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Microeconomics: General Equilibrium & Disequilibrium eJournal, Archives of Vols. 1-2, 2009-10

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1.

Exercises in Advanced Risk and Portfolio Management (ARPM) with Solutions and Code

Number of pages: 281 Posted: 11 Aug 2009 Last Revised: 08 Mar 2016
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 23,516
2.

The Equity Premium in 150 Textbooks

Number of pages: 25 Posted: 14 Sep 2009 Last Revised: 20 Nov 2015
Working Paper Series
University of Navarra - IESE Business School
Downloads 12,361
3.

Equity Risk Premiums (ERP): Determinants, Estimation and Implications - A Post-Crisis Update

Number of pages: 86 Posted: 24 Oct 2009 Last Revised: 20 Feb 2010
Working Paper Series
New York University - Stern School of Business
Downloads 6,818
4.

Calibration Methods of Hull-White Model

Number of pages: 43 Posted: 29 Nov 2009 Last Revised: 31 May 2010
Working Paper Series
Mizuho Securities Co. Ltd - Mizuho International, Mizuho Securities Co. Ltd and affiliation not provided to SSRN
Downloads 5,772
5.

Does Corporate Social Responsibility Affect The Performance of Firms?

FEEM Working Paper No. 52.2009
Number of pages: 47 Posted: 09 Aug 2009
Working Paper Series
University of Brescia - Department of Economics and University of Ferrara

Multiple version iconThere are 2 versions of this paper

Downloads 4,319
6.

How Should Individual Investors Diversify? An Empirical Evaluation of Alternative Asset Allocation Policies

Journal of Financial Markets, 19, 62-85
Number of pages: 47 Posted: 13 Sep 2009 Last Revised: 10 Jul 2014
Accepted Paper Series
University of Mannheim, Finance Department, German Graduate School of Management and Law and University of Mannheim - Department of Banking and Finance
Downloads 3,993
7.

Solving the Puzzle in the Interest Rate Market

Number of pages: 45 Posted: 15 Nov 2009 Last Revised: 18 Nov 2009
Working Paper Series
Banca IMI
Downloads 3,981
8.

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 22 Mar 2009 Last Revised: 24 Jun 2012
Accepted Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,526
9.

A Comparative Study of Insider Trading Regulation Enforcement In the U.S. and China

Journal of Business & Securities Law, Vol. 9, No. 1, Fall 2008
Number of pages: 34 Posted: 23 Feb 2007 Last Revised: 16 Aug 2010
Accepted Paper Series
Davis Polk & Wardwell LLP
Downloads 3,105
10.

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 18 Jun 2012
Working Paper Series
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management

Multiple version iconThere are 2 versions of this paper

Downloads 3,035
11.

Trust and Delegation

Number of pages: 43 Posted: 17 Aug 2009 Last Revised: 20 May 2011
Working Paper Series
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine

Multiple version iconThere are 3 versions of this paper

Downloads 2,893
12.

Accounting Conservatism and Stock Price Crash Risk: Firm-Level Evidence

Contemporary Accounting Research, Forthcoming
Number of pages: 65 Posted: 15 Dec 2009 Last Revised: 29 Nov 2013
Accepted Paper Series
University of Waterloo and Singapore Management University - School of Accountancy

Multiple version iconThere are 2 versions of this paper

Downloads 2,878
13.

Smile Dynamics IV

Number of pages: 12 Posted: 13 Dec 2009
Working Paper Series
Societe Generale
Downloads 2,699
14.

Islamic Mutual Funds’ Financial Performance and International Investment Style: Evidence from 20 Countries

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 12 Oct 2009 Last Revised: 18 Dec 2010
Accepted Paper Series
Smurfit Graduate Business School, University College Dublin, University of Technology Sydney (UTS) and Sociovestix Labs - a DFKI spin-off
Downloads 2,671
15.

A Reference Point Theory of Mergers and Acquisitions

AFA 2010 Atlanta Meetings Paper
Number of pages: 47 Posted: 23 Mar 2009 Last Revised: 23 Nov 2009
Working Paper Series
Harvard Business School, Harvard University and NYU Stern School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 2,432
16.

Banking Risk Management in India and RBI Supervision

Number of pages: 26 Posted: 14 Sep 2009
Working Paper Series
BIMTECH and O.P. Jindal Global University (JGU)
Downloads 2,355
17.

Sentiment and Momentum

Number of pages: 54 Posted: 27 Sep 2009 Last Revised: 09 Mar 2014
Working Paper Series
Old Dominion University - Strome College of Business, University of Warwick - Warwick Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 2,338
18.

