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Econometric Modeling: Capital Markets - Asset Pricing eJournal
849,897 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,504
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1 2 3 4 ... 91 | Next >
   

Incl. Electronic Paper Mispricing in the Odd Lots Market in Brazil
Henrique P. Ramos, Marcelo Perlin and Marcelo Brutti Righi
Federal University of Rio Grande do Sul (UFRGS/PPGA), Escola de Administração - UFRGS and Federal University of Rio Grande do Sul
Date Posted: June 22, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Decreasing Returns to Scale, Fund Flows, and Performance
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Date Posted: June 22, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper About One Quadratic Model of Yield Term Structure
Medvedev G. A. About one quadratic model of yield term structure // Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2017. № 38. P. 24–29. (In Russian),
Gennady Medvedev
Belarusian State University
Date Posted: June 21, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper The Nelson-Siegel-Svensson Yields. Probability Properties and Estimation
Gennady Medvedev
Belarusian State University
Date Posted: June 21, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Time Variation of the Equity Term Structure
Niels Joachim Gormsen
Copenhagen Business School
Date Posted: June 21, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Strategic Trade When Securitized Portfolio Values are Unknown
Louis R. Piccotti
SUNY at Albany - School of Business
Date Posted: June 21, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper On the Nelson-Siegel-Svensson No-Arbitrage Yield Curve Models
Tomsk State University Journal of Control and Computer Science. №3(32). P. 44–55.,
Gennady Medvedev
Belarusian State University
Date Posted: June 21, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Koersbewegingen Rond De Publicatie Van Beleggingsadviezen Op De Nederlandse Aandelenmarkt Van 1995 Tot 2013 (Stock Returns Surrounding the Publication of Security Analyst Recommendations on the Dutch Stock Market From 1995 To 2013)
Maandblad voor Accountancy en Bedrijfseconomie, 88(11), 458-465
Dirk Gerritsen
Utrecht University - Utrecht University School of Economics
Date Posted: June 21, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests
CESifo Working Paper Series No. 6494
Guglielmo Maria Caporale and Kefei You
Brunel University London - Department of Economics and Finance and University of Greenwich
Date Posted: June 20, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Dynamic Relationship Among Oil Price, Gold Price and Stock Price in Vietnam
Anh Quoc Ho
Foreign Investment Agency, Ministry of Planning and Investment, Vietnam
Date Posted: June 20, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Structural Breaks in Emission Allowance Prices
in proceedings of the 14th International Conference on the European Energy Market (EEM), 2017, Forthcoming
Peter Molnár and Sven Thies
University of Stavanger and University of Bremen
Date Posted: June 20, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict
Rangan Gupta, Chi Keung Marco Lau, Stephen M. Miller and Mark E. Wohar
University of Pretoria - Department of Economics, Northumbria University, University of Nevada, Las Vegas - Department of Economics and University of Nebraska at Omaha
Date Posted: June 19, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Monetary Policy Through Production Networks: Evidence from the Stock Market
CESifo Working Paper Series No. 6486
Ali K. Ozdagli and Michael Weber
Federal Reserve Banks - Federal Reserve Bank of Boston and University of Chicago - Finance
Date Posted: June 19, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper International Financial Market Integration, Asset Compositions, and the Falling Exchange Rate Pass-Through
CESifo Working Paper Series No. 6483
Almira Enders, Zeno Enders and Mathias Hoffmann
Deutsche Bundesbank, University of Heidelberg and Deutsche Bundesbank
Date Posted: June 19, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper US Sector Rotation with Five-Factor Fama-French Alphas
G Sarwar, Cesario Mateus and Natasa Todorovic
University of Greenwich - Business School, University of Greenwich Business School and City University London - Sir John Cass Business School
Date Posted: June 19, 2017
Working Paper Series
64 downloads

