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Johns Hopkins: Finance (Topic)
19,066 Total downloads

Johns Hopkins Carey Business School Logo

Johns Hopkins Carey Business School Research Paper Series

Showing Papers 1 - 50 of 56
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Incl. Electronic Paper Forecasting ETFs with Machine Learning Algorithms
Jim Kyung-Soo Liew and Boris Mayster
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students
Date Posted: January 17, 2017
Last Revised: January 30, 2017
Working Paper Series
860 downloads

Incl. Electronic Paper Do Tweet Sentiments Still Predict the Stock Market?
Jim Kyung-Soo Liew and Tamás Budavári
Johns Hopkins University - Carey Business School and Johns Hopkins University - Department of Applied Mathematics and Statistics
Date Posted: August 22, 2016
Working Paper Series
420 downloads

Incl. Electronic Paper Do Better Managers Get Better Loan Contracts?
Bill B. Francis, Ning Ren, Xian Sun and Qiang Wu
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
Date Posted: June 14, 2016
Working Paper Series
96 downloads

Incl. Electronic Paper QE Auctions of Treasury Bonds
Journal of Financial Economics (JFE), Forthcoming
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: March 31, 2016
Last Revised: March 09, 2017
Accepted Paper Series
144 downloads

Incl. Electronic Paper Possibly Nonstationary Cross-Validation
Johns Hopkins Carey Business School Research Paper No. 17-01
Federico M. Bandi, Valentina Corradi and Daniel Wilhelm
Johns Hopkins University - Carey Business School, University of Surrey - School of Economics and University College London
Date Posted: March 16, 2016
Last Revised: April 24, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Performance of Mostly Liquidated Buyout Funds, 2000-2007 Vintage Years
Jeffrey C. Hooke, Ken C. Yook and Stephen Hee
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School and Yale University, Department of Economics, Students
Date Posted: January 21, 2016
Working Paper Series
64 downloads

Incl. Electronic Paper The 'Sixth' Factor -- Social Media Factor Derived Directly from Tweet Sentiments
Jim Kyung-Soo Liew and Tamás Budavári
Johns Hopkins University - Carey Business School and Johns Hopkins University - Department of Applied Mathematics and Statistics
Date Posted: January 09, 2016
Last Revised: February 21, 2016
Working Paper Series
319 downloads

Incl. Electronic Paper Calendar Anomalies: Do REITs Behave Like Stocks?
International Real Estate Review, Vol. 18, No. 1, pp. 177-215, 2015
Mariya Letdin, Su Han Chan and Mehmet Akbulut
Florida State University, Johns Hopkins University - Carey Business School and California State University, Fullerton - Department of Finance
Date Posted: December 23, 2015
Accepted Paper Series
48 downloads

Incl. Electronic Paper Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the Mortgage Backed Securities Market
Pengjie Gao, Paul H. Schultz and Zhaogang Song
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Department of Finance and Johns Hopkins University - Carey Business School
Date Posted: December 13, 2015
Last Revised: September 03, 2016
Accepted Paper Series
155 downloads

Incl. Electronic Paper 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
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and Tsinghua University - PBC School of Finance
Date Posted: September 23, 2015
Last Revised: January 02, 2017
Working Paper Series
177 downloads

Tweet Sentiments and Crowd-Sourced Earnings Estimates as Valuable Sources of Information Around Earnings Releases
Jim Kyung-Soo Liew, Shenghan Guo and Tongli Zhang
Johns Hopkins University - Carey Business School, Johns Hopkins University and Johns Hopkins University
Date Posted: August 29, 2015
Last Revised: November 17, 2016
Working Paper Series

Incl. Electronic Paper Intermediation and Pricing in Tri-Party Repo Market
Zhaogang Song
Johns Hopkins University - Carey Business School
Date Posted: August 24, 2015
Working Paper Series
112 downloads

Incl. Electronic Paper The Value of Trading Relationships in Turbulent Times
Journal of Financial Economics (JFE), Forthcoming, Columbia Business School Research Paper No. 15-65
Marco Di Maggio, Amir Kermani and Zhaogang Song
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
Date Posted: July 07, 2015
Last Revised: July 20, 2016
Accepted Paper Series
520 downloads

Incl. Electronic Paper Rare Disaster Concerns Everywhere
George Gao and Zhaogang Song
T. Rowe Price and Johns Hopkins University - Carey Business School
Date Posted: May 17, 2015
Last Revised: April 12, 2016
Working Paper Series
315 downloads

Incl. Electronic Paper Creditor Control Rights and Firm Cash Holdings
FMA, 2013
Bill B. Francis, Xian Sun and Qiang Wu
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Johns Hopkins University - Carey Business School and Rensselaer Polytechnic Institute (RPI) - Lally School of Management
Date Posted: February 21, 2015
Working Paper Series
82 downloads

