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Warwick Business School Finance Group Research Paper Series

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Viewing: 1 - 50 of 244 papers

1.

Optimal Insurance Under Adverse Selection and Ambiguity Aversion

Number of pages: 25 Posted: 31 Dec 2010 Last Revised: 16 Mar 2014
Working Paper Series
University of Warwick - Finance Group and University of Warwick, Warwick Business School

Multiple version iconThere are 2 versions of this paper

Downloads 5,008
2.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 71 Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads 4,901
3.

International Evidence on Financial Derivatives Usage

Financial Management, Vol. 38, No. 1, pp. 185-206, Spring 2009, AFA 2004 San Diego Meetings, EFA 2003 Glasgow
Number of pages: 52 Posted: 23 Dec 2003 Last Revised: 11 Mar 2014
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and BlueCrest Capital
Downloads 4,640
4.

Corporate Risk Management as a Lever for Shareholder Value Creation

Number of pages: 84 Posted: 10 Aug 2001
Working Paper Series
Warwick Business School - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 4,359
5.

Socially Responsible Investments: Methodology, Risk Exposure and Performance

TILEC Discussion Paper No. 2007-013, ECGI - Finance Working Paper No. 175/2007
Number of pages: 51 Posted: 10 May 2007 Last Revised: 02 Sep 2014
Working Paper Series
Tilburg University - Department of Finance, TIAS School for Business and Society and University of Warwick - Finance Group
Downloads 3,863
6.

How to Time the Commodity Market

Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010
Number of pages: 16 Posted: 22 Jun 2006 Last Revised: 10 Sep 2016
Working Paper Series
SKEMA Business School - Lille Campus, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 3,243
7.

International Portfolio Investment: Theory, Evidence, and Institutional Framework

Number of pages: 124 Posted: 16 Jul 2001
Working Paper Series
Warwick Business School - Department of Finance and Stephen M. Ross School of Business at the University of Michigan

Multiple version iconThere are 2 versions of this paper

Downloads 2,602
8.

The Externalities of High Frequency Trading

Number of pages: 56 Posted: 26 May 2012 Last Revised: 18 Mar 2014
Working Paper Series
University of Illinois at Urbana-Champaign, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 2,547
9.

Insider Trading, News Releases and Ownership Concentration

Journal of Finance, 2006, Vol. LXI, No. 6, ECGI - Finance Working Paper No. 93/2005, CentER Discussion Paper Series No. 2005-97
Number of pages: 52 Posted: 05 Sep 2005
Accepted Paper Series
Warwick Business School - Finance Group, Cardiff University - Cardiff Business School and Tilburg University - Department of Finance
Downloads 2,399
10.

Welfare-Improving Ambiguity in Insurance Markets with Asymmetric Information

Number of pages: 13 Posted: 31 Jul 2012 Last Revised: 16 Mar 2014
Working Paper Series
University of Warwick - Finance Group and University of Warwick, Warwick Business School
Downloads 2,353
11.

Sentiment and Momentum

Number of pages: 54 Posted: 27 Sep 2009 Last Revised: 09 Mar 2014
Working Paper Series
Old Dominion University - Strome College of Business, University of Warwick - Warwick Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 2,340
12.

The Effects of Derivatives on Firm Risk and Value

Number of pages: 52 Posted: 14 Feb 2007 Last Revised: 11 Mar 2014
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,969
13.

The Beneficial Coexistence of Banks and Markets: The Role of Capital Requirements and Underwriting

Number of pages: 24 Posted: 11 Nov 2012
Working Paper Series
University of Warwick - Finance Group and University of Warwick - Finance Group
Downloads 1,924
14.

What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows

Journal of Banking and Finance, Vol. 32, No. 8, pp. 1508-1521, August 2008, EFA 2006 Zurich Meetings Paper
Number of pages: 32 Posted: 30 May 2006 Last Revised: 11 Mar 2014
Working Paper Series
Warwick Business School - Department of Finance
Downloads 1,856
15.

The Value of Financial Flexibility

Journal of Finance, Forthcoming, AFA 2006 Boston Meetings Paper
Number of pages: 57 Posted: 06 Mar 2005
Accepted Paper Series
University of Warwick - Finance Group and University of Maryland - Robert H. Smith School of Business
Downloads 1,839
16.

The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures

Journal of Empirical Finance, Vol. 13, Nos.4-5, pp. 519-549, October 2006, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 51 Posted: 16 Mar 2002 Last Revised: 11 Mar 2014
Accepted Paper Series
Warwick Business School - Department of Finance and Cornell University - Johnson Graduate School of Management
Downloads 1,823
17.

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 04 Oct 2014
Accepted Paper Series
University of Warwick, Warwick Business School, Cass Business School, City, University of London and University of Lugano - Institute of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,782
18.