Incl. Electronic Paper Stock Market Integration among BRICS Nations- an Empirical Analysis
Mohammad Irshad VK and Velmurugan Palaniyappa Shanmugam
Pondicherry University - Department of Commerce, Students and Pondicherry University - Department of Commerce
Date Posted: June 19, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Credit Alpha and CO2 Reduction: A Portfolio Manager Perspective
Ulf Erlandsson
Independent
Date Posted: June 19, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Compound Hawkes Processes in Limit Order Books
Anatoliy V. Swishchuk, Jonathan Chavez-Casillas, Robert Elliott and Bruno Remillard
University of Calgary, University of Calgary, University of South Australia - School of Commerce and HEC Montreal
Date Posted: June 19, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Changes in Ownership Breadth and Anomaly Returns
Yangru Wu and Weike Xu
Rutgers University, Newark - School of Business - Department of Finance & Economics and Clemson University
Date Posted: June 19, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Accounting for Volatility Decay in Time Series Models for Leveraged Exchange Traded Funds
Ahmed Abdou
Columbia University, Department of Industrial Engineering and Operations Research (IEOR), Students
Date Posted: June 19, 2017
Working Paper Series
16 downloads

Incl. Fee Electronic Paper Inference on Risk Premia in the Presence of Omitted Factors
NBER Working Paper No. w23527
Stefano Giglio and Dacheng Xiu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: June 19, 2017
Working Paper Series
1 downloads

Incl. Fee Electronic Paper The Relevance of Broker Networks for Information Diffusion in the Stock Market
NBER Working Paper No. w23522
Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla
Harvard Business School, Università della Svizzera italiana (USI), Lugano, University of California, Berkeley and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute
Date Posted: June 19, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Inflation Despite Best Intentions - Rating Under Asymmetric Information
Christian Hilpert, Stefan Hirth and Alexander Szimayer
University of Hamburg, University of Aarhus and University of Hamburg - Faculty of Economics and Business Administration
Date Posted: June 16, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper What Happened to Profitability? Shocks, Challenges and Perspectives for Euro Area Banks
European Stability Mechanism Working Paper No. 5
Gong Cheng and Dirk Mevis
European Stability Mechanism and European Stability Mechanism
Date Posted: June 16, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Financial Clusters, Industry Groups, and Stock Return Correlations
Andy Fodor, Randy D. Jorgensen and John D. Stowe
Ohio University, Creighton University and Ohio University
Date Posted: June 15, 2017
Working Paper Series
37 downloads

Incl. Electronic Paper Bank Deposits and the Stock Market
Leming Lin
University of Pittsburgh - Katz Graduate School of Business
Date Posted: June 15, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Systematic Risk and Microstructure Invariance
Yashar H. Barardehi, Dan Bernhardt and Thomas G. Ruchti
Ohio University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Economics and Carnegie Mellon University - Tepper School of Business
Date Posted: June 15, 2017
Working Paper Series
8 downloads

Incl. Fee Electronic Paper Explicit Implied Volatilities for Multifactor Local‐Stochastic Volatility Models
Mathematical Finance, Vol. 27, Issue 3, pp. 926-960, 2017
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Shadow Prices for Continuous Processes
Mathematical Finance, Vol. 27, Issue 3, pp. 623-658, 2017
Christoph Czichowsky, Walter Schachermayer and Junjian Yang
Vienna University of Technology, Universität Wien, Fakultät für Mathematik and University of Vienna
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Electronic Paper Beta Dispersion and Market-Timing
Laura-Chloé Kuntz
University of Goettingen
Date Posted: June 14, 2017
Last Revised: June 20, 2017
Working Paper Series
161 downloads

Incl. Electronic Paper The Market Reaction to Earnings Announcements in Public Family Firms
Elisabete Simões Vieira
Instituto Superior de Contabilidade e Administracao da Universidade de Aveiro (ISCA-UA)
Date Posted: June 14, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Beating the Omega Clock: An Optimal Stopping Problem with Random Time-Horizon Under Spectrally Negative Lévy Models
The Annals of Applied Probability, Forthcoming
Neofytos Rodosthenous and Hongzhong Zhang
Queen Mary, University of London and Columbia University
Date Posted: June 14, 2017
Accepted Paper Series
10 downloads

Incl. Electronic Paper Strategic Default Incentives and Firm Valuation
Fang Fang, Yongli Luo, Charles Ji and Dave O. Jackson
University of Texas-Pan American, Houston Baptist University, School of Business, Harvard University and University of Texas-Pan American - College of Business Administration - Department of Economics & Finance
Date Posted: June 14, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Margin Requirements and Evolutionary Asset Pricing
Swiss Finance Institute Research Paper No. 17-20
Anastasiia Sokko and Klaus Reiner Schenk-Hoppé
University of Zurich, Department of Banking and Finance and University of Manchester - Department of Economics
Date Posted: June 14, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper The Absence of a Size Effect Relevant to the Cost of Equity
Clifford S. Ang
Compass Lexecon
Date Posted: June 13, 2017
Working Paper Series
15 downloads

