SSRN JEL Code: C51

1.

A Generalized Earnings Model of Stock Valuation

Number of pages: 37 Posted: 18 Jul 1998

Working Paper Series

Andrew Ang and Jun Liu

BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management

Downloads 9,222

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

Carol Alexander and Anca Dimitriu

University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre

Downloads 8,790

3.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009

Working Paper Series

Rama Cont, Sasha Stoikov and Rishi Talreja

Imperial College London, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Downloads 6,825

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

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 6,373

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

Monica Billio, Andrew W. Lo, Mila Getmansky and Loriana Pelizzon

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 4,556

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

Dimitrios Bisias, Mark D. Flood, Andrew W. Lo and Stavros Valavanis

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)

There are 2 versions of this paper

Downloads 4,365

7.

Variance Risk Premia

AFA 2005 Philadelphia Meetings

Number of pages: 44 Posted: 17 Aug 2004 Last Revised: 25 Oct 2007

Working Paper Series

Liuren Wu and Peter Carr

City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences

Downloads 4,165

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

S. Sriram, Pradeep K. Chintagunta and Ramya Neelamegham

The Stephen M. Ross School of Business at the University of Michigan, University of Chicago and Amrita University - Amrita School of Business

Downloads 3,703

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

Peter Carr and Liuren Wu

New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business

Downloads 3,600

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

Harvey J. Stein, Alexander L. Belikoff, Kirill Levin and Xusheng Tian

Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D

Downloads 3,410

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

Luca Taschini and Marc S. Paolella

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 3,309

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

Joost Driessen, Tse-Chun Lin and Ludovic Phalippou

Tilburg University - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School

There are 3 versions of this paper

Downloads 3,300

13.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007

Working Paper Series

Harvey J. Stein

Bloomberg L.P.

Downloads 3,202

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

Huadong (Henry) Pang

J.P. Morgan Chase & Co., Quantitative Research

Downloads 3,155

15.

CAPM Over the Long-Run: 1926-2001

AFA 2004 San Diego Meetings

Number of pages: 41 Posted: 23 Nov 2003

Working Paper Series

Andrew Ang and Joseph Chen

BlackRock, Inc and University of California, Davis - Graduate School of Management

Downloads 3,037

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

Monica Billio, Mila Getmansky and Loriana Pelizzon

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

There are 2 versions of this paper

Downloads 3,026

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

Victor Chernozhukov and Len Umantsev

Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering

Downloads 2,967

18.

Market Timing & Trading Strategies Using Asset Rotation

Number of pages: 31 Posted: 18 Jan 2010 Last Revised: 19 Feb 2010

Working Paper Series

Panagiotis Schizas and Dimitrios D. Thomakos

University of Zurich - Department of Banking and Finance and University of Peloponnese - School of Management and Economics

Downloads 2,832

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

Tim Bollerslev, George Tauchen and Hao Zhou

Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

There are 2 versions of this paper

Downloads 2,743

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

Carol Alexander

University of Sussex - School of Business, Management and Economics

Downloads 2,591

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

Z. George Yang and Liang Zhong

Flexible Plan Investments, Ltd. and University of Delaware

Downloads 2,525

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

Liuren Wu and Peter Carr

City University of New York, CUNY Baruch College - Zicklin School of Business and New York University (NYU) - Courant Institute of Mathematical Sciences

Downloads 2,496

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

Dean Fantazzini and Petr Geraskin

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

Downloads 2,411

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

Marco Avellaneda, Josh Reed and Sasha Stoikov

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 2,381

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

Daniel Beunza and David Stark

London School of Economics & Political Science (LSE) - Department of Management and Columbia University

Downloads 2,303

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

Tim Bollerslev, Michael S. Gibson and Hao Zhou

Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance

There are 2 versions of this paper

Downloads 2,288

27.

Stock Return Predictability: Is It There?

