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17th NSYSU Conference on the Theories & Practices of Securities & Financial Markets (Archive)

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Viewing: 1 - 34 of 34 papers

1.

Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities

Number of pages: 24 Posted: 21 Aug 2011
Working Paper Series
Kangwhee Kim
affiliation not provided to SSRN
Downloads 1,402
2.

The Low-Volatility Anomaly: Market Evidence on Systematic Risk versus Mispricing

Financial Analysts Journal 72 (1), 36-47, January/February 2016
Number of pages: 32 Posted: 13 Jan 2011 Last Revised: 16 Jul 2016
Accepted Paper Series
Xi Li, Rodney N Sullivan and Luis García-Feijóo
Hong Kong University of Science & Technology (HKUST), AQR Capital Management and Florida Atlantic University - Department of Finance
Downloads 1,315
3.

How Index Trading Increases Market Vulnerability

Financial Analysts Journal, Forthcoming
Number of pages: 30 Posted: 11 Aug 2011 Last Revised: 01 Nov 2011
Accepted Paper Series
Rodney N Sullivan and James X. Xiong
AQR Capital Management and Ibbotson Associates
Downloads 1,189
4.

A Short Remark on Feller’s Square Root Condition

Number of pages: 3 Posted: 07 Feb 2011
Working Paper Series
Ilya I. Gikhman
Independent
Downloads 1,093
5.

The Leverage Effect on Stock Returns

Number of pages: 34 Posted: 11 Oct 2010
Working Paper Series
Sheeja Sivaprasad, Yaz Gulnur Muradoglu, Orla Gough and Roberta Adami
University of Westminster - Westminster Business School, Queen Mary University of London, University of Westminster - Business School and affiliation not provided to SSRN
Downloads 733
6.

VIX Option Pricing and CBOE VIX Term Structure: A New Methodology for Volatility Derivatives Valuation

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Number of pages: 65 Posted: 09 Feb 2010
Working Paper Series
Yueh-Neng Lin
National Chung Hsing University
Downloads 573
7.

Risk Adjusted Performance of Mutual Fund: Evidence from Bangladesh

Journal of Finance and Banking, Vol. 9, No. 1, June 2011
Number of pages: 24 Posted: 19 Aug 2011 Last Revised: 10 Oct 2011
Accepted Paper Series
Md. Hashibul Hassan and Tahmina Akhter
Department of Finance, Jagannath University and University of Dhaka
Downloads 496
8.

The Modigliani-Miller Proposition after Fifty Years and its Relation to Entrepreneurial Finance

Strategic Change, Vol. 19, No. 1-2, pp. 9-28, February 2010
Number of pages: 29 Posted: 08 Jul 2010
Accepted Paper Series
Ciaran Mac an Bhaird
Dublin City University
Downloads 476
9.

A Call for Cloud Computing in the Banking Sector

Economic Confidential, Forthcoming
Number of pages: 3 Posted: 04 Aug 2010
Working Paper Series
Gbenga Michael Okubadejo
AMG Professionals
Downloads 473
10.

How to Avoid Mistakes in Valuation: Guidelines for Practitioners

Number of pages: 98 Posted: 14 Mar 2011
Working Paper Series
Sergei Vasilievich Cheremushkin
Independent
Downloads 466
11.

A Study on Market Behaviour and Price Discovery in Indian Commodity Markets

Number of pages: 11 Posted: 12 Dec 2010
Working Paper Series
Mihir Dash and Sowmya Brigitta Andrews
Alliance University - School of Business and affiliation not provided to SSRN
Downloads 455
12.

After Effects of Global Financial Crisis on Indian Derivatives Market

Number of pages: 15 Posted: 03 Aug 2011 Last Revised: 19 Jan 2012
Working Paper Series
Narain
University of Delhi - Faculty of Management Studies
Downloads 409
13.

The Impact of Underpricing, Liquidity, and Ownership on Post Performance of IPO Stocks

Number of pages: 19 Posted: 26 Aug 2011
Working Paper Series
Venkata Vijay Kumar Pasupuleti
Independent
Downloads 378
14.

Wine Price Risk Management: International Diversification and Derivative Instruments

International Review of Financial Analysis, Vol. 22, pp. 30-37, 2012
Number of pages: 23 Posted: 09 Nov 2010 Last Revised: 10 Sep 2012
Accepted Paper Series
Apostolos Kourtis, Raphael N. Markellos and Dimitris Psychoyios
University of East Anglia (UEA) - Norwich Business School, University of East Anglia (UEA) - Norwich Business School and University of Piraeus - Department of Industrial Management
Downloads 335
15.

Relationship Between Interest Rate and Corporate Bond Yield

Bulletin of Moscow University, Series Number 6 'Economy', No. 1, p. 61-77, 2011
Number of pages: 23 Posted: 28 Sep 2010 Last Revised: 08 Jul 2011
Working Paper Series
Magomet Yandiev
Moscow State University - Faculty of Economics
Downloads 295
16.

CEO Overconfidence or Stock Mispricing and Growth? Reexamining the Effect of CEO Option Exercise Behavior on Corporate Investment

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Number of pages: 48 Posted: 28 Apr 2010
Working Paper Series
Jie Cao
Chinese University of Hong Kong - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 239
17.

