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Econometrics: Applied Econometric Modeling in Financial Economics - Econometrics of Financial Markets eJournal, Archives of Vol. 1, 2012

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Viewing: 1 - 50 of 1,375 papers

1.

Market Risk Premium Used in 82 Countries in 2012: A Survey with 7,192 Answers

IESE Business School Working Paper No. WP-1059-E
Number of pages: 18 Posted: 16 Jun 2012 Last Revised: 22 Mar 2016
Working Paper Series
University of Navarra - IESE Business School, IESE Business School and IESE
Downloads 24,739
2.

Risk Premia Harvesting Through Dual Momentum

Journal of Management & Entrepreneurship, vol.2, no.1 (Mar 2017), 27-55
Number of pages: 37 Posted: 19 Apr 2012 Last Revised: 23 May 2017
Accepted Paper Series
Portfolio Management Consultants
Downloads 24,347
3.

The Golden Dilemma

Financial Analysts Journal, vol. 69, no. 4 (July/August 2013) 10-42.
Number of pages: 48 Posted: 06 Jun 2012 Last Revised: 28 Aug 2015
Accepted Paper Series
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 22,054
4.

The Trend is Our Friend: Risk Parity, Momentum and Trend Following in Global Asset Allocation

Number of pages: 42 Posted: 08 Aug 2012 Last Revised: 27 Aug 2015
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School

Multiple version iconThere are 3 versions of this paper

Downloads 9,575
5.

Does the Shiller-PE Work in Emerging Markets?

Number of pages: 41 Posted: 21 Jun 2012 Last Revised: 22 Jul 2012
Working Paper Series
Credit Suisse
Downloads 5,501
6.

Momentum Has Its Moments

Journal of Financial Economics (JFE), vol. 116, Issue 1, 2015, 111-120
Number of pages: 39 Posted: 18 Apr 2012 Last Revised: 20 Nov 2015
Accepted Paper Series
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 5,427
7.

Intraday Share Price Volatility and Leveraged ETF Rebalancing

Number of pages: 49 Posted: 13 Oct 2012 Last Revised: 07 Jan 2016
Working Paper Series
York University - Schulich School of Business, University of Toronto - Rotman School of Management, Independent and Independent
Downloads 3,824
8.

Enhancing the Investment Performance of Yield-Based Strategies

Number of pages: 17 Posted: 05 May 2012 Last Revised: 20 Mar 2017
Working Paper Series
Alpha Architect and Alpha Architect
Downloads 3,409
9.

Arbitrage-Free SVI Volatility Surfaces

Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27 Posted: 03 Apr 2012 Last Revised: 15 Jan 2014
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads 3,128
10.

Value Matters: Predictability of Stock Index Returns

Number of pages: 27 Posted: 02 Apr 2012 Last Revised: 15 Jul 2013
Working Paper Series
University of Bologna - School of Economics, Management, and Statistics, University of Bologna - Department of Mathematics, Scuola Normale Superiore and University of Bologna - Department of Mathematics
Downloads 2,867
11.

Optimal Execution Horizon

Mathematical Finance, 25(3), pp. 640-672. July 2015.
Number of pages: 43 Posted: 12 Apr 2012 Last Revised: 06 Jun 2015
Accepted Paper Series
Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,746
12.

A Boosting Approach for Automated Trading

Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Number of pages: 10 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology and University of California, San Diego
Downloads 2,736
13.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Working Paper Series
Amundi Asset Management and Clark University - Graduate School of Management
Downloads 2,618
14.

The Externalities of High Frequency Trading

Number of pages: 56 Posted: 26 May 2012 Last Revised: 18 Mar 2014
Working Paper Series
University of Illinois at Urbana-Champaign, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 2,545
15.

Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation

Number of pages: 35 Posted: 07 May 2012
Working Paper Series
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 2,536
16.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 2,431
17.

Betting Against Beta

Swiss Finance Institute Research Paper No. 12-17
Number of pages: 85 Posted: 03 May 2012
Working Paper Series
AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 2,331
18.

Unknown Unknowns: Uncertainty About Risk and Stock Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 76 Posted: 20 Mar 2012 Last Revised: 24 Oct 2014
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University and Robeco Asset Management - Quantitative Strategies
Downloads 2,192
19.

Growth Investing: Betting on the Future?

Number of pages: 52 Posted: 29 Jul 2012 Last Revised: 14 Aug 2012
Working Paper Series
New York University - Stern School of Business
Downloads 2,148
20.

