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Capital Markets: Asset Pricing & Valuation eJournal
7,488,244 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 22,258
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Incl. Electronic Paper Covering the World: Global Evidence on Covered Calls
Roni 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

Incl. Electronic Paper 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

Incl. Electronic Paper The Greenspan Put
Sandeep 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

Incl. Electronic Paper 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

Incl. Electronic Paper 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

Incl. Electronic Paper 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

Incl. Electronic Paper Millennials’ Support for Liberal Democracy is Failing. An Investor Perspective
Constantin Gurdgiev
Trinity College, Dublin
Date Posted: June 28, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Disappointment Aversion and Income Risk: Implications for Portfolio Allocation
Revansiddha Basavaraj Khanapure
University of Delaware - Department of Finance
Date Posted: June 28, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper A Century of Evidence on Trend-Following Investing
Brian 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

Incl. Electronic Paper Local Fluctuations of the Signed Traded Volumes and the Dependencies of Demands: A Copula Analysis
Shanshan 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

Incl. Electronic Paper Asset, Index and Option Behavior
Richard Gary Burke
Database Solutions, Inc.
Date Posted: June 28, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper The Functions of the Stock Market and the Fallacies of Shareholder Value
Institute 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

Incl. Electronic Paper Functional Ross Recovery: An Operator Approach
Yannick 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

Incl. Electronic Paper The Importance of Being Special: Repo Markets During the Crisis
ECB 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

Incl. Electronic Paper Financial Crises and the Dynamic Linkages between Stock and Bond Returns
Bundesbank 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

Incl. Electronic Paper A Correction to the CBOE VIX Calculation Formula
Anlong Li
Portunes LLC
Date Posted: June 26, 2017
Working Paper Series
42 downloads

Incl. Electronic Paper Optimal Asset Allocation for Retirement Savings: Deterministic vs. Adaptive Strategies
Peter 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

Incl. Electronic Paper When Bad is Good and Good is Bad
Yosef Bonaparte
University of Colorado at Denver - Department of Finance
Date Posted: June 26, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper President Life Cycle and Stock Market Outcomes
Yosef Bonaparte
University of Colorado at Denver - Department of Finance
Date Posted: June 26, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Predictability of Analyst Forecast Revisions
Journal 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

Incl. Electronic Paper Forecasting of Indian Gold Prices Using Box Jenkins Methodology
Journal 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

Incl. Electronic Paper Focused Shrinkage Estimators for the Global Minimum Variance Portfolio
Filip Klimenka and James Wolter
University of Oxford and University of Oxford
Date Posted: June 26, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper On Yield Curves of the European Central Bank
Medvedev 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

Incl. Electronic Paper Idiosyncratic Risk and Asset Pricing: Study at Companies Listed on Indonesia Stock Exchange
Marselinus 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

Incl. Fee Electronic Paper Excess Saving and Low Interest Rates: Theory and Empirical Evidence
CEPR 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

Incl. Electronic Paper 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

Incl. Electronic Paper Modelling Stock Returns in India: Fama and French Revisited
Rajeev Kumar Upadhyay
Delhi University Enclave, Department of Commerce
Date Posted: June 23, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Forecasting the Sign of U.S. Oil and Gas Industry Stock Index Excess Returns Employing Macroeconomic Variables
Jingzhen 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

Incl. Electronic Paper The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment
Roman 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

Incl. Electronic Paper How Aggregate Volatility-of-Volatility Affects Stock Returns
Review 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

Incl. Electronic Paper Saving and Consumption: A Case of Australia versus Japan
Kulanun 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

Incl. Electronic Paper Predicting Financial Market Crashes Using Ghost Singularities
Swiss 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

Incl. Electronic Paper Trading Fractional Brownian Motion
Paolo 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

Incl. Electronic Paper On Quadratic Models of Yield in Risk-Neutral World
Gennady Medvedev and Dmitriy A. Pavliv
Belarusian State University and Belarusian State University
Date Posted: June 22, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Forecasting Electricity Price Spikes Using Support Vector Machines
Efthymios 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

Incl. Electronic Paper The Longstaff – Schwartz Model of Yield Term Structure and its Expansion
Gennady Medvedev
Belarusian State University
Date Posted: June 22, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Polynomial Models of Yield Term Structure
Gennady Medvedev
Belarusian State University
Date Posted: June 22, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper An Elementary Exposition of the No Strong Arbitrage Principle for Financial Markets
CAEPR Working Paper 2017-005
Robert A. Becker
Indiana University Bloomington - Department of Economics
Date Posted: June 22, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Forecasting Daily and Monthly Exchange Rates with Machine Learning Techniques
Vasilios 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

Incl. Electronic Paper 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

Incl. Electronic Paper On Term Structure of Yield Rates. 4. The Duffie – Kan Two Factor Model
Medvedev 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

Incl. Electronic Paper Optimism, Volatility and Decision-Making in Stock Markets
Francesco 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

Incl. Electronic Paper The Impact of Return on Collateral in a Channel System
Enchuan Shao and Kwabena Bediako
University of Saskatchewan - Economics and University of Saskatchewan - Economics
Date Posted: June 22, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Decreasing Returns to Scale, Fund Flows, and Performance
Campbell 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

Incl. Electronic Paper Nature of Volatility in Indian Stock Market – An Empirical Analysis
Mohammad 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

Incl. Electronic Paper The Interaction between Credit Default Swaps and National Stock Indices: Empirical Evidence from Turkey
Yhlas 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

Incl. Electronic Paper Rational or Irrational? A Comprehensive Studies on Stock Market Crashes
Tai 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

Incl. Electronic Paper About One Quadratic Model of Yield Term Structure
Medvedev 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


 

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