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Baruch College Zicklin School of Business

Baruch College Zicklin School of Business

10,180 Total downloads

Viewing: 1 - 49 of 49 papers

1.

Closed Form Solutions in Economics

Number of pages: 509 Posted: 15 Nov 2013 Last Revised: 15 Nov 2014
Working Paper Series
City University of New York - Department of Real Estate
Downloads 2,897
2.

Closed Form Solutions in Asset Pricing

Number of pages: 115 Posted: 15 Jun 2014
Working Paper Series
City University of New York - Department of Real Estate
Downloads 507
3.

Evidence of Competition in the Leveraged Buyout Market

Number of pages: 28 Posted: 20 Mar 2007
Working Paper Series
Syracuse University - Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 496
4.

Dynamic Correlations Among Asset Classes: REIT and Stock Returns

Journal of Real Estate Finance and Economics, Forthcoming
Number of pages: 41 Posted: 08 Feb 2011
Working Paper Series
National Association of Real Estate Investment Trusts®, affiliation not provided to SSRN and Zicklin School of Business, Baruch College - The City University of New York
Downloads 415
5.

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance

Number of pages: 66 Posted: 30 Aug 2012
Working Paper Series
National Association of Real Estate Investment Trusts®, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York

Multiple version iconThere are 2 versions of this paper

Downloads 401
6.

Pricing Treasury Inflation Protected Securities and Related Derivatives Using an Hjm Model

Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, pp. 337-359, June 2003
Number of pages: 34 Posted: 06 Oct 2004 Last Revised: 03 Feb 2011
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 394
7.

Governance Effects of LBO Events

Number of pages: 35 Posted: 17 Mar 2008
Working Paper Series
Syracuse University - Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 291
8.

Does Collateral Value Affect Asset Prices? Evidence from a Natural Experiment in Texas

Number of pages: 54 Posted: 30 Jul 2016 Last Revised: 03 Aug 2018
Working Paper Series
City University of New York - Department of Real Estate
Downloads 268
9.

Estimating Default Probabilities Implicit in Commercial Mortgage Backed Securities (CMBS)

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009
Number of pages: 21 Posted: 27 Feb 2009 Last Revised: 11 Feb 2011
Accepted Paper Series
University of Georgia - Department of Insurance, Legal Studies, Real Estate, University of Cergy-Pontoise and Zicklin School of Business, Baruch College - The City University of New York
Downloads 251
10.

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Johnson School Research Paper Series No. 18-2011
Number of pages: 39 Posted: 04 Dec 2010 Last Revised: 25 May 2015
Working Paper Series
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

Multiple version iconThere are 3 versions of this paper

Downloads 246
11.

The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence

Number of pages: 39 Posted: 25 May 2009
Working Paper Series
National University of Singapore, Pennsylvania State University, National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York
Downloads 239
12.

Default and Idiosyncratic Risk Anomalies Revisited

Number of pages: 42 Posted: 15 Nov 2011
Working Paper Series
Goethe University Frankfurt, University of Frankfurt, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 232
13.

The Cost of Operational Risk Loss Insurance

Review of Derivatives Research, Vol. 13, No. 3, 2010, Johnson School Research Paper Series No. 19-2011
Number of pages: 27 Posted: 07 Feb 2011 Last Revised: 27 Mar 2011
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of St. Thomas and Zicklin School of Business, Baruch College - The City University of New York
Downloads 217
14.

Regulating Mortgage Leverage: Fire Sales, Foreclosure Spirals and Pecuniary Externalities

Number of pages: 79 Posted: 16 Nov 2014 Last Revised: 25 Mar 2017
Working Paper Series
City University of New York - Department of Real Estate
Downloads 205
15.

Operational Risk and Equity Prices

Number of pages: 43 Posted: 21 Nov 2011 Last Revised: 07 Sep 2018
Working Paper Series
Providence College and Zicklin School of Business, Baruch College - The City University of New York
Downloads 195
16.

Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium

Number of pages: 51 Posted: 18 Oct 2011 Last Revised: 12 Nov 2012
Working Paper Series
Shih Chien University, National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York
Downloads 193
17.

Modeling Credit Risk with Partial Information

Annals of Applied Probability, Forthcoming, Johnson School Research Paper Series No. 4-2013
Number of pages: 14 Posted: 14 Nov 2012 Last Revised: 07 Feb 2013
Working Paper Series
Cornell University - Cornell Theory Center (CTC), Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 178
18.

Empirical Investigation of Covered Interest Rate Parity in Developed and Emerging Markets

Number of pages: 54 Posted: 02 Jul 2012
Working Paper Series
Ozyegin University, Center For Computational Finance and Zicklin School of Business, Baruch College - The City University of New York
Downloads 171
19.

