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Universite Paris-Dauphine Research Papers Series

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Viewing: 1 - 50 of 300 papers

1.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Forthcoming
Number of pages: 44 Posted: 14 Feb 2014 Last Revised: 24 Aug 2016
Accepted Paper Series
University of Liverpool, NEOMA Business School, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 1,869
2.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 29 Jul 2016
Accepted Paper Series
Georgia State University, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,761
3.

Improving VWAP. Strategies: A Dynamical Volume Approach

Journal of Banking and Finance, Vol. 32, 2008
Number of pages: 61 Posted: 28 Sep 2006 Last Revised: 23 Feb 2018
Accepted Paper Series
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
Downloads 1,437
4.

Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Number of pages: 102 Posted: 09 Oct 2017
Working Paper Series
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Capital Fund Management
Downloads 1,425
5.

International Market Volatility Indexes: A Study on Vx1, Vdax and VIX

Number of pages: 26 Posted: 23 May 2003
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management and Audencia Nantes School of Management
Downloads 1,148
6.

Is Volatility Risk Priced in the Securities Market? Evidence from S&P 500 Index Options

Journal of Futures Markets, Vol. 27, No. 7, 617–642, 2007,
Number of pages: 45 Posted: 14 Jun 2006 Last Revised: 07 Apr 2016
Accepted Paper Series
NEOMA Business School, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 1,114
7.

Ownership Structure and Open Market Stock Repurchases in France

EFMA 2002 London Meetings
Number of pages: 25 Posted: 22 Mar 2002
Working Paper Series
Université Paris Dauphine and Canada Pension Plan Investment Board

Multiple version iconThere are 2 versions of this paper

Downloads 1,078
8.

How fast should trades settle?

Society for Financial Studies (SFS) Cavalcade, 2017, EFA 2017 Mannheim Meetings Paper, Rotman School of Management Working Paper No. 2881331, Swedish House of Finance Research Paper No. 17-4
Number of pages: 50 Posted: 08 Dec 2016 Last Revised: 13 Sep 2018
Working Paper Series
University of Toronto - Finance Area and University of Toronto - Finance Area
Downloads 948
9.

Volatility Risk and the Value Premium: Evidence from the French Stock Market

Journal of Banking and Finance, Vol. 34, No. 5, 975–983, 2010,
Number of pages: 34 Posted: 26 Dec 2010 Last Revised: 14 Apr 2016
Accepted Paper Series
NEOMA Business School
Downloads 863
10.

Optimal Multi-Period Consumption and Investment With Short-Sale Constraints

Finance Research Letters, Vol. 11, No. 1, 16–24, 2014,
Number of pages: 9 Posted: 11 Jan 2009 Last Revised: 14 Apr 2016
Accepted Paper Series
NEOMA Business School, Bilkent University - Faculty of Business Administration and Bilkent University - Department of Industrial Engineering
Downloads 849
11.

Do Stock Market Investors Really Care About the Skewness of Long-Ahead Returns?

Number of pages: 53 Posted: 11 Sep 2014 Last Revised: 02 Nov 2017
Working Paper Series
Alliance Manchester Business School and NEOMA Business School
Downloads 828
12.

Multi-Factor Models and Signal Processing Techniques: Survey and Examples

IEEE Signal Processing Magazine - Special Issue on Financial Applications, Forthcoming
Number of pages: 12 Posted: 18 May 2011
Accepted Paper Series
QUANTED, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and Aequam Capital
Downloads 827
13.

International Transmission of Volatility: A Study on the Volatility Indexes Vx1, Vdax and VIX

Number of pages: 39 Posted: 07 Mar 2004
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management
Downloads 789
14.

Does Aggregate Uncertainty Explain Size and Value Anomalies?

Applied Economics, Forthcoming
Number of pages: 29 Posted: 13 Sep 2014 Last Revised: 03 Nov 2016
Accepted Paper Series
Université Paris XIII Nord - Department of Economics and Management and NEOMA Business School
Downloads 783
15.

Cash Holdings, Corporate Governance and Financial Constraints

Number of pages: 33 Posted: 31 Jul 2008
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine - DRM-CEREG

Multiple version iconThere are 2 versions of this paper

Downloads 768
16.

Hedge Fund Returns and Factor Models: A Cross-Sectional Approach

Bankers, Markets & Investors, June 2011
Number of pages: 42 Posted: 19 Feb 2009 Last Revised: 06 Jul 2016
Accepted Paper Series
Université Paris Dauphine - DRM-CEREG and University of Cergy-Pontoise - THEMA
Downloads 741
17.

