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SSRN eLibrary Search Results
Capital Markets: Asset Pricing & Valuation eJournal
7,488,244 Total downloads
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Covering the World: Global Evidence on Covered CallsRoni Israelov, Matthew Klein and Harsha Tummala AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC Date Posted: June 28, 2017 Working Paper Series 3 downloads
Which Index Options Should You Sell?Roni Israelov and Harsha Tummala AQR Capital Management, LLC and AQR Capital Management, LLC Date Posted: June 28, 2017 Working Paper Series
The Greenspan PutSandeep Dahiya, Bardia Kamrad, Valerio Potì and Akhtar R. Siddique Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business, University College Dublin and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division Date Posted: June 28, 2017 Working Paper Series 10 downloads
Metal Vadeli İşlem Piyasaları ve Doğrusal Olmayan Dinamikleri (Metals Futures Market and the Nonlinear Dynamics)İşletme ve İktisat Çalışmaları Dergisi, Cilt 4, Sayı 4, ss. 165-176, 2016 , Ayben Koy and Güldenur Çetin affiliation not provided to SSRN and Istanbul Commerce University Date Posted: June 28, 2017 Accepted Paper Series 3 downloads
Fama ve French’in Büyüklük ve Risk Primleri İMKB’de Geçerli midir? (Are the Size Premium and Value Premium of Fama and French's Valid in Istanbul Stock Exchange?)Yönetim Dergisi, Vol. 24(74), p. 102-118, 2013, Ayben Koy affiliation not provided to SSRN Date Posted: June 28, 2017 Accepted Paper Series 2 downloads
Kredi Temerrüt Swapları ve Tahvil Primleri Üzerine Ampirik Bir Çalışma (An Empirical Study on Credit Default Swaps' Spreads and Bond Spreads)International Review of Economics and Management, Volume 2, Number 2, p. 63-79, 2014 Ayben Koy affiliation not provided to SSRN Date Posted: June 28, 2017 Accepted Paper Series 3 downloads
Millennials’ Support for Liberal Democracy is Failing. An Investor PerspectiveConstantin Gurdgiev Trinity College, Dublin Date Posted: June 28, 2017 Working Paper Series 10 downloads
Disappointment Aversion and Income Risk: Implications for Portfolio AllocationRevansiddha Basavaraj Khanapure University of Delaware - Department of Finance Date Posted: June 28, 2017 Working Paper Series 5 downloads
A Century of Evidence on Trend-Following InvestingBrian Hurst, Yao Hua Ooi and Lasse Heje Pedersen AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC Date Posted: June 28, 2017 Working Paper Series 156 downloads
Local Fluctuations of the Signed Traded Volumes and the Dependencies of Demands: A Copula AnalysisShanshan Wang and Thomas Guhr Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen Date Posted: June 28, 2017 Working Paper Series 3 downloads
Asset, Index and Option BehaviorRichard Gary Burke Database Solutions, Inc. Date Posted: June 28, 2017 Working Paper Series 1 downloads
The Functions of the Stock Market and the Fallacies of Shareholder ValueInstitute for New Economic Thinking Working Paper Series No. 58 William Lazonick The Academic-Industry Research Network Date Posted: June 28, 2017 Working Paper Series 2 downloads Is There Long Memory in Indian Stock Market Returns? An Empirical Search Journal of Asia-Pacific Business, Vol. 16(2), p. 128-145, 2015 DOI: 10.1080/10599231.2015.1028306 Gourishankar S. Hiremath and Jyoti Kumari Indian Institute of Technology (IIT), Kharagpur - Department of Humanities and Social Sciences and Indian Institute of Technology (IIT), Kharagpur - Department of Humanities and Social Sciences Date Posted: June 27, 2017 Accepted Paper Series
Functional Ross Recovery: An Operator ApproachYannick Dillschneider and Raimond Maurer Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department Date Posted: June 27, 2017 Working Paper Series 17 downloads
The Importance of Being Special: Repo Markets During the CrisisECB Working Paper No. 2065 Stefano Corradin and Angela Maddaloni European Central Bank (ECB) and European Central Bank (ECB) Date Posted: June 27, 2017 Working Paper Series 7 downloads
Financial Crises and the Dynamic Linkages between Stock and Bond ReturnsBundesbank Discussion Paper No. 17/2017 Sercan Eraslan and Faek Menla Ali Deutsche Bundesbank and Brunel University London Date Posted: June 27, 2017 Working Paper Series 11 downloads Modelling the Volatility of Istanbul Stock Exchange Sector Indices Ayben Koy and Samiye Ekim affiliation not provided to SSRN and Independent Date Posted: June 26, 2017 Working Paper Series
