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Johns Hopkins: Finance (Topic)

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Viewing: 1 - 50 of 56 papers

1.

Can Book-to-Market, Size, and Momentum Be Risk Factors That Predict Economic Growth?

Number of pages: 46 Posted: 18 Apr 1999
Working Paper Series
Johns Hopkins University - Carey Business School and Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Downloads 1,843
2.

Custom v. Standardized Risk Models

Risks 3(2) (2015) 112-138
Number of pages: 30 Posted: 09 Sep 2014 Last Revised: 21 May 2015
Accepted Paper Series
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 1,793
3.

Hedge Fund Investing: Some Quantitative Notes

Number of pages: 32 Posted: 14 Mar 2005
Working Paper Series
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 1,647
4.

Forecasting ETFs with Machine Learning Algorithms

Number of pages: 26 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students
Downloads 1,216
5.

Managerial Ability and Tax Avoidance

Number of pages: 55 Posted: 02 Nov 2013 Last Revised: 18 Jul 2014
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology, Johns Hopkins University - Carey Business School and Rensselaer Polytechnic Institute (RPI) - Lally School of Management
Downloads 920
6.

Introduction to Financial Engineering: Markets and Investments

Number of pages: 106 Posted: 31 Mar 2008
Working Paper Series
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 887
7.

Barrier Option Pricing Using Adjusted Transition Probabilities

Swiss Finance Institute Research Paper No. 07-02
Number of pages: 29 Posted: 22 Feb 2007
Working Paper Series
Swiss Finance Institute at the University of Lugano, Johns Hopkins University - Carey Business School and Banque Centrale du Luxembourg
Downloads 829
8.

Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

Number of pages: 28 Posted: 07 Mar 2010 Last Revised: 23 Oct 2012
Working Paper Series
CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments

Multiple version iconThere are 2 versions of this paper

Downloads 771
9.

Separating Microstructure Noise from Volatility

AFA 2005 Philadelphia Meetings
Number of pages: 49 Posted: 02 Jan 2005
Working Paper Series
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 672
10.

A Fundamentally Different Interpretation of the Relation Between Implied and Realized Volatility

Number of pages: 47 Posted: 02 Mar 2002
Working Paper Series
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics
Downloads 625
11.

The Scale of Predictability

Number of pages: 40 Posted: 05 Dec 2012 Last Revised: 30 May 2017
Working Paper Series
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, London School of Economics & Political Science (LSE) and Bocconi University, IGIER and CAREFIN
Downloads 586
12.

The Value of Trading Relationships in Turbulent Times

Journal of Financial Economics (JFE), Forthcoming, Columbia Business School Research Paper No. 15-65
Number of pages: 54 Posted: 07 Jul 2015 Last Revised: 20 Jul 2016
Accepted Paper Series
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School

Multiple version iconThere are 2 versions of this paper

Downloads 547
13.

Neutralizing Betas without Neutralizing Alphas in Funds of Hedge Funds

Number of pages: 32 Posted: 04 Apr 2008
Working Paper Series
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 526
14.

Realizing Smiles: Options Pricing with Realized Volatility

Swiss Finance Institute Research Paper No. 10-05
Number of pages: 52 Posted: 03 Feb 2010 Last Revised: 22 Nov 2011
Working Paper Series
Ca' Foscari University of Venice, Johns Hopkins University - Carey Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 522
15.

The 'Sixth' Factor -- Social Media Factor Derived Directly from Tweet Sentiments

Number of pages: 15 Posted: 09 Jan 2016 Last Revised: 21 Feb 2016
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Department of Applied Mathematics and Statistics
Downloads 510
16.

Do Hedge Funds Exploit Rare Disaster Concerns?

Number of pages: 87 Posted: 02 Jun 2013 Last Revised: 01 May 2017
Working Paper Series
T. Rowe Price, University of Notre Dame - Mendoza College of Business and Johns Hopkins University - Carey Business School
Downloads 501
17.

Nonparametric Stochastic Volatility

Number of pages: 44 Posted: 12 Jul 2008 Last Revised: 14 Jun 2010
Working Paper Series
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 493
18.

