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Econometrics: Applied Econometric Modeling in Financial Economics eJournal, Archives of Vols. 1-2, 2011-12

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Viewing: 1 - 50 of 1,896 papers

1.

The Norway Model

Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81,
Number of pages: 17 Posted: 04 Oct 2011 Last Revised: 20 Mar 2016
Accepted Paper Series
University of Cambridge - Judge Business School, Department of Finance & Accounting, University of Cambridge - Judge Business School and AQR Capital Management
Downloads 6,908
2.

Momentum Strategies in Futures Markets and Trend-following Funds

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 60 Posted: 06 Dec 2011 Last Revised: 12 Oct 2015
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads 6,337
3.

Equity Premia Around the World

Number of pages: 19 Posted: 08 Oct 2011 Last Revised: 19 Mar 2016
Working Paper Series
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 5,196
4.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 25 Apr 2012
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 4,594
5.

A Survey of Systemic Risk Analytics

U.S. Department of Treasury, Office of Financial Research No. 0001
Number of pages: 165 Posted: 11 Jan 2012 Last Revised: 16 Mar 2016
Working Paper Series
Massachusetts Institute of Technology (MIT), Government of the United States of America - Office of Financial Research, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT)

Multiple version iconThere are 2 versions of this paper

Downloads 4,413
6.

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.,
Number of pages: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 4,328
7.

High Frequency Trading and Price Discovery

Number of pages: 61 Posted: 12 Oct 2011 Last Revised: 26 Apr 2013
Working Paper Series
University of Washington - Department of Finance and Business Economics, University of California, Berkeley - Haas School of Business and Queen's School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,256
8.

The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal

ECB Working Paper No. 1419
Number of pages: 61 Posted: 06 Feb 2012
Working Paper Series
European Central Bank (ECB) - Directorate General Economics
Downloads 4,114
9.

Complexity, Innovation and the Regulation of Modern Financial Markets

(2012) 2:2 Harvard Business Law Review 235-294, Oxford Legal Studies Research Paper No. 49/2011
Number of pages: 60 Posted: 25 Aug 2011 Last Revised: 16 Jan 2017
Accepted Paper Series
University of Oxford, Faculty of Law
Downloads 4,033
10.

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Betriebswirtschaftliche Forschung & Praxis, 65 (5), pp. 469-492, CEFS Working Paper 01-2011
Number of pages: 32 Posted: 17 Nov 2011 Last Revised: 13 Nov 2013
Accepted Paper Series
Robeco Asset Management - Quantitative Strategies, Technische Universität München (TUM) and University of Marburg - School of Business & Economics
Downloads 3,956
11.

Properties of the Most Diversified Portfolio

Journal of Investment Strategies, Vol.2(2), Spring 2013, pp.49-70.
Number of pages: 30 Posted: 27 Jul 2011 Last Revised: 22 May 2017
Accepted Paper Series
TOBAM, TOBAM and TOBAM
Downloads 3,849
12.

Household Balance Sheets, Consumption, and the Economic Slump

Chicago Booth Research Paper No. 13-42, Fama-Miller Working Paper
Number of pages: 50 Posted: 18 Nov 2011 Last Revised: 07 Jun 2013
Working Paper Series
Princeton University - Department of Economics, MasterCard Advisors and University of Chicago - Booth School of Business
Downloads 3,728
13.

Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-Hypothecation, WWR, Basel, Funding, CCDS and Margin Lending

Number of pages: 57 Posted: 05 Nov 2011 Last Revised: 18 Jun 2012
Working Paper Series
Imperial College London - Department of Mathematics
Downloads 3,712
14.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads 3,675
15.

Fully Integrated Liquidity and Market Risk Model

Financial Analysts Journal, Forthcoming
Number of pages: 22 Posted: 13 May 2011 Last Revised: 20 Feb 2013
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 3,153
16.

The End of Market Discipline? Investor Expectations of Implicit Government Guarantees

Number of pages: 58 Posted: 19 Nov 2011 Last Revised: 12 Jun 2016
Working Paper Series
New York University - Leonard N. Stern School of Business, World Bank Research and Syracuse University - College of Law
Downloads 3,146
17.

Speculative Betas

Journal of Finance, Forthcoming
Number of pages: 84 Posted: 03 Dec 2011 Last Revised: 21 Nov 2015
Accepted Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and University of California, Berkeley

Multiple version iconThere are 2 versions of this paper

Downloads 3,029
18.

Nonlinear Support Vector Machines Can Systematically Identify Stocks with High and Low Future Returns

Algorithmic Finance (2013), 2:1, 45-58
Number of pages: 15 Posted: 20 Sep 2011 Last Revised: 20 Jan 2014
Accepted Paper Series
University of California, San Diego (UCSD), University of California, San Diego (UCSD) and Universidad Autonoma de Madrid
Downloads 3,009
19.

Do ETFs Increase Volatility?

