1.
Establishing a Pecking Order for Finance Academics: Ranking of U.S. Finance Doctoral Programs
Number of pages: 17
Posted: 13 Mar 2007
Working Paper Series
St. Joseph's University - Haub School of BusinessSaint Joseph's University
Downloads
17,591
2.
Putting Integrity into Finance: A Purely Positive Approach
Harvard Business School NOM Unit Working Paper No. 12-074, Barbados Group Working Paper No. 12-01, European Corporate Governance Institute (ECGI) – Finance Working Paper No. 417/2014
Number of pages: 84
Posted: 05 Apr 2012
Last Revised: 29 Nov 2015
Working Paper Series
Independent and Harvard Business School
There are 3 versions of this paper
Putting Integrity into Finance: A Purely Positive Approach
Harvard Business School NOM Unit Working Paper No. 12-074, Barbados Group Working Paper No. 12-01, European Corporate Governance Institute (ECGI) – Finance Working Paper No. 417/2014
Number of pages: 84
Posted: 05 Apr 2012
Last Revised: 29 Nov 2015
Downloads
7,940
Putting Integrity Into Finance: A Purely Positive Approach
Capitalism and Society, Vol. 12 [2017], Iss. 1, Art. 1
Number of pages: 91
Posted: 04 May 2017
Downloads
6,991
Putting Integrity into Finance: A Purely Positive Approach
NBER Working Paper No. w19986
Number of pages: 65
Posted: 24 Mar 2014
Last Revised: 10 Feb 2023
Downloads
280
Downloads
7,940
3.
Risk and Return in High-Frequency Trading
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 82
Posted: 06 May 2014
Last Revised: 10 Jan 2018
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School and University of Cambridge - Finance
Downloads
5,408
4.
On Information Asymmetry Metrics
Number of pages: 60
Posted: 18 Jan 2001
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and University of Pittsburgh - Finance Group
Downloads
4,971
5.
The Price of Sin: The Effects of Social Norms on Markets
Sauder School of Business Working Paper, AFA 2008 New Orleans Meetings Paper, EFA 2006 Zurich Meetings
Number of pages: 50
Posted: 05 Aug 2005
Working Paper Series
Imperial College London - Accounting, Finance, and Macroeconomics and Columbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads
4,105
6.
Does Stock Liquidity Enhance or Impede Firm Innovation?
Journal of Finance, October 2014, 69 (5), 2085-2125.
Number of pages: 87
Posted: 24 Jan 2011
Last Revised: 12 Feb 2015
Accepted Paper Series
European Corporate Governance Institute (ECGI), Tsinghua University - PBC School of Finance and Tulane University - A.B. Freeman School of Business
Downloads
3,795
7.
The War Puzzle: Contradictory Effects of International Conflicts on Stock Markets
Swiss Finance Institute Research Paper No. 11-21
Number of pages: 30
Posted: 31 May 2011
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance, University of Trier and WHU - Otto Beisheim School of Management
Downloads
3,721
8.
Principal Component Analysis of Volatility Smiles and Skews
Number of pages: 16
Posted: 08 Dec 2000
Working Paper Series
University of Sussex Business School
Downloads
3,655
9.
Performance Evaluation of Hedge Funds with Option-Based and Buy-and-Hold Strategies
Number of pages: 51
Posted: 04 Oct 2000
Working Paper Series
Georgia State University and London Business School - Institute of Finance and Accounting
Downloads
3,572
10.
The Bloomberg Corporate Default Risk Model (DRSK) for Public Firms
Number of pages: 33
Posted: 28 Aug 2021
Working Paper Series
Bloomberg L.P., Validationquant LLC, Bloomberg L.P., Bloomberg L.P., Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and Two Sigma
Downloads
3,453
11.
Market Design with Blockchain Technology
Number of pages: 40
Posted: 30 May 2016
Last Revised: 27 Jul 2017
Working Paper Series
McMaster University - Michael G. DeGroote School of Business and University of Toronto
Downloads
3,265
12.
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
3,187
13.
