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Econometric Modeling: International Financial Markets - Developed Markets eJournal

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Viewing: 1 - 50 of 1,422 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 6,500
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
Technische Universität München (TUM), Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads 5,139
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
Texas A&M University - Department of Accounting, University of North Carolina Kenan-Flagler Business School and Yale School of Management
Downloads 4,132
4.

The Impact of the COVID-19 on the Financial Markets: Evidence from China and USA

Electronic Research Journal of Social Sciences and Humanities, Vol 2: Issue II, 2020
Number of pages: 11 Posted: 07 Apr 2020
Working Paper Series
Guangxi University

Multiple version iconThere are 2 versions of this paper

Downloads 2,901
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 2,472
6.

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 - Department of Finance, 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 2,441
7.

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 2,396
8.

Enhanced Momentum Strategies

Number of pages: 73 Posted: 19 Aug 2019 Last Revised: 07 Aug 2020
Working Paper Series
Technische Universität München (TUM) and Technische Universität München (TUM) - School of Management
Downloads 2,390
9.

Equity Styles and the Spanish Flu

Number of pages: 5 Posted: 27 Apr 2020
Working Paper Series
Erasmus University Rotterdam (EUR) and Robeco Quantitative Investments
Downloads 2,261
10.

From Forecast to Decisions in Graphical Models: A Natural Gradient Optimization Approach

Université Paris-Dauphine Research Paper No. 3813403
Number of pages: 25 Posted: 13 Apr 2021
Working Paper Series
Université Paris Dauphine, A.I. Square Connect, A.I. Square Connect, Université Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 2,224
11.

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
Downloads 1,981
12.

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 1,926
13.

COVID-19 Pandemic, Oil Prices, Stock Market, Geopolitical Risk and Policy Uncertainty Nexus in the US Economy: Fresh Evidence from the Wavelet-Based Approach

Number of pages: 24 Posted: 15 Apr 2020 Last Revised: 30 Apr 2020
Working Paper Series
University Utara Malaysia, Prince Sultan University - College of Business Administration and University of Southampton - Southampton Business School
Downloads 1,863
14.

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 1,844
15.

Tail Hedging Strategies

Number of pages: 26 Posted: 08 May 2013 Last Revised: 16 Aug 2018
Working Paper Series
The Cambridge Strategy
Downloads 1,826
16.

Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 81 Posted: 03 Jun 2020 Last Revised: 19 Jan 2021
Accepted Paper Series
University of Arizona, Eller College of Management, Department of Finance, Students, University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads 1,765
17.

On the Persistence of Cointegration in Pairs Trading

Number of pages: 25 Posted: 05 Sep 2014
Working Paper Series
Independent
Downloads 1,712
18.

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 1,461
19.

Market Efficiency and Limits to Arbitrage: Evidence from the Volkswagen Short Squeeze

Journal of Financial Economics (Forthcoming)
Number of pages: 100 Posted: 01 Jun 2017 Last Revised: 09 Feb 2021
Working Paper Series
Imperial College London, Independent, Swiss Finance Institute and Vanderbilt University - Finance
Downloads 1,425
20.

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 1,420
21.

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 1,409
22.

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 1,368
23.

High Frequency Market Making to Large Institutional Trades

Review of Financial Studies, (2019) vol. 32, no. 3, 1034-1067
Number of pages: 52 Posted: 28 Feb 2015 Last Revised: 08 Feb 2019
Accepted Paper Series
Northwestern University and University of Illinois at Chicago
Downloads 1,295
24.

The Promises and Pitfalls of Machine Learning for Predicting Stock Returns

Number of pages: 41 Posted: 27 Mar 2020 Last Revised: 31 Mar 2021
Working Paper Series
Invesco, Invesco, Invesco, Invesco and Quoniam Asset Management
Downloads 1,182
25.

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 1,169
26.

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 1,036
27.

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 993
28.

The Best of Both Worlds: Accessing Emerging Economies via Developed Markets

Journal of Finance, Forthcoming, Rotman School of Management Working Paper No. 2633557
Number of pages: 87 Posted: 22 Jul 2015 Last Revised: 23 Aug 2018
Accepted Paper Series
Case Western Reserve University - Weatherhead School of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 937
29.

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 931
30.

Stagpression: The Economic and Financial Impact of COVID-19 Pandemic

Contemporary Economics Vol. 15, Issue 1, pp. 19-33
Number of pages: 15 Posted: 05 May 2020 Last Revised: 20 Mar 2021
Accepted Paper Series
Akademia Ekonomiczno-Humanistyczna w Warszawie, West Virginia University - Department of Mathematics and Asian Development Bank
Downloads 923
31.

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 920
32.

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 907
33.

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 881
34.

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 Finance and Risk Engineering, NYU Tandon School of Engineering
Downloads 841
35.

Characteristics-Based Factors

PBCSF-NIFR Research Paper
Number of pages: 72 Posted: 06 Feb 2018 Last Revised: 29 Oct 2020
Working Paper Series
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance, Auburn University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 832
36.

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
HEC Montreal - Department of Decision Sciences and ARPM - Advanced Risk and Portfolio Management
Downloads 831
37.

Four Centuries of Return Predictability

Journal of Financial Economics (127), 2018, Stanford University Graduate School of Business Research Paper No. 17-12
Number of pages: 65 Posted: 04 Feb 2017 Last Revised: 06 Sep 2018
Accepted Paper Series
University of Notre Dame and Erasmus University Rotterdam

Multiple version iconThere are 2 versions of this paper

Downloads 792
38.

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 792
39.

Equilibrium Bid-Price Dispersion

Journal of Political Economy (forthcoming)
Number of pages: 43 Posted: 08 Jul 2014 Last Revised: 20 Jul 2021
Accepted Paper Series
New York University - Department of Economics and Vrije Universiteit Amsterdam
Downloads 770
40.

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 756
41.

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 707
42.

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 691
43.

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 661
44.

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 650
45.

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 649
46.

Cumulative Prospect Theory, Option Returns, and the Variance Premium

Number of pages: 82 Posted: 21 Mar 2014 Last Revised: 17 Jun 2018
Working Paper Series
Tilburg University - Department of Finance, Tilburg University - Tilburg University School of Economics and Management, Frankfurt School of Finance & Management, Board of Governors of the Federal Reserve System and University of Mannheim - Business School

Multiple version iconThere are 3 versions of this paper

Downloads 643
47.

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 643
48.

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 630
49.

International Diversification – Can It Reduce Systematic Risk?

Quest - Journal of Management and Research, 3(2), pp. 81-92, 2013, August 2013
Number of pages: 10 Posted: 15 Sep 2013 Last Revised: 23 Nov 2013
Accepted Paper Series
IBS Business School and IBS Business School
Downloads 627
50.

Stock Returns, Leverage, and the COVID-19 Pandemic

Number of pages: 19 Posted: 15 Jun 2020 Last Revised: 18 Jun 2020
Working Paper Series
University of Notre Dame - Department of Economics
Downloads 627