AFA 2002 Atlanta Meetings

Number of pages: 53 Posted: 23 Mar 2001

Working Paper Series

Geert Bekaert and Andrew Ang

Columbia Business School - Finance and Economics and BlackRock, Inc

There are 2 versions of this paper

Downloads 2,283

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

Francesco A. Franzoni, Eric Nowak and Ludovic Phalippou

USI Lugano, University of Lugano and University of Oxford - Said Business School

There are 2 versions of this paper

Downloads 2,260

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

Hélyette Geman and Andrea Roncoroni

University of London - Economics, Mathematics and Statistics and ESSEC Business School

Downloads 2,222

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

Anindya Ghose and Sha Yang

New York University (NYU) - Leonard N. Stern School of Business and University of Southern California - Marshall School of Business

Downloads 2,173

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

Stephen Brown, Kin Lo and Thomas Z. Lys

University of Maryland - Department of Accounting & Information Assurance, University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management

There are 2 versions of this paper

Downloads 2,067

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

Olivier Ledoit and Michael Wolf

University of Zurich - Department of Economics and University of Zurich - Department of Economics

Downloads 2,058

33.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017

Working Paper Series

Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen

Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Downloads 1,964

34.

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

Eric M. Schwartz, Eric Bradlow and Peter Fader

University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department

Downloads 1,780

35.

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

Chris Tofallis

University of Hertfordshire Business School

There are 3 versions of this paper

Downloads 1,772

36.

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

Number of pages: 46 Posted: 27 Feb 2006

Working Paper Series

Kenneth C. Wilbur

University of California, San Diego (UCSD) - Rady School of Management

Downloads 1,715

37.

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

Ren-Raw Chen, Xiaolin Cheng and Liuren Wu

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 1,675

38.

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

Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini

Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and Ecole Polytechnique Fédérale de Lausanne

Downloads 1,673

39.

Optimal Trading Stops and Algorithmic Trading

Number of pages: 20 Posted: 21 Jan 2014

Working Paper Series

Giuseppe Di Graziano

Deutsche Bank AG

Downloads 1,639

40.

Modeling the Price Dynamics of Co2 Emission Allowances

Number of pages: 33 Posted: 19 May 2006 Last Revised: 17 Feb 2014

Working Paper Series

Eva A. Benz and Stefan Trück

University of Bonn - Bonn Graduate School of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

Downloads 1,635

41.

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

Number of pages: 20 Posted: 10 Oct 2007

Working Paper Series

Sean C Keenan, Jorge R Sobehart and David T. Hamilton

GE Commercial Finance, affiliation not provided to SSRN and Moody's Analytics

Downloads 1,567

42.

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

Didier Maillard

Conservatoire National des Arts et Métiers (CNAM)

Downloads 1,562

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

Massoud Heidari and Liuren Wu

Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business

Downloads 1,543

44.

Statistical Modeling of Credit Default Swap Portfolios

Number of pages: 43 Posted: 14 Apr 2011 Last Revised: 25 Apr 2011

Working Paper Series

Rama Cont and Yu Hang (Gabriel) Kan

Imperial College London and Bloomberg Tradebook

Downloads 1,502

45.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015

Working Paper Series

Cristian Homescu

Independent

Downloads 1,495

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

Cornelia Kullmann

University of British Columbia - Faculty of Commerce

Downloads 1,460

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

Carol Alexander and Anca Dimitriu

University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre

Downloads 1,447

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

Andrew J. Patton

Duke University - Department of Economics

Downloads 1,373

49.

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

Frederic Blanc-Brude, Hugh Goldsmith and Timo Valila

EDHEC-Risk Institute, EIB and International Monetary Fund (IMF) - Policy Development and Review Department

Downloads 1,336

50.

Credit Spread Widening Risk in Portfolios: Pricing Techniques and Sensitivity Measures

Number of pages: 6 Posted: 31 Jan 2008 Last Revised: 02 Apr 2011

Working Paper Series

Aldo Letizia

Banca Popolare Pugliese

Downloads 1,328

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