Search Results
JEL Code: G12

11,814,934 Total downloads

Viewing: 1 - 50 of 24,385 papers

1.

Firm Characteristics and Empirical Factor Models: A Model Mining Experiment

Tian, M. 2020. Firm characteristics and empirical factor models: A model mining experiment. Review of Financial Studies. Advance Access published November 9, 2020, 10.1093/rfs/hhaa126.
Posted: 22 Jan 2021
Accepted Paper Series
Board of Governors of the Federal Reserve System
2.

Variance Discount Rates: What Drives Preferences over Variance Risk?

Number of pages: 64 Posted: 22 Jan 2021
Working Paper Series
Department of Finance; Tilburg University - Center for Economic Research (CentER)
Downloads 26
3.

Demand for Idiosyncratic Lottery-like Payoffs and the Cross-section of Expected Returns

Number of pages: 33 Posted: 22 Jan 2021
Working Paper Series
Bilkent University and Koc University - College of Administrative Sciences and Economics
Downloads 10
4.

The Earnings Expectations Game and the Dispersion Anomaly

Management Science, Forthcoming
Number of pages: 62 Posted: 21 Jan 2021
Working Paper Series
University of Amsterdam - Amsterdam Business School (ABS) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 9
5.

Self-Fulfilling Risk Panics: An Expected Utility Framework

Number of pages: 26 Posted: 21 Jan 2021
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics, University of Hong Kong (HKU) - Finance Area, Faculty of Business and Economics and HKUST, Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 5
6.

Notional Value Effect in Futures Markets

Number of pages: 42 Posted: 21 Jan 2021
Working Paper Series
Erevna Capital Management
Downloads 3
7.

One Year Later. Leveraged ETFs in Portfolio Construction and Portfolio Protection

Number of pages: 65 Posted: 21 Jan 2021
Working Paper Series
Columbia University
Downloads 24
8.

A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters

Number of pages: 38 Posted: 21 Jan 2021
Working Paper Series
University of Montreal - Department of Mathematics and Statistics, University of Calgary and Simon Fraser University
Downloads 23
9.

Targets, Predictability, and Performance

Number of pages: 48 Posted: 21 Jan 2021
Working Paper Series
CUNY Queens College and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 21
10.

A New Index of Option Implied Absolute Deviation

Number of pages: 29 Posted: 21 Jan 2021
Working Paper Series
National Kapodistrian University of Athens - Faculty of Economics
Downloads 15
11.

Product Market Threats: Implications for Future Profitability and its Use by Market Participants

Number of pages: 52 Posted: 21 Jan 2021
Working Paper Series
University of Florida - Fisher School of Accounting, University of Florida and University of Florida - Warrington College of Business Administration
Downloads 14
12.

The Curious Case of Backward Short Rates

Number of pages: 18 Posted: 20 Jan 2021
Working Paper Series
Quantitative Risk Management, Inc. and Quantitative Risk Management, Inc.
Downloads 15
13.

Tracking Biased Weights: Asset Pricing Implications of Value-Weighted Indexing

Number of pages: 58 Posted: 20 Jan 2021
Working Paper Series
Michigan State University, London School of Economics and University of California, Irvine - Paul Merage School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 32
14.

The Role of Institutional Investors in Corporate and Entrepreneurial Finance

Journal of Corporate Finance, Forthcoming
Number of pages: 11 Posted: 20 Jan 2021
Working Paper Series
Boston College - Carroll School of Management, Hong Kong Polytechnic University - School of Accounting and Finance and Hong Kong Polytechnic University
Downloads 23
15.

Circuit Breakers and the COVID-19 Crisis

Number of pages: 45 Posted: 20 Jan 2021
Working Paper Series
Duke University, The Fuqua School of Business
Downloads 11
16.

Measuring Corporate Bond Market Dislocations

FRB of New York Staff Report No. 957
Number of pages: 69 Posted: 20 Jan 2021
Working Paper Series
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 14
17.

Liquidity Co-Movements and Volatility Regimes in Cryptocurrencies

Number of pages: 22 Posted: 19 Jan 2021
Working Paper Series
affiliation not provided to SSRN, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), affiliation not provided to SSRN and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 15
18.

The Volatility Effect in China

Number of pages: 19 Posted: 19 Jan 2021
Working Paper Series
Robeco Quantitative Investments, Technische Universität München (TUM) and Robeco Quantitative Investments
Downloads 61
19.

