SSRN NYU: Salomon Center (Topic)

1.

The Promise and Peril of Real Options

NYU Working Paper No. S-DRP-05-02

Number of pages: 75 Posted: 05 Nov 2008

Working Paper Series

Aswath Damodaran

New York University - Stern School of Business

Downloads 2,616

2.

Dynamic Conditional Correlation : A Simple Class of Multivariate GARCH Models

NYU Working Paper No. S-DRP-02-01

Number of pages: 34 Posted: 07 Nov 2008

Working Paper Series

Robert F. Engle

New York University - Leonard N. Stern School of Business - Department of Economics

There are 4 versions of this paper

Downloads 1,277

3.

Pricing Exchange Traded Funds

NYU Working Paper No. S-DRP-02-11

Number of pages: 28 Posted: 07 Nov 2008

Working Paper Series

Robert F. Engle and Debojyoti Sarkar

New York University - Leonard N. Stern School of Business - Department of Economics and Integral Research Inc.

Downloads 1,275

4.

Competition and Financial Stability

NYU Working Paper No. S-FI-03-06

Number of pages: 46 Posted: 11 Nov 2008

Working Paper Series

Franklin Allen and Douglas M. Gale

Imperial College London and New York University (NYU) - Department of Economics

There are 2 versions of this paper

Downloads 1,248

5.

Revisiting Credit Scoring Models in a Basel 2 Environment

NYU Working Paper No. S-CDM-02-06

Number of pages: 37 Posted: 05 Nov 2008

Working Paper Series

Edward I. Altman

New York University (NYU) - Salomon Center

There are 3 versions of this paper

Downloads 929

6.

How Rating Agencies Achieve Rating Stability

NYU Working Paper No. S-CDM-03-12

Number of pages: 49 Posted: 05 Nov 2008

Working Paper Series

Edward I. Altman and Herbert A. Rijken

New York University (NYU) - Salomon Center and Vrije Universiteit Amsterdam (Free University)

Downloads 677

7.

How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?

NYU Working Paper No. S-CDM-02-05

Number of pages: 70 Posted: 05 Nov 2008

Working Paper Series

Jing-Zhi Huang and Ming Huang

Pennsylvania State University - University Park - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management

There are 3 versions of this paper

Downloads 671

8.

The Investment Behavior of Private Equity Fund Managers

NYU Working Paper No. S-FI-03-11

Number of pages: 37 Posted: 11 Nov 2008

Working Paper Series

Alexander Ljungqvist and Matthew P. Richardson

New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

There are 4 versions of this paper

Downloads 657

9.

Market Liquidity and Funding Liquidity

NYU Working Paper No. SC-AM-05-06

Number of pages: 47 Posted: 03 Nov 2008

Working Paper Series

Markus K. Brunnermeier and Lasse Heje Pedersen

Princeton University - Department of Economics and AQR Capital Management, LLC

There are 4 versions of this paper

Downloads 602

10.

Rating Agencies: Is There an Agency Issue?

NYU Working Paper No. S-CDM-01-02

Number of pages: 54 Posted: 05 Nov 2008

Working Paper Series

Roy C. Smith and Ingo Walter

New York University (NYU) - Department of Finance and New York University - Leonard N. Stern School of Business

Downloads 577

11.

Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence

NYU Working Paper No. S-CDM-03-11

Number of pages: 33 Posted: 05 Nov 2008

Working Paper Series

Edward I. Altman, Andrea Resti and Andrea Sironi

New York University (NYU) - Salomon Center, Bocconi University - Department of Finance and Bocconi University - Department of Finance

Downloads 563

12.

A Unified Framework for Monetary Theory and Policy Analysis

NYU Working Paper No. S-MF-03-21

Number of pages: 49 Posted: 12 Nov 2008

Working Paper Series

Ricardo Lagos and Randall Wright

New York University (NYU) - Department of Economics and University of Wisconsin - Madison - Department of Finance, Investment and Banking

There are 2 versions of this paper

Downloads 550

13.

The Link between Default and Recovery Rates

NYU Working Paper No. S-CDM-04-07

Number of pages: 32 Posted: 05 Nov 2008

Working Paper Series

Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi

New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance

Downloads 548

14.

