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Econometric Modeling: Capital Markets - Asset Pricing eJournal
817,306 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,315
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1 2 3 4 ... 87 | Next >
   

Incl. Electronic Paper Take it to the Limit: The Debt Ceiling and Treasury Yields
FEDS Working Paper No. 2017-052
David B. Cashin, Erin E. Syron Ferris, Elizabeth Klee and Cailey Stevens
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Date Posted: May 22, 2017
Working Paper Series

Incl. Electronic Paper What Is Driving the Corporate Bond Market Development in Asia?
IÉSEG Working Paper Series 2017-ACF-03,
Oskar Kowalewski and Paweł Pisany
IÉSEG School of Management and Polish Academy of Science
Date Posted: May 20, 2017
Accepted Paper Series
9 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 Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market
World Development, Volume 67, Pages 110–125, March 2015,
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: May 19, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees
Honglei Zhao, Zhe zhao, Rupak Chatterjee, Thomas Monza Lonon and Ionut Florescu
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
Date Posted: May 18, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion Process
Pei-Shih Weng and Wei-Che Tsai
National Dong Hwa University and National Sun Yat-sen University - Department of Finance
Date Posted: May 18, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper An Extreme Value Approach to Test the Effect of Price Limits on Volatility
Nobanee, H. , K. Hilu. (2013). An Extreme Value Approach to Test the Effect of Price Limits on Volatility. Journal of Modern Accounting and Auditing, 9(10), 1382-1391
Haitham Nobanee and Khalil Al-Hilu
Abu Dhabi University and Abu Dhabi University
Date Posted: May 18, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Internet Appendix for 'Belief Dispersion in the Stock Market'
Adem Atmaz and Suleyman Basak
Purdue University - Krannert School of Management and London Business School
Date Posted: May 18, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Real Flight to Safety
Chao Zi
University of Illinois at Urbana-Champaign
Date Posted: May 18, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper A Factor Structure for Implied Volatility
Ohad Kadan, Fang Liu and Xiaoxiao Tang
Washington University in St. Louis - John M. Olin Business School, Cornell University and Washington University in St. Louis - John M. Olin Business School
Date Posted: May 17, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Why Do Accruals Predict Earnings?
Jonathan Lewellen and Robert J. Resutek
Dartmouth College - Tuck School of Business and University of Georgia - J.M. Tull School of Accounting
Date Posted: May 17, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Optimising Cross-Asset Carry
"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming)
Nick Baltas
Imperial College Business School
Date Posted: May 17, 2017
Accepted Paper Series
94 downloads

Incl. Electronic Paper On Long Memory Behaviour and Predictability of Financial Markets
SEF Working paper: 05/2014
Long Hai Vo and Leigh Roberts
Economics discipline, UWA Business School and Victoria University of Wellington - School of Economics & Finance
Date Posted: May 16, 2017
Working Paper Series
37 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
13 downloads

Incl. Electronic Paper On the Centrality of Redemption: Linking the State and Credit Theories of Money Through a Financial Approach to Money
Levy Economics Institute, Working Papers Series No. 890
Eric Tymoigne
Lewis & Clark College
Date Posted: May 16, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Safe Assets
PIER Working Paper No. 17-008
Robert J. Barro, Jesús Fernández-Villaverde, Oren Levintal and Andrew Mollerus
Harvard University - Department of Economics, University of Pennsylvania - Department of Economics, Interdisciplinary Center (IDC) Herzliyah and Harvard University
Date Posted: May 16, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro Area
ECB Working Paper No. 2056
Roel M. W. J. Beetsma, Massimo Giuliodori, Jesper Hanson and Frank de Jong
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM), University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam and Tilburg University
Date Posted: May 16, 2017
Working Paper Series
4 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 Do Stress Tests Matter? Evidence from the 2014 and 2016 Stress Tests
ECB Working Paper No. 2054
Oana Maria Georgescu, Marco Gross, Daniel Kapp and Christoffer Kok
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: May 16, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Flow Effects of Central Bank Asset Purchases on Euro Area Sovereign Bond Yields: Evidence from a Natural Experiment
ECB Working Paper No. 2052
Roberto A. De Santis and Federic Holm-Hadulla
European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Date Posted: May 16, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Predicting Movement of Stock of Apple Inc. Using Sutte Indicator
Proceedings The 3rd AISTSSE Trends in Science and Science Education, 2016
Ansari Saleh Ahmar
Departement of Statistics, Universitas Negeri Makassar
Date Posted: May 15, 2017
Accepted Paper Series
8 downloads

