1.
Occupational Licensure and Entrepreneurs: The Case of Tax Preparers in the United States
Johns Hopkins Carey Business School Research Paper No. 18-08
Number of pages: 43
Posted: 10 May 2018
Last Revised: 28 Apr 2019
Working Paper Series
Harvard University, Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT)
Downloads
37
2.
The Value of Relational Contracts in Outsourcing: Evidence from the 2008 Shock to the US Airline Industry
Number of pages: 67
Posted: 27 Feb 2018
Working Paper Series
Queen's University (Canada) - Smith School of Business, University of Oklahoma and CUNEF
Downloads
44
3.
Forecasting ETFs with Machine Learning Algorithms
Posted: 17 Jan 2017
Last Revised: 16 Sep 2018
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students
4.
Do Tweet Sentiments Still Predict the Stock Market?
Number of pages: 16
Posted: 22 Aug 2016
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Department of Applied Mathematics and Statistics
Downloads
610
5.
Do Better Managers Get Better Loan Contracts?
Number of pages: 67
Posted: 14 Jun 2016
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Long Island University Post, Johns Hopkins University - Carey Business School and Rensselaer Polytechnic Institute (RPI) - Lally School of Management
Downloads
187
6.
QE Auctions of Treasury Bonds
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49
Posted: 31 Mar 2016
Last Revised: 09 Mar 2017
Accepted Paper Series
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
QE Auctions of Treasury Bonds
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49
Posted: 31 Mar 2016
Last Revised: 09 Mar 2017
Downloads
341
QE Auctions of Treasury Bonds
FEDS Working Paper No. 2014-48
Number of pages: 55
Posted: 30 Jul 2014
Downloads
193
Downloads
341
7.
Possibly Nonstationary Cross-Validation
Johns Hopkins Carey Business School Research Paper No. 17-01
Number of pages: 61
Posted: 16 Mar 2016
Last Revised: 24 Apr 2017
Working Paper Series
Johns Hopkins University - Carey Business School, University of Surrey - School of Economics and University College London
Downloads
34
8.
The Performance of Mostly Liquidated Buyout Funds, 2000-2007 Vintage Years
Number of pages: 23
Posted: 21 Jan 2016
Working Paper Series
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School and Yale University, Department of Economics, Students
Downloads
94
9.
Calendar Anomalies: Do REITs Behave Like Stocks?
International Real Estate Review, Vol. 18, No. 1, pp. 177-215, 2015
Number of pages: 40
Posted: 23 Dec 2015
Accepted Paper Series
Florida State University, Johns Hopkins University - Carey Business School and California State University, Fullerton - Department of Finance
Downloads
67
10.
Liquidity in a Market for Unique Assets: Specified Pool and TBA Trading in the Mortgage Backed Securities Market
Number of pages: 67
Posted: 13 Dec 2015
Last Revised: 03 Sep 2016
Accepted Paper Series
University of Notre Dame - Mendoza College of Business, University of Notre Dame - Department of Finance and Johns Hopkins University - Carey Business School
Downloads
230
11.
Term Structure of Interest Rates with Short-Run and Long-Run Risks
Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 74
Posted: 23 Sep 2015
Last Revised: 29 Jul 2017
Working Paper Series
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and Tsinghua University - PBC School of Finance
There are 2 versions of this paper
Term Structure of Interest Rates with Short-Run and Long-Run Risks
Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 74
Posted: 23 Sep 2015
Last Revised: 29 Jul 2017
Downloads
294
Term Structure of Interest Rates with Short-Run and Long-Run Risks
FEDS Working Paper No. 2015-95
Number of pages: 65
Posted: 13 Nov 2015
Downloads
64
Downloads
294
12.
Intermediation and Pricing in Tri-Party Repo Market
Number of pages: 20
Posted: 24 Aug 2015
Working Paper Series
Johns Hopkins University - Carey Business School
Downloads
126
13.
The Value of Trading Relationships in Turbulent Times
Journal of Financial Economics (JFE), Forthcoming, Columbia Business School Research Paper No. 15-65
Number of pages: 54
Posted: 07 Jul 2015
Last Revised: 20 Jul 2016
Accepted Paper Series
Harvard Business School, University of California, Berkeley and Johns Hopkins University - Carey Business School
There are 2 versions of this paper
The Value of Trading Relationships in Turbulent Times
Journal of Financial Economics (JFE), Forthcoming, Columbia Business School Research Paper No. 15-65
Number of pages: 54
Posted: 07 Jul 2015
Last Revised: 20 Jul 2016
Downloads
636
The Value of Trading Relationships in Turbulent Times
NBER Working Paper No. w22332
Number of pages: 52
Posted: 13 Jun 2016
Downloads
11
Downloads
636
14.
