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JEL Code: C51

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Viewing: 1 - 50 of 2,685 papers

1.

A Generalized Earnings Model of Stock Valuation

Number of pages: 37 Posted: 18 Jul 1998
Working Paper Series
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads 9,247
2.

The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies

ISMA Finance Discussion Paper No. 2002-08
Number of pages: 55 Posted: 05 Aug 2002
Working Paper Series
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 8,833
3.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009
Working Paper Series
Imperial College London, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 6,895
4.

The Exchange of Flow Toxicity

The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Number of pages: 12 Posted: 27 Jan 2011 Last Revised: 27 Feb 2012
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,380
5.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 25 Apr 2012
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 4,595
6.

A Survey of Systemic Risk Analytics

U.S. Department of Treasury, Office of Financial Research No. 0001
Number of pages: 165 Posted: 11 Jan 2012 Last Revised: 16 Mar 2016
Working Paper Series
Massachusetts Institute of Technology (MIT), Government of the United States of America - Office of Financial Research, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT)

Multiple version iconThere are 2 versions of this paper

Downloads 4,413
7.

Variance Risk Premia

AFA 2005 Philadelphia Meetings
Number of pages: 44 Posted: 17 Aug 2004 Last Revised: 25 Oct 2007
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 4,181
8.

Effects of Brand Preference, Product Attributes, and Marketing Mix Variables in Technology Product Markets

Marketing Science, Forthcoming
Number of pages: 38 Posted: 04 Nov 2005
Accepted Paper Series
The Stephen M. Ross School of Business at the University of Michigan, University of Chicago and Amrita University - Amrita School of Business
Downloads 3,728
9.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 3,643
10.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 16 Mar 2011
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,426
11.

An Econometric Analysis of Emission Trading Allowances

Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Number of pages: 45 Posted: 26 Nov 2006 Last Revised: 21 Dec 2009
Accepted Paper Series
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment and University of Zurich - Department of Banking and Finance
Downloads 3,315
12.

A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, Swedish Institute for Financial Research Conference on The Economics of the Private Equity Market
Number of pages: 50 Posted: 27 Feb 2007 Last Revised: 13 Jan 2015
Accepted Paper Series
Tilburg University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School

Multiple version iconThere are 3 versions of this paper

Downloads 3,309
13.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads 3,233
14.

A Novel Simple but Empirically Consistent Model for Stock Price and Option Pricing

Number of pages: 21 Posted: 10 Apr 2009 Last Revised: 15 Jul 2009
Working Paper Series
J.P. Morgan Chase & Co., Quantitative Research
Downloads 3,167
15.

CAPM Over the Long-Run: 1926-2001

AFA 2004 San Diego Meetings
Number of pages: 41 Posted: 23 Nov 2003
Working Paper Series
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,045
16.

Crises and Hedge Fund Risk

UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08
Number of pages: 61 Posted: 20 May 2008 Last Revised: 25 Apr 2012
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration

Multiple version iconThere are 2 versions of this paper

Downloads 3,034
17.

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 2,980
18.

Market Timing & Trading Strategies Using Asset Rotation

Number of pages: 31 Posted: 18 Jan 2010 Last Revised: 19 Feb 2010
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Peloponnese - School of Management and Economics
Downloads 2,851
19.

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,769
20.

Principal Component Analysis of Volatility Smiles and Skews

EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Number of pages: 16 Posted: 08 Dec 2000
Working Paper Series
University of Sussex - School of Business, Management and Economics
Downloads 2,604
21.

Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation

Number of pages: 35 Posted: 07 May 2012
Working Paper Series
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 2,562
22.

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Number of pages: 43 Posted: 24 Jun 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 2,504
23.

Everything You Always Wanted to Know About Log Periodic Power Laws for Bubble Modelling But Were Afraid to Ask

European Journal of Finance, Forthcoming
Number of pages: 35 Posted: 01 Feb 2011
Accepted Paper Series
Moscow School of Economics, Moscow State University and National Research University Higher School of Economics
Downloads 2,439
24.

Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity

Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 10 Posted: 14 Oct 2010 Last Revised: 11 Oct 2012
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan
Downloads 2,403
25.

From Dissonance to Resonance: Cognitive Interdependence in Quantitative Finance

Number of pages: 59 Posted: 16 Oct 2008 Last Revised: 29 Jul 2011
Working Paper Series
London School of Economics & Political Science (LSE) - Department of Management and Columbia University
Downloads 2,310
26.

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Accepted Paper Series
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,295
27.

Stock Return Predictability: Is It There?

AFA 2002 Atlanta Meetings
Number of pages: 53 Posted: 23 Mar 2001
Working Paper Series
Columbia Business School - Finance and Economics and BlackRock, Inc

Multiple version iconThere are 2 versions of this paper

Downloads 2,291
28.