Risk and Return in Convertible Arbitrage: Evidence from the Convertible Bond Market
Journal of Empirical Finance, Forthcoming
Number of pages: 57
Posted: 15 Aug 2008
Last Revised: 15 Jan 2011
Accepted Paper Series
Georgia State University, PI Asset Management, LLC, Securities and Exchange Commission (SEC) and London Business School - Institute of Finance and Accounting
Downloads
3,106
14.
Another German Fama/French Factor Data Set
Number of pages: 10
Posted: 30 Oct 2015
Working Paper Series
Humboldt University of Berlin - School of Business and Economics, Humboldt University of Berlin, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin - School of Business and Economics
Downloads
2,950
15.
High Frequency Quoting: Short-Term Volatility in Bids and Offers
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 67
Posted: 24 Mar 2013
Last Revised: 02 Jul 2017
Working Paper Series
New York University (NYU) - Department of Finance
Downloads
2,739
16.
Investment Management and Technology: Past, Present, and Future
Number of pages: 31
Posted: 08 Dec 1999
Working Paper Series
Boston University
There are 2 versions of this paper
Investment Management and Technology: Past, Present, and Future
Number of pages: 31
Posted: 08 Dec 1999
Downloads
2,676
Investment Management and Technology: Past, Present, and Future
Brookings-Wharton Papers on Financial Services, 1999
Posted: 18 Nov 1999
Downloads
2,676
17.
Reverse Convertible Bonds Analyzed
Journal of Futures Markets, Vol. 29, No. 10, pp. 895-919, 2009
Number of pages: 31
Posted: 07 Sep 2006
Last Revised: 17 Apr 2023
Accepted Paper Series
Erasmus University Rotterdam (EUR) - Department of Finance, TIAS School for Business and Society and Monash University
Downloads
2,658
18.
Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets
Number of pages: 79
Posted: 18 Sep 2015
Last Revised: 24 Oct 2015
Working Paper Series
University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads
2,631
19.
Chasing the ESG Factor
Journal of Banking and Finance, Forthcoming
Number of pages: 76
Posted: 08 Jul 2021
Last Revised: 04 Apr 2022
Accepted Paper Series
EDHEC Business School and Catholic University of Milan
Downloads
2,623
20.
The Cultures of Risk Tolerance
Number of pages: 23
Posted: 24 Jul 2010
Working Paper Series
Santa Clara University - Department of Finance
Downloads
2,534
21.
How Valuable Is FinTech Innovation?
Review of Financial Studies, Forthcoming
Number of pages: 58
Posted: 29 Jan 2018
Last Revised: 24 Jul 2023
Accepted Paper Series
Georgia State University - Robinson College of Business, Baylor University - Hankamer School of Business and Georgia State University - Robinson College of Business
Downloads
2,385
22.
Optimal Trading Strategy and Supply/Demand Dynamics
AFA 2006 Boston Meetings Paper
Number of pages: 42
Posted: 20 Mar 2005
Working Paper Series
New Economic School (NES) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 3 versions of this paper
Optimal Trading Strategy and Supply/Demand Dynamics
AFA 2006 Boston Meetings Paper
Number of pages: 42
Posted: 20 Mar 2005
Downloads
2,345
Optimal Trading Strategy and Supply/Demand Dynamics
EFA 2005 Moscow Meetings Paper
Number of pages: 42
Posted: 14 Feb 2005
Downloads
775
Optimal Trading Strategy and Supply/Demand Dynamics
NBER Working Paper No. w11444
Number of pages: 43
Posted: 27 Jul 2005
Last Revised: 10 Apr 2022
Downloads
310
Downloads
2,345
23.
Commonality in Liquidity
Number of pages: 43
Posted: 16 Mar 1999
Working Paper Series
Emory University - Department of Finance, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
There are 2 versions of this paper
Downloads
2,341
24.
Bond Rating Agencies and Stock Analysts: Who Knows What When?
Number of pages: 33
Posted: 02 Dec 1996
Working Paper Series
University of Oklahoma - Division of Finance, Singapore Management University - Lee Kong Chian School of Business and Bank for International Settlements
Downloads
2,339
25.
Vice vs. Virtue Investing Around the World
Number of pages: 36
Posted: 19 Mar 2008
Last Revised: 12 May 2011
Working Paper Series
University of Maine - Maine Business School and University of Regensburg - Center of Finance
Downloads
2,276
26.
