1.
Endogeneity in Empirical Corporate Finance
Simon School Working Paper No. FR 11-29
Number of pages: 97
Posted: 28 Jan 2011
Last Revised: 06 Oct 2012
Working Paper Series
The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER) and University of Michigan, Department of Economics
Downloads
28,230
2.
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
There are 2 versions of this paper
Empirical Asset Pricing via Machine Learning
Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79
Posted: 09 Apr 2018
Last Revised: 15 Sep 2019
Downloads
24,277
Empirical Asset Pricing Via Machine Learning
NBER Working Paper No. w25398
Number of pages: 80
Posted: 26 Dec 2018
Last Revised: 26 May 2023
Downloads
658
Downloads
24,277
3.
Two-Way Fixed Effects, the Two-Way Mundlak Regression, and Difference-in-Differences Estimators
Number of pages: 77
Posted: 18 Aug 2021
Working Paper Series
Michigan State University - Department of Economics
Downloads
13,040
4.
How Much Should We Trust Staggered Difference-In-Differences Estimates?
European Corporate Governance Institute – Finance Working Paper No. 736/2021, Rock Center for Corporate Governance at Stanford University Working Paper No. 246, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61
Posted: 01 Mar 2021
Last Revised: 27 Jan 2022
Working Paper Series
Berkeley Law School, Stanford Graduate School of Business and Harvard University - Business School (HBS)
Downloads
12,545
5.
Machine Learning for Stock Selection
Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35
Posted: 04 Mar 2019
Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads
8,841
6.
Lucky Factors
Number of pages: 99
Posted: 22 Nov 2014
Last Revised: 08 Apr 2021
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
8,631
7.
Estimating the Effects of Dormitory Living on Student Performance
Number of pages: 15
Posted: 21 Feb 2010
Working Paper Series
Colorado College and affiliation not provided to SSRN
Downloads
6,832
8.
Revisiting Event Study Designs: Robust and Efficient Estimation
Number of pages: 85
Posted: 20 Aug 2016
Last Revised: 20 Apr 2022
Working Paper Series
University College London - Department of Economics, London School of Economics & Political Science (LSE) - Department of Economics and Stanford Graduate School of Business
Downloads
6,388
9.
A Crash Course in Good and Bad Controls
Number of pages: 30
Posted: 29 Oct 2020
Last Revised: 21 Mar 2022
Working Paper Series
University of Washington - Department of Statistics, Loyola Marymount University and University of California, Los Angeles (UCLA) - Computer Science Department
Downloads
5,578
10.
Difference-in-Differences with Multiple Time Periods
Number of pages: 45
Posted: 24 Mar 2018
Last Revised: 07 Dec 2020
Working Paper Series
University of Mississippi - Department of Economics and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads
5,429
11.
Expected Returns and Large Language Models
Number of pages: 62
Posted: 21 Apr 2023
Last Revised: 28 Aug 2024
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business
Downloads
5,302
12.
Option Returns and Volatility Mispricing
Number of pages: 38
Posted: 14 Mar 2006
Working Paper Series
University of Lausanne and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads
5,233
13.
Effects of Dormitory Living on Student Performance
Number of pages: 14
Posted: 22 Mar 2010
Working Paper Series
Colorado College and University of Wisconsin - La Crosse – Department of Economics
Downloads
4,619
14.
Cross-Sectional Expected Returns: New Fama-MacBeth Regressions in the Era of Machine Learning
Review of Finance, forthcoming
Number of pages: 41
Posted: 13 Jun 2018
Last Revised: 08 Aug 2024
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads
4,318
15.
Difference-in-Differences for Continuous Treatments and Instruments with Stayers *
Number of pages: 50
Posted: 04 Mar 2022
Last Revised: 25 Jul 2024
Working Paper Series
SciencesPo - Sciences Po - Department of Economics, Center for Research in Economics and Statistics (CREST), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of California, Santa Barbara (UCSB) - Department of Economics
Downloads
4,109
16.
The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Number of pages: 45
Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads
3,967
17.
Going after the Addiction, Not the Addicted: The Impact of Drug Decriminalization in Portugal
IZA Discussion Paper No. 10895
Number of pages: 31
Posted: 31 Jul 2017
Working Paper Series
Nova School of Business and Economics, Bank of Portugal - Research Department and New University of Lisbon
Downloads
3,408
18.
Conditional Value-at-Risk: Aspects of Modeling and Estimation
Number of pages: 28
Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
Downloads
3,239
19.
Ebalance: A Stata Package for Entropy Balancing
Journal of Statistical Software Vol. 54, Issue 7, September 2013
Number of pages: 18
Posted: 13 Oct 2011
Last Revised: 17 Jan 2014
Accepted Paper Series
Stanford University - Department of Political Science and Stanford University
Downloads
3,173
20.
The Influence of Capital Structure on Company Value with Different Growth Opportunities
Number of pages: 14
Posted: 10 Jun 2002
Working Paper Series
New York University
Downloads
3,159
21.