Do Determinants of Bank Profitability Change Over Time? Evidence from India
Rajveer Rawlin
Ramaiah Institute of Management
Date Posted: June 13, 2017
Working Paper Series

Incl. Electronic Paper Multimarket High-Frequency Trading and Commonality in Liquidity
Olga Klein and Shiyun Song
University of Warwick - Warwick Business School and University of Warwick - Warwick Business School
Date Posted: June 13, 2017
Working Paper Series
35 downloads

Incl. Electronic Paper Do Individual Investors Ignore Transaction Costs?
World Bank Policy Research Working Paper No. 8098
Deniz Anginer, Xue Snow Han and Celim Yildizhan
World Bank Research, San Francisco State University and University of Georgia - C. Herman and Mary Virginia Terry College of Business
Date Posted: June 13, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Understanding the Behavior of Distressed Stocks
Yasser Boualam, Joao F. Gomes and Colin Ward
University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School, The Wharton School and University of Minnesota - Carlson School of Management
Date Posted: June 13, 2017
Last Revised: June 20, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Monetary Policy Instruments and Their Effects on the Stock Market in China
Gang Wang
Clemson University, College of Business and Behavioral Science, John E. Walker Department of Economics
Date Posted: June 13, 2017
Working Paper Series
13 downloads

Dynamics of Size and Value Factors in Stock Returns: Evidence from India
Moinak Maiti
Pondicherry University (A Central University)
Date Posted: June 12, 2017
Working Paper Series

Incl. Electronic Paper Information and Liquidity of Over-the-Counter Securities: Evidence from Public Registration of Private Debt
Song Han, Alan Guoming Huang, Madhu Kalimipalli and Ke Wang
Federal Reserve Board - Division of Research and Statistics, University of Waterloo, Lazaridis School of Business and Economics, Wilfrid Laurier University and Federal Reserve Board
Date Posted: June 12, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper P/E Ratios and Value Investor Attention
Jordan Moore
University of Rochester, Simon Business School, Students
Date Posted: June 12, 2017
Working Paper Series
63 downloads

Incl. Electronic Paper An Equilibrium Capital Asset Pricing Model in Markets with Trading Constraints and Price Bubbles
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: June 12, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles
Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management
Date Posted: June 12, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Leverage and Capital Structure Determinants of Chinese Listed Companies
Asian Development Bank Economics Working Paper Series No. 509
Benno Ferrarini, Marthe Hinojales and Pasquale Scaramozzino
Asian Development Bank, Asian Development Bank and University of Rome II - Faculty of Economics
Date Posted: June 12, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Asset Pricing Under General Collateralization
Yanhui Mi
Purdue University
Date Posted: June 12, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Does Feedback Trading Drive Returns of Cross-Listed Shares?
Journal of International Financial Markets, Institutions and Money, Forthcoming
Jing Chen, Yizhe Dong, Wenxuan Hou and David G. McMillan
Cardiff University - School of Mathematics, University of Aberdeen - Business School, University of Edinburgh - Business School and University of Stirling
Date Posted: June 12, 2017
Accepted Paper Series
13 downloads

Incl. Electronic Paper The Best of All Possible Worlds: Unraveling Target Price Optimism Using Analysts’ Scenario-Based Valuations
Review of Accounting Studies, Forthcoming
Peter R. Joos and Joseph D. Piotroski
INSEAD and Stanford Graduate School of Business
Date Posted: June 10, 2017
Accepted Paper Series
30 downloads

Incl. Electronic Paper Improving U.S. Stock Return Forecasts: A 'Fair-Value' Cape Approach
Joseph H. Davis, Roger A Aliaga-Diaz, Harshdeep Ahluwalia and Ravi Tolani
The Vanguard Group, The Vanguard Group, Inc., The Vanguard Group, Inc. and The Vanguard Group, Inc.
Date Posted: June 10, 2017
Working Paper Series
188 downloads


 

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