Search Results
Baruch: Finance (Topic)

Baruch College Zicklin School of Business

Baruch College Zicklin School of Business

89,238 Total downloads

Viewing: 1 - 50 of 214 papers

1.

Variance Risk Premia

AFA 2005 Philadelphia Meetings
Number of pages: 44 Posted: 17 Aug 2004 Last Revised: 25 Oct 2007
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 4,346
2.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 3,951
3.

Long Term Performance of Leveraged ETFs

Number of pages: 31 Posted: 20 Feb 2009 Last Revised: 02 Aug 2009
Working Paper Series
Asper School of Business, University of Manitoba, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Long Island University
Downloads 3,113
4.

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Number of pages: 43 Posted: 24 Jun 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 2,555
5.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Working Paper Series
University of Zurich - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,347
6.

Static Hedging of Standard Options

NYU Tandon Research Paper No. 585451
Number of pages: 61 Posted: 02 Sep 2004
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,174
7.

Internal Corporate Governance, CEO Turnover, and Earnings Management

Journal of Financial Economics (JFE), 2012 (104), 44-69.
Number of pages: 60 Posted: 22 Mar 2010 Last Revised: 15 Jan 2013
Accepted Paper Series
Zicklin School of Business, Department of Economics and Finance, Baruch College - The City University of New York, University of Washington - Michael G. Foster School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 2,115
8.

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Bloomberg Portfolio Research Paper No. 2009-03-FRONTIERS, AFA 2011 Denver Meetings Paper, NYU Tandon Research Paper No. 1306495
Number of pages: 66 Posted: 25 Nov 2008 Last Revised: 26 Jun 2017
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,035
9.

What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities

Number of pages: 21 Posted: 03 Sep 2004
Working Paper Series
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,961
10.

Modeling Financial Security Returns Using Levy Processes

Number of pages: 60 Posted: 28 Dec 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,790
11.

Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads

Number of pages: 50 Posted: 16 Aug 2005
Working Paper Series
Fordham University - Gabelli School of Business, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,715
12.

Asset Pricing and Ambiguity: Empirical Evidence

NYU Working Paper No. 2451/31453
Number of pages: 57 Posted: 31 Jan 2012 Last Revised: 29 Nov 2017
Working Paper Series
New York University (NYU) - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 1,679
13.

Time-Varying Arrival Rates of Informed and Uninformed Trades

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 21 Dec 2001
Working Paper Series
Cornell University - Department of Economics, City University of New York, CUNY Baruch College - Zicklin School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,613
14.

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives

Number of pages: 44 Posted: 08 Oct 2002
Working Paper Series
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,557
15.

A Tale of Two Indices

Number of pages: 38 Posted: 28 Dec 2005
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,533
16.

Stochastic Skew in Currency Options

EFA 2004 Maastricht Meetings Paper No. 1426
Number of pages: 48 Posted: 30 Jun 2004
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering

Multiple version iconThere are 2 versions of this paper

Downloads 1,512
17.

Accounting for Biases in Black-Scholes

Number of pages: 46 Posted: 03 Sep 2004
Working Paper Series
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,291
18.

Uncovered Interest Rate Parity Over the Past Two Centuries

Number of pages: 39 Posted: 02 Sep 2004
Working Paper Series
Fordham University - Gabelli School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,236
19.

Predictability of Interest Rates and Interest-Rate Portfolios

Number of pages: 55 Posted: 03 Aug 2006
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,208
20.

The Role of Proxy Advisory Firms: Evidence from a Regression-Discontinuity Design

Review of Financial Studies, Vol. 29, No. 12, December 2016
Number of pages: 45 Posted: 19 Nov 2014 Last Revised: 20 Jan 2017
Accepted Paper Series
Boston College - Carroll School of Management and Baruch College (CUNY)
Downloads 1,181
21.

The Dark Side of Trading

Emory Law and Economics Research Paper No. 11-95, Emory Public Law Research Paper No. 11-143, AFA 2012 Chicago Meetings Paper
Number of pages: 54 Posted: 04 Feb 2011
Working Paper Series
Emory University - Department of Accounting, Florida International University and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,124
22.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Working Paper Series
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,111
23.

Venture Capital Reputation and Investment Performance

Journal of Financial Economics (JFE), 2008 (90), 127-151
Number of pages: 64 Posted: 04 Jun 2008 Last Revised: 15 Jan 2013
Accepted Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 1,020
24.

Time-Changed Levy Process and Option Pricing

Number of pages: 35 Posted: 26 Sep 2001
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 997
25.

Liquidity Risk and Mutual Fund Performance

AEA 2012 Chicago Meetings Paper
Number of pages: 63 Posted: 15 Mar 2011 Last Revised: 15 Jan 2017
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Boston University and Boston College - Carroll School of Management
Downloads 987
26.

Venture Capital Conflicts of Interest: Evidence from Acquisitions of Venture Backed Firms

Journal of Financial and Quantitative Analysis (JFQA), 2011 (46), 395-430
Number of pages: 46 Posted: 29 Mar 2007 Last Revised: 15 Jan 2013
Accepted Paper Series
University of New South Wales - Australian School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 954
27.

