Search Results
JEL Code: F37

91,306 Total downloads

Viewing: 1 - 50 of 495 papers

1.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 10 May 2017
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads 8,904
2.

A Consistent Methodology for the Calculation of the Cost of Capital in Emerging Markets

Number of pages: 23 Posted: 24 Aug 2010
Working Paper Series
Universidad de los Andes, Colombia and Universidad de los Andes, Colombia
Downloads 3,328
3.

Trend-Following, Risk-Parity and the Influence of Correlations

"Risk-Based and Factor Investing", Elsevier & ISTE Press, 2015 (Forthcoming)
Number of pages: 25 Posted: 14 Oct 2015 Last Revised: 24 Dec 2015
Accepted Paper Series
Imperial College Business School
Downloads 2,738
4.

Yield Curve Predictors of Foreign Exchange Returns

AFA 2011 Denver Meetings Paper
Number of pages: 47 Posted: 25 Jan 2010 Last Revised: 15 Jun 2011
Working Paper Series
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 2,681
5.

Application of Machine Learning to Systematic Strategies

Number of pages: 7 Posted: 12 Sep 2016 Last Revised: 13 Oct 2016
Working Paper Series
Tokyo
Downloads 2,412
6.

Expected Returns and Volatility in 135 Countries

Number of pages: 28 Posted: 23 Dec 2005
Working Paper Series
TR, Duke University - Fuqua School of Business and First Chicago Investment Management Co.
Downloads 1,815
7.

How Law Affects Lending

Columbia Law and Economics Working Paper No. 285
Number of pages: 34 Posted: 13 Nov 2005 Last Revised: 02 Sep 2008
Working Paper Series
Goethe University Frankfurt - Research Center SAFE, Columbia University School of Law and London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,489
8.

A Regression Model of Country Risk and Risk Scoring

Curtin School of Economics and Finance Working Paper No. 97.11
Number of pages: 20 Posted: 21 Aug 2001
Working Paper Series
Curtin University - Centre for Research in Applied Economics
Downloads 1,260
9.

Home Bias Revisited

Number of pages: 62 Posted: 19 Feb 2009
Working Paper Series
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 1,250
10.

Currency Premia and Global Imbalances

Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting, 28th Australasian Finance and Banking Conference
Number of pages: 72 Posted: 20 Jun 2013 Last Revised: 18 Oct 2017
Working Paper Series
Imperial College Business School, University of Melbourne and City University London - Sir John Cass Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,204
11.

Conditional Dependency of Financial Series: The Copula-Garch Model

FAME Research Paper No. 69
Number of pages: 37 Posted: 06 Jun 2003
Working Paper Series
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,150
12.

Dividend Policy Behaviour in the Jordanian Capital Market

International Journal of Business, Vol. 9, No. 3, 2004
Number of pages: 14 Posted: 27 May 2004
Accepted Paper Series
University of Jordan
Downloads 1,120
13.

Financial Globalisation and Emerging Market Capital Flows

BIS Paper No. 44
Number of pages: 492 Posted: 10 Feb 2009
Accepted Paper Series
Bank for International Settlements (BIS)
Downloads 1,108
14.

Access to Collateral and Corporate Debt Structure: Evidence from a Natural Experiment

EFA 2008 Athens Meetings Paper
Number of pages: 71 Posted: 28 Feb 2007 Last Revised: 12 Jul 2012
Working Paper Series
London Business School
Downloads 1,046
15.

Optimising Cross-Asset Carry

"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming)
Number of pages: 29 Posted: 17 May 2017
Accepted Paper Series
Imperial College Business School
Downloads 1,025
16.

A New Explanatory Model for Policy Analysis and Evaluation

Tinbergen Institute Discussion Paper No. 2006-063/2
Number of pages: 35 Posted: 19 Jul 2006
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam (UVA) - Amsterdam Business School
Downloads 987
17.

Cross-Asset Signals and Time Series Momentum

Number of pages: 81 Posted: 31 Dec 2016 Last Revised: 23 Feb 2019
Working Paper Series
Aalto University School of Business, Aalto University School of Business and Independent
Downloads 965
18.

DSGE Models and Central Banks

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-16
Number of pages: 33 Posted: 18 Dec 2010
Accepted Paper Series
International Monetary Fund

Multiple version iconThere are 3 versions of this paper

Downloads 956
19.