Pricing of Firm Specific Jump Risk

Number of pages: 47 Posted: 19 Sep 2012 Last Revised: 24 Oct 2012
Working Paper Series
Goethe University Frankfurt, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York
Downloads 170
20.

The Subprime Virus: Theory and Evidence

Number of pages: 36 Posted: 21 May 2010 Last Revised: 03 Feb 2011
Working Paper Series
National University of Singapore, Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 166
21.

Estimating Default Probabilities of CMBS Loans With Clustering and Heavy Censoring

Journal of Real Estate Finance and Economics, Vol. 37, No. 2, 2008
Number of pages: 27 Posted: 16 Nov 2007 Last Revised: 03 Feb 2011
Accepted Paper Series
Zicklin School of Business, Baruch College - The City University of New York
Downloads 165
22.

Default and Prepayment Modelling in Participating Mortgages

Number of pages: 30 Posted: 09 Jun 2014 Last Revised: 28 Dec 2015
Working Paper Series
Borsa ?stanbul - Research Dept. and Zicklin School of Business, Baruch College - The City University of New York
Downloads 157
23.

Housing Prices and the Optimal Time-on-The-Market Decision

Number of pages: 14 Posted: 13 Apr 2011 Last Revised: 07 Jun 2011
Working Paper Series
University of Melbourne, Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Cincinnati - Department of Finance - Real Estate and Zicklin School of Business, Baruch College - The City University of New York
Downloads 135
24.

A Reduced-Form Model for Lease Contract Valuation with Embedded Options

Number of pages: 62 Posted: 21 Oct 2011 Last Revised: 20 Dec 2017
Working Paper Series
National Central University at Taiwan - Department of Finance, Shih Chien University, National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York
Downloads 130
25.

The Effects of LBO Events on Industry Rivals

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 40 Posted: 21 Feb 2011 Last Revised: 02 Oct 2011
Working Paper Series
University of St. Thomas and Zicklin School of Business, Baruch College - The City University of New York
Downloads 128
26.

Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases

Number of pages: 37 Posted: 26 Apr 2014 Last Revised: 26 Jan 2018
Working Paper Series
Zicklin School of Business, Baruch College - The City University of New York, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 127
27.

Modelling Default Risk: A New Structural Approach

Finance Research Letters, Forthcoming
Number of pages: 12 Posted: 08 Feb 2011
Accepted Paper Series
Zicklin School of Business, Baruch College - The City University of New York
Downloads 124
28.

Soft Liquidity Constraints and Consumption: Evidence from Macro Prudential Policy in Turkey

Number of pages: 50 Posted: 26 Feb 2015 Last Revised: 13 Dec 2017
Working Paper Series
National University of Singapore, Whitman School of Management, Syracuse University, National University of Singapore (NUS) and Zicklin School of Business, Baruch College - The City University of New York
Downloads 121
29.

Credit Risk and the Term Structure of Lease Rates: A Reduced Form Approach

Journal of Real Estate Finance and Economics, Vol. 37, No. 3, 2008
Number of pages: 26 Posted: 01 Oct 2008 Last Revised: 03 Feb 2011
Accepted Paper Series
Pennsylvania State University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 105
30.

Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices

Journal of Risk, Vol. 5, No. 1, Fall 2002
Number of pages: 39 Posted: 06 Oct 2004 Last Revised: 01 Jun 2013
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Department of Computer Science and Zicklin School of Business, Baruch College - The City University of New York
Downloads 105
31.

Estimating Default Probabilities Implicit in Equity Prices

Journal of Investment Management, Vol. 1, No 1, First Quarter 2003
Number of pages: 38 Posted: 02 Apr 2004 Last Revised: 12 Nov 2012
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Department of Computer Science and Zicklin School of Business, Baruch College - The City University of New York
Downloads 96
32.

Local Labor Market Shocks and Residential Mortgage Payments: Evidence from Shale Oil and Gas Booms

USAEE Working Paper, Forthcoming
Number of pages: 38 Posted: 05 May 2016
Working Paper Series
University of Tulsa - Collins College of Business and Louisiana State University, Baton Rouge
Downloads 92
33.

The Dynamics of Operational Loss Clustering

Journal of Banking and Finance, Forthcoming
Number of pages: 30 Posted: 07 Feb 2011
Accepted Paper Series
Syracuse University - M. J. Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 89
34.

Price Discovery in Real Estate Markets: A Dynamic Analysis

Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 2011
Number of pages: 49 Posted: 29 Aug 2010 Last Revised: 11 Feb 2011
Accepted Paper Series
University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics and Zicklin School of Business, Baruch College - The City University of New York
Downloads 88
35.

