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Econometric Modeling: Capital Markets - Risk eJournal
858,599 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,954
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Incl. Electronic Paper Systematic Risk and Socio-Political Factors: The Case of Pakistan Stock Exchange
International Journal of Multidisciplinary and Current Research ISSN: 2321-3124, 2017
Shahzad Hussain V, S. M. Amir Shah and Tanveer Ahmad
Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Students, Allama Iqbal Open University and Shaheed Zulfikar Ali Bhutto Institute of Science and Technology (SZABIST), Students
Date Posted: May 25, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Un Modelo CcP del Mercado de Valores (A CcP Model of the Stock Market)
Revista de Economía Institucional, Vol. 19, No. 36, 2017,
Shimshon Bichler and Jonathan Nitzan
Independent and York University
Date Posted: May 25, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Long-Horizon Returns
Chicago Booth Research Paper No. 17-17
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Tuck School of Business at Dartmouth
Date Posted: May 24, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper How Does Risk Flow in the Credit Default Swap Market?
ECB Working Paper No. 2041
Marco D'Errico, Stefano Battiston, Tuomas A. Peltonen and Martin Scheicher
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance, European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: May 24, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Lending Implications of U.S. Bank Stress Tests: Costs or Benefits?
Viral V. Acharya, Allen N. Berger and Raluca A. Roman
New York University - Leonard N. Stern School of Business, University of South Carolina - Darla Moore School of Business and Federal Reserve Bank of Kansas City
Date Posted: May 24, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper The Fragility of Market Risk Insurance
Ralph S. J. Koijen and Motohiro Yogo
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Date Posted: May 24, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Linking Bank Crises and Sovereign Defaults: Evidence from Emerging Markets
European Stability Mechanism Working Paper No. 22
Irina Balteanu and Aitor Erce
Banco de España and European Stability Mechanism
Date Posted: May 24, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper A Reconsideration of the Equity Premium Puzzle
Miguel Cantillo
Universidad de Costa Rica
Date Posted: May 24, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper The Dynamics of Heterogeneity and Asset Prices
Walter Farkas and Ciprian Necula
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: May 24, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper J-REIT Market Quality: Impact of High Frequency Trading and the Financial Crisis
Pawan Jain
University of Wyoming - College of Business - Department of Economics and Finance
Date Posted: May 24, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data Via Default Probability Term Structures
Brian Barnard
Independent
Date Posted: May 24, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Does Risk Disclosure Reporting Quality Reduce Credit Risk?
Haitham Nobanee and Nejla Ellili
Abu Dhabi University and Abu Dhabi University
Date Posted: May 23, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Co-Movements and Systematic Risk of Asian Securitized Real Estate Markets: A Wavelet Analysis
Kim Hiang Liow, Xiaoxiao Zhou, Li Qiang and Yuting Huang
National University of Singapore (NUS) - Department of Real Estate, National University of Singapore (NUS) - Department of Real Estate, National University of Singapore (NUS) and National University of Singapore (NUS) - Department of Real Estate
Date Posted: May 22, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Does Price Limit Hit's Patterns Follow Stock Return Patterns?
Haitham Nobanee and Maryam Al Hajjar
Abu Dhabi University and Abu Dhabi University
Date Posted: May 22, 2017
Last Revised: May 24, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Aggregate Expected Investment Growth and Stock Market Returns
Jun Li, Huijun Wang and Jianfeng Yu
University of Texas at Dallas, University of Delaware and University of Minnesota
Date Posted: May 22, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper Data Snooping in Equity Premium Prediction
Viktoria-Sophie Bartsch, Hubert Dichtl, Wolfgang Drobetz and Andreas Neuhierl
University of Hamburg, Alpha Portfolio Advisors, University of Hamburg and University of Notre Dame - Department of Finance
Date Posted: May 22, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
DIW Berlin Discussion Paper No. 1668
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Greenwich
Date Posted: May 22, 2017
Working Paper Series
1 downloads

Incl. Fee Electronic Paper Price and Probability: Decomposing the Takeover Effects of Anti-Takeover Provisions
CEPR Discussion Paper No. DP12059
Vicente Cuñat, Mireia Gine and Maria Guadalupe
London School of Economics & Political Science (LSE) - Financial Markets Group, IESE Business School, University of Navarra and INSEAD - Economics and Political Sciences
Date Posted: May 22, 2017
Working Paper Series