Charles A. Dice Center Working Paper No. 2011-20, Fisher College of Business Working Paper No. 2011-03-20, Swiss Finance Institute Research Paper No. 11-66, AFA 2013 San Diego Meetings Paper
Number of pages: 110 Posted: 02 Dec 2011 Last Revised: 27 Mar 2017
Working Paper Series
Ohio State University - Fisher College of Business, Finance Department, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,784
20.

Relative Strength and Portfolio Management

Dorsey Wright Money Management, January 2012
Number of pages: 17 Posted: 04 Feb 2012
Accepted Paper Series
Dorsey Wright Money Management
Downloads 2,725
21.

Forecasting Stock Returns through An Efficient Aggregation of Mutual Fund Holdings

Review of Financial Studies, Forthcoming, AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 19 Mar 2006 Last Revised: 17 Jul 2012
Working Paper Series
University of Maryland - Robert H. Smith School of Business, University of Iowa - Henry B. Tippie College of Business and PanAgora Asset Management
Downloads 2,703
22.

Portfolio Construction and Systematic Trading with Factor Entropy Pooling

Risk Magazine, Vol. 27, No. 5, pp. 56-61, 2014
Number of pages: 36 Posted: 13 May 2011 Last Revised: 25 Aug 2014
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management, University of Neuchatel - Institute of Financial Analysis and SYMMYS
Downloads 2,610
23.

Old Age and the Decline in Financial Literacy

Forthcoming in Management Science
Number of pages: 40 Posted: 24 Oct 2011 Last Revised: 30 Oct 2015
Working Paper Series
The American College, University of Missouri at Columbia - Department of Finance and Texas Tech University
Downloads 2,580
24.

ZABR -- Expansions for the Masses

Number of pages: 16 Posted: 07 Jan 2012
Working Paper Series
Danske Bank - Danske Markets and Danske Bank
Downloads 2,473
25.

Do (Some) University Endowments Earn Alpha?

Number of pages: 62 Posted: 15 Dec 2011 Last Revised: 07 May 2013
Working Paper Series
University of California, Davis and Tongji University
Downloads 2,461
26.

A Theoretical and Empirical Comparison of Systemic Risk Measures

HEC Paris Research Paper No. FIN-2014-1030
Number of pages: 47 Posted: 21 Dec 2011 Last Revised: 21 Jan 2014
Working Paper Series
Université Paris Dauphine - LEDa-SDFi, University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads 2,436
27.

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 58 Posted: 31 Jul 2011 Last Revised: 10 Mar 2015
Working Paper Series
Wilfrid Laurier University, University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 2,397
28.

Diversifying Risk Parity

Journal of Risk, Vol. 16, No. 5, 2014, pp. 53-79
Number of pages: 29 Posted: 19 Dec 2011 Last Revised: 23 Jul 2014
Accepted Paper Series
Invesco, Deka Investment GmbH and Deka Investment GmbH

Multiple version iconThere are 2 versions of this paper

Downloads 2,383
29.

Risk-Based Student Loans

Washington and Lee Law Review, Vol. 70, No. 1, p. 527, 2013
Number of pages: 122 Posted: 08 Dec 2011 Last Revised: 05 May 2013
Accepted Paper Series
USC Gould School of Law

Multiple version iconThere are 2 versions of this paper

Downloads 2,354
30.

Inefficiencies in the Pricing of Exchange-Traded Funds

Number of pages: 48 Posted: 21 Mar 2010 Last Revised: 27 Jul 2016
Working Paper Series
New York University (NYU) - Department of Finance
Downloads 2,247
31.

Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

Journalof Portfolio Management, Vol. 38, No. 4, 2012
Number of pages: 3 Posted: 14 Jan 2012 Last Revised: 10 Aug 2012
Accepted Paper Series
TIAA Institute - Covariance Capital Management, AQR Capital Management and Georgetown University
Downloads 2,133
32.

The Smile in Stochastic Volatility Models

Number of pages: 15 Posted: 03 Dec 2011 Last Revised: 06 May 2012
Working Paper Series
Societe Generale and Bloomberg L.P.
Downloads 2,125
33.

The Investment Value of Contrarian Buy-Side Recommendations

Number of pages: 49 Posted: 14 Dec 2011 Last Revised: 27 Oct 2013
Working Paper Series
University of Houston, Alpha Architect, Creighton University and University of Oklahoma
Downloads 2,105
34.

Regulating Shadow Banking

Review of Banking and Financial Law, Vol. 31, No. 1, 2012
Number of pages: 24 Posted: 30 Jan 2012 Last Revised: 28 Dec 2014
Accepted Paper Series
Duke University School of Law
Downloads 2,093
35.

Hedge Fund Performance: What Do We Know?

Number of pages: 68 Posted: 22 Jan 2012 Last Revised: 01 Jun 2016
Working Paper Series
University of Oulu, Imperial College Business School and University of Oulu
Downloads 2,002
36.

A Risk Based Approach to Tactical Asset Allocation

Number of pages: 27 Posted: 28 Nov 2011 Last Revised: 08 Dec 2011
Working Paper Series
Symphonia Sgr and University of Turin
Downloads 1,979
37.