What Good is a Volatility Model?

NYU Working Paper No. S-DRP-01-03

Number of pages: 29 Posted: 07 Nov 2008

Working Paper Series

Robert F. Engle and Andrew J. Patton

New York University - Leonard N. Stern School of Business - Department of Economics and Duke University - Department of Economics

There are 2 versions of this paper

Downloads 454

15.

Revisiting Credit Scoring Models in a Basel 2 Environment

NYU Working Paper No. S-FI-02-11

Number of pages: 37 Posted: 11 Nov 2008

Working Paper Series

Edward I. Altman

New York University (NYU) - Salomon Center

There are 3 versions of this paper

Downloads 430

16.

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects

NYU Working Paper No. S-AM-00-10

Number of pages: 50 Posted: 13 Nov 2008

Working Paper Series

Yakov Amihud

New York University - Stern School of Business

There are 2 versions of this paper

Downloads 412

17.

Corporate Distress Prediction Models in a Turbulent Economic and Basel Ii Environment

NYU Working Paper No. S-CDM-02-11

Number of pages: 31 Posted: 05 Nov 2008

Working Paper Series

Edward I. Altman

New York University (NYU) - Salomon Center

There are 2 versions of this paper

Downloads 409

18.

Political Risk, Financial Crisis, and Market Volatility

NYU Working Paper No. S-MF-99-08

Number of pages: 28 Posted: 12 Nov 2008

Working Paper Series

Jianping (J.P.) Mei

affiliation not provided to SSRN

There are 2 versions of this paper

Downloads 408

19.

Private Information Trading and Corporate Governance in Emerging Markets

NYU Working Paper No. S-CG-02-01

Number of pages: 38 Posted: 05 Nov 2008

Working Paper Series

Olesya V. Grishchenko, Lubomir P. Litov and Jianping Mei

Board of Governors of the Federal Reserve System, University of Oklahoma - Michael F. Price College of Business and New York University (NYU) - Department of Finance

There are 2 versions of this paper

Downloads 403

20.

Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements

NYU Working Paper No. SC-AM-05-02

Number of pages: 31 Posted: 04 Nov 2008

Working Paper Series

Malcolm P. Baker, Lubomir P. Litov, Jessica A. Wachter and Jeffrey Wurgler

Harvard Business School, University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and NYU Stern School of Business

There are 4 versions of this paper

Downloads 386

21.

Investment Banking Relationships and Merger Fees

NYU Working Paper No. S-FI-01-07

Number of pages: 38 Posted: 11 Nov 2008

Working Paper Series

Anthony Saunders and Anand Srinivasan

New York University - Leonard N. Stern School of Business and CAFRAL, Reserve Bank of India

There are 2 versions of this paper

Downloads 385

22.

Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

NYU Working Paper No. S-DRP-01-10

Number of pages: 43 Posted: 07 Nov 2008

Working Paper Series

Robert F. Engle and Kevin Sheppard

New York University - Leonard N. Stern School of Business - Department of Economics and University of Oxford - Department of Economics

There are 3 versions of this paper

Downloads 384

23.

Income Smoothing Over the Business Cycle: Changes in Banks Coordinated Management of Provisions for Loan Losses and Loan Charge-Offs from the Pre-1990 Bust to the 1990s Boom

NYU Working Paper No. S-CDM-03-15

Number of pages: 49 Posted: 05 Nov 2008

Working Paper Series

Chi-Chun Liu and Stephen G. Ryan

National Taiwan University and New York University (NYU) - Leonard N. Stern School of Business

Downloads 361

24.

Risk Management, Capital Structure and Capital Budgeting in Financial Institutions

NYU Working Paper No. S-CDM-00-10

Number of pages: 32 Posted: 05 Nov 2008

Working Paper Series

A. Sinan Cebenoyan and Philip E. Strahan

New York University (NYU) - Department of Finance and Boston College - Department of Finance

There are 3 versions of this paper

Downloads 356

25.

The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality

NYU Working Paper No. 2451/26764

Number of pages: 46 Posted: 03 Nov 2008

Working Paper Series

Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi

New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance

There are 3 versions of this paper

Downloads 327

26.

