University of London - School of Sciences, CCBS, Bank of England and University of Birmingham

There are 2 versions of this paper

Downloads 212

21.

Trade Patterns and Trade Clusters: China, India, Brazil and South Africa in the Global Trading System

Number of pages: 31 Posted: 02 Feb 2012

Working Paper Series

Pierluigi Montalbano and Silvia Nenci

Sapienza University of Rome (Italy) and University of Rome III - Department of Economics

Downloads 210

22.

Misclassifications in Financial Risk Tolerance

Number of pages: 29 Posted: 18 Feb 2012

Working Paper Series

Caterina Lucarelli, Gianni Brighetti and Pierpaolo Uberti

Università Politecnica delle Marche, University of Bologna and Università degli Studi di Genova - Department of Economics and Quantitative Methods (DIEM)

Downloads 201

23.

Latent Accounting Growth, Corporate Financing Decisions, and Return Predictability

Number of pages: 75 Posted: 15 Mar 2012 Last Revised: 22 Jan 2014

Working Paper Series

Suresh Kumar, Jianguo Chen and Udomsak Wongchoti

Massey University, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance

Downloads 198

24.

The Italian Social Cooperatives in 2008: A Portrait Using Descriptive and Principal Component Analysis

Euricse Working Paper No. 35/12

Number of pages: 23 Posted: 24 May 2012

Working Paper Series

Chiara Carini, Ericka Costa, Maurizio Carpita and Michele Andreaus

European Research Institute on Cooperative & Social Enterprises (EURICSE), Università degli Studi di Trento - Department of Computer and Management Sciences (DISA), University of Brescia - Department of Economics and Management and Università degli Studi di Trento - Department of Computer and Management Sciences (DISA)

Downloads 189

25.

The Correlation Structure of Anomaly Strategies

Number of pages: 102 Posted: 19 Jul 2017

Working Paper Series

Paul Geertsema and Helen Lu

University of Auckland - Department of Accounting and Finance and University of Auckland - Department of Accounting and Finance

Downloads 179

26.

Forecasting Stock Returns with Large Dimensional Factor Models

Number of pages: 46 Posted: 26 Apr 2017

Working Paper Series

Alessandro Giovannelli, Daniele Massacci and Stefano Soccorsi

University of Rome, Tor Vergata, Bank of England and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)

Downloads 173

27.

A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound

BIS Working Paper No. 452

Number of pages: 28 Posted: 24 Jun 2014

Working Paper Series

Marco J. Lombardi and Feng Zhu

Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)

Downloads 167

28.

Volatilities and Correlations in the Stock Market During the Global Financial Crisis

28th Australasian Finance and Banking Conference

Number of pages: 21 Posted: 21 Aug 2015

Working Paper Series

Chong Hui Tan and Ding Ding

SIM University (UniSIM) and SIM University (UniSIM)

Downloads 159

29.

Why Do SMEs File Trademarks? Insights from Firms in Innovative Industries

Research Policy, 44, 1915–1930 (2015),

Number of pages: 45 Posted: 30 Aug 2013 Last Revised: 02 Sep 2015

Accepted Paper Series

Jorn H. Block, Christian Fisch, Alexander Hahn and Philipp G. Sandner

University of Trier - Faculty of Management, University of Trier - Faculty of Management, University of Mannheim and Frankfurt School of Finance & Management

Downloads 157

30.

Global Macroeconomic Interdependence: A Minimum Spanning Tree Approach

Number of pages: 18 Posted: 17 May 2013

Working Paper Series

Tiago Trancoso

Universidade Lusíada, Porto

Downloads 154

31.

Agro and Food Processing Industry in India: Status, Opportunities & Challenges

Number of pages: 8 Posted: 25 Sep 2015

Working Paper Series

Ajay Harivansh Shukla, Vandana Sharma and Hetal Bhinde

University of Pune, Ashoka Center For Business & Computer Studies (ACBCS) and Ashoka Center For Business & Computer Studies (ACBCS)

Downloads 146

32.

The Power of Equity Factor Diversification

Number of pages: 50 Posted: 13 Feb 2017

Working Paper Series

Ulrich Carl

Finreon

Downloads 146

33.

Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

Number of pages: 44 Posted: 05 Mar 2013

Working Paper Series

Nikolaus Hautsch, Lada M. Kyj and Peter Malec

University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and University of Cambridge - Faculty of Economics

Downloads 143

34.

Comparing Islamic and Conventional Banks’ Financial Characteristics: A Multivariate Approach

Number of pages: 68 Posted: 01 Mar 2015

Working Paper Series

Mohammad Bitar, Philippe Madiès and Ollivier Taramasco

University of Grenoble, French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG) and Université Grenoble Alpes

Downloads 139

35.