Beta-Arbitrage Strategies: When Do They Work, and Why?

Swiss Finance Institute Research Paper No. 11-64
Number of pages: 59 Posted: 09 Jan 2012 Last Revised: 07 Apr 2014
Working Paper Series
University of Geneva, Pictet Asset Management SA, Ersel Asset Management SGR s.p.a. and Pictet Asset Management
Downloads 1,966
38.

An FDA for Financial Innovation: Applying the Insurable Interest Doctrine to 21st Century Financial Markets

Northwestern University Law Review, Vol. 107, Forthcoming, University of Chicago Institute for Law & Economics Olin Research Paper No. 589, U of Chicago, Public Law Working Paper No. 382
Number of pages: 56 Posted: 25 Feb 2012 Last Revised: 30 Jul 2013
Accepted Paper Series
University of Chicago - Law School and Microsoft Research
Downloads 1,956
39.

The Genetics of Investment Biases

Number of pages: 48 Posted: 23 Feb 2012 Last Revised: 21 Aug 2013
Working Paper Series
University of Miami - Department of Finance and University of Washington - Michael G. Foster School of Business
Downloads 1,954
40.

Strategic Allocation to Premiums in the Equity Market

Number of pages: 19 Posted: 25 Oct 2011
Working Paper Series
Robeco Asset Management - Quantitative Strategies

Multiple version iconThere are 2 versions of this paper

Downloads 1,923
41.

True Overconfidence in Interval Estimates: Evidence Based on a New Measure of Miscalibration

Journal of Behavioral Decision Making, Forthcoming
Number of pages: 36 Posted: 03 May 2005 Last Revised: 26 Jun 2012
Accepted Paper Series
Ludwig Maximilian University of Munich - Faculty of Business Administration (Munich School of Management), University of Mannheim - Department of Banking and Finance and University of Muenster - Finance Center
Downloads 1,854
42.

Where Have All the IPOs Gone?

Number of pages: 56 Posted: 05 Nov 2011 Last Revised: 26 Sep 2013
Working Paper Series
University of Florida - Department of Finance, Insurance and Real Estate, University of Maryland - Department of Finance and Monash University
Downloads 1,851
43.

Global, Local, and Contagious Investor Sentiment

Journal of Financial Economics (JFE), Vol. 104, pp 272-287, May 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 47 Posted: 23 Mar 2009 Last Revised: 11 Mar 2012
Accepted Paper Series
Harvard Business School, NYU Stern School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Multiple version iconThere are 2 versions of this paper

Downloads 1,821
44.

Are Monthly Seasonals Real? A Three Century Perspective

The Review of Finance, Forthcoming
Number of pages: 74 Posted: 26 Oct 2010 Last Revised: 06 Sep 2012
Accepted Paper Series
Nottingham University Business School China and Tilburg University - TIAS School for Business and Society
Downloads 1,795
45.

Fear and Greed in Financial Markets: A Clinical Study of Day-Traders

MIT Sloan Working Paper No. 4534-05
Number of pages: 28 Posted: 15 Apr 2005
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, SKOLKOVO Moscow School of Management and SUNY Upstate Medical University - Department of Psychiatry and Behavioral Sciences

Multiple version iconThere are 2 versions of this paper

Downloads 1,785
46.

Risk, Return and Cash Flow Characteristics of Infrastructure Fund Investments

EIB Papers, Vol. 15, No. 1, pp. 106-136, 2010
Number of pages: 32 Posted: 29 Jan 2012
Accepted Paper Series
Technische Universität München - Center for Entrepreneurial and Financial Studies, University of Passau and Technische Universität München (TUM)
Downloads 1,770
47.

Exploiting Option Information in the Equity Market

Financial Analysts Journal, Forthcoming
Number of pages: 39 Posted: 08 Feb 2012
Accepted Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Robeco Asset Management - Quantitative Strategies, Robeco Asset Management, Robeco Asset Management and Rabobank International, Netherlands
Downloads 1,761
48.

Trading Rules Over Fundamentals: A Stock Price Formula for High Frequency Trading, Bubbles and Crashes

Number of pages: 58 Posted: 01 Jan 2012 Last Revised: 23 Jan 2012
Working Paper Series
Ryerson University - Ted Rogers School of Management, Institute for Innovation and Technology Management
Downloads 1,699
49.

Shaping Liquidity: On the Causal Effects of Voluntary Disclosure

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 28 Oct 2011 Last Revised: 25 Aug 2013
Accepted Paper Series
London Business School, New York University, University of Chicago - Finance and New York University (NYU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,670
50.

Rentabilidad de los Fondos de Pensiones en España, 2001-2011(Pension Funds in Spain, 2001-2011)

IESE Business School Working Paper No. WP-1060
Number of pages: 26 Posted: 07 Feb 2012
Working Paper Series
University of Navarra - IESE Business School, IESE Business School and IESE
Downloads 1,646