Viewing: 1 - 31 of 31 papers
1.
Middlemen Interaction and Market Quality
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 40
Posted: 23 Oct 2012
Last Revised: 06 Oct 2013
Working Paper Series
Vrije Universiteit Amsterdam and INSEAD - Finance
Downloads
582
2.
Does Academic Research Destroy Stock Return Predictability?
Journal of Finance, Forthcoming
Number of pages: 48
Posted: 04 Oct 2012
Last Revised: 24 Feb 2016
Accepted Paper Series
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads
10,201
3.
On the Empirical Saddlepoint Approximation with Application to Asset Pricing
Number of pages: 39
Posted: 12 Jun 2012
Last Revised: 20 Oct 2015
Working Paper Series
University of Luxembourg
Downloads
282
4.
Limited Stock Market Participation Among Renters and Home Owners
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 57
Posted: 12 Jun 2012
Working Paper Series
Stockholm University - Department of Economics
Downloads
144
5.
Circuit Breakers and Market Runs
Number of pages: 50
Posted: 12 Jun 2012
Last Revised: 21 Sep 2016
Working Paper Series
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Finance
Downloads
136
6.
A Large-Scale Approach for Evaluating Asset Pricing Models
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49
Posted: 12 Jun 2012
Last Revised: 21 Oct 2018
Accepted Paper Series
McGill University - Desautels Faculty of Management
Downloads
550
7.
The Risk-Based Capital Credit Crunch Hypothesis, a Dual Perspective
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 43
Posted: 12 Jun 2012
Last Revised: 27 Apr 2013
Working Paper Series
Imperial College Business School, University of Auckland and Imperial College Business School
Downloads
138
8.
Transparency in the Financial System: Rollover Risk and Crises
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 42
Posted: 12 Jun 2012
Working Paper Series
University of Toulouse 1 - Toulouse School of Economics (TSE), Queen's University and McGill University - Desautels Faculty of Management
There are 2 versions of this paper
Transparency in the Financial System: Rollover Risk and Crises
Journal of Finance, Forthcoming
Number of pages: 56
Posted: 17 Dec 2011
Last Revised: 10 Sep 2014
Downloads
620
Transparency in the Financial System: Rollover Risk and Crises
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 42
Posted: 12 Jun 2012
Downloads
70
Downloads
70
9.
The Social Dynamics of Performance
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 80
Posted: 12 Jun 2012
Last Revised: 26 Oct 2012
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne
Downloads
67
10.
Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Posted: 12 Jun 2012
Last Revised: 07 Dec 2013
Working Paper Series
Goethe University Frankfurt - Department of Finance, Board of Governors of the Federal Reserve System and Goethe University Frankfurt
There are 4 versions of this paper
Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
FEDS Working Paper No. 2012-07
Number of pages: 39
Posted: 22 Mar 2012
Downloads
66
Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
Number of pages: 38
Posted: 17 Dec 2011
Last Revised: 11 Jun 2012
Downloads
63
Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 38
Posted: 16 Sep 2012
Last Revised: 15 Aug 2017
Downloads
46
Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Posted: 12 Jun 2012
Last Revised: 07 Dec 2013
11.
Production Flexibility, Product Markets, and Capital Structure Decisions
Review of Financial Studies, Volume 29, Issue 6, 1 June 2016, Pages 1501–1548
Posted: 12 Jun 2012
Last Revised: 23 Jan 2018
Accepted Paper Series
Technische Universität München (TUM) and The University of Hong Kong - Faculty of Business and Economics
12.
FX Market Liquidity, Funding Constraints and Capital Flows
Number of pages: 46
Posted: 11 Jun 2012
Last Revised: 17 Oct 2014
Working Paper Series
University of Essex and City University London - Sir John Cass Business School
Downloads
115
13.
Feedback Trading and International Portfolio Allocation
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 34
Posted: 11 Jun 2012
Last Revised: 18 Oct 2012
Working Paper Series
Swedish School of Economics and Business Administration
Downloads
66
14.
Bank Risk Exposure, Bank Failure and Off Balance Sheet Activities: An Empirical Analysis for U.S. Commercial Banks
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 36
Posted: 11 Jun 2012
Last Revised: 14 Oct 2012
Working Paper Series
University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE)
Downloads
559
15.
The Corporate Governance Endgame – An Economic Analysis of Minority Squeeze-Out Regulation in Germany
Number of pages: 47
Posted: 10 Jun 2012
Last Revised: 31 Jan 2014
Working Paper Series
Catholic University of the Sacred Heart of Milan, University of Applied Sciences Stralsund and Swiss Finance Institute
Downloads
316
16.
Capital Structure and Employment Flexibility
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 37
Posted: 10 Jun 2012
Working Paper Series
New Economic School (NES)
Downloads
121
17.
Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 29
Posted: 09 Jun 2012
Last Revised: 09 Nov 2016
Working Paper Series
emlyon business school
There are 2 versions of this paper
Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 29
Posted: 09 Jun 2012
Last Revised: 09 Nov 2016
Downloads
96
Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals
Journal of Banking and Finance, Volume 53, April 2015, Pages 158-178
Posted: 26 Jul 2012
Last Revised: 09 Dec 2017
Downloads
96
18.
A Model of the Euro-Area Yield Curve with Discrete Policy Rates
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Posted: 09 Jun 2012
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
There are 3 versions of this paper
A Model of the Euro-Area Yield-Curve with Discrete Policy Rates
Number of pages: 49
Posted: 04 Mar 2012
Last Revised: 31 Aug 2014
Downloads
211
A Model of the Euro-Area Yield Curve with Discrete Policy Rates
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Posted: 09 Jun 2012
A Model of the Euro-Area Yield Curve with Discrete Policy Rates
Banque de France Working Paper No. 395
Posted: 06 Sep 2012
19.