Optimal Factor Strategy in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 77 Posted: 20 Jun 2016 Last Revised: 24 Sep 2018
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Washington University in Saint Louis - John M. Olin Business School
Downloads 942
20.

Optimal and Naive Diversification in Currency Markets

Swiss Finance Institute Research Paper No. 12-36
Number of pages: 36 Posted: 11 Dec 2012 Last Revised: 04 Feb 2016
Working Paper Series
Zurcher Kantonalbank, NHH Norwegian School of Economics and University of Zurich
Downloads 908
21.

World Financial Crisis: Possible Impact on Developing Economies

Number of pages: 7 Posted: 17 Oct 2008
Working Paper Series
Downloads 888
22.

Carry Trade Dynamics Under Capital Controls: The Case of China

Number of pages: 49 Posted: 28 Jun 2015
Working Paper Series
Peking University - HSBC School of Business and Fulbright University Vietnam
Downloads 874
23.

The Impact of the Financial Crisis on Emerging Asia

Peterson Institute for International Economics Working Paper No. 09-11
Number of pages: 47 Posted: 05 Nov 2009 Last Revised: 28 Jan 2011
Working Paper Series
Peter G. Peterson Institute for International Economics and Peter G. Peterson Institute for International Economics
Downloads 832
24.

Can Oil Prices Forecast Exchange Rates?

Economic Research Initiatives at Duke Working Paper No. 95
Number of pages: 54 Posted: 12 May 2011
Accepted Paper Series
affiliation not provided to SSRN, Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI) and Harvard University - Department of Economics
Downloads 793
25.

Time-Series Momentum: Is It There?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 41 Posted: 06 May 2018 Last Revised: 30 Jan 2019
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University, Lee Kong Chian School of Business, Students, Singapore Management University - School of Economics and Washington University in St. Louis - John M. Olin Business School
Downloads 757
26.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 756
27.

Conditional Dependency of Financial Series: An Application of Copulas

HEC Department of Finance Working Paper No. 723
Number of pages: 43 Posted: 05 Apr 2001
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)

Multiple version iconThere are 2 versions of this paper

Downloads 750
28.

Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash

Swiss Finance Institute Research Paper No. 15-31
Number of pages: 16 Posted: 22 Nov 2015
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zurich, ETH Zurich, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zurich
Downloads 722
29.

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

2015 Financial Management Association Annual Meeting; Orlando, FL, US. , 2015 European Financial Management Association Annual Meeting; Amsterdam, Netherlands.
Number of pages: 64 Posted: 30 Jun 2013 Last Revised: 22 Jun 2016
Working Paper Series
Jupiter Asset Management and University of Glasgow - Adam Smith Business School
Downloads 670
30.

Time-Varying Integration and International Diversification Strategies

EFA 2006 Zurich Meetings Paper
Number of pages: 53 Posted: 20 Mar 2008
Working Paper Series
Tilburg University - Department of Finance and Ghent University - Department of Financial Economics
Downloads 629
31.

The Changing Concept of Financial Risk

Number of pages: 46 Posted: 29 Jan 2002
Working Paper Series
University of California at Irvine - The Paul Merage School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 620
32.

Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations

IIIS Discussion Paper No. 122
Number of pages: 27 Posted: 02 Mar 2006 Last Revised: 14 Jul 2009
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 616
33.

What Might the Next Emerging-Market Financial Crisis Look Like?

Peterson Institute for International Economics Working Paper No. 05-7
Number of pages: 109 Posted: 08 Aug 2005 Last Revised: 28 Jan 2011
Working Paper Series
Peter G. Peterson Institute for International Economics
Downloads 612
34.

Exchange Rates and Fundamentals

ECB Working Paper No. 248
Number of pages: 50 Posted: 02 Dec 2003
Working Paper Series
University of Wisconsin - Madison - Department of Economics and University of Wisconsin - Madison - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 588
35.

Financial Crisis and New Dimensions of Liquidity Risk: Rethinking Prudential Regulation and Supervision

Number of pages: 18 Posted: 19 Oct 2009
Working Paper Series
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN), Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN) and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN)
Downloads 585
36.