Abusing ETFs

Forthcoming in the Review of Finance
Number of pages: 55 Posted: 15 Mar 2012 Last Revised: 13 Sep 2017
Accepted Paper Series
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, University of Mannheim - Area Banking, Finance, and Insurance, Leibniz Universität Hannover and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 2,131
21.

The CDS-Bond Basis

AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 20 Mar 2012 Last Revised: 19 Nov 2013
Working Paper Series
Georgetown University - Department of Finance and Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 1,966
22.

Macro to Micro: Country Exposures, Firm Fundamentals and Stock Returns

Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 55 Posted: 07 Mar 2012 Last Revised: 24 Apr 2014
Accepted Paper Series
University of Texas at Dallas, AQR Capital Management, LLC and London Business School
Downloads 1,928
23.

Decomposing value

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-18
Number of pages: 44 Posted: 13 Jun 2012 Last Revised: 24 Dec 2016
Working Paper Series
Tuck School of Business at Dartmouth College and USC Marshall School of Business
Downloads 1,865
24.

Asset Pricing: A Tale of Two Days

AFA 2013 San Diego Meetings Paper
Number of pages: 72 Posted: 19 Mar 2012 Last Revised: 21 Apr 2014
Working Paper Series
Temple University - Fox School of Business and University of Oxford - Said Business School
Downloads 1,849
25.

Financial Development and the Determinants of Capital Structure in Vietnam

Number of pages: 26 Posted: 07 Mar 2012
Working Paper Series
affiliation not provided to SSRN, University of Otago - School of Business and University of East Anglia
Downloads 1,829
26.

Trend Following, Risk Parity and Momentum in Commodity Futures

Number of pages: 34 Posted: 09 Aug 2012 Last Revised: 17 Jan 2013
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University of York - Department of Economics and Related Studies
Downloads 1,768
27.

Beyond the Carry Trade: Optimal Currency Portfolios

Journal of Financial and Quantitative Analysis (JFQA), Vol. 50, No. 5, 2015
Number of pages: 43 Posted: 18 Apr 2012 Last Revised: 01 May 2016
Accepted Paper Series
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 1,756
28.

Momentum and Reversal: Does What Goes Up Always Come Down?

Number of pages: 49 Posted: 26 Feb 2012 Last Revised: 20 Jun 2015
Working Paper Series
University of North Carolina Kenan-Flagler Business School and Purdue University - Krannert School of Management
Downloads 1,742
29.

It Pays to Set the Menu: Mutual Fund Investment Options in 401(k) Plans

Journal of Finance, Forthcoming
Number of pages: 79 Posted: 19 Jul 2012 Last Revised: 15 Aug 2015
Working Paper Series
Indiana University - Kelley School of Business - Department of Finance, University of Texas at Austin - McCombs School of Business and Federal Reserve Board, Washington D.C.

Multiple version iconThere are 4 versions of this paper

Downloads 1,641
30.

The Volatility Effect in Emerging Markets

Number of pages: 31 Posted: 06 May 2012 Last Revised: 18 Dec 2012
Working Paper Series
Robeco Asset Management - Quantitative Strategies, Shell Asset Management Company and Robeco Asset Management - Quantitative Strategies

Multiple version iconThere are 2 versions of this paper

Downloads 1,334
31.

Breaking into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: The Case of the S&P500

Number of pages: 19 Posted: 08 Aug 2012
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University of York - Department of Economics and Related Studies
Downloads 1,316
32.

An Assessment of the Shadow Banking Sector in Europe

Number of pages: 32 Posted: 23 Mar 2012
Working Paper Series
International Monetary Fund (IMF)
Downloads 1,302
33.

Reaching for Yield in the Bond Market

Journal of Finance, Forthcoming, Harvard Business School Finance Working Paper No. 12-103
Number of pages: 54 Posted: 24 May 2012 Last Revised: 18 Mar 2014
Accepted Paper Series
Stockholm School of Economics and Harvard University

Multiple version iconThere are 3 versions of this paper

Downloads 1,287
34.

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Number of pages: 55 Posted: 23 Jun 2012 Last Revised: 15 Apr 2016
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Fordham University - Gabelli School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,267
35.

Trade Sizing Techniques for Drawdown and Tail Risk Control

Number of pages: 27 Posted: 21 May 2012 Last Revised: 07 May 2013
Working Paper Series
The Cambridge Strategy
Downloads 1,263
36.