Do Tweet Sentiments Still Predict the Stock Market?

Number of pages: 16 Posted: 22 Aug 2016
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Department of Applied Mathematics and Statistics
Downloads 456
19.

Mortgage Dollar Roll

Number of pages: 54 Posted: 27 Feb 2014 Last Revised: 04 Feb 2016
Working Paper Series
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 446
20.

The Horizon of Systematic Risk: A New Beta Representation

Number of pages: 56 Posted: 10 Oct 2013 Last Revised: 03 Aug 2017
Working Paper Series
Johns Hopkins University - Carey Business School and London School of Economics & Political Science (LSE)
Downloads 441
21.

CEO Political Affiliation and Firms’ Tax Avoidance

Number of pages: 59 Posted: 01 Mar 2012 Last Revised: 21 May 2012
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Gabelli School of Business, Fordham University and Johns Hopkins University - Carey Business School
Downloads 433
22.

Valuing Modularity as a Real Option

Management Science, Forthcoming, Swiss Finance Institute Research Paper No. 08-20
Number of pages: 51 Posted: 29 Jan 2008 Last Revised: 11 Mar 2014
Accepted Paper Series
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads 423
23.

A Simple Indicator of Systemic Risk

Number of pages: 43 Posted: 15 Mar 2010
Working Paper Series
OCC, Office of the Comptroller of the Currency - Credit Risk Analysis Division and Johns Hopkins University - Carey Business School
Downloads 363
24.

Tail Risk Concerns Everywhere

Number of pages: 41 Posted: 17 May 2015 Last Revised: 08 Jun 2017
Working Paper Series
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Johns Hopkins University - Carey Business School
Downloads 356
25.

Price and Volatility Co-Jumps

Number of pages: 75 Posted: 03 Mar 2012 Last Revised: 09 Feb 2014
Working Paper Series
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 353
26.

Expected VIX Option Returns

Number of pages: 50 Posted: 22 Oct 2012
Working Paper Series
Johns Hopkins University - Carey Business School
Downloads 266
27.

CEO Compensation and Covenant Violations

Number of pages: 59 Posted: 17 Mar 2011 Last Revised: 19 May 2011
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Gabelli School of Business, Fordham University and Johns Hopkins University - Carey Business School
Downloads 218
28.

Fully Nonparametric Estimation of Scalar Diffusion Models

Cowles Foundation Discussion Paper No. 1332
Number of pages: 48 Posted: 14 Oct 2001
Working Paper Series
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 218
29.

QE Auctions of Treasury Bonds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 31 Mar 2016 Last Revised: 09 Mar 2017
Accepted Paper Series
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 194
30.

Term Structure of Interest Rates with Short-Run and Long-Run Risks

Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 74 Posted: 23 Sep 2015 Last Revised: 29 Jul 2017
Working Paper Series
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 194
31.

EXcess Idle Time

Number of pages: 64 Posted: 12 Jan 2013 Last Revised: 25 Apr 2017
Working Paper Series
Johns Hopkins University - Carey Business School, Dipartimento di Economia e Finanza, Università degli Studi di Roma "Tor Vergata" and University of Verona - Department of Economics
Downloads 188
32.

Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the Mortgage Backed Securities Market

Number of pages: 67 Posted: 13 Dec 2015 Last Revised: 03 Sep 2016
Accepted Paper Series
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Department of Finance and Johns Hopkins University - Carey Business School
Downloads 173
33.

Do Better Managers Get Better Loan Contracts?

Number of pages: 67 Posted: 14 Jun 2016
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Long Island University Post, Johns Hopkins University - Carey Business School and Rensselaer Polytechnic Institute (RPI) - Lally School of Management
Downloads 125
34.

Intermediation and Pricing in Tri-Party Repo Market

Number of pages: 20 Posted: 24 Aug 2015
Working Paper Series
Johns Hopkins University - Carey Business School
Downloads 113
35.

Time-Varying Leverage Effects

Number of pages: 37 Posted: 02 Jun 2010
Working Paper Series
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads 104
36.