The Role of Bank Advisors in Mergers and Acquisitions

NYU Working Paper No. S-FI-01-10

Number of pages: 50 Posted: 11 Nov 2008

Working Paper Series

Linda Allen, Julapa Jagtiani and Stavros Peristiani

City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of New York

There are 4 versions of this paper

Downloads 321

27.

Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

NYU Working Paper No. S-DRP-01-07

Number of pages: 18 Posted: 07 Nov 2008

Working Paper Series

Zhuanxin Ding and Robert F. Engle

Russell Investments and New York University - Leonard N. Stern School of Business - Department of Economics

There are 2 versions of this paper

Downloads 319

28.

A Tale of Two Indices

NYU Working Paper No. SC-CFE-04-01

Number of pages: 38 Posted: 07 Nov 2008

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

There are 2 versions of this paper

Downloads 302

29.

A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk

NYU Working Paper No. S-CDM-04-05

Number of pages: 31 Posted: 05 Nov 2008

Working Paper Series

Sanjiv Ranjan Das and Rangarajan K. Sundaram

Santa Clara University - Leavey School of Business and New York University (NYU) - Department of Finance

Downloads 300

30.

Why are Dividends Disappearing? An Empirical Analysis

NYU Working Paper No. S-CG-02-09

Number of pages: 65 Posted: 04 Nov 2008

Working Paper Series

Malcolm P. Baker and Jeffrey Wurgler

Harvard Business School and NYU Stern School of Business

There are 6 versions of this paper

Downloads 295

31.

Financial Fragility, Liquidity and Asset Prices

NYU Working Paper No. S-FI-03-07

Number of pages: 32 Posted: 11 Nov 2008

Working Paper Series

Franklin Allen and Douglas M. Gale

Imperial College London and New York University (NYU) - Department of Economics

Downloads 291

32.

Informational Efficiency of Loans Versus Bonds: Evidence from Secondary Market Prices

NYU Working Paper No. S-FI-04-02

Number of pages: 48 Posted: 11 Nov 2008

Working Paper Series

Edward I. Altman, Amar Gander and Anthony Saunders

New York University (NYU) - Salomon Center, affiliation not provided to SSRN and New York University - Leonard N. Stern School of Business

Downloads 285

33.

Individual Investor Sentiment and Stock Returns

NYU Working Paper No. SC-CFE-04-04

Number of pages: 46 Posted: 07 Nov 2008

Working Paper Series

Ron Kaniel, Gideon Saar and Sheridan Titman

University of Rochester - Simon Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Texas at Austin - Department of Finance

There are 3 versions of this paper

Downloads 275

34.

The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes

NYU Working Paper No. SC-CFE-04-05

Number of pages: 41 Posted: 07 Nov 2008

Working Paper Series

Robert F. Engle and J. Gonzalo Rangel

New York University - Leonard N. Stern School of Business - Department of Economics and affiliation not provided to SSRN

Downloads 269

35.

High Frequency Multiplicative Component GARCH

NYU Working Paper No. SC-CFE-05-05

Number of pages: 30 Posted: 07 Nov 2008

Working Paper Series

Robert F. Engle and Magdalena Sokalska

New York University - Leonard N. Stern School of Business - Department of Economics and CUNY Queens College

There are 2 versions of this paper

Downloads 266

36.

An Analysis of Shareholder Agreements

NYU Working Paper No. S-CG-01-04

Number of pages: 34 Posted: 05 Nov 2008

Working Paper Series

Gilles Chemla, Michel A. Habib and Alexander Ljungqvist

Imperial College Business School, University of Zurich and New York University (NYU) - Department of Finance

There are 4 versions of this paper

Downloads 252

37.

Fixed Income Pricing

NYU Working Paper No. S-MF-02-06

Number of pages: 49 Posted: 12 Nov 2008

Working Paper Series

Qiang Dai and Kenneth J. Singleton

New York University and Stanford University - Graduate School of Business

There are 3 versions of this paper

Downloads 243

38.

Financial Intermediaries and Markets

NYU Working Paper No. S-FI-03-16

Number of pages: 39 Posted: 11 Nov 2008

Working Paper Series

Franklin Allen and Douglas M. Gale

Imperial College London and New York University (NYU) - Department of Economics

Downloads 239

39.

