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Econometric Modeling: International Financial Markets - Developed Markets eJournal

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Viewing: 1 - 50 of 1,173 papers

1.

Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices

Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 4,873
2.

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Betriebswirtschaftliche Forschung & Praxis, 65 (5), pp. 469-492, CEFS Working Paper 01-2011
Number of pages: 32 Posted: 17 Nov 2011 Last Revised: 13 Nov 2013
Accepted Paper Series
Robeco Asset Management - Quantitative Strategies, Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads 4,359
3.

The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns

Number of pages: 80 Posted: 09 May 2013 Last Revised: 16 Oct 2016
Working Paper Series
Pennsylvania State University, University of North Carolina Kenan-Flagler Business School and Yale School of Management
Downloads 2,237
4.

Regression Discontinuity and the Price Effects of Stock Market Indexing

Review of Financial Studies, Vol. 28, No. 1, 2015
Number of pages: 53 Posted: 03 Jul 2013 Last Revised: 19 Jul 2015
Accepted Paper Series
National Taiwan University - College of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and University of Texas at Austin - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,820
5.

Another German Fama/French Factor Data Set

Number of pages: 10 Posted: 30 Oct 2015
Working Paper Series
Humboldt University of Berlin - School of Business and Economics, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin - School of Business and Economics
Downloads 1,491
6.

The Irrelevance of Brexit for the European Financial Market

European Business Organization Law Review, Forthcoming, Oxford Legal Studies Research Paper No 10/2017
Number of pages: 37 Posted: 23 Jan 2017 Last Revised: 02 Jan 2018
Accepted Paper Series
University of Hamburg - Institute of Law & Economics
Downloads 1,388
7.

Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

Number of pages: 31 Posted: 01 Jun 2013 Last Revised: 03 Jun 2013
Working Paper Series
Harvest Alpha Capital, John Moores University - Business School, University of Liverpool - Management School (ULMS) and University of Liverpool - Accounting and Finance Division
Downloads 1,347
8.

Tail Hedging Strategies

Number of pages: 28 Posted: 08 May 2013
Working Paper Series
The Cambridge Strategy
Downloads 1,287
9.

On the Persistence of Cointegration in Pairs Trading

Number of pages: 25 Posted: 05 Sep 2014
Working Paper Series
Independent
Downloads 1,271
10.

Central Clearing and Risk Transformation

Norges Bank Working Paper 3/2017
Number of pages: 21 Posted: 20 Apr 2017
Working Paper Series
University of Oxford

Multiple version iconThere are 2 versions of this paper

Downloads 1,229
11.

The Factor Structure in Equity Options

Rotman School of Management Working Paper No. 2224270
Number of pages: 88 Posted: 25 Feb 2013 Last Revised: 14 Sep 2016
Working Paper Series
University of Toronto - Rotman School of Management, HEC Montreal and University of Houston - C.T. Bauer College of Business
Downloads 1,173
12.

Returns on German Stocks 1954 to 2013

Credit and Capital Markets - Kredit und Kapital, 48(3), pp. 427-476.
Number of pages: 40 Posted: 18 Sep 2014 Last Revised: 01 Sep 2015
Accepted Paper Series
Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin - School of Business and Economics
Downloads 988
13.

Mean Reversion Based on Autocorrelation: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

ETF Risk, 2013, October, 36-41
Number of pages: 24 Posted: 01 Jun 2013 Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads 961
14.

High Frequency Market Making to Large Institutional Trades

Forthcoming, Review of Financial Studies
Number of pages: 56 Posted: 28 Feb 2015 Last Revised: 15 Jul 2018
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 944
15.

Do Ichimoku Cloud Charts Work and Do They Work Better in Japan?

International Federation of Technical Analysts Journal, 2016 Edition, Forthcoming
Number of pages: 7 Posted: 09 Jul 2015 Last Revised: 06 Nov 2015
Accepted Paper Series
University College London - Department of Economics, University College London - Department of Economics and University College London - Department of Economics
Downloads 923
16.

The Non-Linear Market Impact of Large Trades: Evidence from Buy-Side Order Flow

Number of pages: 49 Posted: 08 Jan 2013 Last Revised: 14 Sep 2013
Working Paper Series
AllianceBernstein LP and AllianceBernstein LP
Downloads 916
17.

The European Sovereign Debt Crisis and Its Impact on Bond and Stock Markets: Market Considers It a Long Term Crisis

Number of pages: 35 Posted: 27 Sep 2013
Working Paper Series
Philipps-University Marburg and University of Passau
Downloads 891
18.

Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013

Cowles Foundation Discussion Paper No. 1950
Number of pages: 76 Posted: 11 Jun 2014 Last Revised: 18 Jun 2014
Working Paper Series
Yale University - Department of Economics and Yale University - Cowles Foundation

Multiple version iconThere are 2 versions of this paper

Downloads 879
19.

Financial Transaction Taxes, Market Composition, and Liquidity

Journal of Finance, Forthcoming
Number of pages: 94 Posted: 12 Feb 2013 Last Revised: 01 Nov 2016
Accepted Paper Series
HEC Paris - Finance Department and European Central Bank (ECB) - Directorate General Research

Multiple version iconThere are 2 versions of this paper

Downloads 855
20.

The U.S. Listing Gap

Journal of Financial Economics (JFE), Forthcoming, Fisher College of Business Working Paper No. 2015-03-07, Charles A. Dice Center Working Paper No. 2015-07
Number of pages: 55 Posted: 13 May 2015 Last Revised: 14 Jun 2016
Accepted Paper Series
University of Toronto - Rotman School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 820
21.

Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

Number of pages: 19 Posted: 02 Jun 2013
Working Paper Series
Harvest Alpha Capital, John Moores University - Business School and University of Liverpool - Accounting and Finance Division
Downloads 735
22.

Remittances in India: Facts and Issues

Indian Institute of Management Bangalore Working Paper No. 331
Number of pages: 38 Posted: 07 Mar 2011
Working Paper Series
Indian Institute of Management (IIM), Bangalore - Department of Economics and Social Sciences
Downloads 727
23.

LIBOR Manipulation in Developed Markets

Sermaye Piyasasi Dergisi (Journal of Capital Markets), Sermaye Piyasası Meslek Personeli Derneği, Ankara, 2012,
Number of pages: 24 Posted: 16 Dec 2012 Last Revised: 20 Mar 2018
Accepted Paper Series
Piri Reis University and Government of the Republic of Turkey - Capital Markets Board of Turkey
Downloads 708
24.

Portfolio Theory in Terms of Partial Covariance

Number of pages: 19 Posted: 14 May 2014 Last Revised: 14 Jun 2016
Working Paper Series
Kensho Technologies and Kensho Technologies
Downloads 701
25.

Parametric Stress-Testing in Non-Normal Markets via Copula-Marginal Entropy Pooling

Risk Magazine, June 2015
Number of pages: 23 Posted: 23 Jun 2014 Last Revised: 05 Aug 2015
Accepted Paper Series
University of Neuchatel - Institute of Financial Analysis and ARPM - Advanced Risk and Portfolio Management
Downloads 670
26.

Four Centuries of Return Predictability

Journal of Financial Economics (JFE), Forthcoming, Stanford University Graduate School of Business Research Paper No. 17-12
Number of pages: 65 Posted: 04 Feb 2017
Accepted Paper Series
University of Notre Dame and Stanford GSB

Multiple version iconThere are 2 versions of this paper

Downloads 663
27.

The Model-Free Implied Volatility and Its Information Content

Review of Financial Studies 18(4), 1305-1342, 2005
Number of pages: 38 Posted: 18 Feb 2013
Accepted Paper Series
Washington State University and York University - Schulich School of Business
Downloads 651
28.

Circle of Competence and the Gradual Diffusion of Information in Prices

Number of pages: 50 Posted: 19 Nov 2013 Last Revised: 03 Feb 2016
Working Paper Series
Downloads 605
29.

Price Discovery and the Cross-section of High-Frequency Trading

Journal of Financial Markets, Forthcoming
Number of pages: 44 Posted: 05 Dec 2012 Last Revised: 12 Mar 2016
Accepted Paper Series
Bank of England and Goethe University Frankfurt - Department of Finance
Downloads 589
30.

The Time Horizon of Price Responses to Quantitative Easing

Number of pages: 47 Posted: 21 Jun 2013 Last Revised: 23 Feb 2018
Working Paper Series
Columbia University - Columbia Business School
Downloads 553
31.

Do Tweet Sentiments Still Predict the Stock Market?

Number of pages: 16 Posted: 22 Aug 2016
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Department of Applied Mathematics and Statistics
Downloads 551
32.

Agency and Principal Dealing under MiFID

Number of pages: 21 Posted: 17 Jan 2017
Working Paper Series
Radboud University Nijmegen
Downloads 548
33.

An Analysis of Short-Term Performance of UK Cross-Border Mergers and Acquisitions by Chinese Listed Companies

Number of pages: 31 Posted: 03 Nov 2016
Working Paper Series
City University London - Sir John Cass Business School and City, University of London - Cass Business School - Faculty of Finance
Downloads 548
34.

