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Universite Paris-Dauphine Research Papers Series

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Viewing: 1 - 50 of 276 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, Université Paris Dauphine - DRM Finance, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 1,833
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, Université Paris Dauphine - DRM Finance and London Business School - Institute of Finance and Accounting
Downloads 1,732
3.

Improving VWAP Strategies: A Dynamical Volume Approach

Number of pages: 61 Posted: 28 Sep 2006
Working 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 1,364
4.

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 1,122
5.

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
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 1,112
6.

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 1,048
7.

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
Université Paris Dauphine - DRM Finance
Downloads 861
8.

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
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Department of Industrial Engineering
Downloads 848
9.

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
Manchester Business School and Université Paris Dauphine - DRM Finance
Downloads 813
10.

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 Université Paris Dauphine - DRM Finance
Downloads 779
11.

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
QAMLAB, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and Aequam Capital
Downloads 768
12.

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 754
13.

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 715
14.

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
Université Paris Dauphine - DRM Finance, Bilkent University - Faculty of Business Administration and Bilkent University - Faculty of Business Administration
Downloads 699
15.

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 691
16.

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
Université Paris Dauphine - DRM Finance
Downloads 665
17.

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 649
18.

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 621
19.

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 600
20.

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 597
21.

Smart Settlement

EFA 2017 Mannheim Meetings Paper, Rotman School of Management Working Paper No. 2881331, Society for Financial Studies (SFS) Cavalcade, 2017, Swedish House of Finance Research Paper No. 17-4
Number of pages: 56 Posted: 08 Dec 2016 Last Revised: 09 Oct 2017
Working Paper Series
University of Toronto - Finance Area and Université Paris Dauphine - PSL Research University
Downloads 595
22.

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 583
23.

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 582
24.

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 568
25.

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 554
26.

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 554
27.

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 552
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 539
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 QAMLAB
Downloads 536
30.

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 535
31.

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 523
32.

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 512
33.

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 497
34.

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 467
35.

Hedging Pressure and Speculation in Commodity Markets

Number of pages: 39 Posted: 10 Sep 2013 Last Revised: 22 Feb 2017
Working Paper Series
University of British Columbia (UBC) - Faculty of Education, University Paris Dauphine and Université Paris Dauphine
Downloads 456
36.

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 449
37.

Strategic Beliefs

Number of pages: 38 Posted: 10 Dec 2006
Working Paper Series
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 433
38.

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 416
39.

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 401
40.

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 379
41.

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 375
42.

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 373
43.

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 372
44.

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 371
45.

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 371
46.

The Behavior of the International Implied Volatility Indexes

Number of pages: 5 Posted: 03 Oct 2006
Working Paper Series
Université Paris XIII Nord - Department of Economics and Management
Downloads 369
47.

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 368
48.

Nonparametric Instrumental Regression

Number of pages: 52 Posted: 07 Feb 2009 Last Revised: 15 Jun 2015
Working Paper Series
Université Paris Dauphine - DRM-CEREG, University of Washington - Department of Economics, University of Toulouse and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 366
49.

Acquisition Bid Price: Is There an Optimal Cash-Equity Payment Mix?

International Review of Law and Economics, Vol. 32, 2012
Number of pages: 49 Posted: 07 Jun 2007 Last Revised: 19 Jun 2015
Working Paper Series
Université Paris Dauphine
Downloads 362
50.

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 361