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Finance Research Centers Papers
5,612,194 Total downloads
Showing Papers 1 - 50 of 9,877
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Incl. Electronic Paper Commonality in Liquidity: The Culture Channel
Narjess Boubakri, Mohsen Saad and Anis Samet
American University of Sharjah - School of Business and Management, American University of Sharjah and American University of Sharjah - School of Business and Management
Date Posted: February 24, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Differential Effects of Buy and Sell Rules in Sentiment-Informed EUR/USD Trading
Dietmar Janetzko, Jonas Krauss and Stefan Nann
Cologne Business School, University of Cologne - Information Systems and Information Management and University of Cologne - Information Systems and Information Management
Date Posted: February 24, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Anticipating Loss from Proxy Contests
Jian Huang and Gokhan Torna
Towson University - College of Business and Economics and SUNY at Stony Brook University - College of Business
Date Posted: February 24, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Generalized Pareto Processes and Liquidity
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel and Frank Thomas Seifried
Karlsruhe Institute of Technology - Department of Mathematics, Libfin, Liberty Life, University of Oldenburg - School of Mathematics and Science and University of Trier
Date Posted: February 24, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper MVA Optimisation with Machine Learning Algorithms
Alexei Kondratyev and George Giorgidze
Standard Chartered Bank and Standard Chartered Bank
Date Posted: February 23, 2017
Working Paper Series
36 downloads

Incl. Electronic Paper Portfolio Selection and Dynamic Behavior in Heston's Stochastic Volatility Model Using a Contingent Claim
Aihua Zhang, Yongmin Zhang, Yingxue Zhao and Daniel Borgia
University of Leicester - Department of Mathematics, Xi'an Jiaotong University (XJTU) - Department of Mathematical Sciences, Zhejiang University of Finance and Economics and Nottingham University Business School China
Date Posted: February 23, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Regulatory Focus on Competition and Innovation in Payments Services. Does Regulation Aimed at Encouraging Competition and Innovation Conflict with Requirements for KYC, AML, Etc.? Are the Two Sides Compatible? An Exploratory Case Study of Australia
SWIFT Institute Working Paper No. 2015-002
Milind Sathye, Geoffrey Andrew Nicoll and Paula Chadderton
University of Canberra - School of Accounting, Banking and Finance, University of Canberra and University of Canberra, Students
Date Posted: February 23, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Notes de cours sur le risque de crédit (Lecture Notes on Credit Risk)
Vivien Brunel
Société Générale
Date Posted: February 22, 2017
Working Paper Series
119 downloads

Incl. Electronic Paper Can Investors Anticipate Post-IPO Mergers and Acquisitions?
Christopher W. Anderson, Jian Huang and Gokhan Torna
University of Kansas - School of Business, Towson University - College of Business and Economics and SUNY at Stony Brook University - College of Business
Date Posted: February 22, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Two New Risk Metrics: Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Models'
Cesar Oreste Crousillat
Universidad del Pacifico
Date Posted: February 21, 2017
Last Revised: February 24, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Banks’ Discretion Over the Debt Valuation Adjustment for Own Credit Risk
Minyue Dong, Leonidas C. Doukakis and Stephen G. Ryan
University of Lausanne, University of Lausanne, HEC and New York University (NYU) - Leonard N. Stern School of Business
Date Posted: February 21, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Natural Disaster and Bank Stability: Evidence from the U.S. Financial System
SAFE Working Paper No. 167
Felix Noth and Ulrich Schüwer
Otto-von-Guericke University and University of Bonn
Date Posted: February 21, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Is Governance Related to Investment Performance and Asset Allovation? Empirical Evidence from Swiss Pension Finds
University of St. Gallen, School of Finance Research Paper No. 2016/23
Manuel Ammann and Christian Ehmann
University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Date Posted: February 21, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Глобалният валутен пазар и резервните валути - макрофинансови аспекти (The Global Forex Market and the Reserve Currencies - Macrofinancial Aspects)
Andrey Boyanov Zahariev
D. A. Tsenov Academy of Economics
Date Posted: February 21, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Членството в ЕС - конвергентни резултати, проблеми и тенденции (EU Membership – Convergent Results, Problems and Trends)
Andrey Boyanov Zahariev, Dimitar Dobrinov Kostov and Martin Dimitrov
D. A. Tsenov Academy of Economics, D. A. Tsenov Academy of Economics and affiliation not provided to SSRN
Date Posted: February 21, 2017
Working Paper Series
2 downloads

Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis
International journal of economics and finance, Forthcoming
Sirine Ben Yaala and Jamel Eddine Henchiri
Independent and RED-ISGG
Date Posted: February 18, 2017
Accepted Paper Series

Incl. Electronic Paper Product Market Competition and Option Prices
Erwan Morellec and Alexei Zhdanov
Ecole Polytechnique Fédérale de Lausanne and Pennsylvania State University
Date Posted: February 17, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Fuzzy Logic-Based Portfolio Selection with Particle Filtering and Anomaly Detection
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Graduate School of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: February 17, 2017
Working Paper Series
65 downloads

