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
affiliation not provided to SSRN
Downloads
1,521
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
Hong Kong University of Science & Technology (HKUST), AQR Capital Management, LLC and Florida Atlantic University - Department of Finance
Downloads
1,423
3.
A Short Remark on Feller’s Square Root Condition
Number of pages: 3
Posted: 07 Feb 2011
Working Paper Series
Independent
Downloads
1,272
4.
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
AQR Capital Management, LLC and Ibbotson Associates
Downloads
1,221
5.
The Leverage Effect on Stock Returns
Number of pages: 34
Posted: 11 Oct 2010
Working Paper Series
University of Westminster - Westminster Business School, Queen Mary University of London, University of Westminster - Business School and affiliation not provided to SSRN
Downloads
772
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
National Chung Hsing University
Downloads
590
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
Department of Finance, Jagannath University and University of Dhaka
Downloads
511
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
Dublin City University
Downloads
498
9.
How to Avoid Mistakes in Valuation: Guidelines for Practitioners
Number of pages: 98
Posted: 14 Mar 2011
Working Paper Series
Independent
Downloads
490
10.
A Call for Cloud Computing in the Banking Sector
Economic Confidential, Forthcoming
Number of pages: 3
Posted: 04 Aug 2010
Working Paper Series
AMG Professionals
Downloads
484
11.
A Study on Market Behaviour and Price Discovery in Indian Commodity Markets
Number of pages: 11
Posted: 12 Dec 2010
Working Paper Series
Alliance University - School of Business and affiliation not provided to SSRN
Downloads
469
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
University of Delhi - Faculty of Management Studies
Downloads
429
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
Independent
Downloads
393
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
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
345
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
Moscow State University - Faculty of Economics
Downloads
306
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
Chinese University of Hong Kong - Department of Finance
There are 2 versions of this paper
CEO Overconfidence or Stock Mispricing and Growth? Reexamining the Effect of CEO Option Exercise Behavior on Corporate Investment
Number of pages: 50
Posted: 15 Dec 2008
Last Revised: 26 Oct 2011
Downloads
268
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
Downloads
248
Downloads
248
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
University of Passau
Downloads
219
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
Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM) and Indian Institute of Technology (IIT), Bombay
Downloads
205
19.
Applications of Periodic and Quasi-Periodic Expansions to Option Pricing
Number of pages: 17
Posted: 14 Feb 2011
Working Paper Series
Bank of America Merrill Lynch
Downloads
203
20.
Personal Bankruptcy Law, Fresh Start and Judicial Practice
Number of pages: 15
Posted: 18 Mar 2011
Working Paper Series
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
176
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
affiliation not provided to SSRN
Downloads
172
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
Federal Reserve Bank of New York
Downloads
171
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
Independent and Universitas Indonesia - Graduate School of Management
Downloads
139
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
Durham Business School
Downloads
124
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
National Taiwan University - Department of International Business
Downloads
86
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
affiliation not provided to SSRN
Downloads
73
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
affiliation not provided to SSRN
Downloads
65
28.
Development of a Regional Merged Financial Market and Economic Growth for the African Economic and Monetary Community (AEMC): An Approach to the Conflict Resolution Between DSX and CASE Using the NYSE-EURONEXT Model
Number of pages: 11
Posted: 02 Nov 2010
Working Paper Series
Shanghai University of Finance and Economics
Downloads
54
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
University of Macau - Faculty of Business Administration and University of Macau
Downloads
44
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
affiliation not provided to SSRN
31.
Forecasting Shipping Freight Rates
Posted: 02 May 2010
Last Revised: 28 Nov 2011
Working Paper Series
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
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
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
affiliation not provided to SSRN
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