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

Number of pages: 21 Posted: 19 Nov 2013 Last Revised: 25 Apr 2015
Working Paper Series
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Société Générale - Paris, France
Downloads 490
35.

Dark Trading on Public Exchanges

Number of pages: 45 Posted: 03 Dec 2012 Last Revised: 23 Feb 2013
Working Paper Series
University of Sydney Business School, University of Toronto and University of Toronto - Finance Area
Downloads 477
36.

The Monte Dei Paschi Affaire. Distressed Banks and the European Regulation on Short Selling

Capital Markets Law Journal, Volume 12, Issue 4, 1 October 2017, Pages 510–529 ,
Number of pages: 25 Posted: 26 Apr 2018
Accepted Paper Series
New York University (NYU), School of Law, Hauser Global Law School ProgramUniversity of Groningen and New York University (NYU), School of Law, LL.M.
Downloads 477
37.

Supercointegrated

Number of pages: 51 Posted: 21 Jul 2017 Last Revised: 27 Nov 2017
Working Paper Series
Comillas Pontifical University, University Carlos III of Madrid - Department of Business Administration, Jinan University and University of the Balearic Islands
Downloads 473
38.

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Cowles Foundation Discussion Paper No. 1914, FIRN Research Paper
Number of pages: 46 Posted: 18 Sep 2013
Working Paper Series
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University

Multiple version iconThere are 2 versions of this paper

Downloads 472
39.

Size, Value, and Momentum in Developed Country Equity Returns: Macroeconomic and Liquidity Exposures

Number of pages: 60 Posted: 06 Dec 2013 Last Revised: 07 Dec 2013
Working Paper Series
Fordham University and Fordham University - Gabelli School of Business
Downloads 466
40.

Is There Momentum or Reversal in Weekly Currency Returns?

26th Australasian Finance and Banking Conference 2013
Number of pages: 41 Posted: 30 Apr 2013 Last Revised: 10 Jun 2015
Working Paper Series
University of Otago - Department of Accountancy and Finance, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 463
41.

Is Japan Different? Evidence on Momentum and Market Dynamics

Number of pages: 25 Posted: 26 Oct 2013 Last Revised: 07 Dec 2013
Working Paper Series
Robeco Asset Management - Quantitative Strategies

Multiple version iconThere are 2 versions of this paper

Downloads 457
42.

Holding Period Return-Risk Modeling: Ambiguity in Estimation

ERIM Report Series Reference No. ERS-2003-063-F&A
Number of pages: 22 Posted: 15 Oct 2003
Working Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 453
43.

The Impact of the French Tobin Tax

CEIS Working Paper No. 266
Number of pages: 33 Posted: 02 Mar 2013 Last Revised: 24 Jan 2014
Working Paper Series
University of Rome, Tor Vergata - Faculty of Economics, University of Rome, Tor Vergata and Primary Asset Management Company
Downloads 450
44.

Explicit Implied Volatilities for Multifactor Local-Stochastic Volatility Models

Number of pages: 36 Posted: 25 Jun 2013 Last Revised: 28 Nov 2014
Working Paper Series
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics

Multiple version iconThere are 2 versions of this paper

Downloads 440
45.

The Impacts of Political Uncertainty on Asset Prices: Evidence from the Bo Scandal in China

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 24 Jan 2017 Last Revised: 06 Feb 2017
Accepted Paper Series
Guanghua School of Management, Peking University, Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Hong Kong Polytechnic University
Downloads 432
46.

The Impact of Foreign Governing Law on European Government Bond Yields

Number of pages: 54 Posted: 10 Mar 2014
Working Paper Series
City University London - Sir John Cass Business School and Sir John Cass Business School
Downloads 430
47.

Why Do Firms Cross-List Their Shares on Foreign Exchanges? A Review of Cross-Listing Theories and Empirical Evidence

Review of Behavioral Finance, Forthcoming
Number of pages: 31 Posted: 29 May 2013 Last Revised: 26 Jul 2013
Accepted Paper Series
Auckland University of Technology
Downloads 420
48.

How Many Firm Characteristics Drive US Stock Returns?

Number of pages: 57 Posted: 13 Jun 2018
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Emory University, Goizueta Business School, Department of Finance, Saint Louis University - Richard A. Chaifetz School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 409
49.

Uncertainty, Market Structure, and Liquidity

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 58 Posted: 06 Dec 2013 Last Revised: 16 May 2014
Accepted Paper Series
State University of New York at Buffalo - School of Management and Kansas State University - Department of Finance
Downloads 408
50.

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 44 Posted: 15 Mar 2014 Last Revised: 24 Aug 2016
Working Paper Series
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management

Multiple version iconThere are 2 versions of this paper

Downloads 407