Equity Volatility Term Structures and the Cross-Section of Option Returns
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 53
Posted: 14 Oct 2011
Last Revised: 30 Jan 2016
Accepted Paper Series
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads
2,998
22.
Relationship between Trade Liberalisation, Economic Growth and Trade Balance: An Econometric Investigation
Number of pages: 56
Posted: 21 Jul 2004
Working Paper Series
University of East Anglia and HWWA Institute of International Economics
Downloads
2,502
23.
The Triple Difference Estimator
NHH Dept. of Business and Management Science Discussion Paper No. 2020/1
Number of pages: 26
Posted: 23 Apr 2020
Working Paper Series
NHH Norwegian School of Economics - Department of Business and Management Science and Norwegian School of Economics (NHH) - Department of Business and Management Science
Downloads
2,456
24.
Estimation of VAR Using Copula and Extreme Value Theory
Multinational Finance Journal, 2008, vol. 12, no. 3/4, pp. 205–218
Number of pages: 14
Posted: 15 Jun 2006
Last Revised: 19 Oct 2013
Accepted Paper Series
University of Campinas (UNICAMP) - Department of Statistics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Independent
There are 2 versions of this paper
Estimation of VAR Using Copula and Extreme Value Theory
Multinational Finance Journal, 2008, vol. 12, no. 3/4, pp. 205–218
Number of pages: 14
Posted: 15 Jun 2006
Last Revised: 19 Oct 2013
Downloads
2,416
Estimation of VAR Using Copula and Extreme Value Theory
Multinational Finance Journal, Vol. 12, No. 3/4, p. 205-218, 2008
Number of pages: 14
Posted: 26 Jun 2015
Downloads
99
Downloads
2,416
25.
False (and Missed) Discoveries in Financial Economics
Number of pages: 61
Posted: 21 Nov 2017
Last Revised: 08 Jun 2020
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
2,209
26.
Count (and Count-Like) Data in Finance
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56
Posted: 22 Mar 2021
Last Revised: 11 Aug 2022
Accepted Paper Series
University of Texas at Austin, University of Houston - Department of Finance and University of Georgia
Downloads
2,170
27.
Academic Benefits of Living on Campus
Number of pages: 17
Posted: 22 Jun 2010
Working Paper Series
Colorado College and University of Wisconsin - La Crosse – Department of Economics
Downloads
2,117
28.
Multiple Testing in Economics
Number of pages: 21
Posted: 23 Nov 2013
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
2,045
29.
A Two-Sided, Empirical Model of Television Advertising and Viewing Markets
Number of pages: 46
Posted: 24 Feb 2020
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management
Downloads
1,930
30.
A Multi-Factor SABR Model for Forward Inflation Rates
Bloomberg Portfolio Research Paper No. 2009-08-FRONTIERS
Number of pages: 19
Posted: 05 Feb 2009
Last Revised: 08 Apr 2010
Working Paper Series
Bloomberg L.P. and Intesa Sanpaolo, CIB Division, Global Markets
Downloads
1,928
31.
Identification of Social Interactions
Number of pages: 154
Posted: 18 Aug 2010
Working Paper Series
Cornell University - Department of Economics, University of Wisconsin, Madison - Department of Economics, University of Chicago - Stone Center for Research on Wealth Inequality and Mobility and Tufts University
Downloads
1,844
32.
The Return of the Size Anomaly: Evidence from the German Stock Market
University of Cambridge, Judge Business School Working Paper No. 23/2006
Number of pages: 70
Posted: 16 Jan 2007
Last Revised: 05 Jul 2009
Working Paper Series
University of Oxford - Said Business School
Downloads
1,794
33.
How Disclosure Quality Affects the Long-Run Level of Information Asymmetry
INSEAD Working Paper
Number of pages: 43
Posted: 23 Jan 2002
Working Paper Series
University of Maryland - Department of Accounting & Information Assurance and Arizona State University (ASU) - W. P. Carey School of Business, School of Accountancy
Downloads
1,726
34.
Difference-in-discontinuities Design
Number of pages: 23
Posted: 31 Jan 2024
Last Revised: 11 Jul 2024
Working Paper Series
Pennsylvania State University
Downloads
1,697
35.
A Guide to Trend Following Strategies
Number of pages: 8
Posted: 18 May 2023
Working Paper Series
SigTech and affiliation not provided to SSRN
Downloads
1,672
36.
Do Fiscal Rules Matter?
Harvard Economics Department Working Paper
Number of pages: 55
Posted: 27 May 2011
Last Revised: 10 Oct 2015
Working Paper Series
Sapienza University of Rome - Department of Earth Sciences and Forecasting Research Center, Prevention and Control of Geological Risks, Bocconi University - Department of Economics and University of California, Riverside (UCR)
There are 3 versions of this paper
Do Fiscal Rules Matter?