Leverage, Options Liabilities, and Corporate Bond Pricing

Review of Derivatives Research, Vol. 11, No. 3, 2008
Number of pages: 37 Posted: 07 Feb 2011
Accepted Paper Series
National Central University at Taiwan and Zicklin School of Business, Baruch College - The City University of New York
Downloads 64
36.

Portfolio Balance Effects and the Equity Market

Number of pages: 32 Posted: 29 Oct 2015
Working Paper Series
Zicklin School of Business, Baruch College - The City University of New York, Cornell University - Samuel Curtis Johnson Graduate School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 58
37.

Drafting and Securitizing Participation Mortgages: A Re-Introduction

Number of pages: 37 Posted: 23 Feb 2015
Working Paper Series
Independent and Zicklin School of Business, Baruch College - The City University of New York
Downloads 53
38.

To Accept or Not Accept: Optimal Strategy for Sellers in Real Estate

Number of pages: 42 Posted: 02 Jun 2013 Last Revised: 28 Jan 2018
Working Paper Series
Zicklin School of Business, Baruch College - The City University of New York, University of Wisconsin - School of Business - Department of Real Estate and Urban Land Economics and Zicklin School of Business, Baruch College - The City University of New York
Downloads 52
39.

The Impact of Policy Decisions on Global Liquidity During the Recent Financial Crisis

Number of pages: 22 Posted: 10 Feb 2015
Working Paper Series
Center For Computational Finance, Ozyegin University, Providence College and Zicklin School of Business, Baruch College - The City University of New York
Downloads 40
40.

A Revealed Preference Approach to Estimating Strategic Mortgage Default

Number of pages: 48 Posted: 13 Jun 2017
Working Paper Series
University of Tulsa - Collins College of Business, Louisiana State University and Louisiana State University - E.J. Ourso College of Business Administration
Downloads 33
41.

The Choice of Public vs. Private Equity: Evidence from the SEO and Pipe Markets

Number of pages: 41 Posted: 18 Mar 2008 Last Revised: 06 Apr 2016
Working Paper Series
Bocconi University, Syracuse University - Whitman School of Management and Zicklin School of Business, Baruch College - The City University of New York
Downloads 30
42.

Income Stability and Mortgage Default

Number of pages: 27 Posted: 19 Jul 2017
Working Paper Series
University of Tulsa - Collins College of Business and Louisiana State University - E.J. Ourso College of Business Administration
Downloads 25
43.

Housing Wealth, Credit Availability, and College Enrollment

Number of pages: 33 Posted: 14 Sep 2014 Last Revised: 05 Nov 2015
Working Paper Series
University of Tulsa - Collins College of Business and Louisiana State University, Baton Rouge
Downloads 22
44.

Why Do Public Firms Issue Private Equity?

Posted: 22 Mar 2009
Working Paper Series
Zicklin School of Business, Baruch College - The City University of New York, Syracuse University - Whitman School of Management and Bocconi University
Downloads 9
45.

Cash Demand and Consumption Response to Unanticipated Monetary Policy Shock: Evidence from Turkey

Georgetown McDonough School of Business Research Paper No. 2913973
Posted: 09 Feb 2017 Last Revised: 05 Aug 2018
Working Paper Series
National University of Singapore, Office of the Comptroller of the Currency (OCC), Zicklin School of Business, Baruch College - The City University of New York and Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences
46.

Dynamic Correlations Among Classes: REIT and Stock Returns

Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012
Posted: 22 Feb 2012
Accepted Paper Series
National Association of Real Estate Investment Trusts®, affiliation not provided to SSRN and Zicklin School of Business, Baruch College - The City University of New York
47.

Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices

Real Estate Economics, Forthcoming
Posted: 07 Feb 2013 Last Revised: 25 May 2015
Accepted Paper Series
Goethe University Frankfurt, Cornell University - Samuel Curtis Johnson Graduate School of Management, Goethe University Frankfurt and Zicklin School of Business, Baruch College - The City University of New York

Multiple version iconThere are 3 versions of this paper

48.

Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence

Real Estate Economics, Forthcoming
Posted: 28 Sep 2012
Accepted Paper Series
National Association of Real Estate Investment Trusts®, Bocconi University - Department of Finance and Zicklin School of Business, Baruch College - The City University of New York
49.

The Impact of Tenant Diversification on Spreads and Default Rates for Mortgages on Retail Properties

Journal of Real Estate Finance and Economics, Vol. 56, No. 1, 2018, Baruch College Zicklin School of Business Research Paper No. 2018-02-07
Posted: 08 Feb 2018 Last Revised: 27 Feb 2018
Accepted Paper Series
Pennsylvania State University, Providence College and Zicklin School of Business, Baruch College - The City University of New York