Tail Risk Concerns Everywhere
Number of pages: 41
Posted: 17 May 2015
Last Revised: 08 Jun 2017
Working Paper Series
T. Rowe Price, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Johns Hopkins University - Carey Business School
Downloads
525
15.
Creditor Control Rights and Firm Cash Holdings
FMA, 2013
Number of pages: 78
Posted: 21 Feb 2015
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Johns Hopkins University - Carey Business School and Rensselaer Polytechnic Institute (RPI) - Lally School of Management
Downloads
107
16.
Twitter Sentiment and IPO Performance: A Cross-Sectional Examination
Journalof Portfolio Management, Vol. 42, No. 4, 2016
Posted: 20 Feb 2015
Last Revised: 07 Aug 2016
Accepted Paper Series
Johns Hopkins University - Carey Business School and The Johns Hopkins University
17.
iGDP?
The Journal of Portfolio Management 41(3) (2015) 4-6, Invited Editorial
Posted: 26 Dec 2014
Last Revised: 04 Jun 2015
Accepted Paper Series
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
18.
Can Firms Learn by Observing? Evidence from Cross-Border M&As
Journal of Corporate Finance, Volume 25, April 2014: 202–215
, Bank of Finland Research Discussion Paper No. 17/2014,
Number of pages: 42
Posted: 07 Oct 2014
Accepted Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology, Fordham University - Gabelli School of Business, Johns Hopkins University - Carey Business School and Fordham University - Gabelli School of Business
Downloads
67
19.
Custom v. Standardized Risk Models
Risks 3(2) (2015) 112-138
Number of pages: 30
Posted: 09 Sep 2014
Last Revised: 21 May 2015
Accepted Paper Series
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads
2,222
20.
Is It Possible to OD on Alpha?
The Journal of Alternative Investments 18(2) (2015) 39-49
Posted: 03 Apr 2014
Last Revised: 13 Nov 2015
Accepted Paper Series
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
21.
Mortgage Dollar Roll
Review of Financial Studies (Forthcoming)
Number of pages: 72
Posted: 27 Feb 2014
Last Revised: 05 Aug 2018
Accepted Paper Series
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
728
22.
Are REIT IPOs Unique? The Global Evidence
Journal of Real Estate Finance and Economics, Vol. 47, No. 4, 2013
Posted: 08 Nov 2013
Accepted Paper Series
Johns Hopkins University - Carey Business School, CUNY Baruch College and CUNY Baruch College
23.
Managerial Ability and Tax Aggressiveness
Number of pages: 64
Posted: 02 Nov 2013
Last Revised: 26 Jan 2018
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management & Technology, Johns Hopkins University - Carey Business School and Rensselaer Polytechnic Institute (RPI) - Lally School of Management
Downloads
1,262
24.
The Horizon of Systematic Risk: A New Beta Representation
Number of pages: 56
Posted: 10 Oct 2013
Last Revised: 03 Aug 2017
Working Paper Series
Johns Hopkins University - Carey Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads
542
25.
Do Hedge Funds Exploit Rare Disaster Concerns?
Number of pages: 87
Posted: 02 Jun 2013
Last Revised: 01 May 2017
Working Paper Series
T. Rowe Price, University of Notre Dame - Mendoza College of Business and Johns Hopkins University - Carey Business School
Downloads
617
26.
Commodities as Inflation Protection
Posted: 09 May 2013
Working Paper Series
The Investment Research Foundation, The Investment Research Foundation and Johns Hopkins University - Carey Business School
27.
EXcess Idle Time
Number of pages: 64
Posted: 12 Jan 2013
Last Revised: 25 Apr 2017
Working Paper Series
Johns Hopkins University - Carey Business School, Department of Economics and Finance, University of Rome "Tor Vergata" and University of Verona - Department of Economics
Downloads
281
28.
The Scale of Predictability
Number of pages: 67
Posted: 05 Dec 2012
Last Revised: 17 Jul 2018
Working Paper Series
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads
753
29.
Expected VIX Option Returns
Number of pages: 50
Posted: 22 Oct 2012
Working Paper Series
Johns Hopkins University - Carey Business School
Downloads
330
30.
Predicting Inflation: Portfolio Erosion or Collapse?
Number of pages: 19
Posted: 04 Oct 2012
Last Revised: 07 Nov 2012
Working Paper Series
The Investment Research Foundation, Johns Hopkins University - Carey Business School and The Investment Research Foundation
Downloads
55
31.
Price and Volatility Co-Jumps
Number of pages: 75
Posted: 03 Mar 2012
Last Revised: 09 Feb 2014
Working Paper Series
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads
396
32.
CEO Political Affiliation and Firms’ Tax Avoidance
Number of pages: 59
Posted: 01 Mar 2012
Last Revised: 21 May 2012
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Fordham University - Gabelli School of Business and Johns Hopkins University - Carey Business School
Downloads
511
33.
