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University of Cincinnati Lindner College of Business Research Paper Series

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University of Cincinnati School of Business

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Viewing: 1 - 50 of 293 papers

1.

Replicating Anomalies

Fisher College of Business Working Paper No. 2017-03-010, Charles A. Dice Center Working Paper No. 2017-10, 28th Annual Conference on Financial Economics and Accounting
Number of pages: 146 Posted: 03 May 2017 Last Revised: 27 Jul 2017
Working Paper Series
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business

Multiple version iconThere are 3 versions of this paper

Downloads 5,935
2.

Congress and the Stock Market

Number of pages: 39 Posted: 21 Mar 2005
Working Paper Series
University of Cincinnati - Department of Finance - Real Estate and University of Missouri at Columbia - Department of Finance
Downloads 3,169
3.

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,015
4.

A Comparison of New Factor Models

Fisher College of Business Working Paper No. 2015-03-05, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, Charles A. Dice Center Working Paper No. 2015-05
Number of pages: 67 Posted: 11 Nov 2014 Last Revised: 19 Apr 2017
Working Paper Series
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,657
5.

High Frequency Market Making: Optimal Quoting

Number of pages: 48 Posted: 28 Sep 2013 Last Revised: 15 Jun 2017
Working Paper Series
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate

Multiple version iconThere are 2 versions of this paper

Downloads 2,231
6.

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Number of pages: 50 Posted: 07 May 2009 Last Revised: 24 Aug 2012
Working Paper Series
Tsinghua University - PBC School of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 2,179
7.

Digesting Anomalies: An Investment Approach

Review of Financial Studies, Forthcoming, Fisher College of Business Working Paper No. WP 2012-03-021, Dice Center Working Paper No. 2012-21
Number of pages: 182 Posted: 12 Oct 2014
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business

Multiple version iconThere are 3 versions of this paper

Downloads 2,034
8.

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Journal of Banking and Finance, Vol. 33, No. 11, pp. 2036–2049, November 2009, BIS Working Paper No. 281, PBCSF-NIFR Research Paper No. 08-01,
Number of pages: 44 Posted: 01 Feb 2009 Last Revised: 31 Aug 2016
Accepted Paper Series
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)

Multiple version iconThere are 3 versions of this paper

Downloads 1,570
9.

CEO Optimism and Forced Turnover

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 08 Oct 2008 Last Revised: 18 Oct 2011
Accepted Paper Series
University of Cincinnati - Department of Finance - Real Estate, University of Virginia (UVA) - McIntire School of Commerce, Texas A&M University - Department of Finance, University of South Florida and Winthrop University
Downloads 1,407
10.

Digesting Anomalies: An Investment Approach

Fisher College of Business Working Paper No. 2012-03-021, Charles A. Dice Center Working Paper No. 2012-021
Number of pages: 95 Posted: 26 Sep 2012 Last Revised: 05 Dec 2012
Working Paper Series
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business

Multiple version iconThere are 3 versions of this paper

Downloads 1,395
11.

Do Mutual Funds Time the Market? Evidence from Portfolio Holdings

AFA 2005 Philadelphia Meetings Paper, Journal of Financial Economics (JFE), Vol. 86, 2007
Number of pages: 36 Posted: 16 Jan 2005 Last Revised: 20 Feb 2013
Accepted Paper Series
Washington State University, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 1,282
12.

Risk, Uncertainty, and Expected Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 79 Posted: 24 Nov 2012 Last Revised: 29 Aug 2014
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,225
13.

In Search of Habitat

Number of pages: 66 Posted: 19 Apr 2012 Last Revised: 24 Sep 2018
Working Paper Series
Shanghai University of Finance and Economics, University of Massachusetts Dartmouth, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 1,204
14.

International Real Estate Returns: A Multifactor, Multicountry Approach

Dice Center Working Paper No. 2003-8
Number of pages: 28 Posted: 06 Jun 2003
Working Paper Series
University of Cincinnati, Cornell University - Samuel Curtis Johnson Graduate School of Management and George Mason University - School of Business
Downloads 1,202
15.

Understanding Investor Perceptions of Financial Statement Fraud and Their Use of Red Flags: Evidence from the Field

Number of pages: 59 Posted: 24 Aug 2009 Last Revised: 25 Nov 2014
Working Paper Series
North Carolina State University - Poole College of Management - Department of Accounting, University of Kansas, University of Virginia and University of Cincinnati - Department of Accounting
Downloads 1,087
16.

A Modified Dechow and Dichev (2002) Model with Cash Flow Forecasts

Number of pages: 61 Posted: 11 Sep 2012 Last Revised: 09 Feb 2016
Working Paper Series
University of Cincinnati - Department of Accounting and University of Cincinnati - Lindner College of Business
Downloads 1,009
17.

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 04 Mar 2011 Last Revised: 08 Aug 2012
Working Paper Series
Duke University - Finance, University of Chicago, Independent and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 991
18.

