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SSRN eLibrary Search Results
Econometric Modeling: Capital Markets - Asset Pricing eJournal
817,306 Total downloads
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Take it to the Limit: The Debt Ceiling and Treasury YieldsFEDS 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
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
Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock MarketWorld 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
Pricing Variance, Gamma and Corridor Swaps Using Multinomial TreesHonglei 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
Gaussian Quadrature Method for Pricing American and Exotic Options in a Jump-Diffusion ProcessPei-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
An Extreme Value Approach to Test the Effect of Price Limits on VolatilityNobanee, 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
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
Real Flight to SafetyChao Zi University of Illinois at Urbana-Champaign Date Posted: May 18, 2017 Working Paper Series 11 downloads
A Factor Structure for Implied VolatilityOhad 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
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
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
On Long Memory Behaviour and Predictability of Financial MarketsSEF 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
Efficient Estimation of Distributional Tail Shape and the Extremal Index
With Applications to Risk ManagementJournal 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
On the Centrality of Redemption: Linking the State and Credit Theories of Money Through a Financial Approach to MoneyLevy Economics Institute, Working Papers Series No. 890 Eric Tymoigne Lewis & Clark College Date Posted: May 16, 2017 Working Paper Series 2 downloads
Safe AssetsPIER 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
Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro AreaECB 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
Spillovers Among Sovereign Debt Markets: Identification by Absolute Magnitude RestrictionsECB 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
Do Stress Tests Matter? Evidence from the 2014 and 2016 Stress TestsECB 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
Flow Effects of Central Bank Asset Purchases on Euro Area Sovereign Bond Yields: Evidence from a Natural ExperimentECB 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
Predicting Movement of Stock of Apple Inc. Using Sutte IndicatorProceedings 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
The Market Value of Government OwnershipNarjess 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
Towards an Integrated Spot LNG Market: An Interim AssessmentXiaoyi 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
Dynamics of the Expectation and Risk Premium in the OIS Term StructureSuresh 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
Expected Stock ReturnsAna 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 
Imperfect Financial Markets and Shareholder Incentives in Partial and General EquilibriumCEPR 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
Safe AssetsCEPR 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
CDS Rate Construction Methods by Machine Learning TechniquesRaymond Brummelhuis and Zhongmin Luo University of Reims Champagne-Ardenne and Standard Chartered Bank, London Date Posted: May 15, 2017 Working Paper Series 26 downloads
New Bid-Ask Spread Estimators from Daily High and Low PricesZhiyong 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
Monetary Policy and Investment Dynamics: Evidence from Disaggregate DataGregory Erin Givens and Robert R. Reed Culverhouse College of Commerce and University of Alabama Date Posted: May 13, 2017 Working Paper Series 3 downloads
Learning from the Joneses: Technical Uncertainty, Spillover, and Stock ReturnsKevin Tseng University of Kansas School of Business Date Posted: May 13, 2017 Working Paper Series 13 downloads
The Applicability of Black's Variation of the Capital Asset Pricing Model (CAPM) in the South African ContextBradley 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
Mean-Swap Variance, Portfolio Theory and Prospect Asset PricingVictor 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
Monetary Policy through Production Networks: Evidence from the Stock MarketBecker 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
Financial Convergence on Emerging Markets: The Case of CEE CountriesBank 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
Commercialization Strategy and IPO UnderpricingSerena 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
Economic Determinants and Consequences of the Proactive Disclosure of Internal Control Weaknesses and Remediation Progress in IPOSudipta 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
Investing for the Long RunDietmar 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
Independent Analysts’ Estimates of Firm ValueKristian 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
News and Social Media Emotions in the Commodity MarketReview 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
Pricing and Hedging GDP-Linked Bonds in Incomplete MarketsAndrea Consiglio and Stavros A. Zenios University of Palermo and University of Cyprus Date Posted: May 11, 2017 Working Paper Series 19 downloads
Negative Investment Returns in a Developing Market ContextMike 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
The Dynamics of Government Bond Yields in the EurozoneLevy 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
The Relation between Market Value, Past Performance and Extreme Returns of Common Stocks in the United States, 1926-2012Werner 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
Stock Price Synchronicity and Material Sustainability InformationHarvard 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
Instrumental Variable Estimation of Factor Models with Possibly Many VariablesKazuhiko Hayakawa and Qi Sun Hiroshima University and Hiroshima University Date Posted: May 10, 2017 Working Paper Series 5 downloads
Decoding Stock Market with Quant AlphasZura 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
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 |
