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Econometric Modeling: Capital Markets - Asset Pricing eJournal
770,890 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,075
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1 2 3 4 ... 82 | Next >
   

Incl. Electronic Paper Stock Return Prediction with Fully Flexible Models and Coefficients
Joseph P. Byrne and Rong Fu
Heriot-Watt University - Department of Accountancy, Economics and Finance and Heriot-Watt University - Department of Accountancy, Economics and Finance
Date Posted: March 28, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Behavioral Value Adjustments
Matteo Bissiri and Riccardo Cogo
Cassa Depositi e Prestiti S.p.A. and Cassa Depositi e Prestiti S.p.A.
Date Posted: March 28, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper The Cross Section of Returns on FX Options and Volatility
Jessica James and Ian W. Marsh
Risk Advisory Group and City University London - Sir John Cass Business School
Date Posted: March 28, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Pre-IPO Cash Flow Volatility and Aftermarket Valuation
Justin S. Cox
University of Mississippi - Department of Finance
Date Posted: March 27, 2017
Working Paper Series
5 downloads

Herd Behavior and Asset Pricing in the Indian Stock Market
Yash Chauhan, Nehal Ahmad, Vaishali Aggarwal and Abhijeet Chandra
Delhi Technological University, Independent, GGS IP University and Indian Institute of Technology (IIT), Kharagpur - Vinod Gupta School of Management
Date Posted: March 27, 2017
Working Paper Series

Incl. Electronic Paper Dynamic Relationships between Dubai Oil Price, Shanghai and KOSPI Stock Markets
Journal of International Trade & Commerce, Vol.12, No.4, pp. 211-221, August 2016
Byung-Jin Yim and Seo-Young Lee
Yeungnam University and affiliation not provided to SSRN
Date Posted: March 27, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Conditional Equity Premium and Aggregate Investment: Is the Stock Market a Sideshow?
Hui Guo and Buhui Qiu
University of Cincinnati - Department of Finance - Real Estate and University of Sydney Business School
Date Posted: March 27, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Share Price Reaction to Earnings Announcement on the JSE-ALtX: A Test for Market Efficiency
Southern African Business Review, Volume 15, Number 3, 2011
V. F. Mlonzi, Jan Walters Kruger and Meiya G. Nthoesane
University of South Africa - Graduate School of Business Leadership (SBL), University of South Africa - Graduate School of Business Leadership (SBL) and University of South Africa-Centre for Business Management
Date Posted: March 27, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Joint Tests of Contagion with Applications to Financial Crises
CAMA Working Paper No. 23/2017
Renee Fry-McKibbin, Cody Yu-Ling Hsiao Hsiao and Vance L. Martin
Australian National University (ANU) - Crawford School of Public Policy, Macao University of Science and Technology - School of Business and University of Melbourne - Department of Economics
Date Posted: March 27, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Asset Return & Camel Process: Beauty and the Beast
Zhenya Liu and Shixuan Wang
Renmin University of China and University of Birmingham, Department of Economics
Date Posted: March 26, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper International Illiquidity
FRB International Finance Discussion Paper No. 1201
Aytek Malkhozov, Philippe Mueller, Andrea Vedolin and Gyuri Venter
Board of Governors of the Federal Reserve System, London School of Economics & Political Science (LSE) - Department of Finance, London School of Economics and Political Science and Copenhagen Business School
Date Posted: March 26, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Going Entrepreneurial? Ipos and New Firm Creation
FEDS Working Paper No. 2017-022
Tania Babina, Paige Ouimet and Rebecca Zarutskie
Columbia Business School - Finance and Economics, University of North Carolina at Chapel Hill and Federal Reserve Board
Date Posted: March 26, 2017
Working Paper Series

Incl. Electronic Paper No-arbitrage Private Market Equity Prices and Transaction Costs: Generalized IPCPL Theory and Private Market Empirical Tests
David H Goodman and Malcolm McLelland
Gosule, Butkus, & Jesson LLP and McLelland + Palazzi | Financial economics
Date Posted: March 25, 2017
Last Revised: March 27, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Can Volume Predict Bitcoin Returns and Volatility? A Quantiles-Based Approach
Economic Modelling, Forthcoming
Mehmet Balcilar, Elie Bouri, Rangan Gupta and David Roubaud
Eastern Mediterranean University, Université Saint Esprit de Kaslik (USEK), University of Pretoria - Department of Economics and Montpellier Business School
Date Posted: March 25, 2017
Accepted Paper Series
21 downloads