The Audit Reporting Model: Current Research Synthesis and Implications

Auditing: A Journal of Practice & Theory, 32 (Supplement 1):323-351
Number of pages: 47 Posted: 06 Sep 2012 Last Revised: 13 Dec 2018
Accepted Paper Series
University of Southern California, Université Laval - École de comptabilité, University of Adelaide - Business School, Emory University, Washburn University and University of Cincinnati - Department of Accounting
Downloads 988
19.

Can Mutual Funds Profit from Post Earnings Announcement Drift? The Role of Competition

Number of pages: 68 Posted: 14 Mar 2012 Last Revised: 26 Oct 2016
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, Shanghai University of Finance and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 974
20.

Good Jumps, Bad Jumps, and Conditional Equity Premium

Asian Finance Association (AsianFA) 2014 Conference Paper, PBCSF-NIFR Research Paper No. 14-05
Number of pages: 43 Posted: 27 Oct 2014 Last Revised: 23 Apr 2017
Working Paper Series
University of Cincinnati - Department of Finance - Real Estate, University of Queensland and Tsinghua University - PBC School of Finance
Downloads 911
21.

Systemic Risk Contributions

Number of pages: 44 Posted: 29 Jul 2010 Last Revised: 29 Oct 2011
Working Paper Series
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 910
22.

Short-Run Bond Risk Premia

AFA 2013 San Diego Meetings Paper
Number of pages: 47 Posted: 27 May 2011 Last Revised: 07 Aug 2012
Working Paper Series
Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 909
23.

The Importance of Clarification of Auditors’ Responsibilities Under the New Audit Reporting Standards

Number of pages: 44 Posted: 06 Jun 2014 Last Revised: 13 May 2018
Working Paper Series
University of Virginia - McIntire School of Commerce, University of Mississippi - Patterson School of Accountancy and Clemson University
Downloads 828
24.

The Performance and Diversification Benefits of European Public Real Estate Securities

Number of pages: 41 Posted: 18 Apr 2006
Working Paper Series
University of Cincinnati and University of Connecticut - School of Business - Center for Real Estate and Urban Economic Studies
Downloads 811
25.

Specification Analysis of Structural Credit Risk Models

AFA 2009 San Francisco Meetings Paper
Number of pages: 44 Posted: 13 Mar 2008 Last Revised: 22 Jul 2009
Working Paper Series
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 786
26.

The Asset Growth Effect: Insights from International Equity Markets

Number of pages: 58 Posted: 16 Mar 2011 Last Revised: 27 Jan 2013
Working Paper Series
University of Alberta - School of Business, HKU, Faculty of Business and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Multiple version iconThere are 2 versions of this paper

Downloads 769
27.

Do Mutual Funds Profit from the Accruals Anomaly?

AFA 2007 Chicago Meetings, Journal of Accounting Research, Forthcoming
Number of pages: 41 Posted: 21 Mar 2006 Last Revised: 03 Feb 2008
Working Paper Series
University of Texas at Dallas - Naveen Jindal School of Management, Shanghai University of Finance and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 763
28.

The Economics of Value Investing

Charles A. Dice Center Working Paper No. 2017-16, Fisher College of Business Working Paper No. 2017-03-016
Number of pages: 69 Posted: 05 Jul 2017 Last Revised: 04 Dec 2017
Working Paper Series
Ohio State University (OSU) - Department of Finance, E. J. Ourso College of Business, Louisiana State University, University of Cincinnati and Ohio State University - Fisher College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 748
29.

Management's Assessment of Internal Controls, External Consultants, and Audit Efficiency: Evidence of New Factors in Client-Auditor Interactions

Number of pages: 28 Posted: 25 May 2007
Working Paper Series
University of Nebraska at Omaha and University of Cincinnati - Department of Accounting
Downloads 721
30.

The Effect of SFAS No. 141 on the Transparency of Business Combination Reporting: Evidence from the Initial Year of Implementation

Number of pages: 48 Posted: 24 Mar 2006
Working Paper Series
University of Cincinnati - Department of Accounting
Downloads 691
31.

Can the Earnings Fixation Hypothesis Explain the Accrual Anomaly?

Review of Accounting Studies, Vol. 17, Issue 1, 1-21, 2012
Number of pages: 32 Posted: 28 Feb 2007 Last Revised: 07 Jan 2013
Accepted Paper Series
University of Cincinnati - Department of Accounting and Nanyang Technological University (NTU)
Downloads 681
32.

Variance Risk Premiums and the Forward Premium Puzzle

Number of pages: 67 Posted: 22 Aug 2012 Last Revised: 22 Jun 2016
Working Paper Series
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 650
33.

q5

Charles A. Dice Center Working Paper No. 2018-10, Fisher College of Business Working Paper No. 2018-03-010
Number of pages: 99 Posted: 05 Jun 2018 Last Revised: 31 Oct 2018
Working Paper Series
Ohio State University (OSU) - Department of Finance, E. J. Ourso College of Business, Louisiana State University, University of Cincinnati and Ohio State University - Fisher College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 638
34.