Creditor Control Rights and Firm Cash Holdings

FMA, 2013
Number of pages: 78 Posted: 21 Feb 2015
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Johns Hopkins University - Carey Business School and Rensselaer Polytechnic Institute (RPI) - Lally School of Management
Downloads 87
37.

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

Cowles Foundation Discussion Paper No. 1522
Number of pages: 50 Posted: 18 Jul 2005
Working Paper Series
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads 71
38.

Data-Driven Bandwidth Selection for Nonparametric Nonstationary Regressions

Number of pages: 47 Posted: 29 Jun 2011 Last Revised: 04 Jul 2011
Working Paper Series
Johns Hopkins University - Carey Business School, University of Warwick - Department of Economics and University College London
Downloads 71
39.

The Performance of Mostly Liquidated Buyout Funds, 2000-2007 Vintage Years

Number of pages: 23 Posted: 21 Jan 2016
Working Paper Series
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School and Yale University, Department of Economics, Students
Downloads 66
40.

Can Firms Learn by Observing? Evidence from Cross-Border M&As

Journal of Corporate Finance, Volume 25, April 2014: 202–215 , Bank of Finland Research Discussion Paper No. 17/2014,
Number of pages: 42 Posted: 07 Oct 2014
Accepted Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology, Gabelli School of Business, Fordham University, Johns Hopkins University - Carey Business School and Gabelli School of Business, Fordham University
Downloads 56
41.

Calendar Anomalies: Do REITs Behave Like Stocks?

International Real Estate Review, Vol. 18, No. 1, pp. 177-215, 2015
Number of pages: 40 Posted: 23 Dec 2015
Accepted Paper Series
Florida State University, Johns Hopkins University - Carey Business School and California State University, Fullerton - Department of Finance
Downloads 52
42.

Predicting Inflation: Portfolio Erosion or Collapse?

Number of pages: 19 Posted: 04 Oct 2012 Last Revised: 07 Nov 2012
Working Paper Series
The Investment Research Foundation, Johns Hopkins University - Carey Business School and The Investment Research Foundation
Downloads 50
43.

Possibly Nonstationary Cross-Validation

Johns Hopkins Carey Business School Research Paper No. 17-01
Number of pages: 61 Posted: 16 Mar 2016 Last Revised: 24 Apr 2017
Working Paper Series
Johns Hopkins University - Carey Business School, University of Surrey - School of Economics and University College London
Downloads 10
44.

Are REIT IPOs Unique? The Global Evidence

Journal of Real Estate Finance and Economics, Vol. 47, No. 4, 2013
Posted: 08 Nov 2013
Accepted Paper Series
Johns Hopkins University - Carey Business School, CUNY Baruch College and CUNY Baruch College
45.

Can Book-to-Market, Size, and Momentum be Risk Factors that Predict Economic Growth?

Journal of Financial Economics
Posted: 03 Apr 2000
Accepted Paper Series
Johns Hopkins University - Carey Business School and Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

46.

Commodities as Inflation Protection

Posted: 09 May 2013
Working Paper Series
The Investment Research Foundation, The Investment Research Foundation and Johns Hopkins University - Carey Business School
47.

iGDP?

The Journal of Portfolio Management 41(3) (2015) 4-6, Invited Editorial
Posted: 26 Dec 2014 Last Revised: 04 Jun 2015
Accepted Paper Series
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
48.

Information Asymmetry Theory, Management Control Theory, and Method of Payment in Acquisitions

Journal of Financial Research
Posted: 17 Aug 1999
Accepted Paper Series
Johns Hopkins University - Carey Business School, Saint Cloud State University - G. R. Herberger College of Business and University of Nebraska at Lincoln
49.

Is It Possible to OD on Alpha?

The Journal of Alternative Investments 18(2) (2015) 39-49
Posted: 03 Apr 2014 Last Revised: 13 Nov 2015
Accepted Paper Series
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
50.

Jensen, Myers-Majluf, Free Cash Flow and the Returns to Bidders

QUARTERLY REVIEW OF ECONOMICS AND FINANCE, Vol. 37 No. 3, Fall 1997
Posted: 21 Jul 1997
Accepted Paper Series
University of Nebraska at Lincoln and Johns Hopkins University - Carey Business School