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SSRN eLibrary Search Results
Econometric Modeling: Capital Markets - Asset Pricing eJournal
849,897 Total downloads
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Mispricing in the Odd Lots Market in BrazilHenrique 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
Decreasing Returns to Scale, Fund Flows, and PerformanceCampbell 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
About One Quadratic Model of Yield Term StructureMedvedev 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
The Nelson-Siegel-Svensson Yields. Probability Properties and EstimationGennady Medvedev Belarusian State University Date Posted: June 21, 2017 Working Paper Series 5 downloads
Time Variation of the Equity Term StructureNiels Joachim Gormsen Copenhagen Business School Date Posted: June 21, 2017 Working Paper Series 26 downloads
Strategic Trade When Securitized Portfolio Values are UnknownLouis R. Piccotti SUNY at Albany - School of Business Date Posted: June 21, 2017 Working Paper Series 3 downloads
On the Nelson-Siegel-Svensson No-Arbitrage Yield Curve ModelsTomsk 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
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
Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence TestsCESifo 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
The Dynamic Relationship Among Oil Price, Gold Price and Stock Price in VietnamAnh Quoc Ho Foreign Investment Agency, Ministry of Planning and Investment, Vietnam Date Posted: June 20, 2017 Working Paper Series 5 downloads
Structural Breaks in Emission Allowance Pricesin 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
U.S. Fiscal Policy and Asset Prices: The Role of Partisan ConflictRangan 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
Monetary Policy Through Production Networks: Evidence from the Stock MarketCESifo 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
International Financial Market Integration, Asset Compositions, and the Falling Exchange Rate Pass-ThroughCESifo 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
US Sector Rotation with Five-Factor Fama-French AlphasG 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
Stock Market Integration among BRICS Nations- an Empirical AnalysisMohammad 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
Credit Alpha and CO2 Reduction: A Portfolio Manager PerspectiveUlf Erlandsson Independent Date Posted: June 19, 2017 Working Paper Series 14 downloads
Compound Hawkes Processes in Limit Order BooksAnatoliy 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
Changes in Ownership Breadth and Anomaly ReturnsYangru 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
Accounting for Volatility Decay in Time Series Models for Leveraged Exchange Traded FundsAhmed Abdou Columbia University, Department of Industrial Engineering and Operations Research (IEOR), Students Date Posted: June 19, 2017 Working Paper Series 16 downloads 
Inference on Risk Premia in the Presence of Omitted FactorsNBER 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
The Relevance of Broker Networks for Information Diffusion in the Stock MarketNBER 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
Inflation Despite Best Intentions - Rating Under Asymmetric InformationChristian 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
What Happened to Profitability? Shocks, Challenges and Perspectives for Euro Area BanksEuropean 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
Financial Clusters, Industry Groups, and Stock Return CorrelationsAndy 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
Bank Deposits and the Stock MarketLeming Lin University of Pittsburgh - Katz Graduate School of Business Date Posted: June 15, 2017 Working Paper Series 14 downloads
Systematic Risk and Microstructure InvarianceYashar 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
Explicit Implied Volatilities for Multifactor Local‐Stochastic Volatility ModelsMathematical 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
Shadow Prices for Continuous ProcessesMathematical 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
Beta Dispersion and Market-TimingLaura-Chloé Kuntz University of Goettingen Date Posted: June 14, 2017 Last Revised: June 20, 2017 Working Paper Series 161 downloads
The Market Reaction to Earnings Announcements in Public Family FirmsElisabete Simões Vieira Instituto Superior de Contabilidade e Administracao da Universidade de Aveiro (ISCA-UA) Date Posted: June 14, 2017 Working Paper Series 12 downloads
Beating the Omega Clock: An Optimal Stopping Problem with Random Time-Horizon Under Spectrally Negative Lévy ModelsThe 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
Strategic Default Incentives and Firm ValuationFang 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
Margin Requirements and Evolutionary Asset PricingSwiss 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
The Absence of a Size Effect Relevant to the Cost of EquityClifford 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
Multimarket High-Frequency Trading and Commonality in LiquidityOlga 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
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
Understanding the Behavior of Distressed StocksYasser 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
Monetary Policy Instruments and Their Effects on the Stock Market in ChinaGang 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
Information and Liquidity of Over-the-Counter Securities: Evidence from Public Registration of Private DebtSong 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
P/E Ratios and Value Investor AttentionJordan Moore University of Rochester, Simon Business School, Students Date Posted: June 12, 2017 Working Paper Series 63 downloads
An Equilibrium Capital Asset Pricing Model in Markets with Trading Constraints and Price BubblesRobert A. Jarrow Cornell University - Samuel Curtis Johnson Graduate School of Management Date Posted: June 12, 2017 Working Paper Series 12 downloads
An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price BubblesRobert A. Jarrow Cornell University - Samuel Curtis Johnson Graduate School of Management Date Posted: June 12, 2017 Working Paper Series 17 downloads
Leverage and Capital Structure Determinants of Chinese Listed CompaniesAsian 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
Asset Pricing Under General CollateralizationYanhui Mi Purdue University Date Posted: June 12, 2017 Working Paper Series 16 downloads
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
The Best of All Possible Worlds: Unraveling Target Price Optimism Using Analysts’ Scenario-Based ValuationsReview 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
Improving U.S. Stock Return Forecasts: A 'Fair-Value' Cape ApproachJoseph 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 |