Harvard Economics Department Working Paper
Number of pages: 55
Posted: 27 May 2011
Last Revised: 10 Oct 2015
Downloads
1,658
Policy Responses to Fiscal Restraints: A Difference-in-Discontinuities Design
CESifo Working Paper Series No. 3999
Number of pages: 56
Posted: 21 Nov 2012
Downloads
614
Policy Responses to Fiscal Restraints: A Difference-in-Discontinuities Design
IZA Discussion Paper No. 6952
Number of pages: 57
Posted: 27 Oct 2012
Downloads
107
Downloads
1,658
37.
A Quantile Regression Analysis of the Cross Section of Stock Market Returns
Number of pages: 36
Posted: 30 Jun 2004
Last Revised: 22 Sep 2010
Working Paper Series
Federal Reserve Bank of Boston and University of Adelaide
Downloads
1,621
38.
Accrual Accounting for Performance Evaluation
Stanford GSB Research Paper No. 1886
Number of pages: 38
Posted: 25 Apr 2005
Working Paper Series
University of California, Berkeley - Haas School of Business and Stanford University - Stanford Graduate School of Business
Downloads
1,617
39.
Reversion to the Mean, Taken to the Extreme
Number of pages: 27
Posted: 16 May 2010
Working Paper Series
affiliation not provided to SSRN
Downloads
1,617
40.
Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects
Number of pages: 35
Posted: 24 Mar 2018
Last Revised: 01 Nov 2019
Working Paper Series
SciencesPo - Sciences Po - Department of Economics and Center for Research in Economics and Statistics (CREST)
There are 2 versions of this paper
Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects
Number of pages: 35
Posted: 24 Mar 2018
Last Revised: 01 Nov 2019
Downloads
1,612
Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects
NBER Working Paper No. w25904
Number of pages: 51
Posted: 05 Jun 2019
Last Revised: 13 Apr 2023
Downloads
134
Downloads
1,612
41.
Pseudo Panels and Repeated Cross-Sections
Number of pages: 19
Posted: 14 Dec 2005
Last Revised: 12 Nov 2007
Working Paper Series
Erasmus University - Rotterdam School of Management
Downloads
1,583
42.
Carbon Default Swap -Disentangling the Exposure to Carbon Risk Through CDS
Number of pages: 67
Posted: 03 Jun 2021
Last Revised: 08 Jun 2024
Working Paper Series
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and University of Edinburgh Business School
There are 2 versions of this paper
Carbon Default Swap -Disentangling the Exposure to Carbon Risk Through CDS
Number of pages: 67
Posted: 03 Jun 2021
Last Revised: 08 Jun 2024
Downloads
1,580
Carbon Default Swap - Disentangling the Exposure to Carbon Risk Through CDS
CESifo Working Paper No. 10016
Number of pages: 69
Posted: 28 Oct 2022
Downloads
208
Downloads
1,580
43.
Factors Affecting Investment Bank Initial Public Offering Market Share
Number of pages: 27
Posted: 06 May 1997
Working Paper Series
Ivey Business School, Western University
Downloads
1,574
44.
Testing the Relation between Price-to-Earnings Ratio and Stock Returns in the Athens Stock Exchange
Number of pages: 32
Posted: 27 Dec 2005
Working Paper Series
Athens University of Economics and Business - Department of Accounting and Finance
Downloads
1,476
45.
Propensity Score Matching in Accounting Research and Rosenbaum Bounds Analysis for Confounding Variables
Number of pages: 59
Posted: 13 Oct 2009
Last Revised: 06 Jul 2012
Working Paper Series
Cardiff University - Cardiff Business School and Cardiff University
Downloads
1,473
46.
Extremal Quantiles and Value-at-Risk
MIT Department of Economics Working Paper No. 07-01
Number of pages: 19
Posted: 12 Jan 2007
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads
1,466
47.
Working Capital, Profitability, Liquidity and Solvency of Healthcare Insurance Companies
BBR - Brazilian Business Review, v. 7, n. 2, Vitória-ES, May - August 2010, pp. 37 - 59, ISSN 1808-2386
Number of pages: 23
Posted: 28 Jul 2012
Accepted Paper Series
Pace University - Lubin School of Business and FUCAPE Business School
Downloads
1,462
48.
Variance Risk Premium Demystified
Number of pages: 32
Posted: 16 Mar 2006
Last Revised: 28 Aug 2008
Working Paper Series
Frankfurt School of Finance & Management
Downloads
1,438
49.
Gender Wage Discrimination in India: Glass Ceiling or Sticky Floor?
Delhi School of Economics Centre for Development Economics (CDE) Working Paper No. 214
Number of pages: 46
Posted: 22 Jul 2012
Working Paper Series
University of California, Irvine
Downloads
1,426
50.
Disclosure of Accounting Information and Stock Return Volatility in Brazil
Number of pages: 14
Posted: 26 Oct 2005
Working Paper Series
Universidade de Brasília (UnB) - Campus Universitario Darcy Ribeiro and University of Brasilia & Bank of BrazilState University of Goias
Downloads
1,389
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