Incl. Electronic Paper The Sustainability Footprint of Institutional Investors
Swiss Finance Institute Research Paper No. 17-05
Rajna Gibson and Philipp Krueger
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva
Date Posted: February 16, 2017
Last Revised: February 22, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Culture and Financial Literacy
University of St.Gallen, School of Finance Research Paper No. 2017/03
Martin Brown, Caroline Henchoz and Thomas Spycher
University of St. Gallen - Swiss Institute of Banking and Finance, University of Fribourg and University of St. Gallen - School of Finance
Date Posted: February 14, 2017
Working Paper Series
30 downloads

Incl. Electronic Paper The Reality of Stock Market Jumps Diversification
Ke Chen, Luiz Vitiello, Stuart Hyde and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Essex - Essex Business School, University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Date Posted: February 14, 2017
Last Revised: February 15, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Wounded Wolves: Turnaround Stocks Quantitative Screening Backtesting
Carlos Salas Najera
New York City Data Science Academy
Date Posted: February 13, 2017
Working Paper Series
35 downloads

Incl. Electronic Paper The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
SAFE Working Paper No. 166
Monica Billio, Massimiliano Caporin, Roberto Calogero Panzica and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Faculty of Economics and Business Administration
Date Posted: February 13, 2017
Working Paper Series
45 downloads

Incl. Electronic Paper The Price of Crude Oil as a Factor for USD Volatility
Andrey Boyanov Zahariev and Dimitar Dobrinov Kostov
D. A. Tsenov Academy of Economics and D. A. Tsenov Academy of Economics
Date Posted: February 13, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper How to Study Terms of Finance and Banking
Roman Anisimov
Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Department of Economics and Social Sciences
Date Posted: February 12, 2017
Working Paper Series
32 downloads

Initial Return and Long-Run Performance of Initial Public Offerings in the Nairobi Stock Exchange
Richard Kitati Mumo
University of Canterbury, Economics and Finance
Date Posted: February 11, 2017
Working Paper Series

Incl. Electronic Paper Are Mutual Fund Managers Paid for Investment Skill?
Markus Ibert, Ron Kaniel, Stijn Van Nieuwerburgh and Roine Vestman
Stockholm School of Economics - Department of Finance, University of Rochester - Simon Business School, New York University Stern School of Business, Department of Finance and Stockholm University - Department of Economics
Date Posted: February 10, 2017
Last Revised: February 24, 2017
Working Paper Series
44 downloads

Incl. Electronic Paper Coarse Grain Automatic Differentiation: A Practical Approach to Fast and Exact Computation of First and Second Order Derivatives in Software
Henri-Olivier Duche and Francois Galilee
Independent and Independent
Date Posted: February 09, 2017
Last Revised: February 10, 2017
Working Paper Series
80 downloads

Incl. Electronic Paper Closed-form Solution for American Options
Wai Man Raymond Tse
Department of Finance, Faculty of Business, Chu Hai College of Higher Education
Date Posted: February 08, 2017
Last Revised: February 13, 2017
Working Paper Series
83 downloads

Incl. Electronic Paper Statistical Hedging: Motivating the Use of Convex Risk Measures for Hedging Portfolios of Derivatives Over One Time Step in the Presence of General Convex Transaction Cost. A Summary for Derivative Quants
Hans Buehler
JP Morgan Chase, London
Date Posted: February 08, 2017
Last Revised: February 22, 2017
Working Paper Series
63 downloads

Incl. Electronic Paper A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-frequency Covariance Dynamics
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo
Scuola Normale Superiore, University of Bologna - Department of Mathematics, Ca' Foscari University of Venice and Scuola Normale Superiore
Date Posted: February 08, 2017
Last Revised: February 19, 2017
Working Paper Series
106 downloads

Incl. Electronic Paper Re-Use of Collateral: Leverage, Volatility, and Welfare
Swiss Finance Institute Research Paper No. 17-04
Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders
Karlsruhe Institute of Technology, European Central Bank (ECB), University of Zurich and University of Zurich
Date Posted: February 07, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Investing in Managerial Honesty
Swiss Finance Institute Research Paper No. 17-03
Rajna Gibson, Matthias Sohn, Carmen Tanner and Alexander F. Wagner
University of Geneva - Geneva Finance Research Institute (GFRI), Zeppelin University, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: February 07, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Peer-to-Peer Lending – Opportunities and Risks
European Journal of Risk and Regulation, Vol. 7, No. 4, 2016
Rainer Lenz
University of Applied Sciences, Bielefeld
Date Posted: February 06, 2017
Accepted Paper Series
41 downloads

Incl. Electronic Paper Single Supervisory Mechanism Without Regulatory Harmonisation? Introducing a European Banking Act and a 'CRR Light' for Smaller Institutions
European Banking Institute Working Paper Series 2017 - no. 3
Matthias Lehmann
University of Bonn
Date Posted: February 06, 2017
Working Paper Series
43 downloads