The Corporate Value of (Corrupt) Lobbying

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 423/2014
Number of pages: 62 Posted: 31 May 2014 Last Revised: 20 Nov 2014
Working Paper Series
University of Cincinnati - Department of Finance - Real Estate, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 634
35.

On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 50 Posted: 18 Aug 2010 Last Revised: 03 Jun 2014
Accepted Paper Series
University of Cincinnati - Department of Finance - Real Estate, Miami University and University of Cincinnati - Department of Finance - Real Estate
Downloads 630
36.

Stock Return and Cash Flow Predictability: The Role of Volatility Risk

Number of pages: 60 Posted: 18 Nov 2012 Last Revised: 20 Nov 2012
Working Paper Series
Duke University - Finance, Independent and Tsinghua University - PBC School of Finance
Downloads 630
37.

Option Market Making Under Inventory Risk

Review of Derivatives Research, Vol. 12, No. 1, 2009
Number of pages: 28 Posted: 01 Jul 2009
Accepted Paper Series
Cornell Financial Engineering Manhattan and University of Cincinnati - Department of Finance - Real Estate
Downloads 618
38.

Outsourcing the Information System: Determinants, Risks, and Implications for Management Control Systems

Journal of Management Accounting Research, Forthcoming
Number of pages: 74 Posted: 13 Jul 2014 Last Revised: 14 Jul 2014
Accepted Paper Series
University of Georgia - Terry College of Business, University of Cincinnati - Department of Accounting, George Mason University - Department of Accounting and Villanova University - School of Business
Downloads 612
39.

Dynamic Portfolio Choice with Linear Rebalancing Rules

Number of pages: 59 Posted: 27 Feb 2012 Last Revised: 26 Mar 2015
Working Paper Series
Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 583
40.

Firm Mortality and Natal Financial Care

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 91 Posted: 28 Jul 2010 Last Revised: 12 May 2014
Accepted Paper Series
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, University of Cincinnati - Department of Finance - Real Estate and Indiana University - Kelley School of Business - Department of Finance
Downloads 582
41.

Managerial Ability and Credit Ratings

Contemporary Accounting Research, Forthcoming
Number of pages: 44 Posted: 24 Dec 2014 Last Revised: 04 Jul 2017
Accepted Paper Series
Pennsylvania State University - Department of Finance, Bentley University and University of Cincinnati - Department of Accounting
Downloads 579
42.

Asymmetry and Downside Risk in Foreign Exchange Markets

EFMA 2000 Athens; AFA 2001 New Orleans
Number of pages: 51 Posted: 30 Nov 2000
Working Paper Series
University of Cincinnati
Downloads 569
43.

The Cost of Latency in High-Frequency Trading

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 27 Feb 2013
Working Paper Series
Columbia Business School - Decision Risk and Operations and University of Cincinnati - Department of Finance - Real Estate
Downloads 569
44.

Agency Costs and Efficiency of Business Capital Investment: Evidence from Quarterly Capital Expenditures

Number of pages: 33 Posted: 21 Jun 2001
Working Paper Series
Yonsei University and University of Cincinnati

Multiple version iconThere are 2 versions of this paper

Downloads 566
45.

Why Are Earnings Distributions Kinky: Upwards Earnings Management by Small-Profit Firms or Income Smoothing by Many Firms?

Number of pages: 65 Posted: 29 Oct 2011 Last Revised: 25 Apr 2014
Working Paper Series
Syracuse University - Joseph I. Lubin School of Accounting and University of Cincinnati - Department of Accounting
Downloads 536
46.

Prudent Man or Agency Problem? On the Performance of Insurance Mutual Funds

Number of pages: 46 Posted: 26 Oct 2004
Working Paper Series
Shanghai University of Finance and Economics, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate
Downloads 528
47.

Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis

22nd Australasian Finance and Banking Conference 2009, Finlawmetrics 2010 Conference Paper
Number of pages: 45 Posted: 23 Aug 2009 Last Revised: 29 Oct 2011
Working Paper Series
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 525
48.

Stock Return Volatility and Capital Structure Decisions

PBCSF-NIFR Research Paper No. 13-04
Number of pages: 42 Posted: 29 Oct 2013 Last Revised: 19 Feb 2016
Working Paper Series
Massachusetts Institute of Technology, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 506
49.

Equilibrium 'Anomalies'

Number of pages: 49 Posted: 15 Apr 2003
Working Paper Series
University of Cincinnati - Department of Finance - Real Estate and Indiana University - Kelley School of Business - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 504
50.

Intangible Assets and Cross-Sectional Stock Returns: Evidence from Structural Estimation

Number of pages: 37 Posted: 28 Feb 2010 Last Revised: 02 Jan 2015
Working Paper Series
Cheung Kong Graduate School of Business, Guanghua School of Management, Peking University and University of Cincinnati
Downloads 494