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Johns Hopkins: Finance (Topic)

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Viewing: 1 - 50 of 57 papers

1.

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 2,608
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 2,013
3.

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 1,886
4.

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 1,674
5.

Managerial Ability and Tax Aggressiveness

Number of pages: 64 Posted: 02 Nov 2013 Last Revised: 26 Jan 2018
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 1,118
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 915
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 840
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 807
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 685
10.

The Scale of Predictability

Number of pages: 41 Posted: 05 Dec 2012 Last Revised: 11 Oct 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 - CAREFIN - Centre for Applied Research in Finance
Downloads 671
11.

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 656
12.

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 635
13.

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 601
14.

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 579
15.

Mortgage Dollar Roll

Number of pages: 50 Posted: 27 Feb 2014 Last Revised: 10 Jan 2018
Working Paper Series
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 541
16.

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 540
17.

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
University of Pisa - Department of Economics, Johns Hopkins University - Carey Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 538
18.

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 532
19.

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 507
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 499
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, Fordham University - Gabelli School of Business and Johns Hopkins University - Carey Business School
Downloads 475
22.

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 457
23.

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 429
24.

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 371
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 370
26.

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 288
27.

Expected VIX Option Returns

Number of pages: 50 Posted: 22 Oct 2012
Working Paper Series
Johns Hopkins University - Carey Business School
Downloads 283
28.

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, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads 255
29.

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 254
30.

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, Fordham University - Gabelli School of Business and Johns Hopkins University - Carey Business School
Downloads 232
31.

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 220
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 196
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 160
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 121
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 109
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 94
37.

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 77
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 73
39.

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 72
40.

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 63
41.

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, Fordham University - Gabelli School of Business, Johns Hopkins University - Carey Business School and Fordham University - Gabelli School of Business
Downloads 57
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 53
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 17
44.

The Value of Relational Contracts in Outsourcing: Evidence from the 2008 Shock to the US Airline Industry

Number of pages: 67 Posted: 27 Feb 2018
Working Paper Series
Queen's University (Canada) - Smith School of Business, University of Oklahoma and CUNEF
Downloads 17
45.

Occupational Licensure and Entrepreneurs: The Case of Tax Preparers in the U.S.

Number of pages: 59 Posted: 10 May 2018 Last Revised: 19 May 2018
Working Paper Series
Harvard University, Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT)
Downloads 5
46.

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
47.

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

48.

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
49.

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
50.

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