Twitter Sentiment and IPO Performance: A Cross-Sectional Examination
Journalof Portfolio Management, Vol. 42, No. 4, 2016
Jim Kyung-Soo Liew and Garrett Zhengyuan Wang
Johns Hopkins University - Carey Business School and The Johns Hopkins University
Date Posted: February 20, 2015
Last Revised: August 07, 2016
Accepted Paper Series

iGDP?
The Journal of Portfolio Management 41(3) (2015) 4-6, Invited Editorial
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Date Posted: December 26, 2014
Last Revised: June 04, 2015
Accepted Paper Series

Incl. Electronic Paper 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,
Bill Francis, Iftekhar Hasan, Xian Sun and Maya Waisman
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
Date Posted: October 07, 2014
Accepted Paper Series
55 downloads

Incl. Electronic Paper Custom v. Standardized Risk Models
Risks 3(2) (2015) 112-138
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Date Posted: September 09, 2014
Last Revised: May 21, 2015
Accepted Paper Series
1602 downloads

Is It Possible to OD on Alpha?
The Journal of Alternative Investments 18(2) (2015) 39-49
Zura Kakushadze and Jim Kyung-Soo Liew
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Date Posted: April 03, 2014
Last Revised: November 13, 2015
Accepted Paper Series

Incl. Electronic Paper Mortgage Dollar Roll
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: February 27, 2014
Last Revised: February 04, 2016
Working Paper Series
401 downloads

Are REIT IPOs Unique? The Global Evidence
Journal of Real Estate Finance and Economics, Vol. 47, No. 4, 2013
Su Han Chan, Jiajin Chen and Ko Wang
Johns Hopkins University - Carey Business School, CUNY Baruch College and CUNY Baruch College
Date Posted: November 08, 2013
Accepted Paper Series

Incl. Electronic Paper Managerial Ability and Tax Avoidance
Bill Francis, Xian Sun and Qiang Wu
Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology, Johns Hopkins University - Carey Business School and Rensselaer Polytechnic Institute (RPI) - Lally School of Management
Date Posted: November 02, 2013
Last Revised: July 18, 2014
Working Paper Series
857 downloads

Incl. Electronic Paper The Horizon of Systematic Risk: A New Beta Representation
Federico M. Bandi and Andrea Tamoni
Johns Hopkins University - Carey Business School and London School of Economics & Political Science (LSE)
Date Posted: October 10, 2013
Last Revised: January 15, 2017
Working Paper Series
399 downloads

Incl. Electronic Paper Do Hedge Funds Exploit Rare Disaster Concerns?
George Gao, Pengjie Gao and Zhaogang Song
T. Rowe Price, University of Notre Dame - Mendoza College of Business and Johns Hopkins University - Carey Business School
Date Posted: June 02, 2013
Last Revised: July 12, 2016
Working Paper Series
478 downloads

Commodities as Inflation Protection
Andrew Marks, George Crawford and Jim Kyung-Soo Liew
The Investment Research Foundation, The Investment Research Foundation and Johns Hopkins University - Carey Business School
Date Posted: May 09, 2013
Working Paper Series

Incl. Electronic Paper EXcess Idle Time
Federico M. Bandi, Davide Pirino and Roberto Renò
Johns Hopkins University - Carey Business School, Scuola Normale Superiore and University of Verona - Department of Economics
Date Posted: January 12, 2013
Last Revised: April 25, 2017
Working Paper Series
144 downloads

Incl. Electronic Paper The Scale of Predictability
Federico M. Bandi, Benoit Perron, Andrea Tamoni and Claudio Tebaldi
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
Date Posted: December 05, 2012
Last Revised: October 06, 2016
Working Paper Series
559 downloads

Incl. Electronic Paper Expected VIX Option Returns
Zhaogang Song
Johns Hopkins University - Carey Business School
Date Posted: October 22, 2012
Working Paper Series
250 downloads

Incl. Electronic Paper Predicting Inflation: Portfolio Erosion or Collapse?
George Crawford, Jim Kyung-Soo Liew and Andrew Marks
The Investment Research Foundation, Johns Hopkins University - Carey Business School and The Investment Research Foundation
Date Posted: October 04, 2012
Last Revised: November 07, 2012
Working Paper Series
49 downloads

Incl. Electronic Paper Price and Volatility Co-Jumps
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Date Posted: March 03, 2012
Last Revised: February 09, 2014
Working Paper Series
345 downloads

Incl. Electronic Paper CEO Political Affiliation and Firms’ Tax Avoidance
Bill B. Francis, Iftekhar Hasan and Xian Sun
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Gabelli School of Business, Fordham University and Johns Hopkins University - Carey Business School
Date Posted: March 01, 2012
Last Revised: May 21, 2012
Working Paper Series
420 downloads