Aggregate Volatility Expectations and Threshold CAPM

North American Journal of Economics and Finance, Vol. 34, 231–253, 2015 ,
Number of pages: 49 Posted: 28 May 2011 Last Revised: 07 Apr 2016
Accepted Paper Series
NEOMA Business School, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 700
18.

Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia

Journal of Futures Markets, Vol. 34, No. 1, 34–55, 2014,
Number of pages: 22 Posted: 26 Dec 2010 Last Revised: 14 Apr 2016
Accepted Paper Series
NEOMA Business School
Downloads 668
19.

Towards an Understanding of the Phases of Goodwill Accounting in Four Western Capitalist Countries: From Stakeholder Model to Shareholder Model

Number of pages: 70 Posted: 16 Jul 2007
Working Paper Series
Université Paris Dauphine, China Europe International Business School (CEIBS) and HEC Paris - Accounting and Management Control Department
Downloads 656
20.

An Empirical Test of the Hull-White Option Pricing Model: A Correction

Number of pages: 5 Posted: 04 Nov 2003
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management
Downloads 629
21.

Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices

Number of pages: 43 Posted: 25 Feb 2009 Last Revised: 21 Jun 2015
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management and Passau University

Multiple version iconThere are 2 versions of this paper

Downloads 606
22.

Takeover Bids, Price Offer and Investors Protection

CREFIB Working Paper No. 00-06
Number of pages: 63 Posted: 22 May 2001
Working Paper Series
Université Paris Dauphine and Université Paris I Panthéon-Sorbonne - CREFIB - UFR Gestion
Downloads 602
23.

Active Bond Strategies: What Link between Forecasting Ability, Excess Return and Performance?

Journal of Asset Management, vol5, n°2, 2004, EFMA 2003 Helsinki Meetings,
Number of pages: 29 Posted: 03 Jun 2003 Last Revised: 19 Jun 2015
Accepted Paper Series
Université Paris Dauphine
Downloads 601
24.

French IPO Returns and Subsequent Security Offerings: Signaling Hypothesis Versus Market Feedback Hypothesis

Number of pages: 37 Posted: 15 Jan 2004
Working Paper Series
University Aix-Marseille III, Université Paris Dauphine and Dickinson College - Department of International Business and Management
Downloads 589
25.

Seasoned Equity Issues in a Closely Held Market: Evidence from France

European Finance Review, Vol. 6, No. 3, 2002
Number of pages: 49 Posted: 11 May 1999 Last Revised: 17 Jun 2015
Accepted Paper Series
University Savoie Mont-Blanc, IREGE and Université Paris Dauphine

Multiple version iconThere are 2 versions of this paper

Downloads 585
26.

What Drives the Herding Behavior of Individual Investors?

Finance, 34(3), 2013
Number of pages: 41 Posted: 25 Jul 2011 Last Revised: 20 Oct 2017
Accepted Paper Series
Strasbourg University, LaRGE Research Center, EM Strasbourg Business School and Université Paris-Dauphine, PSL Research University
Downloads 584
27.

Ownership, Control and Market Liquidity

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 45 Posted: 13 Dec 2007 Last Revised: 17 Jun 2015
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine - CEREG

Multiple version iconThere are 2 versions of this paper

Downloads 578
28.

Portfolio Allocation of Hedge Funds

Number of pages: 38 Posted: 10 Apr 2011
Working Paper Series
Lyxor Asset Management, Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and Amundi Asset Management
Downloads 575
29.

Robust Portfolio Allocation with Systematic Risk Contribution Restrictions

Number of pages: 48 Posted: 22 Dec 2012
Working Paper Series
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and QUANTED
Downloads 571
30.

Intangibles Mismeasurement, Synergy, and Accounting Numbers: A Note

Number of pages: 13 Posted: 05 Apr 2006
Working Paper Series
University Paris-Dauphine - DRM Finance and Université Paris Dauphine - CEREG Research Centre
Downloads 561
31.

Do Funds of Hedge Funds Really Add Value? A 'Post' Crisis Analysis

Number of pages: 21 Posted: 03 Sep 2010 Last Revised: 15 Jun 2015
Working Paper Series
Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads 559
32.

Ownership Structure and Debt Leverage: Empirical Test on French

Paris December 2007 Finance International Meeting AFFI - EUROFIDAI Paper
Number of pages: 39 Posted: 01 Mar 2007 Last Revised: 19 Jun 2015
Working Paper Series
Université Paris Dauphine and Université du Québec à Chicoutimi (UQAC)
Downloads 547
33.

Health Expenditures, Longevity and Growth

Number of pages: 98 Posted: 08 May 2008 Last Revised: 07 Jun 2015
Working Paper Series
Université Paris Dauphine, Organization for Economic Co-Operation and Development (OECD) - Statistics Directorate (STD), EDHEC Business School and World Health Organization - European Office for Investment & Development
Downloads 545
34.