A Multiplicative Model of Countercyclical Capital Buffer Evaluation Differentiated by Homogeneous Clusters of Countries

Higher School of Economics Research Paper No. WP BRP 04/FE/2012

Number of pages: 15 Posted: 29 Jun 2012

Working Paper Series

Fuad T. Aleskerov, Azamat Keskinbaev and Henry Penikas

National Research University Higher School of Economics, National Research University Higher School of Economics and National Research University Higher School of Economics

Downloads 129

36.

Identification in Dynamic Models Using Sign Restrictions

Number of pages: 35 Posted: 26 Jan 2014

Working Paper Series

Bulat Gafarov

Pennsylvania State University

Downloads 124

37.

Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets

Number of pages: 22 Posted: 28 Oct 2014

Working Paper Series

Fred Espen Benth and Steen Koekebakker

University of Oslo and School of Business and Law at the University of Agder

Downloads 120

38.

Beyond GDP and Back: What is the Value-Added by Additional Components of Welfare Measurement?

Ruhr Economic Paper No. 239

Number of pages: 33 Posted: 03 Feb 2011

Working Paper Series

Sonja C. Kassenboehmer and Christoph M. Schmidt

Monash University - Centre for Health Economics and RWI - Leibniz-Insitut für Wirtschaftsforschung (RWI Essen)

There are 5 versions of this paper

Downloads 118

39.

Análisis de Regresión Logística para Investigación de Mercados (Logistic Regression Analysis for Marketing Research)

Number of pages: 21 Posted: 08 Apr 2015

Working Paper Series

Nelcy Rocío Escobar Moreno

National University of Colombia

Downloads 112

40.

Exploring the Performance of Social Cooperatives During the Economic Crisis: The Italian Case

Euricse Working Paper No. 59 | 13

Number of pages: 21 Posted: 04 Oct 2013

Working Paper Series

Chiara Carini and Ericka Costa

European Research Institute on Cooperative & Social Enterprises (EURICSE) and Università degli Studi di Trento - Department of Computer and Management Sciences (DISA)

Downloads 112

41.

Análisis de conglomerados para la segmentación de mercados (Cluster Analysis for Market Segmentation)

Number of pages: 17 Posted: 08 Apr 2015

Working Paper Series

Nelcy Rocío Escobar Moreno

National University of Colombia

Downloads 111

42.

The Biases Influencing an Investor's Behavior in India

Number of pages: 54 Posted: 02 Jul 2016

Working Paper Series

Soumita De

Symbiosis International University, School of Economics, Students

Downloads 111

43.

Multilayer Probability of Informed Trading

Number of pages: 75 Posted: 26 Nov 2016 Last Revised: 17 Mar 2017

Working Paper Series

Oguz Ersan

Istanbul Technical University

Downloads 107

44.

The Stochastic String Model as a Unifying Theory of the Term Structure of Interest Rates

Number of pages: 53 Posted: 28 May 2014 Last Revised: 05 Nov 2014

Working Paper Series

Alberto Bueno-Guerrero, Manuel Moreno and Javier F. Navas

IES Francisco Ayala, University of Castilla-La Mancha and Universidad Pablo de Olavide

Downloads 106

45.

Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro Surprises

FRB International Finance Discussion Paper No. 1093r

Number of pages: 43 Posted: 22 Mar 2014

Working Paper Series

Chiara Scotti

Board of Governors of the Federal Reserve System

Downloads 103

46.

Analyzing Business and Financial Cycles Using Multi-Level Factor Models

CAMA Working Paper No. 43/2014

Number of pages: 44 Posted: 31 May 2014 Last Revised: 02 Jun 2014

Working Paper Series

Jörg Breitung and Sandra Eickmeier

University of Cologne and Deutsche Bundesbank

There are 2 versions of this paper

Downloads 101

47.

Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis

CESifo Working Paper Series No. 4991

Number of pages: 53 Posted: 09 Oct 2014

Working Paper Series

Steffen Henzel and Malte Rengel

Ifo Institute for Economic Research and University of Goettingen (Gottingen)

Downloads 101

48.

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Number of pages: 55 Posted: 13 May 2011

Working Paper Series

Gian Piero Aielli and Massimiliano Caporin

Independent and University of Padua - Department of Statistical Sciences

Downloads 101

49.

What is the Relation (If Any) between a Firm's Corporate Governance Arrangements and Its Financial Performance?

Number of pages: 33 Posted: 23 Dec 2013

Working Paper Series

Roberto E. Wessels and Tom Wansbeek

University of Groningen - Faculty of Economics and Business and University of Groningen - Faculty of Economics and Business

There are 3 versions of this paper

Downloads 98

50.

Classification Using NNS Clustering Analysis

Number of pages: 22 Posted: 06 Nov 2016 Last Revised: 10 Jul 2017

Working Paper Series

Fred Viole

OVVO Financial Systems

Downloads 94

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