Presale Contract and Its Embedded Default and Abandonment Options
Journal of Real Estate Finance and Economics, Vol. 44, Nos. 1/2, 2012
Su Han Chan, Ko Wang and Jing Yang
Johns Hopkins University - Carey Business School, CUNY Baruch College and California State University, Fullerton - Department of Finance
Date Posted: January 26, 2012
Accepted Paper Series

Incl. Electronic Paper Data-Driven Bandwidth Selection for Nonparametric Nonstationary Regressions
Federico M. Bandi, Valentina Corradi and Daniel Wilhelm
Johns Hopkins University - Carey Business School, University of Warwick - Department of Economics and University College London
Date Posted: June 29, 2011
Last Revised: July 04, 2011
Working Paper Series
70 downloads

Incl. Electronic Paper CEO Compensation and Covenant Violations
Bill B. Francis, Iftekhar Hasan and Xian Sun
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Gabelli School of Business, Fordham University and Johns Hopkins University - Carey Business School
Date Posted: March 17, 2011
Last Revised: May 19, 2011
Working Paper Series
214 downloads

Past Market Variance and Asset Prices
CIRANO - Scientific Publications No. 2011s-16
Federico M. Bandi and Benoit Perron
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics
Date Posted: February 15, 2011
Working Paper Series

Incl. Electronic Paper Time-Varying Leverage Effects
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Date Posted: June 02, 2010
Working Paper Series
102 downloads

Incl. Electronic Paper A Simple Indicator of Systemic Risk
Dilip K. Patro, Min Qi and Xian Sun
OCC, Office of the Comptroller of the Currency - Credit Risk Analysis Division and Johns Hopkins University - Carey Business School
Date Posted: March 15, 2010
Working Paper Series
358 downloads

Incl. Electronic Paper Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
Kabir Dutta and David F. Babbel
CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
Date Posted: March 07, 2010
Last Revised: October 23, 2012
Working Paper Series
757 downloads

Incl. Electronic Paper Realizing Smiles: Options Pricing with Realized Volatility
Swiss Finance Institute Research Paper No. 10-05
Fulvio Corsi, Nicola Fusari and Davide La Vecchia
Ca' Foscari University of Venice, Johns Hopkins University - Carey Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Date Posted: February 03, 2010
Last Revised: November 22, 2011
Working Paper Series
516 downloads

Incl. Electronic Paper Nonparametric Stochastic Volatility
Federico M. Bandi and Roberto Renò
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Date Posted: July 12, 2008
Last Revised: June 14, 2010
Working Paper Series
483 downloads

Incl. Electronic Paper Neutralizing Betas without Neutralizing Alphas in Funds of Hedge Funds
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Date Posted: April 04, 2008
Working Paper Series
523 downloads

Long Memory and the Relation between Implied and Realized Volatility
Journal of Financial Econometrics, Vol. 4, Issue 4, pp. 636-670, 2006
Federico M. Bandi and Benoit Perron
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics
Date Posted: April 02, 2008
Accepted Paper Series

Incl. Electronic Paper Introduction to Financial Engineering: Markets and Investments
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Date Posted: March 31, 2008
Working Paper Series
881 downloads

Incl. Electronic Paper Valuing Modularity as a Real Option
Management Science, Forthcoming, Swiss Finance Institute Research Paper No. 08-20
Andrea Gamba and Nicola Fusari
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Date Posted: January 29, 2008
Last Revised: March 11, 2014
Accepted Paper Series
423 downloads

Incl. Electronic Paper Barrier Option Pricing Using Adjusted Transition Probabilities
Swiss Finance Institute Research Paper No. 07-02
Giovanni Barone-Adesi, Nicola Fusari and John Theal
Swiss Finance Institute at the University of Lugano, Johns Hopkins University - Carey Business School and Banque Centrale du Luxembourg
Date Posted: February 22, 2007
Working Paper Series
825 downloads

Quantitative Topics in Hedge Fund Investing
Journal of Portfolio Management, Vol. 31, No. 4, pp. 21-32, Summer 2005
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Date Posted: September 15, 2005
Accepted Paper Series

Incl. Electronic Paper A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
Cowles Foundation Discussion Paper No. 1522
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Date Posted: July 18, 2005
Working Paper Series
71 downloads

Incl. Electronic Paper Hedge Fund Investing: Some Quantitative Notes
Craig W. French and Jim Kyung-Soo Liew
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Date Posted: March 14, 2005
Working Paper Series
1640 downloads

Incl. Electronic Paper Separating Microstructure Noise from Volatility
AFA 2005 Philadelphia Meetings
Federico M. Bandi and Jeffrey R. Russell
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business - Econometrics and Statistics
Date Posted: January 02, 2005
Working Paper Series
661 downloads


 

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