Financial Crisis of 2007-2010

Number of pages: 38 Posted: 12 Jan 2011 Last Revised: 15 Aug 2011
Working Paper Series
State University of New York at Buffalo - Department of Economics
Downloads 2,314
19.

A Market Model of Interest Rates with Dynamic Basis Spreads in the Presence of Collateral and Multiple Currencies

Number of pages: 25 Posted: 08 Dec 2009
Working Paper Series
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 2,253
20.

The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research?

European Financial Management, Forthcoming
Number of pages: 47 Posted: 26 Aug 2009 Last Revised: 30 Sep 2009
Accepted Paper Series
University of California, Los Angeles (UCLA) - Finance Area

Multiple version iconThere are 2 versions of this paper

Downloads 2,203
21.

How Do Hedge Fund Clones Manage the Real World?

Journal of Alternative Investments, Forthcoming
Number of pages: 21 Posted: 26 Aug 2009 Last Revised: 11 Nov 2009
Accepted Paper Series
Tages Capital LLP, University of Applied Sciences Western Switzerland - Geneva School of Business Administration and Julius Baer Bank
Downloads 1,969
22.

How do Individual Investors React to Global IFRS Adoption?

AAA 2010 Financial Accounting and Reporting Section (FARS) Paper
Number of pages: 52 Posted: 22 Aug 2009 Last Revised: 02 Aug 2012
Working Paper Series
Humboldt University of Berlin - School of Business and Economics, University of Mannheim - Accounting and Taxation, University of Cologne and London School of Economics & Political Science (LSE)
Downloads 1,952
23.

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Journal of Finance, 2013, Vol. 68, No. 5, pp. 1805-1841
Number of pages: 69 Posted: 14 Aug 2009 Last Revised: 13 Oct 2013
Accepted Paper Series
University of Lugano - Institute of Finance, University of St. Gallen and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 1,914
24.

Diversification in Funds of Hedge Funds: Is it Possible to Overdiversify?

Number of pages: 40 Posted: 22 Jul 2009 Last Revised: 09 Jul 2011
Working Paper Series
New York University - Stern School of Business, SUNY College at Plattsburgh and SUNY College at Plattsburgh - School of Business and Economics
Downloads 1,907
25.

Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis

Journal of Finance, Forthcoming
Number of pages: 64 Posted: 10 Nov 2009 Last Revised: 22 Aug 2011
Accepted Paper Series
Cass Business School and University of Naples Federico II - Department of Economics and Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 1,877
26.

A Profitable Trading and Risk Management Strategy Despite Transaction Cost

Quantitative Finance, Forthcoming
Number of pages: 28 Posted: 21 Nov 2009 Last Revised: 16 Mar 2010
Accepted Paper Series
University of Michigan at Ann Arbor and LexPredict, LLC
Downloads 1,871
27.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010
Working Paper Series
University of Southern California, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,859
28.

Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Swiss Finance Institute Research Paper No. 09-15
Number of pages: 54 Posted: 12 Jun 2009
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC) and ETH Zurich

Multiple version iconThere are 2 versions of this paper

Downloads 1,837
29.

Applied Value Investing

APPLIED VALUE INVESTING, McGraw-Hill, August 2009
Number of pages: 13 Posted: 16 Aug 2009
Accepted Paper Series
Fordham University - Gabelli Center for Global Security Analysis
Downloads 1,805
30.

Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure

Journal of Banking and Finance, Vol. 37, No. 7, 2013
Number of pages: 37 Posted: 12 Feb 2009 Last Revised: 10 Nov 2015
Accepted Paper Series
SKEMA Business School - Lille Campus and Audencia School of Management
Downloads 1,777
31.

Nature or Nurture: What Determines Investor Behavior?

Fourth Singapore International Conference on Finance 2010 Paper
Number of pages: 56 Posted: 02 Sep 2009 Last Revised: 04 Mar 2010
Working Paper Series
HEC Montreal, University of Miami - Department of Finance and University of Washington - Michael G. Foster School of Business
Downloads 1,716
32.

On the Heston Model with Stochastic Interest Rates

SIAM Journal on Financial Mathematics 2, 255–286, 2011,
Number of pages: 25 Posted: 15 Apr 2009 Last Revised: 06 Aug 2014
Accepted Paper Series
Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 1,653
33.

An Economic Analysis of Fair Value: Accounting as a Vector of Crisis

Cournot Centre for Economic Studies, Prisme, No. 15, 2009
Number of pages: 44 Posted: 17 Sep 2009 Last Revised: 11 Jul 2010
Accepted Paper Series
Banque de France (Microeconomic research unit), French National Center for Scientific Research (CNRS) and National Center for Scientific Research (CNRS)
Downloads 1,631
34.