Enforcement and its Impact on Cost of Equity and Liquidity of the Market

Number of pages: 28 Posted: 21 Dec 2006 Last Revised: 12 May 2014
Working Paper Series
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management
Downloads 584
37.

Insurance Companies in Emerging Markets

IMF Working Paper No. 05/88
Number of pages: 21 Posted: 03 Mar 2006
Working Paper Series
affiliation not provided to SSRN and International Monetary Fund (IMF)
Downloads 554
38.

Liquidity Risk and Interest Rate Risk on Banks: Are They Related?

The IUP Journal of Financial Risk Management, Forthcoming
Number of pages: 37 Posted: 28 Sep 2012 Last Revised: 21 Oct 2012
Accepted Paper Series
University of Padova, Department of Economic and Managerial Sciences and University of Padua - Department of Economics and Management

Multiple version iconThere are 2 versions of this paper

Downloads 542
39.

Tail Risk Concerns Everywhere

Number of pages: 41 Posted: 17 May 2015 Last Revised: 08 Jun 2017
Working Paper Series
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Johns Hopkins University - Carey Business School
Downloads 509
40.

An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention

FRB of St. Louis Working Paper No. 2005-030B
Number of pages: 41 Posted: 29 Jul 2005
Working Paper Series
Federal Reserve Bank of St. Louis - Research Division
Downloads 505
41.

Rent-Seeking in Elite Networks

Forthcoming in Journal of Political Economy, SAFE Working Paper No. 132
Number of pages: 55 Posted: 03 Feb 2017 Last Revised: 10 Feb 2017
Working Paper Series
Goethe University Frankfurt - Research Center SAFE, Princeton University, Bendheim Center for Finance and London Business School
Downloads 481
42.

A Low-Risk Strategy Based on Higher Moments in Currency Markets

Number of pages: 59 Posted: 28 Sep 2015 Last Revised: 30 May 2016
Working Paper Series
Goethe University Frankfurt - Department of Finance
Downloads 474
43.

Fundamentals and Exchange Rate Forecastability with Simple Machine Learning Methods

HEC Paris Research Paper No. ECO/SCD-2014-1049
Number of pages: 69 Posted: 12 Jun 2014 Last Revised: 29 May 2018
Working Paper Series
Ecole Polytechnique, Paris, HEC Paris - Economics & Decision Sciences and HEC Paris - Economics & Decision Sciences
Downloads 456
44.

Exchange Rate Predictability and State-of-the-Art Models

Number of pages: 41 Posted: 11 Aug 2015 Last Revised: 21 Aug 2015
Working Paper Series
Swiss National Bank
Downloads 455
45.

Why are Capital Flows so Much More Volatile in Emerging than in Developed Countries?

Number of pages: 23 Posted: 01 Mar 2006
Working Paper Series
CREI and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 455
46.

Disagreement Beta

Journal of Monetary Economics, Forthcoming
Number of pages: 42 Posted: 17 Jun 2016 Last Revised: 07 Oct 2018
Accepted Paper Series
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Johns Hopkins University - Carey Business School and DePaul University
Downloads 439
47.

Financial Integration, International Portfolio Choice and the European Monetary Union

ECB Working Paper No. 626, EFA 2006 Zurich Meetings
Number of pages: 52 Posted: 16 Mar 2006
Working Paper Series
European Central Bank (ECB) - Directorate General Economics and BI Norwegian Business School - Department of Finance
Downloads 414
48.

Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?

Number of pages: 54 Posted: 13 Feb 2014
Working Paper Series
University of Notre Dame, University of Guelph and Fifth Third Bank
Downloads 411
49.

Volatility Threshold Dynamic Conditional Correlations: An International Analysis

Forthcoming, Journal of Financial Econometrics
Number of pages: 45 Posted: 05 Mar 2007 Last Revised: 29 Oct 2012
Accepted Paper Series
University of Mannheim - Department of Finance and University of Padua - Department of Statistical Sciences
Downloads 405
50.

The Cross-Section of Currency Volatility Premia

Number of pages: 96 Posted: 13 Jan 2017 Last Revised: 20 Oct 2018
Working Paper Series
Imperial College Business School, University of Warwick - Warwick Business School and City University London - Faculty of Finance
Downloads 402