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models
Number of pages: 18
Posted: 24 Jan 2000
Working Paper Series
University of Texas at San Antonio - Department of Management Science and Statistics, Cornell University - School of Applied Economics and Management and National Chung Cheng University - Department of Finance
There are 2 versions of this paper
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models
Number of pages: 18
Posted: 24 Jan 2000
Downloads
2,235
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models
International Journal of Forecasting, Vol. 16, pp. 173-190
Posted: 28 Aug 2000
Downloads
2,235
27.
Gender Differences in Hedge Fund Performance Persistence
Number of pages: 16
Posted: 04 Apr 2022
Last Revised: 06 Nov 2022
Working Paper Series
Northumbria University, Vlerick Business School and University of Bath - School of Management
Downloads
2,164
28.
The Performance of European Index Funds and Exchange-Traded Funds
ERIM Report Series Reference
Number of pages: 31
Posted: 26 Jul 2009
Last Revised: 18 May 2010
Working Paper Series
Robeco Quantitative Investments, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)
There are 2 versions of this paper
The Performance of European Index Funds and Exchange-Traded Funds
ERIM Report Series Reference
Number of pages: 31
Posted: 26 Jul 2009
Last Revised: 18 May 2010
Downloads
2,158
The Performance of European Index Funds and Exchange-Traded Funds
European Financial Management, Forthcoming
Posted: 14 Feb 2011
Downloads
2,158
29.
The Non-Linear Market Impact of Large Trades: Evidence from Buy-Side Order Flow
Number of pages: 49
Posted: 08 Jan 2013
Last Revised: 14 Sep 2013
Working Paper Series
AllianceBernstein LP and AllianceBernstein LP
Downloads
2,115
30.
Institutional Design and Liquidity at Stock Exchanges Around the World
Number of pages: 47
Posted: 13 Dec 2005
Working Paper Series
University of Memphis - Fogelman College of Business and Economics
Downloads
2,072
31.
Strong Evidence for Gender Differences in Investment
Number of pages: 23
Posted: 15 Jan 2005
Last Revised: 14 Jun 2010
Working Paper Series
University of California, Santa Barbara (UCSB) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads
2,067
32.
Liquidity as an Investment Style
Financial Analysts Journal, Vol. 69, No. 3, 2013
Number of pages: 34
Posted: 24 Apr 2011
Last Revised: 24 May 2013
Accepted Paper Series
Yale School of Management, University of Hong Kong, Faculty of Business Economics (HKU Business School), Sweetwater Digital Asset Consulting, LLC and Zebra Capital Management, LLC
Downloads
1,969
33.
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide
Journal of Finance, Forthcoming
Number of pages: 78
Posted: 21 Mar 2011
Last Revised: 14 Nov 2013
Accepted Paper Series
Georgia State University, Emory University Goizueta Business School, University of Florida - Department of Finance and Georgia State University - Robinson College of Business
Downloads
1,963
34.
Short Selling and Earnings Management: A Controlled Experiment
Journal of Finance, Vol 71, No. 3 (June 2016), pp. 1251-1294
Number of pages: 44
Posted: 29 Jun 2013
Last Revised: 21 Jun 2017
Accepted Paper Series
European Corporate Governance Institute (ECGI), Hong Kong University of Science and Technology - Department of Accounting and University of Washington - Michael G. Foster School of Business
Downloads
1,945
35.
Role of Managerial Incentives and Discretion in Hedge Fund Performance
Journal of Finance, Forthcoming
Number of pages: 53
Posted: 08 Mar 2006
Last Revised: 11 Oct 2008
Working Paper Series
Georgia State University, Drexel University - Department of Finance and London Business School - Institute of Finance and Accounting
Downloads
1,781
36.
Robust Leveraged ETF Portfolios Extending Classic 40/60 Portfolios and Portfolio Insurance
Number of pages: 65
Posted: 19 Mar 2020
Last Revised: 19 Mar 2020
Working Paper Series
Columbia University and Stuyvesant High School
Downloads
1,767
37.