Incl. Electronic Paper The Market Value of Government Ownership
Narjess Boubakri, Sadok El Ghoul, Omrane Guedhami and William L. Megginson
American University of Sharjah - School of Business and Management, University of Alberta - Campus Saint-Jean, University of South Carolina - Moore School of Business and University of Oklahoma
Date Posted: May 15, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Towards an Integrated Spot LNG Market: An Interim Assessment
Xiaoyi Mu and Haichun Ye
Center for Energy, Petroleum and Mineral Law and Policy, University of Dundee and Shanghai University of Finance and Economics - School of Economics
Date Posted: May 15, 2017
Working Paper Series
2 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
16 downloads

Incl. Electronic Paper Expected Stock Returns
Ana Gonzalez-Urteaga, Belen Nieto and Gonzalo Rubio
Public University of Navarre, University of Alicante and Universidad CEU Cardenal Herrera
Date Posted: May 15, 2017
Working Paper Series
42 downloads

Incl. Fee Electronic Paper Imperfect Financial Markets and Shareholder Incentives in Partial and General Equilibrium
CEPR Discussion Paper No. DP12045
Elias Albagli, Christian Hellwig and Aleh Tsyvinski
Central Bank of Chile, University of Toulouse 1 - Toulouse School of Economics (TSE) and Yale University - Cowles Foundation
Date Posted: May 15, 2017
Working Paper Series

Incl. Fee Electronic Paper Safe Assets
CEPR Discussion Paper No. DP12043
Robert J. Barro, Jesús Fernández-Villaverde, Oren Levintal and Andrew Mollerus
Harvard University - Department of Economics, University of Pennsylvania - Department of Economics, Interdisciplinary Center (IDC) Herzliyah and Harvard University
Date Posted: May 15, 2017
Working Paper Series

Incl. Electronic Paper CDS Rate Construction Methods by Machine Learning Techniques
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Standard Chartered Bank, London
Date Posted: May 15, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper New Bid-Ask Spread Estimators from Daily High and Low Prices
Zhiyong Li, Brendan John Lambe and Emmanuel Adegbite
De Montfort University, University of Leicester and Durham University
Date Posted: May 13, 2017
Working Paper Series
57 downloads

Incl. Electronic Paper Monetary Policy and Investment Dynamics: Evidence from Disaggregate Data
Gregory Erin Givens and Robert R. Reed
Culverhouse College of Commerce and University of Alabama
Date Posted: May 13, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Learning from the Joneses: Technical Uncertainty, Spillover, and Stock Returns
Kevin Tseng
University of Kansas School of Business
Date Posted: May 13, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper The Applicability of Black's Variation of the Capital Asset Pricing Model (CAPM) in the South African Context
Bradley Carter, Chris Muller and Mike Ward
University of Pretoria - Gordon Institute of Business Science, Independent and University of Pretoria - Gordon Institute of Business Science
Date Posted: May 12, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Mean-Swap Variance, Portfolio Theory and Prospect Asset Pricing
Victor Chow and Zhan Wang
West Virginia University and West Virginia University, College of Business & Economics, Department of Finance, Students
Date Posted: May 12, 2017
Working Paper Series
13 downloads

Evaluating the Financial Soundness of Banks: An Application of Bankometer on Pakistani Listed Banks
The IUP Journal of Financial Risk Management, Vol. XIII, No. 3, pp. 47-63, September 2016
Aasma Ashraf and Yasir Bin Tariq
COMSATS Institute of Information Technology, Abbottabad Campus and COMSATS Institute of Information Technology, Abbottabad Campus
Date Posted: May 12, 2017
Accepted Paper Series

Application of Unsupervised Feature Selection, Machine Learning and Evolutionary Algorithm in Predicting Stock Returns: A Study of Indian Firms
The IUP Journal of Financial Risk Management, Vol. XIII, No. 3, pp. 20-46, September 2016
Tamal Datta Chaudhuri, Indranil Ghosh and Shahira Eram
Calcutta Business School, Calcutta Business School and Calcutta Business School
Date Posted: May 12, 2017
Accepted Paper Series