Hedging Pressure and Speculation in Commodity Markets

Economic Theory, Forthcoming
Number of pages: 41 Posted: 10 Sep 2013 Last Revised: 30 Apr 2018
Accepted Paper Series
University of British Columbia (UBC) - Faculty of Education, University Paris Dauphine and Université Paris-Dauphine, PSL Research University
Downloads 529
35.

Economic Properties of Intangibles Recognized Under Domestic Accounting Standards: Evidence from Pre-Ifrs Major European Markets

Number of pages: 44 Posted: 05 Apr 2006 Last Revised: 15 Jun 2015
Working Paper Series
University Paris-Dauphine - DRM Finance, Université Paris Dauphine - CEREG Research Centre and University of Angers - Laboratoire Angevin de Recherche en Gestion des Organisations (LARGO)
Downloads 499
36.

GARCH Option Pricing Under Skew

Number of pages: 13 Posted: 23 Oct 2003
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management
Downloads 473
37.

The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects

Number of pages: 44 Posted: 22 Oct 2011 Last Revised: 15 Jun 2015
Working Paper Series
Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads 457
38.

Strategic Beliefs

Number of pages: 38 Posted: 10 Dec 2006
Working Paper Series
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 436
39.

Voluntary Disclosure vs. Mandatory Disclosure: The Case of IFRS Introduction on European Firms

Number of pages: 48 Posted: 27 Feb 2012
Working Paper Series
Université Paris Dauphine and ESG Management School
Downloads 427
40.

Employee Ownership, Board Representation, and Corporate Financial Policies

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 43 Posted: 27 Aug 2008 Last Revised: 17 Jun 2015
Working Paper Series
University of Oklahoma, Université Paris Dauphine and Fédération Bancaire Française

Multiple version iconThere are 2 versions of this paper

Downloads 423
41.

Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families

Swiss Finance Institute Research Paper No. 13-19
Number of pages: 57 Posted: 18 Mar 2012 Last Revised: 16 Aug 2017
Working Paper Series
University of Lugano, Université Paris-Dauphine, EDHEC and Netspar

Multiple version iconThere are 2 versions of this paper

Downloads 422
42.

When Behavioral Portfolio Theory Meets Markowitz Theory

Economic Modelling, Forthcoming
Number of pages: 48 Posted: 05 Oct 2013 Last Revised: 21 Oct 2015
Accepted Paper Series
EM Strasbourg.University of Strasbourg. LARGE, Université Paris-Dauphine, PSL Research University and University of Strasbourg - LaRGE Research Center (Laboratoire de Recherche en Gestion et Economie)
Downloads 410
43.

Systematic Credit Risk: CDX Index Correlation and Extreme Dependence

Number of pages: 23 Posted: 18 Sep 2007
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management and Passau University
Downloads 406
44.

The Effect of Asymmetric Information and Transaction Costs on Asset Pricing: Theory and Test

EFMA 2003 Helsinki Meetings
Number of pages: 33 Posted: 21 Apr 2003
Working Paper Series
Conservatoire des Arts et Metiers (CNAM) and Université Paris XIII Nord - Department of Economics and Management
Downloads 391
45.

Freedom of Choice between Unitary and Two-Tier Boards: An Empirical Analysis

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 58 Posted: 03 Feb 2014
Accepted Paper Series
Université de Cergy-Pontoise, Université Paris Dauphine, HEC Paris and Arizona State University
Downloads 384
46.

Actual Share Repurchases, Timing and Corporate Liquidity

Journal of Banking and Finance, Vol. 31, No. 3, 2007
Number of pages: 39 Posted: 17 Mar 2005 Last Revised: 17 Jun 2015
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine - CEREG
Downloads 381
47.

Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs

Number of pages: 42 Posted: 15 Jul 2006 Last Revised: 24 Jun 2015
Working Paper Series
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 380
48.

Measuring the Law: Legal Certainty as a Watermark (In French)

International Journal of Disclosure and Governance, Vol. 8, 4, pp. 360–379, 2011, Georgetown Law and Economics Research Paper No. 10-12 ,
Number of pages: 37 Posted: 30 Jul 2010 Last Revised: 23 Oct 2011
Accepted Paper Series
Harvard University and Université Paris Dauphine
Downloads 376
49.

Financial Markets Equilibrium with Heterogeneous Agents

Number of pages: 53 Posted: 13 Mar 2010
Working Paper Series
California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine

Multiple version iconThere are 2 versions of this paper

Downloads 375
50.

A Survey on Implied Theories : The Volatility Models

Number of pages: 36 Posted: 15 Jul 2004 Last Revised: 21 Jun 2015
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management
Downloads 374