Bid Resistance by Takeover Targets: Managerial Bargaining or Bad Faith?
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 47
Posted: 05 Jun 2012
Last Revised: 04 Sep 2015
Working Paper Series
Arizona State University - Department of Finance and Drexel University
There are 2 versions of this paper
Bid Resistance by Takeover Targets: Managerial Bargaining or Bad Faith?
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, AFA 2012 Chicago Meetings Paper
Number of pages: 47
Posted: 19 Mar 2011
Last Revised: 18 Jun 2017
Downloads
460
Bid Resistance by Takeover Targets: Managerial Bargaining or Bad Faith?
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 47
Posted: 05 Jun 2012
Last Revised: 04 Sep 2015
Downloads
101
Downloads
101
20.
Higher-Moment Risk Exposures in Hedge Funds
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 45
Posted: 05 Jun 2012
Working Paper Series
University of Liège - HEC Management School, HEC Liège and HEC Montreal - Department of Finance
There are 3 versions of this paper
Higher-Moment Risk Exposures in Hedge Funds
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 45
Posted: 05 Jun 2012
Downloads
107
Higher‐Moment Risk Exposures in Hedge Funds
European Financial Management, Vol. 21, Issue 2, pp. 236-264, 2015
Number of pages: 29
Posted: 13 Mar 2015
Downloads
107
21.
Financial Globalization and Risk Sharing: Welfare Effects and the Optimality of Open Markets
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 62
Posted: 03 Jun 2012
Working Paper Series
Cornell University and Indiana University - Kelley School of Business - Department of Finance
There are 2 versions of this paper
Financial Globalization and Risk Sharing: Welfare Effects and the Optimality of Open Markets
Number of pages: 62
Posted: 17 Mar 2005
Downloads
683
Financial Globalization and Risk Sharing: Welfare Effects and the Optimality of Open Markets
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 62
Posted: 03 Jun 2012
Downloads
34
Downloads
34
22.
A Fractal Version of the Hull-White Interest Rate Model
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 19
Posted: 03 Jun 2012
Working Paper Series
Université Catholique de Louvain
Downloads
64
23.
Target Financial Independence and Takeover Pricing
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, Journal of Financial Research, Forthcoming
Number of pages: 63
Posted: 26 May 2012
Last Revised: 28 May 2015
Accepted Paper Series
affiliation not provided to SSRN and Texas Christian University - Neeley School of Business
Downloads
139
24.
The Fine Structure of Variance: Pricing VIX Derivatives in Consistent and Log-VIX Models
Number of pages: 63
Posted: 25 Mar 2012
Last Revised: 18 Aug 2016
Working Paper Series
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads
705
25.
Explaining the Volatility Surface: A Closed-Form Solution to Option Pricing in a Fractional Jump-Diffusion Market
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 23
Posted: 06 Mar 2012
Last Revised: 26 Oct 2012
Working Paper Series
University of Tuebingen - Faculty of Economics and Business Administration
Downloads
130
26.
Frequency of Consumption Adjustment and the Equity Premium
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 30
Posted: 09 Feb 2012
Last Revised: 10 Oct 2012
Working Paper Series
Bank of Canada and Universitat Pompeu Fabra
Downloads
64
27.
High Order Smooth Ambiguity Preferences and Asset Prices
Review of Financial Economics, Vol. 27, 2015
Number of pages: 41
Posted: 25 Jan 2012
Last Revised: 26 Nov 2017
Working Paper Series
Karlsruhe Institute of Technology and University of Muenster - Finance Center Muenster
There are 2 versions of this paper
High Order Smooth Ambiguity Preferences and Asset Prices
Review of Financial Economics, Vol. 27, 2015
Number of pages: 41
Posted: 25 Jan 2012
Last Revised: 26 Nov 2017
Downloads
118
High Order Smooth Ambiguity Preferences and Asset Prices
Number of pages: 41
Posted: 15 Mar 2012
Last Revised: 23 Nov 2017
Downloads
36
Downloads
118
28.
Momentum Strategies in Futures Markets and Trend-following Funds
Number of pages: 60
Posted: 06 Dec 2011
Last Revised: 29 Jan 2021
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads
8,351
29.
Can Internet Search Queries Help to Predict Stock Market Volatility?
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, European Financial Management, Forthcoming
Number of pages: 34
Posted: 10 Oct 2011
Last Revised: 07 Jan 2016
Accepted Paper Series
University of Tübingen - Department of Statistics and Econometrics and Deutsche Bundesbank
There are 2 versions of this paper
Can Internet Search Queries Help to Predict Stock Market Volatility?
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, European Financial Management, Forthcoming
Number of pages: 34
Posted: 10 Oct 2011
Last Revised: 07 Jan 2016
Downloads
1,244
Can Internet Search Queries Help to Predict Stock Market Volatility?
European Financial Management, Vol. 22, Issue 2, pp. 171-192, 2016
Number of pages: 22
Posted: 02 Mar 2016
Downloads
1
Downloads
1,244
30.
Money for Nothing? Understanding Variation in Reported Hedge Fund Fees
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 49
Posted: 31 Mar 2011
Last Revised: 17 Oct 2012
Working Paper Series
Imperial College London and University of Oxford - Said Business School
Downloads
285
31.
Currying Favor with Top Venture Capital Firms: The Role of IPO Underpricing and All-Star Coverage
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 36
Posted: 21 Feb 2011
Last Revised: 12 Sep 2018
Working Paper Series
University of South Florida, University of Texas Rio Grande Valley (UTRGV) (Formerly University of Texas-Pan American) - College of Business and Entrepreneurship and Babson College
Downloads
218
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