Incl. Electronic Paper A Likelihood-Based Comparison of Macro Asset Pricing Models
FEDS Working Paper No. 2017-024
Andrew Y. Chen, Rebecca Wasyk and Fabian Winkler
Federal Reserve Board, Board of Governors of the Federal Reserve System and Federal Reserve Board
Date Posted: March 24, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Director Experience and the Performance of IPOs: Evidence from Sweden
Thorsell, A., Isaksson, A., (2014). Director Experience and the Performance of IPOs: Evidence from Sweden. Australasian Accounting Business & Finance Journal 8(1),3-24
Anna Thorsell and Anders Isaksson
University of Umea and Chalmers University of Technology
Date Posted: March 24, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper The Role of Pre-Opening Mechanisms in Fragmented Markets
Selma Boussetta, Laurence Lescourret and Sophie Moinas
University of Toulouse 1, ESSEC Business School and IAE - Université de Toulouse 1 Capitole
Date Posted: March 23, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading
Swiss Finance Institute Research Paper No. 17-10
Thorsten Hens, Terje Lensberg and Klaus Reiner Schenk-Hoppé
University of Zurich - Department of Banking and Finance, Norwegian School of Economics (NHH) - Department of Finance and University of Manchester - Department of Economics
Date Posted: March 23, 2017
Working Paper Series
47 downloads

Incl. Electronic Paper Subjective Cashflows and Discount Rates
Ricardo De la O and Sean Myers
Stanford University - Department of Economics and Stanford University
Date Posted: March 23, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper Explaining Returns through Valuation
Erik Johannesson and James A. Ohlson
Columbia University - Columbia Business School and Hong Kong Polytechnic University - School of Accounting and Finance
Date Posted: March 23, 2017
Working Paper Series
49 downloads

Incl. Electronic Paper Analysts and Anomalies
Joseph Engelberg, R. David McLean and Jeffrey Pontiff
University of California, San Diego (UCSD) - Rady School of Management, Georgetown University - Department of Finance and Boston College - Department of Finance
Date Posted: March 23, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Hidden Leaders: Identifying High-Frequency Lead-Lag Structures in a Multivariate Price Formation Framework
Giuseppe Buccheri, Fulvio Corsi and Stefano Peluso
Scuola Normale Superiore, Ca' Foscari University of Venice and University of Lugano and Swiss Finance Institute
Date Posted: March 23, 2017
Working Paper Series
54 downloads

Incl. Electronic Paper The Taming of the Two - Simulation-Based Asset Pricing with Multi-Period Disasters and Two Consumption Goods
Jantje Soenksen
University of Tuebingen
Date Posted: March 23, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper High Frequency Trading: Strategic Competition between Slow and Fast Traders
Herve Boco, Laurent Germain and Fabrice Rousseau
Toulouse Business School, Toulouse University, Toulouse Business School and National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics
Date Posted: March 22, 2017
Working Paper Series
44 downloads

Incl. Electronic Paper Risk Aversion and the Response of the Macroeconomy to Volatility Shocks
Lorenzo Bretscher, Alex C. Hsu and Andrea Tamoni
London School of Economics & Political Science (LSE), Georgia Institute of Technology - Scheller College of Business and London School of Economics & Political Science (LSE)
Date Posted: March 22, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper The Preferences of Omega Ratio for Risk Averters and Risk Seekers
Xu Guo and Wing-Keung Wong
Beijing Normal University (BNU) and Asia University, Department of Finance
Date Posted: March 22, 2017
Working Paper Series
13 downloads

Incl. Fee Electronic Paper Change Point Tests in Functional Factor Models with Application to Yield Curves
The Econometrics Journal, Vol. 20, Issue 1, pp. 86-117, 2017
Patrick Bardsley, Lajos Horváth, Piotr Kokoszka and Gabriel Young
University of Texas at Austin, University of Utah - Department of Mathematics, Utah State University - Department of Mathematics & Statistics and Columbia University
Date Posted: March 22, 2017
Accepted Paper Series

Incl. Electronic Paper Can Relationship Banking Reduce Firm's IPO Underpricing?
Kai Lu
Washington University in Saint Louis - John M. Olin Business School
Date Posted: March 21, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets
Journal of Futures Markets, Forthcoming
Johan Bjursell, George H. K. Wang and Hui Zheng
Credit Suisse AG, George Mason University - Finance Area and Discipline of Finance, The University of Sydney
Date Posted: March 21, 2017
Accepted Paper Series
34 downloads

Incl. Electronic Paper A Modified Stochastic Volatility Model for Levy Process Based on Gamma Ornstein-Uhlenbeck Process and Option Pricing.
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Yanhui Mi
Purdue University
Date Posted: March 21, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Conic Option Pricing
Dilip B. Madan and Wim Schoutens
University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Date Posted: March 21, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Dynamics of Market Anomalies and Measurement Errors of Risk-Free Interest Rates
C. H. Hui, Chi-Fai Lo and Chin-To Fung
Hong Kong Monetary Authority - Research Department, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK)
Date Posted: March 20, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Taming the Factor Zoo
Guanhao Feng, Stefano Giglio and Dacheng Xiu
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: March 20, 2017
Last Revised: March 28, 2017
Working Paper Series
115 downloads