The Price of Ethics: Evidence from Socially Responsible Mutual Funds

ECGI - Finance Working Paper No. 168/2007, TILEC Discussion Paper No. 2007-012, CentER Discussion Paper Series No. 2007-29
Number of pages: 51 Posted: 10 May 2007 Last Revised: 02 Sep 2014
Working Paper Series
Tilburg University - Department of Finance, TIAS School for Business and Society and University of Warwick - Finance Group
Downloads 1,740
19.

Corporate Hedging and Shareholder Value

Journal of Financial Research, Vol. 33, No. 4, pp. 317-371, Winter 2010
Number of pages: 60 Posted: 06 Mar 2009 Last Revised: 10 Mar 2014
Accepted Paper Series
Manchester Business School and Warwick Business School - Department of Finance
Downloads 1,618
20.

Macroeconomic Risks and Characteristic-Based Factor Models

Journal of Banking and Finance, Vol. 34, No. 6, pp. 1383-1399, June 2010, EFA 2005 Moscow Meetings
Number of pages: 37 Posted: 11 Jan 2005 Last Revised: 11 Mar 2014
Accepted Paper Series
Manchester Business School, Warwick Business School - Department of Finance and London School of Economics & Political Science (LSE)

Multiple version iconThere are 2 versions of this paper

Downloads 1,615
21.

How Important is Financial Risk?

AFA 2009 San Francisco Meetings Paper
Number of pages: 79 Posted: 17 Mar 2008 Last Revised: 10 Mar 2014
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and Carnegie Mellon University - David A. Tepper School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,562
22.

Bank Capital Regulation and Incentives for Risk-Taking

Cass Business School Research Paper
Number of pages: 52 Posted: 19 Mar 2002
Working Paper Series
Loughborough University - School of Business and Economics and University of Warwick - Finance Group
Downloads 1,560
23.

CAPM and Time-Varying Beta: The Cross-Section of Expected Returns

Number of pages: 30 Posted: 20 Mar 2007
Working Paper Series
SKEMA Business School - Lille Campus and University of Warwick - Finance Group
Downloads 1,431
24.

Is Ethical Money Financially Smart?

ECGI - Finance Working Paper No. 117/2006, CentER Discussion Paper No. 2006-09
Number of pages: 52 Posted: 28 Feb 2006 Last Revised: 02 Sep 2014
Working Paper Series
Tilburg University - Department of Finance, TIAS School for Business and Society and University of Warwick - Finance Group
Downloads 1,213
25.

The Effects of Derivatives on Firm Risk and Value

Journal of Financial and Quantitative Analysis, Vol. 46, No.4, August 2011, pp. 967-999.
Number of pages: 52 Posted: 11 Feb 2010 Last Revised: 10 Mar 2014
Accepted Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,213
26.

Some Important Issues Involving Real Options

Multinational Finance Journal, Forthcoming
Number of pages: 45 Posted: 02 Feb 2005
Accepted Paper Series
University of Calgary - Haskayne School of Business and University of Warwick - Finance Group
Downloads 1,111
27.

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 31-2011, Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 47 Posted: 23 Jul 2011 Last Revised: 18 Mar 2014
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign

Multiple version iconThere are 2 versions of this paper

Downloads 1,111
28.

Corporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies

Management Science, Forthcoming, Robert H. Smith School Research Paper No. RHS 06-106
Number of pages: 35 Posted: 20 Sep 2009 Last Revised: 11 Mar 2014
Accepted Paper Series
University of Warwick - Finance Group and University of Maryland - Robert H. Smith School of Business
Downloads 1,014
29.

Product Development and Market Expansion: A Real Options Model

Financial Management, Forthcoming
Number of pages: 51 Posted: 26 Mar 2003
Accepted Paper Series
University of Warwick - Finance Group and SDA Bocconi
Downloads 1,008
30.

Resolving the Exposure Puzzle: The Many Facets of Exchange Rate Exposure

EFA 2007 Ljubljana Meetings Paper, FDIC Center For Financial Research Working Paper Number 2007-07
Number of pages: 63 Posted: 16 Mar 2006 Last Revised: 11 Mar 2014
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 960
31.

The Exchange Rate Exposure Puzzle

Managerial Finance, Vol. 33, No. 9, pp. 642-666, September 2007
Number of pages: 39 Posted: 26 Mar 2006 Last Revised: 11 Mar 2014
Accepted Paper Series
Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS) and Warwick Business School - Department of Finance
Downloads 959
32.

Toxic Arbitrage

HEC Paris Research Paper No. FIN-2014-1040
Number of pages: 53 Posted: 15 Mar 2014 Last Revised: 28 Sep 2016
Working Paper Series
HEC Paris - Finance Department, University of Warwick, Warwick Business School and University of New South Wales (UNSW)

Multiple version iconThere are 2 versions of this paper

Downloads 907
33.

Why are U.S. Stocks More Volatile?

Charles A. Dice Center Working Paper No. 2011-6, Fisher College of Business Working Paper No. 2011-03-006
Number of pages: 49 Posted: 27 Feb 2011
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and Ohio State University (OSU) - Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 863
34.