Spillover Effects of Sovereign Bond Purchases in the Euro Area

De Nederlandsche Bank Working Paper No. 706
Number of pages: 40 Posted: 19 Jan 2021
Working Paper Series
De Nederlandsche Bank, De Nederlandsche Bank and De Nederlandsche Bank
20.

Quantifying the Relationship Between Seaborne Trade and Shipping Freight Rates: A Bayesian Vector Autoregressive Approach

Michail, N.A., Melas, K.D. ,(2020),"Quantifying the relationship between seaborne trade and shipping freight rates: A Bayesian vector autoregressive approach", Martime Transport Research, p.100001, doi: 10.1016/j.martra.2020.100001
Number of pages: 10 Posted: 19 Jan 2021
Accepted Paper Series
Cyprus University of Technology and Metropolitan College, Greece - Faculty of Business and Economics
Downloads 3
21.

Business Development Companies: Venture Capital for Retail Investors

76 The Business Lawyer (Forthcoming 2021)
Number of pages: 50 Posted: 19 Jan 2021 Last Revised: 21 Jan 2021
Accepted Paper Series
Syracuse University - College of Law
Downloads 12
22.

Observable Implications of the Conditional CAPM

Discussion Papers on Business and Economics, University of Southern Denmark, 13/2020
Number of pages: 24 Posted: 19 Jan 2021
Working Paper Series
University of Southern Denmark

Multiple version iconThere are 2 versions of this paper

Downloads 15
23.

Bond Indifference Prices

Quantitative Finance, Forthcoming
Number of pages: 23 Posted: 19 Jan 2021
Working Paper Series
University of Washington - Applied Mathematics and University of Connecticut - Department of Mathematics
Downloads 11
24.

Hot Potatoes: Overreaction to Extreme Negative Returns

Number of pages: 44 Posted: 19 Jan 2021
Working Paper Series
Florida International University and Florida International University
Downloads 12
25.

Political Affinity and Mutual Fund Voting Schizophrenia

Number of pages: 52 Posted: 19 Jan 2021
Working Paper Series
INSEAD - Finance and City University of Hong Kong
Downloads 5
26.

Signaling through Carbon Disclosure

Number of pages: 41 Posted: 19 Jan 2021
Working Paper Series
Columbia Business School - Department of Economics and Imperial College London - Accounting, Finance, and Macroeconomics
Downloads 63
27.

Once índices bursátiles 2007- 7 enero 2021 y desempleo en 30 países 2000-2020 (Eleven Stock Market Indices 2007- January 7, 2021 and Unemployment in 30 Countries 2000-2020)

Number of pages: 15 Posted: 16 Jan 2021
Working Paper Series
IESE Business School and University of Navarra, IESE Business School
Downloads 613
28.

Institutional Corporate Bond Demand

Number of pages: 45 Posted: 15 Jan 2021
Working Paper Series
London Business School - Department of Finance, University of Southern California - Marshall School of Business, Harvard University - Harvard Business School and London Business School
Downloads 123
29.

Extreme Valuations and Future Returns of the S&P 500

Number of pages: 16 Posted: 15 Jan 2021
Working Paper Series
Independent and affiliation not provided to SSRN
Downloads 77
30.

President’s Confidence and the Stock Market Performance

Number of pages: 43 Posted: 14 Jan 2021
Working Paper Series
University of Colorado at Denver - Department of Finance
Downloads 13
31.

Printing, Spoofing, Calling, and Flying – Some of the Perils of Exchange Rate FX Option Broking

Posted: 14 Jan 2021 Last Revised: 15 Jan 2021
Working Paper Series
University of Oxford - Saint Cross College
32.

Internet Appendix to Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Number of pages: 95 Posted: 14 Jan 2021 Last Revised: 16 Jan 2021
Working Paper Series
Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads 8
33.

Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry

Number of pages: 45 Posted: 14 Jan 2021
Working Paper Series
Fidelity Investments, Inc.
Downloads 215
34.

Competition for Attention in the ETF Space

Fisher College of Business Working Paper No. 2021-03-001, Charles A. Dice Center Working Paper No. 2021-01, Swiss Finance Institute Research Paper No. 21-03
Number of pages: 41 Posted: 14 Jan 2021 Last Revised: 19 Jan 2021
Working Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano, Ohio State University (OSU) - Department of Finance and Villanova University - Department of Finance
Downloads 913
35.

