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JEL Code: C52

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Viewing: 1 - 50 of 2,411 papers

1.

The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications

Sauder School of Business Working Paper
Number of pages: 48 Posted: 16 Mar 2000
Working Paper Series
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 8,712
2.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads 5,947
3.

Evaluating Credit Risk Models

FRBSF Working Paper No. 99-06
Number of pages: 23 Posted: 27 Jul 1999
Working Paper Series
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads 3,666
4.

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 3,410
5.

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 3,309
6.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads 3,202
7.

Credit Risk Evaluation: Modeling - Analysis - Management

Center for Risk & Evaluation, 2002-2003
Number of pages: 195 Posted: 14 Jun 2005
Accepted Paper Series
Wehrspohn GmbH & Co. KG
Downloads 2,786
8.

A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 2,771
9.

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 2,742
10.

Relative Strength and Portfolio Management

Dorsey Wright Money Management, January 2012
Number of pages: 17 Posted: 04 Feb 2012
Accepted Paper Series
Dorsey Wright Money Management
Downloads 2,704
11.

The Investment Opportunity Set and its Proxy Variables

Number of pages: 42 Posted: 23 Jan 2002 Last Revised: 28 Sep 2008
Working Paper Series
Humboldt University and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 2,688
12.

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

Journal of Financial Economics, Vol. 91, pp. 24-37, January 2009
Number of pages: 45 Posted: 08 Jul 2005 Last Revised: 13 Nov 2013
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads 2,612
13.

Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market

QUT School of Economics and Finance Discussion Paper No. 01-01
Number of pages: 46 Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads 2,601
14.

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 2,289
15.

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 2,288
16.

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 2,283
17.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Working Paper Series
University of Zurich - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,283
18.

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 2,222
19.

The Good News and the Bad News About Long-Run Stock Market Returns

EFA 0305; DAE Working Paper No. 9822
Number of pages: 44 Posted: 05 Nov 1998
Working Paper Series
Birkbeck College, University of London and Cambridge University - Department of Economics
Downloads 2,171
20.

Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy

Number of pages: 24 Posted: 27 Jun 2007
Working Paper Series
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads 2,076
21.

Static Hedging of Standard Options

NYU Tandon Research Paper No. 585451
Number of pages: 61 Posted: 02 Sep 2004
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 2,073
22.

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 1,979
23.

Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates

Number of pages: 28 Posted: 19 Sep 2010 Last Revised: 27 Jan 2013
Working Paper Series
University of North Carolina at Wilmington, Trinity College, Dublin and Trinity Business School, Trinity College Dublin
Downloads 1,936
24.

An Empirical Study of Exposure at Default

Number of pages: 36 Posted: 23 Jun 2008 Last Revised: 15 Feb 2010
Working Paper Series
Accenture Consulting
Downloads 1,827
25.

Applying Relative Solvency to Working Capital Management - The Break-Even Approach

Number of pages: 21 Posted: 01 Aug 2005
Working Paper Series
School of Management Sciences
Downloads 1,825
26.

Aggregate Idiosyncratic Volatility

AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63 Posted: 25 Mar 2008 Last Revised: 28 Jun 2011
Working Paper Series
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 1,787
27.

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 1,779
28.

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 1,766
29.

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Olsen and Associates Working Paper No. 319
Number of pages: 62 Posted: 30 Mar 1999
Working Paper Series
Simon Fraser University, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,749
30.

A Test for Superior Predictive Ability

Brown Univ. Dept. of Economics Working Paper No. 01-06
Number of pages: 43 Posted: 01 Mar 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,721
31.

Bankruptcy Prediction Models and the Cost of Debt

Journal of Fixed Income, Forthcoming
Number of pages: 34 Posted: 09 Jun 2010 Last Revised: 28 Feb 2012
Accepted Paper Series
Virginia Tech, SMU - Cox School and University of Nevada, Las Vegas - Department of Finance
Downloads 1,712
32.

How Well Do Financial and Macroeconomic Variables Predict Stock Returns: Time-Series and Cross-Sectional Evidence

Number of pages: 78 Posted: 02 Nov 2006
Working Paper Series
Finance Research Group - Aarhus School of Business
Downloads 1,679
33.

Accounting Accruals and Tests of Earnings Management

Number of pages: 45 Posted: 26 Jul 2007
Working Paper Series
City University of New York - Baruch College - Stan Ross Department of Accountancy
Downloads 1,568
34.

Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League the German Bundesliga and the World Cup 2014

Number of pages: 24 Posted: 28 Feb 2013 Last Revised: 02 Mar 2016
Working Paper Series
Frankfurt School of Finance & Management Gemeinnützige GmbH
Downloads 1,539
35.

Taking a Peek Inside the Turtle's Shell: A Review of Trading Models and Money Management

Number of pages: 16 Posted: 01 May 2000
Working Paper Series
Queensland University of Technology - School of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,535
36.

NETS: Network Estimation for Time Series

Number of pages: 50 Posted: 14 Apr 2013 Last Revised: 15 Jan 2017
Working Paper Series
London School of Economics and Political Science and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 1,521
37.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 1,494
38.

Stochastic Skew in Currency Options

EFA 2004 Maastricht Meetings Paper No. 1426
Number of pages: 48 Posted: 30 Jun 2004
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

Multiple version iconThere are 2 versions of this paper

Downloads 1,488
39.

The Model Confidence Set

Number of pages: 41 Posted: 30 Mar 2004 Last Revised: 07 Jul 2014
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 1,484
40.

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 1,460
41.

Volatility Forecasts, Trading Volume and the ARCH vs Option-Implied Volatility Tradeoff

SFU Economics Discussion Paper No. 01-1, Sauder School of Business Working Paper
Number of pages: 25 Posted: 21 Feb 2001
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Downloads 1,423
42.

International Stock Return Comovements

ECB Working Paper No. 931
Number of pages: 46 Posted: 19 Mar 2008 Last Revised: 28 Jun 2011
Working Paper Series
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 1,391
43.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads 1,390
44.

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 1,373
45.

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Working Paper Series
Columbia Business School - Finance and Economics and European Central Bank (ECB)

Multiple version iconThere are 4 versions of this paper

Downloads 1,364
46.

Operators on Inhomogeneous Time Series

Olsen & Associates Working Paper No. 324
Number of pages: 33 Posted: 21 Mar 2000
Working Paper Series
Independent and Olsen & Associates

Multiple version iconThere are 2 versions of this paper

Downloads 1,359
47.

Tactical Asset Allocation Using Relative Strength

Number of pages: 16 Posted: 19 Mar 2012 Last Revised: 22 Mar 2012
Working Paper Series
Dorsey Wright Money Management
Downloads 1,358
48.

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
Banca Popolare Pugliese
Downloads 1,328
49.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads 1,321
50.

How Efficient are Credit Default Swap Markets? An Empirical Study of Capital Structure Arbitrage Based on Structural Pricing Models

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 41 Posted: 13 Mar 2008 Last Revised: 06 Aug 2008
Working Paper Series
Copenhagen Business School and University of Frankfurt
Downloads 1,315