Presale Contract and Its Embedded Default and Abandonment Options
Journal of Real Estate Finance and Economics, Vol. 44, Nos. 1/2, 2012
Posted: 26 Jan 2012
Accepted Paper Series
Johns Hopkins University - Carey Business School, CUNY Baruch College and California State University, Fullerton - Department of Finance
34.
Data-Driven Bandwidth Selection for Nonparametric Nonstationary Regressions
Number of pages: 47
Posted: 29 Jun 2011
Last Revised: 04 Jul 2011
Working Paper Series
Johns Hopkins University - Carey Business School, University of Warwick - Department of Economics and University College London
Downloads
77
35.
CEO Compensation and Covenant Violations
Number of pages: 59
Posted: 17 Mar 2011
Last Revised: 19 May 2011
Working Paper Series
Rensselaer Polytechnic Institute (RPI) - Lally School of Management, Fordham University - Gabelli School of Business and Johns Hopkins University - Carey Business School
Downloads
243
36.
Past Market Variance and Asset Prices
CIRANO - Scientific Publications No. 2011s-16
Posted: 15 Feb 2011
Working Paper Series
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics
37.
Time-Varying Leverage Effects
Number of pages: 37
Posted: 02 Jun 2010
Working Paper Series
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads
118
38.
A Simple Indicator of Systemic Risk
Number of pages: 43
Posted: 15 Mar 2010
Working Paper Series
OCC, Office of the Comptroller of the Currency - Credit Risk Analysis Division and Johns Hopkins University - Carey Business School
Downloads
376
39.
Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
Number of pages: 28
Posted: 07 Mar 2010
Last Revised: 23 Oct 2012
Working Paper Series
CRA International and University of Pennsylvania - The Wharton School - Finance and Insurance Departments
There are 2 versions of this paper
Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
Number of pages: 28
Posted: 07 Mar 2010
Last Revised: 23 Oct 2012
Downloads
844
Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
Journal of Risk and Insurance, Vol. 81, Issue 2, pp. 303-334, 2014
Number of pages: 32
Posted: 17 May 2014
Downloads
1
Downloads
844
40.
Realizing Smiles: Options Pricing with Realized Volatility
Swiss Finance Institute Research Paper No. 10-05
Number of pages: 52
Posted: 03 Feb 2010
Last Revised: 22 Nov 2011
Working Paper Series
University of Pisa - Department of Economics, Johns Hopkins University - Carey Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads
559
41.
Nonparametric Stochastic Volatility
Number of pages: 43
Posted: 12 Jul 2008
Last Revised: 19 Jul 2018
Working Paper Series
Johns Hopkins University - Carey Business School and University of Verona - Department of Economics
Downloads
535
42.
Neutralizing Betas without Neutralizing Alphas in Funds of Hedge Funds
Number of pages: 32
Posted: 04 Apr 2008
Working Paper Series
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads
540
43.
Long Memory and the Relation between Implied and Realized Volatility
Journal of Financial Econometrics, Vol. 4, Issue 4, pp. 636-670, 2006
Posted: 02 Apr 2008
Accepted Paper Series
Johns Hopkins University - Carey Business School and University of Montreal - Department of Economics
44.
Introduction to Financial Engineering: Markets and Investments
Number of pages: 106
Posted: 31 Mar 2008
Working Paper Series
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads
939
45.
Valuing Modularity as a Real Option
Management Science, Forthcoming, Swiss Finance Institute Research Paper No. 08-20
Number of pages: 51
Posted: 29 Jan 2008
Last Revised: 11 Mar 2014
Accepted Paper Series
University of Warwick - Finance Group and Johns Hopkins University - Carey Business School
Downloads
437
46.
Barrier Option Pricing Using Adjusted Transition Probabilities
https://doi.org/10.3905/JOD.2008.16.2.036, Swiss Finance Institute Research Paper No. 07-02
Posted: 22 Feb 2007
Accepted Paper Series
University of Lugano, Johns Hopkins University - Carey Business School and Banque Centrale du Luxembourg
47.
Quantitative Topics in Hedge Fund Investing
Journal of Portfolio Management, Vol. 31, No. 4, pp. 21-32, Summer 2005
Posted: 15 Sep 2005
Accepted Paper Series
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
48.
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
Cowles Foundation Discussion Paper No. 1522
Number of pages: 50
Posted: 18 Jul 2005
Working Paper Series
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads
76
49.
Hedge Fund Investing: Some Quantitative Notes
Number of pages: 32
Posted: 14 Mar 2005
Working Paper Series
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads
1,704
50.
Separating Microstructure Noise from Volatility
AFA 2005 Philadelphia Meetings
Number of pages: 49
Posted: 02 Jan 2005
Working Paper Series
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads
704
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