Careers and Survival: Competition and Risk in the Hedge Fund and Cta Industry

NYU Working Paper No. S-AM-00-06

Number of pages: 31 Posted: 13 Nov 2008

Working Paper Series

Stephen J. Brown, William N. Goetzmann and James M. Park

New York University - Stern School of Business, Yale School of Management - International Center for Finance and PARADIGM Capital Management

There are 2 versions of this paper

Downloads 237

40.

Asset Pricing with Liquidity Risk

NYU Working Paper No. S-DRP-05-09

Number of pages: 36 Posted: 05 Nov 2008

Working Paper Series

Viral V. Acharya and Lasse Heje Pedersen

New York University - Leonard N. Stern School of Business and AQR Capital Management, LLC

There are 7 versions of this paper

Downloads 217

41.

Stock Market Valuations and Foreign Direct Investment

NYU Working Paper No. SC-AM-04-05

Number of pages: 42 Posted: 04 Nov 2008

Working Paper Series

Malcolm P. Baker, C. Fritz Foley and Jeffrey Wurgler

Harvard Business School, Harvard Business School and NYU Stern School of Business

There are 7 versions of this paper

Downloads 212

42.

Hot Markets, Investor Sentiment, and IPO Pricing

NYU Working Paper No. S-FI-01-05

Number of pages: 43 Posted: 11 Nov 2008

Working Paper Series

Alexander Ljungqvist, Vikram K. Nanda and Rajdeep Singh

New York University (NYU) - Department of Finance, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and University of Minnesota - Twin Cities - Carlson School of Management

There are 5 versions of this paper

Downloads 205

43.

The Link between Default and Recovery Rates: Implications for Credit Risk Models and Procyclicality

NYU Working Paper No. 2451/26764

Number of pages: 46 Posted: 05 Nov 2008

Working Paper Series

Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi

New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance

There are 3 versions of this paper

Downloads 203

44.

Wavelets in Economics and Finance: Past and Future

NYU Working Paper No. S-MF-02-02

Number of pages: 70 Posted: 12 Nov 2008

Working Paper Series

James B. Ramsey

New York University - Leonard N. Stern School of Business - Department of Economics

Downloads 189

45.

Capital Structure with Asymmetric Information About Value and Risk: Theory and Empirical Analysis

NYU Working Paper No. S-CDM-03-17

Number of pages: 59 Posted: 05 Nov 2008

Working Paper Series

Nikolay Halov and Florian Heider

New York University - Stern School of Business and European Central Bank (ECB)

There are 3 versions of this paper

Downloads 187

46.

The Cash Flow, Return and Risk Characteristics of Private Equity

NYU Working Paper No. S-FI-03-01

Number of pages: 43 Posted: 11 Nov 2008

Working Paper Series

Alexander Ljungqvist and Matthew P. Richardson

New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

There are 7 versions of this paper

Downloads 186

47.

Investor Sentiment and the Cross-Section of Stock Returns

NYU Working Paper No. S-MF-03-20

Number of pages: 46 Posted: 12 Nov 2008

Working Paper Series

Malcolm P. Baker and Jeffrey Wurgler

Harvard Business School and NYU Stern School of Business

There are 6 versions of this paper

Downloads 185

48.

Conflicts of Interest and Market Discipline Among Financial Services Firms

NYU Working Paper No. 2451/27263

Number of pages: 36 Posted: 04 Nov 2008

Working Paper Series

Ingo Walter

New York University - Leonard N. Stern School of Business

There are 6 versions of this paper

Downloads 183

49.

The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications

NYU Working Paper No. S-FI-03-19

Number of pages: 27 Posted: 11 Nov 2008

Working Paper Series

Edward I. Altman, Brooks Brady, Andrea Resti and Andrea Sironi

New York University (NYU) - Salomon Center, Standard & Poor's Risk Solutions, Bocconi University - Department of Finance and Bocconi University - Department of Finance

There are 4 versions of this paper

Downloads 176

50.

The Investment Behavior of Private Equity Fund Managers

NYU Working Paper No. SC-AM-03-12

Number of pages: 38 Posted: 04 Nov 2008

Working Paper Series

Alexander Ljungqvist and Matthew P. Richardson

New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

There are 4 versions of this paper

Downloads 173