Incl. Electronic Paper Initial Public Offerings and the Firm Location
Department of Management, Università Ca' Foscari Venezia Working Paper No. 2016/13,
Giulia Baschieri, Andrea Carosi and Stefano Mengoli
Ca Foscari University of Venice - Department of Management, Università degli Studi di Sassari - Department of Economics and Business and University of Bologna - Department of Management
Date Posted: March 20, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds: The Bubble Theory
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Date Posted: March 20, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Pricing Sin Stocks: Ethical Preference vs. Risk Aversion
Stefano Colonnello, Giuliano Curatola and Alessandro Gioffré
Otto-von-Guericke Universität Magdeburg, Goethe University Frankfurt - Research Center SAFE and Goethe University Frankfurt - Research Center SAFE
Date Posted: March 20, 2017
Last Revised: March 26, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Initial Public Offerings and the Firm Location
Giulia Baschieri, Andrea Carosi and Stefano Mengoli
University of Bologna - Department of Management, University of Sassari - Department of Economics and Business and University of Bologna - Department of Management
Date Posted: March 20, 2017
Last Revised: March 25, 2017
Working Paper Series
15 downloads

Incl. Fee Electronic Paper Asset Mispricing
NBER Working Paper No. w23231
Kurt F. Lewis, Francis A. Longstaff and Lubomir Petrasek
Board of Governors of the Federal Reserve System, University of California, Los Angeles (UCLA) - Finance Area and Federal Reserve Board
Date Posted: March 19, 2017
Working Paper Series
20 downloads

Incl. Fee Electronic Paper Real Anomalies
NBER Working Paper No. w23238
Jules H. van Binsbergen and Christian C. Opp
University of Pennsylvania - The Wharton School and University of Pennsylvania - The Wharton School
Date Posted: March 19, 2017
Working Paper Series
11 downloads

Incl. Fee Electronic Paper The Investment CAPM
NBER Working Paper No. w23226
Lu Zhang
Ohio State University - Fisher College of Business
Date Posted: March 19, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper The Relevance of Credit Ratings in Transparent Bond Markets
Dominique C. Badoer and Cem Demiroglu
University of Missouri at Columbia - Department of Finance and Koc University, College of Administrative Sciences and Economics
Date Posted: March 18, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Rare Events and Long-Run Risks
Robert J. Barro and Tao Jin
Harvard University - Department of Economics and Tsinghua University - PBC School of Finance
Date Posted: March 18, 2017
Working Paper Series
34 downloads

Incl. Electronic Paper Direct Estimation of Factor Exposures from Appraisal Returns
Jenwen Lin
University of Toronto - Department of Statistics
Date Posted: March 18, 2017
Working Paper Series
26 downloads

On Unmodeled Breaks in the Turn of the Year, Turn of the Month, and January Effects
Financial Review, Forthcoming
Russell P. Robins and Geoffrey Peter Smith
Tulane University - A.B. Freeman School of Business and Arizona State University (ASU) - W.P. Carey School of Business
Date Posted: March 18, 2017
Accepted Paper Series

The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing
Journal of Real Estate Finance and Economics, Vol. 54, No. 3, 2017
Shaun A. Bond and Chen Xue
University of Cincinnati and University of Cincinnati
Date Posted: March 18, 2017
Accepted Paper Series

Incl. Electronic Paper Jump Variance Risk: Evidence from Option Valuation and Stock Returns
Hsuan-Ling Chang, Yen-Cheng Chang, Hung-Wen Cheng and Kevin Tseng
National Taiwan University, National Taiwan University - College of Management, Department of Financial Engineering and Actuarial Mathematics, Soochow University and University of Kansas School of Business
Date Posted: March 17, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Rentabilidad De Los Fondos De Inversión En España, 2001-2016 (Return of Mutual Funds in Spain, 2001-2016)
Pablo Fernandez, Vitaly Pershin, Pablo Fernandez Acin and Isabel Fernández Acín
University of Navarra - IESE Business School, University of Navarra, IESE Business School, Independent and University of Navarra
Date Posted: March 17, 2017
Working Paper Series
774 downloads

Incl. Electronic Paper Misvaluation and Financial Constraints: Method of Payment and Buyer Identity in Mergers & Acquisitions
IFN Working Paper No. 1157
Aron Berg
Lund University
Date Posted: March 17, 2017
Working Paper Series
11 downloads

How the Jobs Act is Reshaping IPOs: Implications for Entrepreneurial Firms
Academy of Management Perspectives, Forthcoming
Dane Blevins, Roberto Ragozzino and Jeffrey J. Reuer
Independent, University of Tennessee and Purdue University - Krannert School of Management
Date Posted: March 17, 2017
Accepted Paper Series

Incl. Electronic Paper Stuck on the Road: Traffic Congestion and Stock Returns
Serkan Imisiker and Bedri Kamil Onur Tas
TOBB University of Economics and Technology and TOBB University of Economics and Technology - Department of Economics
Date Posted: March 17, 2017
Working Paper Series
23 downloads


 

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