How Cyclical Are Stock Market Return Expectations? Evidence from Capital Market Assumptions

Number of pages: 26 Posted: 14 Jan 2021
Working Paper Series
Stockholm School of Economics and Board of Governors of the Federal Reserve System
Downloads 25
36.

Are Global Exchange Traded Fund Pretentious on Exchange Rate Fluctuation? A Study Using GARCH Model

Investment Management and Financial Innovations, 17(4), 356-366. doi:10.21511/imfi.17(4).2020.30
Number of pages: 12 Posted: 14 Jan 2021
Accepted Paper Series
affiliation not provided to SSRN, Kingdom University, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 5
37.

Liquidity Shocks and Pension Fund Performance: Evidence From the Early Release Scheme

Number of pages: 32 Posted: 14 Jan 2021
Working Paper Series
University of Melbourne - Department of Finance, University of Melbourne and University of Melbourne - Department of Finance
Downloads 26
38.

Once Upon a Time in AMERIBOR

Posted: 14 Jan 2021 Last Revised: 19 Jan 2021
Working Paper Series
University of Oxford - Saint Cross College
39.

Expectation Dispersion, Uncertainty, and the Reaction to News

CESifo Working Paper No. 8801
Number of pages: 23 Posted: 14 Jan 2021
Working Paper Series
Frankfurt School of Finance & Management gemeinnützige GmbH, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Heidelberg

Multiple version iconThere are 2 versions of this paper

Downloads 13
40.

Cash Heterogeneity and the Payout Channel of Monetary Policy

Number of pages: 66 Posted: 13 Jan 2021 Last Revised: 21 Jan 2021
Working Paper Series
Frankfurt School of Finance & Management
Downloads 7
41.

Greed and Individual Trading Behavior in Experimental Asset Markets

Number of pages: 70 Posted: 13 Jan 2021
Working Paper Series
Tilburg University, Radboud University, Institute for Management Research, Tilburg University and Tilburg University - Faculty of Social and Behavioural Sciences
Downloads 41
42.

Market Selection and the Absence of Arbitrage

Number of pages: 33 Posted: 13 Jan 2021
Working Paper Series
University of Zurich
Downloads 9
43.

Evidence of S-Shaped Consumption Utility and Implications for Macroeconomic Models

Number of pages: 40 Posted: 13 Jan 2021 Last Revised: 19 Jan 2021
Working Paper Series
China Center for Economic Studies, School of Economics, Fudan University and Texas A&M University
Downloads 29
44.

Asset Pricing Based on Micro Consumption

Number of pages: 68 Posted: 13 Jan 2021 Last Revised: 16 Jan 2021
Working Paper Series
China Center for Economic Studies, School of Economics, Fudan University and Texas A&M University
Downloads 37
45.

Stock Price Reactions to ESG News: The Role of ESG Ratings and Disagreement

Harvard Business School Accounting & Management Unit Working Paper No. 21-079
Number of pages: 44 Posted: 13 Jan 2021 Last Revised: 14 Jan 2021
Working Paper Series
Downloads 99
46.

Maximizing the Sharpe Ratio: A Genetic Programming Approach

Number of pages: 55 Posted: 13 Jan 2021
Working Paper Series
Tsinghua University - School of Economics & Management, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 98
47.

Two Out-of-Sample Forecasting Models of the Equity Premium

Discussion Papers on Business and Economics, University of Southern Denmark, 11/2020
Number of pages: 21 Posted: 12 Jan 2021
Working Paper Series
University of Southern Denmark

Multiple version iconThere are 2 versions of this paper

Downloads 12
48.

Dollar Carry Timing

Discussion Papers on Business and Economics, University of Southern Denmark, 10/2020
Number of pages: 75 Posted: 12 Jan 2021
Working Paper Series
University of Southern Denmark

Multiple version iconThere are 2 versions of this paper

Downloads 24
49.

Leverage Constraints Affect Portfolio Choice: Evidence from Closed-End Funds

Number of pages: 50 Posted: 12 Jan 2021
Working Paper Series
Aalto University and Aalto University - School of Business
Downloads 18
50.

Dynamic Equity Slope

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21/WP/2020
Number of pages: 62 Posted: 12 Jan 2021
Working Paper Series
University of Turin - Collegio Carlo Alberto, Ca Foscari University of Venice, University of Turin - Collegio Carlo Alberto and Federal Reserve Board

Multiple version iconThere are 2 versions of this paper

Downloads 13