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Econometric Modeling: Capital Markets - Portfolio Theory eJournal
529,636 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 2,266
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1 2 3 4 ... 46 | 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
8 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
17 downloads

Incl. Electronic Paper Noisy Active Management
Robert F. Stambaugh
University of Pennsylvania - The Wharton School
Date Posted: June 22, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Advanced Estate Planning
Nicholas A. Paleveda
Northeastern University
Date Posted: June 22, 2017
Working Paper Series
2 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
Last Revised: June 23, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper An Approach to Enhanced Indexing
Andrei Bolshakov and Ludwig B. Chincarini
WEDGE Capital Management, LLP and University of San Francisco School of Management
Date Posted: June 21, 2017
Working Paper Series
32 downloads

Incl. Electronic Paper Optimal Portfolio Choice with Benchmarks
Carole Bernard, Rob De Staelen and Steven Vanduffel
Grenoble Ecole de Management, Ghent University-Universiteit Gent and Vrije Universiteit Brussel (VUB)
Date Posted: June 21, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Ethical Investing has No Portfolio Performance Cost
Yufen Fu, Danika J. Wright and George Blazenko
Tunghai University, The University of Sydney Business School and Simon Fraser University (SFU) - Finance Area
Date Posted: June 21, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Investing in Trading Opportunities in Dynamic Adverse Selection
Sander Heinsalu
Australian National University
Date Posted: June 20, 2017
Working Paper Series
3 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
72 downloads

Incl. Electronic Paper Equity Market Globalization and Portfolio Rebalancing
Bank of Korea WP 2017-17
Kyungkeun Kim and Dongwon Lee
Economic Research Institute, The Bank of Korea and University of California, Riverside (UCR)
Date Posted: June 19, 2017
Working Paper Series
13 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 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
7 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
28 downloads

Incl. Electronic Paper Evaluating Hedge Fund Performance
Hedge Funds: Structure, Strategies, and Performance, H. Kent Baker and Greg Filbeck (eds.), Oxford University Press, Forthcoming
David M. Smith
State University of New York at Albany - School of Business
Date Posted: June 19, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper The Best Strategies for the Worst Crises
Michael Cook, Edward Hoyle, Matthew Sargaison, Dan Taylor and Otto Van Hemert
Man AHL, Man AHL, Man AHL, Numeric Investors and Man AHL
Date Posted: June 16, 2017
Working Paper Series
156 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
41 downloads

Incl. Electronic Paper Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information
Sühan Altay, Katia Colaneri and Zehra Eksi
Vienna University of Technology - Financial and Actuarial Mathematics Research Group, University of Perugia, Department of Economics and Vienna University of Economics and Business, Institute for Statistics and Mathematics
Date Posted: June 15, 2017
Working Paper Series
37 downloads

Incl. Fee Electronic Paper A State‐Constrained Differential Game Arising in Optimal Portfolio Liquidation
Mathematical Finance, Vol. 27, Issue 3, pp. 779-802, 2017
Alexander Schied and Tao Zhang
University of Mannheim and University of Mannheim
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Portfolio Optimization and Stochastic Volatility Asymptotics
Mathematical Finance, Vol. 27, Issue 3, pp. 704-745, 2017
Jean‐Pierre Fouque, Ronnie Sircar and Thaleia Zariphopoulou
University of California Santa Barbara, Princeton University - Department of Operations Research and Financial Engineering and University of Texas at Austin - Red McCombs School of Business
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 23, 2017
Working Paper Series
164 downloads

Chapter 23: Art and Collectibles for Wealth Management
Financial Behavior: Players, Services, Products, and Markets. H. Kent Baker, Greg Filbeck, and Victor Ricciardi, editors, 422-435, New York, NY: Oxford University Press, 2017.
Peter J. May
Independent
Date Posted: June 14, 2017
Accepted 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
37 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 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
9 downloads

Incl. Electronic Paper Skin or Skim? Inside Investment and Hedge Fund Performance
Arpit Gupta and Kunal Sachdeva
NYU Stern School of Business and Columbia Business School
Date Posted: June 12, 2017
Working Paper Series
107 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 Efficient Market Hypothesis and Calendar Effects: Empirical Evidences from the Indian Stock Markets
Business Analyst, Volume 37, Issue 2, pp 145-160
Harish Kumar and Rachna Jawa
University of Delhi and University of Delhi - Shri Ram College of Commerce
Date Posted: June 10, 2017
Accepted Paper Series
11 downloads

Incl. Electronic Paper Arbitrage Theory: Quantitative Methods
Rossano Giandomenico
Independent
Date Posted: June 10, 2017
Last Revised: June 22, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper What Responsibilities Do Sovereign Funds Have to Other Investors?
Wake Forest Law Review, Forthcoming, Ohio State Public Law Working Paper No. 399
Paul Rose
Ohio State University - Moritz College of Law
Date Posted: June 10, 2017
Working Paper Series
30 downloads

Incl. Electronic Paper The Agency Problems of Institutional Investors
Lucian A. Bebchuk, Alma Cohen and Scott Hirst
Harvard Law School, Tel Aviv University - Eitan Berglas School of Economics and Harvard Law School
Date Posted: June 09, 2017
Working Paper Series
235 downloads

Chapter 21: Behavioral Aspects of Portfolio Investments
Financial Behavior: Players, Services, Products, and Markets. H. Kent Baker, Greg Filbeck, and Victor Ricciardi, editors, 378-396. New York, NY: Oxford University Press, 2017.
Nathan Mauck
University of Missouri - Kansas City
Date Posted: June 09, 2017
Last Revised: June 12, 2017
Accepted Paper Series