Quadratic Term Structure Models

LEWU 2000
Number of pages: 54 Posted: 21 Feb 2000
Working Paper Series
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 924
28.

Pricing Stock Options with Stochastic Interest Rate

NYU Working Paper No. 2451/30272
Number of pages: 46 Posted: 15 Oct 2011
Working Paper Series
Bar-Ilan University - Graduate School of Business Administration and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 875
29.

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 16 Apr 2013
Working Paper Series
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 861
30.

Simple Robust Linkages between CDS and Equity Options

Number of pages: 46 Posted: 25 Mar 2008
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 777
31.

A Simple Robust Link between American Puts and Credit Protection

Bloomberg Portfolio Research Paper No. 2009-07-FRONTIERS
Number of pages: 62 Posted: 25 Nov 2008 Last Revised: 06 Nov 2010
Accepted Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 755
32.

Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

Robert H. Smith School Research Paper No. RHS 06-154
Number of pages: 45 Posted: 09 May 2005 Last Revised: 13 Feb 2011
Working Paper Series
New York University Finance and Risk Engineering, City University of New York, CUNY Baruch College - Zicklin School of Business and Fox School of Business
Downloads 753
33.

Crowdsourced Employer Reviews and Stock Returns

Journal of Financial Economics, Forthcoming, 8th Miami Behavioral Finance Conference 2017
Number of pages: 63 Posted: 19 Jul 2017 Last Revised: 03 Aug 2018
Accepted Paper Series
Emory University - Department of Finance, Moody's Corporation - San Francisco Office, Georgetown University - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 738
34.

Variance Dynamics: Joint Evidence from Options and High-Frequency Returns

Number of pages: 43 Posted: 15 Mar 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 735
35.

Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency

Number of pages: 56 Posted: 16 Mar 2005
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 688
36.

Market Pricing of Economic Risks and Stock Returns

Number of pages: 36 Posted: 25 Mar 2008
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and Fordham University - Gabelli School of Business
Downloads 687
37.

A Theoretical Foundation of Ambiguity Measuremet

Number of pages: 42 Posted: 20 Dec 2014 Last Revised: 20 Jul 2017
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 680
38.

Financial Contracting with Strategic Investors: Evidence from Corporate Venture Capital Backed IPOs

Journal of Financial Intermediation, 2009 (18), 599-631
Number of pages: 52 Posted: 25 Mar 2008 Last Revised: 15 Jan 2013
Accepted Paper Series
University of New South Wales - Australian School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 675
39.

The Performance of Stocks that are Reverse Split

Number of pages: 31 Posted: 06 May 2006
Working Paper Series
City University of New York (CUNY) - Baruch College - Zicklin School of Business and City University of New York (CUNY) - Baruch College - Zicklin School of Business
Downloads 662
40.

Ambiguity and Overconfidence

Number of pages: 49 Posted: 02 Mar 2011 Last Revised: 01 Aug 2015
Working Paper Series
New York University (NYU) - Department of Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Hebrew University of Jerusalem - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 658
41.

Anchoring Credit Default Swap Spreads to Firm Fundamentals

Journal of Financial and Quantitative Analysis (JFQA), Vol. 51, No. 5, 2016
Number of pages: 59 Posted: 15 Mar 2012 Last Revised: 29 Jul 2018
Accepted Paper Series
Georgetown University - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 657
42.

The Impact of Dividend Tax Cut and Managerial Stock Holdings on Firm's Dividend Policy

EFMA 2004 Basel Meetings Paper
Number of pages: 26 Posted: 28 May 2004
Working Paper Series
Pace University - Lubin School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and University of New Orleans - College of Business Administration - Department of Economics and Finance
Downloads 652
43.

Capital Asset Pricing Under Ambiguity

NYU Working Paper No. 2451/31464
Number of pages: 35 Posted: 20 Feb 2012 Last Revised: 10 Sep 2013
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 648
44.

A Comprehensive Analysis of the Short-Term Interest Rate Dynamics

Number of pages: 33 Posted: 15 Apr 2005
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 623
45.

Systematic Movements in Macroeconomic Releases and the Term Structure of Interest Rates

EFA 2006 Zurich Meetings
Number of pages: 39 Posted: 28 Jul 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and University of Michigan at Ann Arbor
Downloads 613
46.

Simple Robust Hedging with Nearby Contracts

Number of pages: 54 Posted: 02 Nov 2010
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and University of Utah

Multiple version iconThere are 2 versions of this paper

Downloads 609
47.

Price Discovery in the U.S. Stock Options Market

Number of pages: 38 Posted: 03 Sep 2004
Working Paper Series
Fordham University - Gabelli School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 600
48.

The Uncertainty Premium in an Ambiguous Economy

Number of pages: 44 Posted: 12 Dec 2006 Last Revised: 28 May 2012
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Tel Aviv University - Faculty of Management
Downloads 589
49.

A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 37 Posted: 27 Feb 2002
Working Paper Series
Fordham University - Finance Area, City University of New York, CUNY Baruch College - Zicklin School of Business and Georgia State University - Department of Finance
Downloads 588
50.

Design and Estimation of Multi-Currency Quadratic Models

Number of pages: 54 Posted: 15 Jan 2004
Working Paper Series
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 584