Capital Market Effects of Mandatory IFRS Reporting in the EU: Empirical Evidence

Number of pages: 85 Posted: 13 Dec 2009 Last Revised: 20 Nov 2011
Working Paper Series
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Downloads 1,597
35.

The Cross-Sectional Dispersion of Stock Returns, Alpha and the Information Ratio

Journal of Investing, Forthcoming
Number of pages: 37 Posted: 06 Aug 2009 Last Revised: 09 Feb 2010
Accepted Paper Series
California Polytechnic State University, Analytic Investors, Inc. and Washburn University School of Business
Downloads 1,572
36.

Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model and the Efficient Pricing and Greeks for Callable Range Accruals

Number of pages: 46 Posted: 26 Aug 2009 Last Revised: 27 Feb 2010
Working Paper Series
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 1,544
37.

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 1,519
38.

Liquidity Risk and the Cross-Section of Hedge-Fund Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 36 Posted: 22 Mar 2009 Last Revised: 12 Nov 2009
Accepted Paper Series
Boston College - Carroll School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,502
39.

Pricing of Commercial Real Estate Securities during the 2007-2009 Financial Crisis

Number of pages: 77 Posted: 08 Sep 2009 Last Revised: 29 Jul 2011
Working Paper Series
Tilburg University - Department of Finance and Man AHL
Downloads 1,456
40.

Private Equity and Industry Performance

Harvard Business School Entrepreneurial Management Working Paper No. 10-045, AFA 2011 Denver Meetings Paper
Number of pages: 49 Posted: 18 Dec 2009 Last Revised: 29 Aug 2011
Working Paper Series
Stanford Graduate School of Business, Harvard Business School - Finance Unit, Copenhagen Business School and Swedish House of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,432
41.

Do Earnings Estimates Add Value to Sell-Side Analysts' Investment Recommendations?

Management Science, Forthcoming
Number of pages: 48 Posted: 26 Sep 2009 Last Revised: 28 Jul 2016
Accepted Paper Series
York University - Schulich School of Business, Johnson@Cornell Tech, Cornell University and University of Toronto - Rotman School of Management (Deceased)
Downloads 1,403
42.

Recession in Indian Banking Sector

Number of pages: 14 Posted: 28 Oct 2009
Working Paper Series
Adthya Institute Of Technology, Adithya Institute of Technology and PSGR Krishnammal College for Women - Department of Management
Downloads 1,377
43.

Determinants of Dividend Policy in Chinese Firms: Cash Versus Stock Dividends

Number of pages: 43 Posted: 27 Sep 2009
Working Paper Series
Australian National University, Research School of Finance, Actuarial Studies and Applied Statistics, Bowling Green State University - College of Business Administration, RMIT University - School of Economics, Finance and Marketing and University of Melbourne - Department of Finance
Downloads 1,343
44.

Transient Linear Price Impact and Fredholm Integral Equations

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 05 Jan 2010 Last Revised: 03 May 2011
Accepted Paper Series
CUNY Baruch College, University of Mannheim and Technische Universität München (TUM)

Multiple version iconThere are 2 versions of this paper

Downloads 1,315
45.

Dragon-Kings, Black Swans and the Prediction of Crises

Swiss Finance Institute Research Paper No. 09-36
Number of pages: 21 Posted: 08 Sep 2009
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)

Multiple version iconThere are 2 versions of this paper

Downloads 1,309
46.

The Credit Default Swap (CDS) Market

Tresor Economics, No. 52, February 2009
Number of pages: 8 Posted: 05 Oct 2009 Last Revised: 29 Dec 2010
Accepted Paper Series
International Monetary Fund (IMF)
Downloads 1,304
47.

Systemic Risk and the Refinancing Ratchet Effect

MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Number of pages: 62 Posted: 15 Sep 2009 Last Revised: 05 Feb 2012
Working Paper Series
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,270
48.

Bankruptcy of Lehman Brothers: A Pointer of Subprime Crisis

The Accounting World, Vol. 9, No. 6, pp 33-39, 2009
Number of pages: 7 Posted: 18 Nov 2009 Last Revised: 11 Nov 2011
Accepted Paper Series
ICFAI Business School (IBS)
Downloads 1,259
49.

A Survey on Modeling and Analysis of Basis Spreads

Number of pages: 10 Posted: 08 Dec 2009
Working Paper Series
University of Tokyo - Faculty of Economics, Shinsei Bank, Ltd and University of Tokyo - Faculty of Economics
Downloads 1,247
50.

Mutual Funds: An Influential Review of Studies in Performance, Persistence, Investment Styles, Managerial Skills, Fund Characteristics and Behavioral Patterns

Number of pages: 245 Posted: 07 Oct 2009
Working Paper Series
University of St Andrews - School of Management
Downloads 1,233