Chapter 20: Traditional Asset Allocation Securities: Stocks, Bonds, Real Estate, and Cash
Financial Behavior: Players, Services, Products, and Markets. H. Kent Baker, Greg Filbeck, and Victor Ricciardi, editors, 359-377, New York, NY: Oxford University Press, 2017.
Christopher Milliken, Ehsan Nikbakht and Andrew C. Spieler
Independent, Hofstra University and Hofstra University - Department of Finance
Date Posted: June 09, 2017
Last Revised: June 12, 2017
Accepted Paper Series

Incl. Electronic Paper Limitations to Event Studies and How They Apply
Chao Chen
Independent
Date Posted: June 07, 2017
Working Paper Series
39 downloads

Incl. Fee Electronic Paper Australian Bond Excess Returns: An Asset Allocation Perspective
Australian Economic Papers, Vol. 56, Issue 2, pp. 163-173, 2017
Rui Chen, Meng Wang and Jiri Svec
Central University of Finance and Economics (CUFE), Central University of Finance and Economics (CUFE) and The University of Sydney - Discipline of Finance
Date Posted: June 07, 2017
Accepted Paper Series

Incl. Fee Electronic Paper Diversification into Emerging Markets – An Australian and the US Perspective Using a Time‐Varying Approach
Australian Economic Papers, Vol. 56, Issue 2, pp. 134-162, 2017
Rakesh Gupta, Junhao Yang and Thadavillil Jithendranathan
Griffith University - Griffith Business School, Central Queensland University (CQUniversity) and University of St. Thomas - Department of Financial Management
Date Posted: June 07, 2017
Accepted Paper Series

Incl. Electronic Paper EVA(®) or ROE as Strategic Corporate Objectives? A Microeconomic Approach
Louis de Mesnard
University of Burgundy - Institute of Business Administration Dijon (IAE) - CREGO (EA 7317)
Date Posted: June 07, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Ultra-High-Frequency Pairs Trading in Gold ETFs
Thong Dao, Frank McGroarty and Andrew Urquhart
University of Southampton - Business School, University of Southampton - School of Management and Southampton Business School
Date Posted: June 07, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper High Frequency Trading and Fundamental Trading
Sarah Draus
Erasmus University Rotterdam (EUR)
Date Posted: June 06, 2017
Working Paper Series
85 downloads

Incl. Electronic Paper Target Wealth: The Evolution of Target Date Funds
Peter Forsyth, Kenneth R. Vetzal and Graham Westmacott
Cheriton School of Computer Science, University of Waterloo, University of Waterloo and PWL Capital
Date Posted: June 06, 2017
Working Paper Series
246 downloads

Incl. Electronic Paper The Next 'Free Lunches'
Dimitry Mindlin
CDI Advisors
Date Posted: June 06, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Do Indian Professional Investors Beat the Market?
Narayan Rao Sapar and Suhas R H
Indian Institute of Technology (IIT), Bombay - Shailesh J. Mehta School of Management (SJM) and Indian Institute of Technology (IIT), Bombay
Date Posted: June 06, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce
David A. Lesmond, Xuhui (Nick) Pan and Yihua Zhao
Tulane University - A.B. Freeman School of Business, Tulane University and Tulane University - A.B. Freeman School of Business
Date Posted: June 06, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Can Reinvestment Risk Explain the Dividend and Bond Term Structures?
Charles A. Dice Center Working Paper No. 2017-14, Fisher College of Business Working Paper No. 2017-03-014
Andrei S. Gonçalves
Ohio State University (OSU), Fisher College of Business, Department of Finance
Date Posted: June 06, 2017
Working Paper Series
81 downloads

Incl. Electronic Paper Examining the Skewness and Kurtosis of Value vs. Glamour Portfolios
Eben Otuteye and Mohammad Siddiquee
Faculty of Business Administration, University of New Brunswick and University of New Brunswick - Saint John - Faculty of Business
Date Posted: June 05, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Re-Evaluating the Value of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm
Eben Otuteye and Mohammad Siddiquee
Faculty of Business Administration, University of New Brunswick and University of New Brunswick - Saint John - Faculty of Business
Date Posted: June 05, 2017
Working Paper Series
50 downloads

Incl. Electronic Paper Information Advantage and Institutional Investors’ Performance in Foreign Markets
Mark Fedenia, Hilla Skiba and Tatyana Sokolyk
University of Wisconsin - Madison - Department of Finance, Investment and Banking, Colorado State University and Brock University - Department of Finance, Operations & Information Systems
Date Posted: June 05, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Information Advantage and Institutional Investors’ Performance in Foreign Markets
Mark Fedenia, Hilla Skiba and Tatyana Sokolyk
University of Wisconsin - Madison - Department of Finance, Investment and Banking, Colorado State University and Brock University - Department of Finance, Operations & Information Systems
Date Posted: June 05, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper A Review of Empirical Islamic Finance Literature
M. Kabir Hassan and Aliyu Sirajo
University of New Orleans - College of Business Administration - Department of Economics and Finance and Universiti Utara Malaysia - Islamic Business School
Date Posted: June 05, 2017
Working Paper Series
59 downloads

Incl. Electronic Paper Portfolio Constraints Under Preference Heterogeneity
Tyler Abbot
Sciences Po - Department of Economics
Date Posted: June 05, 2017
Working Paper Series
8 downloads


 

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