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
There are 2 versions of this paper
Ownership Structure and Open Market Stock Repurchases in France
EFMA 2002 London Meetings
Number of pages: 25
Posted: 22 Mar 2002
Downloads
1,078
Ownership Structure and Open Market Stock Repurchases in France
European Journal of Finance, Vol. 12, No. 1, pp. 77-94, 2006
Posted: 05 Nov 2006
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
There are 2 versions of this paper
Cash Holdings, Corporate Governance and Financial Constraints
Number of pages: 33
Posted: 31 Jul 2008
Downloads
768
Cash Holdings, Corporate Governance and Financial Constraints
Number of pages: 32
Posted: 30 Sep 2012
Downloads
273
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
There are 2 versions of this paper
Extreme Asymmetric Volatility: Stress and Aggregate Asset Prices
Number of pages: 43
Posted: 25 Feb 2009
Last Revised: 21 Jun 2015
Downloads
606
Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices
Posted: 06 Feb 2010
Last Revised: 21 Jun 2015
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
There are 2 versions of this paper
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
Downloads
585
Seasoned Equity Issues in a Closely Held Market: Evidence from France
European Finance Review, Vol. 6, No. 3, 2002
Posted: 23 Sep 2002
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
There are 2 versions of this paper
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
Downloads
578
Ownership, Control and Market Liquidity
Finance, 2012, 33, 2, pp. 61-99
Number of pages: 50
Posted: 03 Jul 2012
Last Revised: 16 Jun 2015
Downloads
167
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
There are 2 versions of this paper
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
Downloads
423
Employee Ownership, Board Representation, and Corporate Financial Policies
Journal of Corporate Finance, 2011, 17, 868-887
Number of pages: 44
Posted: 02 Apr 2009
Last Revised: 17 Jun 2015
Downloads
281
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
There are 2 versions of this paper
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
Downloads
422
Are Star Funds Really Shining? Cross-Trading and Performance Shifting in Mutual Fund Families
BIS Working Paper No. 577
Number of pages: 59
Posted: 30 Aug 2016
Downloads
71
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
There are 2 versions of this paper
Financial Markets Equilibrium with Heterogeneous Agents
Number of pages: 53
Posted: 13 Mar 2010
Downloads
375
Financial Markets Equilibrium with Heterogeneous Agents
Swiss Finance Institute Research Paper No. 09-45
Number of pages: 56
Posted: 10 Dec 2009
Downloads
292
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
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 585 442 8170 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.