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
MAFC Research Paper No. 33
Number of pages: 49
Posted: 21 May 2007
Last Revised: 25 Jul 2008
Working Paper Series
University of Sussex Business School and Macquarie University Department of Applied Finance
Downloads
1,646
38.
Using VIX Data to Enhance Technical Trading Signals
Number of pages: 6
Posted: 19 Sep 2011
Working Paper Series
Lakehead University and Lakehead University
Downloads
1,632
39.
Stock Market Declines and Liquidity
Journal of Finance, Forthcoming, AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper
Number of pages: 49
Posted: 09 Mar 2006
Last Revised: 13 Nov 2008
Working Paper Series
Faculty of Business Administration, University of Macau, National University of Singapore (NUS) - Department of Finance and Duke University - Fuqua School of Business
Downloads
1,623
40.
Forecasting Real Estate Prices
Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91
Posted: 21 Apr 2013
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads
1,588
41.
Is High-Frequency Trading Inducing Changes in Market Microstructure and Dynamics?
Number of pages: 21
Posted: 30 Jun 2010
Last Revised: 13 Oct 2010
Working Paper Series
Supreme Vinegar LLC
Downloads
1,583
42.
The Effect of Liquidity on Governance
Review of Financial Studies, June 2013, 26(6), 1443-1482.
, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 319/2011
Number of pages: 66
Posted: 04 Aug 2011
Last Revised: 23 Oct 2018
Accepted Paper Series
London Business School - Institute of Finance and Accounting, European Corporate Governance Institute (ECGI) and University of Maryland - Robert H. Smith School of Business
There are 2 versions of this paper
The Effect of Liquidity on Governance
Review of Financial Studies, June 2013, 26(6), 1443-1482.
, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 319/2011
Number of pages: 66
Posted: 04 Aug 2011
Last Revised: 23 Oct 2018
Downloads
1,569
The Effect of Liquidity on Governance
NBER Working Paper No. w17567
Number of pages: 48
Posted: 04 Nov 2011
Last Revised: 03 Jul 2022
Downloads
63
Downloads
1,569
43.
Is ESG Risk Priced?
Number of pages: 65
Posted: 29 Nov 2018
Working Paper Series
EDHEC Business School
Downloads
1,568
44.
Alternatives for Going Public: Evidence from Reverse Takeovers, Self-Underwritten Ipos, and Traditional Ipos
Number of pages: 45
Posted: 14 Mar 2006
Working Paper Series
American University of Sharjah, National University of Singapore and Bentley University - Department of Finance
Downloads
1,537
45.
Citation Patterns within the Leading Top-Tier Finance Journals: Implications for Journal Rankings and Other Issues
Number of pages: 35
Posted: 01 Nov 2007
Working Paper Series
Monash University and Deakin University
Downloads
1,534
46.
Is Ethical Money Financially Smart?
ECGI - Finance Working Paper No. 117/2006, CentER Discussion Paper No. 2006-09, WBS Finance Group Research Paper No. 52
Number of pages: 52
Posted: 28 Feb 2006
Last Revised: 23 Dec 2019
Working Paper Series
Tilburg University - Department of Finance, TIAS School for Business and Society and University of Exeter Business School
Downloads
1,478
47.
Aggressive Short Selling and Price Reversals
AFA 2008 New Orleans Meetings Paper
Number of pages: 46
Posted: 21 Mar 2007
Last Revised: 07 Feb 2011
Working Paper Series
Wilfrid Laurier University - Lazaridis School of Business and Economics, University of Mississippi - Department of Finance and University of Mississippi - Department of Finance
Downloads
1,468
48.
Are 'Market Neutral' Hedge Funds Really Market Neutral?
Number of pages: 33
Posted: 23 Jun 2004
Working Paper Series
Duke University - Department of Economics
Downloads
1,457
49.
Selecting Comparables for the Valuation of European Firms
Number of pages: 25
Posted: 02 Feb 2005
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Humboldt University of Berlin - School of Business and Economics
Downloads
1,395
50.
Low-Cost Momentum Strategies
Number of pages: 18
Posted: 10 Aug 2007
Last Revised: 19 May 2009
Working Paper Series
Keele Business School, Keele University, University of Bristol - School of Economics, Finance and Management and Audencia Business School
Downloads
1,355
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