Incl. Electronic Paper Limits on State-Funded Bailouts in the EU Bank Resolution Regime
European Banking Institute Working Paper Series 2017 - no.2
Christos Hadjiemmanuil
London School of Economics & Political Science (LSE)
Date Posted: February 06, 2017
Working Paper Series
42 downloads

Incl. Electronic Paper Shadow Banking and Systemic Risk
European Banking Institute Working Paper Series 2017 - no. 1
Eddy Wymeersch
Ghent University - Financial Law Institute
Date Posted: February 06, 2017
Working Paper Series
102 downloads

Casual and Dynamic Linkage of Stock Markets: An Empirical Study of Karachi Stock Exchange (KSE) with Emerging and Developed Equity Markets
Kashif Hamid and Arshad Hasan
University of Agriculture, Faisalabad - Institute of Business Management Sciences and Capital University of Science and Technology
Date Posted: February 06, 2017
Working Paper Series

Market Conditions Asymmetries and Asset Pricing: An Information Asymmetry Perspective of Volatility Modeling in Pakistan
Kashif Hamid and Arshad Hasan
University of Agriculture, Faisalabad - Institute of Business Management Sciences and Capital University of Science and Technology
Date Posted: February 06, 2017
Last Revised: February 13, 2017
Working Paper Series

Incl. Electronic Paper Does Fundamental Indexation Really Offer Unique Superior Risk-Return Characteristics?
David Krejca and Jan Svenda
Independent and Independent
Date Posted: February 06, 2017
Working Paper Series
32 downloads

Incl. Electronic Paper Managing and Pricing Contingent Liquidity within a Banking Operation Using the COLA Framework
Jeroen Heijneman, Paul Wessels and Sam van Hensbergen
KPMG the Netherlands, Dutch Central Bank (DNB) and KPMG the Netherlands
Date Posted: February 05, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Audit Firm Report and Financial Performance of Money Deposit Banks in Nigeria
The Nigerian Accountant - The Official Journal Of The Institute of Chartered Accountants of Nigeria, January/March 2017
Egbunike Chinedu Francis and Mary-Fidelis Chidoziem Abiahu
Nnamdi Azikiwe University - Department of Accountancy and Nnamdi Azikiwe University Awka
Date Posted: February 04, 2017
Accepted Paper Series
43 downloads

Incl. Electronic Paper IPO Allocations and New Mutual Funds
Frankie Chau, Yi Gu and Christodoulos Louca
Durham University Business School, Durham University and Cyprus University of Technology
Date Posted: February 04, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Rent-Seeking in Elite Networks
Forthcoming in Journal of Political Economy, SAFE Working Paper No. 132
Rainer F. H. Haselmann, David Schoenherr and Vikrant Vig
Goethe University Frankfurt - Research Center SAFE, Princeton University, Bendheim Center for Finance and London Business School
Date Posted: February 03, 2017
Last Revised: February 10, 2017
Working Paper Series
76 downloads

Incl. Electronic Paper Linear Interpolation of Interbank Offered Rates - A Case Study of LIBOR & NIBOR
Oluwaseyi Adebayo Awoga
Independent
Date Posted: February 02, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Estimation and Model-Based Combination of Causality Networks
SAFE Working Paper No. 165
Giovanni Bonaccolto, Massimiliano Caporin and Roberto Calogero Panzica
University of Padova - Department of Statistical Sciences, University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Research Center SAFE
Date Posted: February 02, 2017
Working Paper Series
36 downloads

Predictability of Predictability: Time-Varying Momentum and Reversal Across Assets and Over Time
Thomas Conlon, Richard M. Levich and Valerio Potì
University College Dublin, New York University - Stern School of Business and University College Dublin
Date Posted: February 02, 2017
Working Paper Series

Incl. Electronic Paper Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade
Swiss Finance Institute Research Paper No. 17-06
Alexander F. Wagner, Richard J. Zeckhauser and Alexandre Ziegler
University of Zurich - Department of Banking and Finance, Harvard University - Harvard Kennedy School (HKS) and University of Zurich - Department of Banking and Finance
Date Posted: February 02, 2017
Last Revised: February 22, 2017
Working Paper Series
131 downloads

Incl. Electronic Paper Factor Investing: The Rocky Road from Long Only to Long Short
Marie Briere and Ariane Szafarz
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Date Posted: February 02, 2017
Working Paper Series
143 downloads

Incl. Electronic Paper Correlation between Accountants’ Competence and the Quality of Financial Reports of SMEs in the Province of Nakorn Nayok
Vichian Puncreobutr, Kawita Tipajatuporn and Charung Chumark
St Theresa International College, St Theresa International College and St Theresa International College
Date Posted: February 01, 2017
Working Paper Series
19 downloads


 

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