Risk Factor and Liquidity Timing: A Short-Term Approach

Number of pages: 74 Posted: 23 Feb 2011 Last Revised: 11 Dec 2011
Working Paper Series
Elisabeth Winter
University of Passau
Downloads 212
18.

Does Market Volatility Affects Hedge Effectiveness? An Empirical Investigation of Time-Invariant and Time-Varying Hedges During Period of Financial Crisis in Indian Futures Market

Number of pages: 33 Posted: 22 Aug 2010
Working Paper Series
S.V.D. Nageswara Rao and Sanjay Kumar Thakur
Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM) and Indian Institute of Technology (IIT), Bombay
Downloads 199
19.

Applications of Periodic and Quasi-Periodic Expansions to Option Pricing

Number of pages: 17 Posted: 14 Feb 2011
Working Paper Series
Dominique Bang
Bank of America Merrill Lynch
Downloads 195
20.

Personal Bankruptcy Law, Fresh Start and Judicial Practice

Number of pages: 15 Posted: 18 Mar 2011
Working Paper Series
Régis Blazy, Bertrand Chopard, Eric Langlais and Ydriss Ziane
University of Strasbourg, French National Center for Scientific Research (CNRS) - Bureau of Economic Theory and Application (BETA), EconomiX, CNRS & University of Paris Ouest and French National Center for Scientific Research (CNRS) - Bureau of Economic Theory and Application (BETA)
Downloads 173
21.

Cross-Border Takeovers: Western Europe Evidence

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Number of pages: 16 Posted: 04 Jun 2010
Working Paper Series
Sue-Fung Wang
affiliation not provided to SSRN
Downloads 164
22.

A Critique of the Contingent Claims Approach to Sovereign Risk Analysis

Emerging Markets Finance and Trade, Vol. Jan-Feb, 2014
Number of pages: 26 Posted: 23 Mar 2011 Last Revised: 13 Aug 2014
Accepted Paper Series
Rahmi Erdem Aktug
Federal Reserve Bank of New York
Downloads 163
23.

Are South East Asia Countries Capital Markets Characterized by Nonlinear Structures? An Investigation from Indonesia, Philippine and Singapore Capital Market Indices

Indonesian Capital Market Review (ICMR), Vol. I, No. 1, January 2009
Number of pages: 23 Posted: 22 Sep 2010 Last Revised: 22 Feb 2013
Accepted Paper Series
Minarnita Yanti Verawati Bakara and Bambang Hermanto
Universitas Mercu Buana and Universitas Indonesia - Graduate School of Management
Downloads 135
24.

Can Position Limits Restrain 'Rogue' Trading?

Journal of Banking and Finance, Forthcoming
Number of pages: 45 Posted: 18 Jan 2011 Last Revised: 26 Oct 2012
Working Paper Series
Muhammed Shahid Ebrahim
Durham Business School
Downloads 123
25.

Collective Monitoring and Investment Illiquidity in Leveraged Buyout from the Private Equity Fund

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Number of pages: 33 Posted: 28 Apr 2010
Accepted Paper Series
Hong-Jen Carlos Chiu
National Taiwan University - Department of International Business
Downloads 81
26.

Analytical Upper Bounds for American Option Prices with Time-Changed Lévy Processes

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Number of pages: 44 Posted: 04 Jun 2010
Working Paper Series
Andy Feng
affiliation not provided to SSRN
Downloads 71
27.

Chemical Link Versus Industrial Link among Commodity Futures

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Number of pages: 40 Posted: 09 Feb 2010
Working Paper Series
Michael Chng
affiliation not provided to SSRN
Downloads 64
29.

Do Information Transmissions among Stock Markets of Greater China Become Stronger? A Nonlinear Perspective

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Number of pages: 30 Posted: 28 Apr 2010
Working Paper Series
Keith Lam and Zhuo Qiao
University of Macau - Faculty of Business Administration and University of Macau
Downloads 42
30.

Corporate Liquidity in Emerging Markets: A Retrospect of Asian Financial Crisis

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Posted: 04 Jun 2010
Working Paper Series
Naiwei Chen
affiliation not provided to SSRN
31.

Forecasting Shipping Freight Rates

Posted: 02 May 2010 Last Revised: 28 Nov 2011
Working Paper Series
Peter Groder
Johannes Kepler University Linz
32.

Investor Protection and Convertible Debt Design

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Posted: 30 Apr 2010
Working Paper Series
Kin‐Wai Lee
Nanyang Technological University (NTU)
33.

Learning to Fail - Evidence from Frequent IPO Investors

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Posted: 30 Apr 2010
Accepted Paper Series
Yao-Min Chiang
National Taiwan University - Department of Finance
34.

What Comprises IPO Initial Returns: Evidence from the Chinese Market

17th Conference on the Theories and Practices of Securities and Financial Markets, 2009
Posted: 30 Apr 2010
Working Paper Series
Gao Yan
affiliation not provided to SSRN
Submit a Paper Section 508 Text Only Pages

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