Incl. Electronic Paper The Impact of Investment Recommendations on Stock Return: Comparative Study between International and Emerging Markets
Osama Wagdi, Ahmed Amin, Amani Ayman, Marina Nagi, Mayar Osama and Mohamed Hosny
Modern University for Technology and Information (MTI), Modern University for Technology and Information (MTI), Students, Modern University for Technology and Information (MTI), Students, Modern University for Technology and Information (MTI), Students, Modern University for Technology and Information (MTI), Students and Modern University for Technology and Information (MTI), Students
Date Posted: May 22, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Shorting Fees, Private Information, and Equity Mispricing
Brian J. Henderson, Gergana Jostova and Alexander Philipov
George Washington University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Date Posted: May 20, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Efectos de mecanismos institucionales en el precio de la vivienda nueva en Medellín (Effects of Institutional Mechanisms on the Price of New Housing in Medellin)
Center for Research in Economics and Finance (CIEF), Working Papers, No. 17-07
John J. García, Daniel Mateo Cossio and Ricardo Mesa
Universidad EAFIT, Universidad EAFIT and Universidad EAFIT
Date Posted: May 20, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Forecasting Bankruptcy: An European Analysis
Daniela Arzu, Sarah Di Gloria and Guido Max Mantovani
Ca Foscari University of Venice - Department of Management, Ca Foscari University of Venice and Ca' Foscari University in Venice – Department of Management
Date Posted: May 20, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Reckless Trading: Good and Bad Risk-Taking in Irish Companies
Commercial Law Practitioner 2017, 24(1), 7-13
Irene Lynch Fannon
University College Cork - School of Law
Date Posted: May 20, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Un Modelo De Creación De Mercado Con Trading De Alta Frecuencia (A Model of Market Creation with High Frequency Trading)
ODEON, No. 11, Julio-Diciembre 2016
Daniel Hernandez-Hernandez and Katherine Sánchez Casas
Independent and National University of Colombia
Date Posted: May 20, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Para Entender La Macrogestión De Liquidez: Comentario Sobre Inside and Outside Liquidity De Holmström Y Tirole (To Understand the Macro-Management of Liquidity: A Comment About Inside and Outside Liquidity by Holmström and Tirole)
ODEON, No. 11, Julio-Diciembre 2016
Orlando Guedez Calderín
Center for the Dissemination of Economic Knowledge (CEDICE)
Date Posted: May 20, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Equity Concentration, Agency Costs and Performance of Non-Financial Firms Listed on the Saudi Stock Market (Tadawul)
Nobanee, H., Ellili, N., Abraham, J. (2017). The Impacts of Equity Concentration and Agency Costs on Performance of Non-Financial Firms Listed On the Saudi Stock Market (Tadawul). Global Business Review, 18(1), pp 1-9
Haitham Nobanee, Nejla Ellili and Jaya Abraham
Abu Dhabi University, Abu Dhabi University and Abu Dhabi University
Date Posted: May 20, 2017
Working Paper Series
5 downloads

Pricing and Hedging Options with Rollover Parameters
Journal of Risk, Forthcoming
Sol Kim
Hankuk University of Foreign Studies
Date Posted: May 19, 2017
Accepted Paper Series

Incl. Electronic Paper Local Currency Systemic Risk
Nicola Borri
LUISS Guido Carli University - Department of Economics
Date Posted: May 19, 2017
Last Revised: May 24, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Assessing the Structural Fundamentals of Realized Risk Premiums
Ling-Ni Boon and Florian Ielpo
Tilburg University and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Date Posted: May 18, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Date Posted: May 18, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Group Lending with Heterogeneous Types
Li Gan, Manuel A. Hernandez and Yanyan Liu
Texas A&M University - Department of Economics, International Food Policy Research Institute (IFPRI) and International Food Policy Research Institute (IFPRI)
Date Posted: May 18, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper A New Way to Quantify the Effect of Uncertainty
FRB of Dallas Working Paper No. 1705
Alexander W. Richter and Nathaniel A. Throckmorton
Federal Reserve Bank of Dallas and College of William and Mary
Date Posted: May 18, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Squaring Venture Capital Valuations with Reality: Online Appendix
Will Gornall and Ilya A. Strebulaev
University of British Columbia (UBC) - Sauder School of Business and Stanford University - Graduate School of Business
Date Posted: May 17, 2017
Last Revised: May 19, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Ranking Analysis for Expectation of Binary Outcomes: A Bayesian Approach
Yang Liu
HSBC Bank (Canada)
Date Posted: May 16, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper The Impact of Relative Seniority between Bank Debt and Deposit on Bank Credit Spreads under Stressful Conditions
James Chen
Research137 LLC
Date Posted: May 16, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Efficient Estimation of Distributional Tail Shape and the Extremal Index With Applications to Risk Management
Journal of Mathematical Finance,Vol. 6, pp. 626-659, 2016
Travis Sapp
Iowa State University - Department of Finance
Date Posted: May 16, 2017
Accepted Paper Series
27 downloads