Private Equity Performance and Liquidity Risk

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 09-43
Number of pages: 80 Posted: 04 Dec 2009 Last Revised: 13 Sep 2012
Accepted Paper Series
USI Lugano, University of Lugano and University of Oxford - Said Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,281
29.

Understanding the Fine Structure of Electricity Prices

Journal of Business, Vol. 79, No. 3, 2006
Number of pages: 74 Posted: 31 Dec 2004
Accepted Paper Series
University of London - Economics, Mathematics and Statistics and ESSEC Business School
Downloads 2,227
30.

An Empirical Analysis of Search Engine Advertising: Sponsored Search in Electronic Markets

NET Institute Working Paper
Number of pages: 47 Posted: 25 Oct 2007 Last Revised: 19 Jun 2014
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business and University of Southern California - Marshall School of Business
Downloads 2,178
31.

Use of R-squared in Accounting Research: Measuring Changes in Value Relevance over the Last Four Decades

Sauder School of Business Working Paper
Number of pages: 45 Posted: 08 Dec 1998
Working Paper Series
University of Maryland - Department of Accounting & Information Assurance, University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,076
32.

Honey, I Shrunk the Sample Covariance Matrix

UPF Economics and Business Working Paper No. 691
Number of pages: 21 Posted: 18 Sep 2003
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 2,069
33.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,058
34.

A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation

Journal of the Operational Research Society (2015) 66, 1352–1362,
Number of pages: 25 Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,993
35.

Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data

Number of pages: 50 Posted: 18 Jun 2012 Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads 1,813
36.

A Two-Sided, Empirical Model of Television Advertising and Viewing Markets

Number of pages: 46 Posted: 27 Feb 2006
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,716
37.

The Term Structure of Variance Swaps and Risk Premia

Number of pages: 67 Posted: 27 Aug 2012 Last Revised: 13 Feb 2015
Working Paper Series
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and University of Lugano - Institute of Finance
Downloads 1,712
38.

Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads

Number of pages: 50 Posted: 16 Aug 2005
Working Paper Series
Gabelli School of Business, Fordham University, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,682
39.

Optimal Trading Stops and Algorithmic Trading

Number of pages: 20 Posted: 21 Jan 2014
Working Paper Series
Deutsche Bank AG
Downloads 1,666
40.

A User’s Guide to the Cornish Fisher Expansion

Number of pages: 18 Posted: 02 Feb 2012 Last Revised: 02 Dec 2014
Working Paper Series
Conservatoire National des Arts et Métiers (CNAM)
Downloads 1,638
41.

Modeling the Price Dynamics of Co2 Emission Allowances

Number of pages: 33 Posted: 19 May 2006 Last Revised: 17 Feb 2014
Working Paper Series
University of Bonn - Bonn Graduate School of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 1,637
42.

Predicting Default Rates: A Forecasting Model for Moody's Issuer-Based Default Rates

Number of pages: 20 Posted: 10 Oct 2007
Working Paper Series
GE Commercial Finance, affiliation not provided to SSRN and Moody's Analytics
Downloads 1,572
43.

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives

Number of pages: 44 Posted: 08 Oct 2002
Working Paper Series
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,544
44.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 1,539
45.

Statistical Modeling of Credit Default Swap Portfolios

Number of pages: 43 Posted: 14 Apr 2011 Last Revised: 25 Apr 2011
Working Paper Series
Imperial College London and Bloomberg Tradebook
Downloads 1,523
46.

Real Estate and its Role in Asset Pricing

Sauder School of Business Working Paper
Number of pages: 61 Posted: 30 Nov 2001
Working Paper Series
University of British Columbia - Faculty of Commerce
Downloads 1,466
47.

Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy

ISMA Centre Finance Discussion Paper No. 2003-02; EFMA 2003 Helsinki
Number of pages: 30 Posted: 02 Apr 2003
Working Paper Series
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads 1,450
48.

Modelling Time-Varying Exchange Rate Dependence using the Conditional Copula

UCSD Discussion Paper No. 01-09
Number of pages: 52 Posted: 24 Jul 2001
Working Paper Series
Duke University - Department of Economics
Downloads 1,390
49.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads 1,362
50.

Ex Ante Construction Costs in the European Road Sector: A Comparison of Public-Private Partnerships and Traditional Public Procurement

EIB Economic and Finance Report No. 2006/1
Number of pages: 49 Posted: 19 Mar 2008
Working Paper Series
EDHEC Infrastructure Institute, EIB and International Monetary Fund (IMF) - Policy Development and Review Department
Downloads 1,354