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Econometric Modeling: International Financial Markets - Developed Markets eJournal

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Viewing: 1 - 50 of 1,013 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, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 4,563
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 4,058
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 1,922
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 1,655
5.

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, Management School (ULMS), Students
Downloads 1,217
6.

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 1,211
7.

Tail Hedging Strategies

Number of pages: 28 Posted: 08 May 2013
Working Paper Series
The Cambridge Strategy
Downloads 1,198
8.

On the Persistence of Cointegration in Pairs Trading

Number of pages: 25 Posted: 05 Sep 2014
Working Paper Series
Independent
Downloads 1,181
9.

The Irrelevance of Brexit for the European Financial Market

Oxford Legal Studies Research Paper No 10/2017
Number of pages: 37 Posted: 23 Jan 2017 Last Revised: 22 Apr 2017
Working Paper Series
University of Hamburg - Institute of Law & Economics
Downloads 1,122
10.

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 1,024
11.

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, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 906
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 881
13.

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 876
14.

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 833
15.

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 830
16.

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 812
17.

High Frequency Market Making to Large Institutional Trades

Number of pages: 55 Posted: 28 Feb 2015 Last Revised: 14 Dec 2017
Working Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 783
18.

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 747
19.

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 - Johnson Graduate School of Management and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 722
20.

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 700
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, Management School (ULMS), Students
Downloads 698
22.

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 649
23.

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 632
24.

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 585
25.

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 565
26.

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 552
27.

The Time Horizon of Price Responses to Quantitative Easing

Number of pages: 46 Posted: 21 Jun 2013 Last Revised: 20 May 2017
Working Paper Series
Columbia University - Columbia Business School
Downloads 522
28.

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 517
29.

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 484
30.

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 470
31.

Dark Trading on Public Exchanges

Number of pages: 45 Posted: 03 Dec 2012 Last Revised: 23 Feb 2013
Working Paper Series
University of Sydney, University of Toronto and University of Toronto - Finance Area
Downloads 460
32.

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
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 443
34.

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 443
35.

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 442
36.

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 437
37.

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 434
38.

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 433
39.

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 423
40.

Agency and Principal Dealing under MiFID

Number of pages: 21 Posted: 17 Jan 2017
Working Paper Series
Radboud University Nijmegen
Downloads 412
41.

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 407
42.

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, Universidad Carlos III de Madrid - Department of Business Administration and University of the Balearic Islands
Downloads 398
43.

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 392
44.

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 390
45.

Modeling and Estimating Volatility of Options on Standard & Poor's 500 Index

PIER Working Paper No. 13-015
Number of pages: 21 Posted: 01 Apr 2013
Working Paper Series
Warsaw University of Life Sciences, Department of Econometrics and Statistics, Warsaw University of Life Sciences, Department of Econometrics and Statistics and City University of New York, CUNY City College of New York - Department of Economics
Downloads 385
46.

Can Financial Innovation Succeed by Catering to Behavioral Preferences? Evidence from a Callable Options Market

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 76 Posted: 23 Jan 2014 Last Revised: 10 Mar 2017
Accepted Paper Series
Nanjing University, University of California, Los Angeles (UCLA) - Finance Area and Nanjing University - School of Management and Engineering
Downloads 382
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 379
48.

Vine-Copula GARCH Model with Dynamic Conditional Dependence

Number of pages: 28 Posted: 04 Aug 2013
Working Paper Series
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 367
49.

The Systemic Risk of Energy Markets

Number of pages: 40 Posted: 07 Apr 2013
Working Paper Series
HEC - University of Lausanne
Downloads 363
50.

Dispersion and Skewness of Bid Prices

Number of pages: 56 Posted: 08 Jul 2014 Last Revised: 15 Aug 2017
Working Paper Series
New York University - Department of Economics and VU University Amsterdam
Downloads 356