Incl. Electronic Paper Optimal Rényi Entropy Portfolios
Nathan Lassance and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Louvain School of Management, Université catholique de Louvain
Date Posted: May 16, 2017
Last Revised: May 19, 2017
Working Paper Series
44 downloads

Incl. Electronic Paper The Changing Role of Macroprudential Policy in Austria after World War II
Döme, S., S. W. Schmitz, K. Steiner, E. Ubl (2016) "The Changing Role of Macroprudential Policy in Austria after World War II", Two Hundred Years of Central Banking in Austria: selected topics. Monetary Policy and the Economy Q3-4/16, 163-189,
Sophia Döme, Stefan W. Schmitz, Katharina Steiner and Eva Ubl
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB), Oesterreichsiche Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Date Posted: May 16, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper The Effect of Cash Injections: Evidence from the 1980s Farm Debt Crisis
Nittai Bergman, Rajkamal Iyer and Richard T. Thakor
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Minnesota - Carlson School of Management
Date Posted: May 16, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Parameter Estimation from Overlapping Observations
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Date Posted: May 16, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Spillovers Among Sovereign Debt Markets: Identification by Absolute Magnitude Restrictions
ECB Working Paper No. 2055
Roberto A. De Santis and Srecko Zimic
European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB) - Directorate General Research
Date Posted: May 16, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Should Bank Capital Requirements Be Less Risk-Sensitive Because of Credit Constraints?
Bank of Finland Research Discussion Paper No. 10/2017
Gene Ambrocio and Esa Jokivuolle
Bank of Finland and Bank of Finland - Research
Date Posted: May 16, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Choosing the Appropriate Amount of Mortgage Loan: Risk Based Decision Making
International Journal of Economics and Finance; Vol. 8, No. 11; 2016 ISSN 1916-971X E-ISSN 1916-9728
Suleyman Gokhan Gunay and Kasirga Yildirak
Trakya University and Trakya University
Date Posted: May 16, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper Conduct Risk - Distribution Models with Very Thin Tails
Peter Mitic
Santander UK
Date Posted: May 16, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Underwriter Distress and Rollover Risk
Stine Louise Daetz, Jens Dick-Nielsen and Mads Stenbo Nielsen
Copenhagen Business School, Copenhagen Business School - Department of Finance and Copenhagen Business School - Department of Finance
Date Posted: May 15, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper Dynamics of the Expectation and Risk Premium in the OIS Term Structure
Suresh M. Sundaresan, Zhenyu Wang and Wei Yang
Columbia Business School - Finance and Economics, Indiana University, Kelley School of Business and Indiana University - Kelley School of Business - Department of Finance
Date Posted: May 15, 2017
Working Paper Series
25 downloads

Incl. Fee Electronic Paper Risk Management of Policyholder Behavior in Equity‐Linked Life Insurance
Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 661-690, 2017
Anne MacKay, Maciej Augustyniak, Carole Bernard and Mary R. Hardy
ETH Zurich - Department of Mathematics, University of Montreal - Department of Mathematics and Statistics, Grenoble Ecole de Management and University of Waterloo
Date Posted: May 15, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Aggregate Index for Measuring the Economic and Technological Performance of Nations
CocciaLab Working Paper 2017 - No. 19, Arizona State University.
Mario Coccia
National Research Council of Italy (CNR)
Date Posted: May 15, 2017
Last Revised: May 20, 2017
Accepted Paper Series
4 downloads

Incl. Fee Electronic Paper Corporate Leverage and Employees' Rights in Bankruptcy
CEPR Discussion Paper No. DP12033
Andrew Ellul and Marco Pagano
Indiana University - Kelley School of Business - Department of Finance and University of Naples Federico II - Department of Economics and Statistics
Date Posted: May 15, 2017
Working Paper Series

Incl. Fee Electronic Paper Financial Conglomerate Affiliated Hedge Funds: Risk Taking Behavior and Liquidity Provision
CEPR Discussion Paper No. DP12040
Francesco A. Franzoni and Mariassunta Giannetti
Università della Svizzera italiana (USI), Lugano and Stockholm School of Economics
Date Posted: May 15, 2017
Working Paper Series


 

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