A Correction to the CBOE VIX Calculation FormulaAnlong Li Portunes LLC Date Posted: June 26, 2017 Working Paper Series 42 downloads
Optimal Asset Allocation for Retirement Savings: Deterministic vs. Adaptive StrategiesPeter Forsyth and Kenneth R. Vetzal Cheriton School of Computer Science, University of Waterloo and University of Waterloo Date Posted: June 26, 2017 Working Paper Series 6 downloads
When Bad is Good and Good is BadYosef Bonaparte University of Colorado at Denver - Department of Finance Date Posted: June 26, 2017 Working Paper Series 18 downloads
President Life Cycle and Stock Market OutcomesYosef Bonaparte University of Colorado at Denver - Department of Finance Date Posted: June 26, 2017 Working Paper Series 4 downloads
The Predictability of Analyst Forecast RevisionsJournal of Accounting, Auditing and Finance, Forthcoming Michael J. Jung, Jessica Halenda Keeley and Joshua Ronen New York University - Leonard N. Stern School of Business, NYU Stern and New York University (NYU) - Department of Accounting Date Posted: June 26, 2017 Accepted Paper Series 14 downloads
Forecasting of Indian Gold Prices Using Box Jenkins MethodologyJournal of Indian Studies, Vol. 2, No. 1, January – June, 2016, pp. 75 – 83, Farah Naz and Zahid Ahmad Kinnaird College for Women and University of Central Punjab Date Posted: June 26, 2017 Accepted Paper Series 3 downloads
Focused Shrinkage Estimators for the Global Minimum Variance PortfolioFilip Klimenka and James Wolter University of Oxford and University of Oxford Date Posted: June 26, 2017 Working Paper Series 8 downloads
On Yield Curves of the European Central BankMedvedev G. A.On yield curves of the european central bank. Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science.2017.No. 41. (InRussian), Forthcoming , Gennady Medvedev Belarusian State University Date Posted: June 26, 2017 Accepted Paper Series 9 downloads
Idiosyncratic Risk and Asset Pricing: Study at Companies Listed on Indonesia Stock ExchangeMarselinus Asri, Muhammad Ali, Abdul Hamid Habbe and Yohanis Rura Atma Jaya Makassar University, Hasanuddin University, Hasanuddin University and Hasanuddin University Date Posted: June 26, 2017 Working Paper Series 3 downloads 
Excess Saving and Low Interest Rates: Theory and Empirical EvidenceCEPR Discussion Paper No. DP12111 Peter G. Bofinger and Mathias Ries University of Wuerzburg and University of Wuerzburg Date Posted: June 26, 2017 Working Paper Series
Is Index Trading Benign?Shmuel Baruch and Xiaodi Zhang University of Utah - Department of Finance and University of Central Florida Date Posted: June 23, 2017 Working Paper Series 23 downloads
Modelling Stock Returns in India: Fama and French RevisitedRajeev Kumar Upadhyay Delhi University Enclave, Department of Commerce Date Posted: June 23, 2017 Working Paper Series 10 downloads
Forecasting the Sign of U.S. Oil and Gas Industry Stock Index Excess Returns Employing Macroeconomic VariablesJingzhen Liu and Alexander G. Kemp University of Aberdeen and University of Aberdeen - Business School Date Posted: June 23, 2017 Last Revised: June 28, 2017 Working Paper Series 30 downloads
The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and SentimentRoman Frydman, Soren Johansen, Anders Rahbek and Morten Nyboe Tabor New York University (NYU) - Department of Economics, University of Copenhagen - Department of Economics, University of Copenhagen - Department of Statistics and Operations Research and University of Copenhagen - Department of Economics Date Posted: June 23, 2017 Working Paper Series 13 downloads
How Aggregate Volatility-of-Volatility Affects Stock ReturnsReview of Asset Pricing Studies, Forthcoming Fabian Hollstein and Marcel Prokopczuk Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management Date Posted: June 23, 2017 Last Revised: June 26, 2017 Accepted Paper Series 54 downloads
Saving and Consumption: A Case of Australia versus JapanKulanun Chuntapa and Matumit Kongpochai Stamford International University and Stamford International University Date Posted: June 23, 2017 Last Revised: June 28, 2017 Working Paper Series 7 downloads
Predicting Financial Market Crashes Using Ghost SingularitiesSwiss Finance Institute Research Paper No. 17-23 Damian Smug, Peter Ashwin and Didier Sornette University of Exeter, University of Exeter and Swiss Finance Institute Date Posted: June 23, 2017 Working Paper Series 61 downloads