Foreign Currency Exposure and Hedging: Evidence from Foreign Acquisitions

Number of pages: 28 Posted: 07 Apr 2008 Last Revised: 10 Mar 2014
Working Paper Series
Warwick Business School - Department of Finance, University of Texas at San Antonio - Department of Finance and UC Riverside

Multiple version iconThere are 5 versions of this paper

Downloads 857
35.

The Use of Options in Corporate Risk Management

Managerial Finance, Vol. 32, No. 2, pp. 160-181, 2006
Number of pages: 30 Posted: 05 Jun 2007 Last Revised: 10 Mar 2014
Accepted Paper Series
Warwick Business School - Department of Finance
Downloads 830
36.

Estimating Systemic Risk in the International Financial System

AFA 2005 Philadelphia Meetings Paper; EFA 2004 Maastricht Meetings Paper No. 4449
Number of pages: 61 Posted: 30 Jun 2004
Working Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Georgia

Multiple version iconThere are 3 versions of this paper

Downloads 822
37.

Corporate Cash Flow and Stock Price Exposures to Foreign Exchange Rate Risk

Journal of Corporate Finance, Vol. 13, No. 5, pp. 981-994, December 2007
Number of pages: 26 Posted: 10 May 2007 Last Revised: 10 Mar 2014
Working Paper Series
Warwick Business School - Department of Finance
Downloads 816
38.

Corporate Hedging and Speculation with Derivatives

Number of pages: 58 Posted: 16 Mar 2006 Last Revised: 20 Sep 2017
Working Paper Series
Warwick Business School - Department of Finance
Downloads 802
39.

The Case for Intervening in Bankers' Pay

Journal of Finance, Forthcoming
Number of pages: 62 Posted: 16 Jul 2010 Last Revised: 18 Mar 2014
Accepted Paper Series
University of Warwick - Warwick Business School
Downloads 759
40.

Bank Capital and Risk Taking

Bank of England Working Paper No. 90, Cass Business School Research Paper
Number of pages: 44 Posted: 22 Feb 1999
Working Paper Series
Loughborough University - School of Business and Economics and University of Warwick - Finance Group
Downloads 750
41.

Corporate Governance and Firm-Specific Stock Price Crashes

Forthcoming to European Financial Management, 2016
Number of pages: 62 Posted: 28 Mar 2012 Last Revised: 02 Apr 2016
Accepted Paper Series
Cyprus University of Technology, University of Warwick - Warwick Business School, University of Exeter Business School and Cyprus University of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 740
42.

Short-term Corporate Debt Around The World

WBS Finance Group Research Paper
Number of pages: 61 Posted: 03 Apr 2014 Last Revised: 12 Oct 2016
Working Paper Series
World Bank Group - International Finance Corporation, University of Warwick - Finance Group and University of Warwick - Finance Group
Downloads 725
43.

How Important Is Financial Risk?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 88 Posted: 10 Aug 2013
Accepted Paper Series
Warwick Business School - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and Carnegie Mellon University - David A. Tepper School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 720
44.

Agency Conflicts and Corporate Payout Policies: A Global Study

Number of pages: 49 Posted: 06 Mar 2008 Last Revised: 10 Mar 2014
Working Paper Series
Warwick Business School - Department of Finance, UWA Business School, M250, Queensland University of Technology and Queensland University of Technology - QUT Business School

Multiple version iconThere are 3 versions of this paper

Downloads 716
45.

The Financial Risks of Corporations in the Global Economy

EFA 2005 Moscow Meetings, Forthcoming
Number of pages: 41 Posted: 08 Jul 2005
Working Paper Series
Warwick Business School - Department of Finance and University of North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 709
46.

The Interest Rate Exposure of Nonfinancial Corporations

Number of pages: 31 Posted: 18 Dec 2001
Working Paper Series
Warwick Business School - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 700
47.

The Euro and European Financial Market Dependence

AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 02 Jul 2005
Working Paper Series
Warwick Business School - Department of Finance, Lancaster University - Department of Accounting and Finance and National Taiwan University

Multiple version iconThere are 2 versions of this paper

Downloads 692
48.

Outsourcing Corporate Governance: Conflicts of Interest and Competition in the Proxy Advisory Industry

ECGI - Finance Working Paper No. 389/2013
Number of pages: 60 Posted: 29 Jun 2013 Last Revised: 16 Mar 2014
Working Paper Series
University of Florida - Department of Finance, Insurance and Real Estate
Downloads 686
49.

Execution Risk in High-Frequency Arbitrage

Number of pages: 38 Posted: 29 Mar 2012
Working Paper Series
University of Warwick, Warwick Business School and University of New South Wales (UNSW)

Multiple version iconThere are 2 versions of this paper

Downloads 664
50.

How Riskless is 'Riskless' Arbitrage?

Number of pages: 56 Posted: 24 Jan 2010 Last Revised: 16 Mar 2014
Working Paper Series
University of Warwick, Warwick Business School and University of New South Wales (UNSW)

Multiple version iconThere are 2 versions of this paper

Downloads 655