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Paris-Dauphine: Finance (Topic)

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Viewing: 1 - 50 of 188 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 1,830
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
Downloads 1,355
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 1,121
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 1,046
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 Markets Price Expected Stock Skewness? New Evidence from Quantile Regression Skewness Forecasts

Number of pages: 48 Posted: 11 Sep 2014 Last Revised: 17 Dec 2016
Working Paper Series
Manchester Business School and Université Paris Dauphine - DRM Finance
Downloads 810
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 778
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 760
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 753
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 712
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 688
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.

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 619
18.

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
19.

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
20.

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 581
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 580
22.

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 564
23.

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
24.

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 552
25.

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 551
26.

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
27.

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 532
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 531
29.

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 517
30.

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 499
31.

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 496
32.

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
33.

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 448
34.

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 447
35.

Strategic Beliefs

Number of pages: 38 Posted: 10 Dec 2006
Working Paper Series
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 432
36.

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
37.

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
38.

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
39.

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 374
40.

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
41.

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
42.

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
43.

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 366
44.

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 365
45.

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 364
46.

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 361
47.

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 359
48.

Stock Options and Incentive Equilibrium Between Managers and Shareholders: The French Case

Universite Paris I Sorbonne, UFR Gestion, CREFIB Working Paper No. 99-05
Number of pages: 60 Posted: 21 Mar 2001
Working Paper Series
Université Paris Dauphine and Université Paris I Panthéon-Sorbonne - CREFIB - UFR Gestion
Downloads 356
49.

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 352
50.

Share Repurchase Regulations: Do Firms Play by the Rules?

International Review of Law and Economics, 2009, 29, 81-96
Number of pages: 40 Posted: 01 Aug 2008 Last Revised: 17 Jun 2015
Accepted Paper Series
Université Paris Dauphine and Université Paris Dauphine - CEREG
Downloads 348