Incl. Electronic Paper Monetary Policy through Production Networks: Evidence from the Stock Market
Becker Friedman Institute for Research in Economics Working Paper No. 2017-07
Ali K. Ozdagli and Michael Weber
Federal Reserve Banks - Federal Reserve Bank of Boston and University of Chicago - Finance
Date Posted: May 12, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Financial Convergence on Emerging Markets: The Case of CEE Countries
Bank i Kredyt 48(2), 2017, 149-172
Michał Fronc and Piotr Mielus
Warsaw School of Economics (SGH) and Warsaw School of Economics (SGH)
Date Posted: May 11, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Commercialization Strategy and IPO Underpricing
Serena Morricone, Federico Munari, Raffaele Oriani and Gaétan de Rassenfosse
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Bologna - Department of Management, Luiss Guido Carli University and Ecole Polytechnique Fédérale de Lausanne
Date Posted: May 11, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Economic Determinants and Consequences of the Proactive Disclosure of Internal Control Weaknesses and Remediation Progress in IPO
Sudipta Basu, Jagan Krishnan, Jong Eun Lee and Yinqi Zhang
Temple University - Department of Accounting, Temple University - Department of Accounting, Sungkyunkwan University and American University
Date Posted: May 11, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Investing for the Long Run
Dietmar Leisen and Eckhard Platen
University of Mainz - Department of Banking and University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: May 11, 2017
Working Paper Series
59 downloads

Incl. Electronic Paper Independent Analysts’ Estimates of Firm Value
Kristian D. Allee, Devon Erickson, Adam M. Esplin and Stephannie Larocque
University of Arkansas - Department of Accounting, Utah State University - Huntsman School of Business, University of Alberta - Department of Accounting and University of Notre Dame - Mendoza College of Business
Date Posted: May 11, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper News and Social Media Emotions in the Commodity Market
Review of Behavioral Finance, Forthcoming
Jiancheng Shen, Mohammad Najand, Feng Dong and Wu He
Regent University - Finance, Old Dominion University - Finance, Old Dominion University - College of Business & Public Administration and Old Dominion University - College of Business & Public Administration
Date Posted: May 11, 2017
Accepted Paper Series
50 downloads

Incl. Electronic Paper Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
Andrea Consiglio and Stavros A. Zenios
University of Palermo and University of Cyprus
Date Posted: May 11, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Negative Investment Returns in a Developing Market Context
Mike Ward, Chris Muller and Pravin Semnarayan
University of Pretoria - Gordon Institute of Business Science, Independent and University of Pretoria, Gordon Institute of Business Science
Date Posted: May 11, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper The Dynamics of Government Bond Yields in the Eurozone
Levy Economics Institute, Working Paper No. 889
Tanweer Akram and Anupam Das
Thrivent Financial and Mount Royal University
Date Posted: May 10, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper The Relation between Market Value, Past Performance and Extreme Returns of Common Stocks in the United States, 1926-2012
Werner F.M. DeBondt, Jungshik Hur, Glenn N. Pettengill and Vivek Singh
DePaul University - Driehaus Center for Behavioral Finance, Louisiana Tech University, Grand Valley State University and University of Michigan at Dearborn - College of Business
Date Posted: May 10, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Stock Price Synchronicity and Material Sustainability Information
Harvard Business School Working Papers
Jyothika Grewal, Clarissa Hauptmann and George Serafeim
Harvard University, Harvard Business School, Students, Maastricht University - Department of Finance, Students and Harvard University - Harvard Business School
Date Posted: May 10, 2017
Last Revised: May 18, 2017
Working Paper Series
198 downloads

Incl. Electronic Paper Instrumental Variable Estimation of Factor Models with Possibly Many Variables
Kazuhiko Hayakawa and Qi Sun
Hiroshima University and Hiroshima University
Date Posted: May 10, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Decoding Stock Market with Quant Alphas
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Date Posted: May 10, 2017
Working Paper Series
434 downloads

Incl. Electronic Paper Are REITs a Distinct Asset Class?
Jared Kizer and Sean Grover
Buckingham Asset Management, LLC and Buckingham Asset Management, LLC
Date Posted: May 10, 2017
Working Paper Series
56 downloads


 

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