Optimal VWAP Trading Under Noisy Conditions

Journal of Banking and Finance, Vol. 35, No. 9, 2011
Number of pages: 50 Posted: 01 May 2009 Last Revised: 21 Jun 2012
Accepted Paper Series
UNSW Business School
Downloads 1,221
37.

Equities Market Level

Number of pages: 49 Posted: 26 Jul 2012
Working Paper Series
BlackRock, Inc
Downloads 1,195
38.

Large Shareholder Diversification and Corporate Risk-Taking

Manchester Business School Research Paper No. 618
Number of pages: 66 Posted: 17 Mar 2010 Last Revised: 09 May 2012
Working Paper Series
Purdue University - Krannert School of Management, University of Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 1,170
39.

High-Frequency Technical Trading: The Importance of Speed

Tinbergen Institute Discussion Paper 12-018/4
Number of pages: 63 Posted: 02 Mar 2012
Working Paper Series
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 1,149
40.

International Correlation Risk

Number of pages: 70 Posted: 03 May 2012 Last Revised: 29 Oct 2016
Working Paper Series
London School of Economics & Political Science (LSE) - Department of Finance, University of Washington and Boston University - Department of Finance & Economics
Downloads 1,147
41.

Rentabilidad De Los Fondos De Inversion En España, 2001-2011 (Mutual Funds in Spain, 2001-2011)

IESE Business School Working Paper No. WP-1061
Number of pages: 26 Posted: 16 Feb 2012
Working Paper Series
University of Navarra - IESE Business School, IESE Business School and IESE
Downloads 1,124
42.

The Rate of Market Efficiency

Number of pages: 62 Posted: 20 Mar 2012 Last Revised: 13 Oct 2014
Working Paper Series
EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and Universidad Carlos III de Madrid
Downloads 1,097
43.

Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads

Number of pages: 66 Posted: 21 Mar 2012 Last Revised: 05 Aug 2013
Working Paper Series
Massachusetts Institute of Technology, The University of Hong Kong - Faculty of Business and Economics and Bank of Canada

Multiple version iconThere are 2 versions of this paper

Downloads 1,087
44.

Very Fast Money: High-Frequency Trading on the NASDAQ

Forthcoming, Journal of Financial Markets
Number of pages: 86 Posted: 02 Aug 2012 Last Revised: 31 May 2017
Accepted Paper Series
University of Utah - Department of Finance
Downloads 1,083
45.

Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches

European Journal of Finance, Forthcoming.
Number of pages: 48 Posted: 12 Jun 2012 Last Revised: 06 Dec 2014
Accepted Paper Series
Justus-Liebig-University Giessen, Deka Investment GmbH and Deka Investment GmbH
Downloads 1,081
46.

Capital Market Efficiency and Arbitrage Efficacy

AFA 2013 San Diego Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 55 Posted: 15 Mar 2012 Last Revised: 20 Mar 2015
Accepted Paper Series
University of Illinois at Chicago, Texas Tech University - Area of Finance, Texas A&M University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,064
47.

The Stability of Islamic Banks During the Subprime Crisis

Number of pages: 19 Posted: 21 Dec 2009 Last Revised: 19 Mar 2012
Working Paper Series
affiliation not provided to SSRN and ICN Business School
Downloads 1,063
48.

Liquidity Shocks and Stock Market Reactions

Fordham University Schools of Business Research Paper No. 2020476
Number of pages: 108 Posted: 13 Mar 2012 Last Revised: 22 Sep 2013
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Baruch College/CUNY - Zicklin School of Business, Bentley University and Fordham University - Gabelli School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 1,057
49.

Stock Return Volatility, Operating Performance and Stock Returns: International Evidence on Drivers of the 'Low Volatility' Anomaly

Journal of Banking and Finance, 2013, Vol 37, No 3, pp 999-1017, UNSW Australian School of Business Research Paper No. 2012 BFIN 14
Number of pages: 61 Posted: 17 Oct 2012 Last Revised: 14 Jan 2013
Working Paper Series
Nuvest Capital and UNSW Business School
Downloads 1,055
50.

The Effect of Institutional Ownership on Payout Policy: Evidence from Index Thresholds

Number of pages: 50 Posted: 09 Jul 2012 Last Revised: 14 May 2014
Working Paper Series
Rice University - Jesse H. Jones Graduate School of Business, Kellstadt Graduate School of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads 1,051