Trading Fractional Brownian MotionPaolo Guasoni, Zsolt Nika and Miklos Rasonyi Boston University - Department of Mathematics and Statistics, Peter Pazmany Catholic University and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics Date Posted: June 22, 2017 Working Paper Series 88 downloads
On Quadratic Models of Yield in Risk-Neutral WorldGennady Medvedev and Dmitriy A. Pavliv Belarusian State University and Belarusian State University Date Posted: June 22, 2017 Working Paper Series 12 downloads
Forecasting Electricity Price Spikes Using Support Vector MachinesEfthymios Stathakis, Theophilos Papadimitriou and Periklis Gogas Democritus University of Thrace - Department of Ecnomics, Democritus University of Thrace and Democritus University of Thrace - Department of Economics Date Posted: June 22, 2017 Working Paper Series 4 downloads
The Longstaff – Schwartz Model of Yield Term Structure and its ExpansionGennady Medvedev Belarusian State University Date Posted: June 22, 2017 Working Paper Series 11 downloads
Polynomial Models of Yield Term StructureGennady Medvedev Belarusian State University Date Posted: June 22, 2017 Working Paper Series 7 downloads
An Elementary Exposition of the No Strong Arbitrage Principle for Financial MarketsCAEPR Working Paper 2017-005 Robert A. Becker Indiana University Bloomington - Department of Economics Date Posted: June 22, 2017 Working Paper Series 7 downloads
Forecasting Daily and Monthly Exchange Rates with Machine Learning TechniquesVasilios Plakandaras, Theophilos Papadimitriou and Periklis Gogas Democritus University of Thrace, Democritus University of Thrace and Democritus University of Thrace - Department of Economics Date Posted: June 22, 2017 Last Revised: June 28, 2017 Working Paper Series 115 downloads
On Term Structure of Yield Rates. 5. The Duffie – Kan Two Factor Model (Continuation).Medvedev G. A. On term structure of yield rates. 5. The Duffie –Kan two factor model (continuation) Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2013. No.2(23), P. 64–74.(In Russian) , Gennady Medvedev Belarusian State University Date Posted: June 22, 2017 Accepted Paper Series 5 downloads
On Term Structure of Yield Rates. 4. The Duffie – Kan Two Factor ModelMedvedev G. A. On term structure of yield rates. 4.The Duffie–Kan two factor model // Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2012. No.4(21), P.89–99.P. 64–74.(In Russian) , Gennady Medvedev Belarusian State University Date Posted: June 22, 2017 Accepted Paper Series 10 downloads
Optimism, Volatility and Decision-Making in Stock MarketsFrancesco Rocciolo, Andrea Gheno and Chris Brooks University of Rome III - Department of Business Studies, University of Rome III - Department of Business Studies and University of Reading - ICMA Centre Date Posted: June 22, 2017 Working Paper Series 26 downloads
The Impact of Return on Collateral in a Channel SystemEnchuan Shao and Kwabena Bediako University of Saskatchewan - Economics and University of Saskatchewan - Economics Date Posted: June 22, 2017 Working Paper Series 2 downloads
Decreasing Returns to Scale, Fund Flows, and PerformanceCampbell R. Harvey and Yan Liu Duke University - Fuqua School of Business and Texas A&M University, Department of Finance Date Posted: June 22, 2017 Last Revised: June 28, 2017 Working Paper Series 21 downloads
Nature of Volatility in Indian Stock Market – An Empirical AnalysisMohammad Irshad VK and George Varghese Pondicherry University - Department of Commerce, Students and Pondicherry University, Students Date Posted: June 21, 2017 Working Paper Series 10 downloads
The Interaction between Credit Default Swaps and National Stock Indices: Empirical Evidence from TurkeyYhlas Sovbetov and Hami Saka London School of Commerce and Istanbul University Date Posted: June 21, 2017 Last Revised: June 24, 2017 Working Paper Series 3 downloads
Rational or Irrational? A Comprehensive Studies on Stock Market CrashesTai Ma, Kuo Hsi Lee, Chien Huei Lai and Yang Shen Lee National Sun Yat-sen University, National Sun Yat-sen University, National Sun Yat-sen University and National Sun Yat-sen University Date Posted: June 21, 2017 Working Paper Series 12 downloads
About One Quadratic Model of Yield Term StructureMedvedev G. A. About One Quadratic Model of Yield Term Structure/Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2017. № 38. P. 24–29 (In Russian), Gennady Medvedev Belarusian State University Date Posted: June 21, 2017 Accepted Paper Series 8 downloads |
