Search Results
JEL Code: F37

118,233 Total downloads

Viewing: 1 - 50 of 569 papers

1.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

"Market Momentum: Theory and Practice", Wiley, 2020 (Forthcoming)
Number of pages: 49 Posted: 02 Sep 2012 Last Revised: 09 Sep 2019
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International and Imperial College Business School
Downloads 11,606
2.

A Consistent Methodology for the Calculation of the Cost of Capital in Emerging Markets

Number of pages: 23 Posted: 24 Aug 2010
Working Paper Series
Universidad de los Andes, Colombia and Universidad de los Andes, Colombia
Downloads 4,007
3.

Trend-Following, Risk-Parity and the Influence of Correlations

"Risk-Based and Factor Investing", Elsevier & ISTE Press, 2015 (Forthcoming)
Number of pages: 25 Posted: 14 Oct 2015 Last Revised: 24 Dec 2015
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International
Downloads 3,426
4.

Yield Curve Predictors of Foreign Exchange Returns

AFA 2011 Denver Meetings Paper
Number of pages: 47 Posted: 25 Jan 2010 Last Revised: 15 Jun 2011
Working Paper Series
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads 3,006
5.

Application of Machine Learning to Systematic Strategies

Number of pages: 7 Posted: 12 Sep 2016 Last Revised: 13 Oct 2016
Working Paper Series
ING
Downloads 2,741
6.

Expected Returns and Volatility in 135 Countries

Number of pages: 28 Posted: 23 Dec 2005 Last Revised: 07 Aug 2020
Working Paper Series
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads 2,048
7.

Cross-Asset Signals and Time Series Momentum

Number of pages: 81 Posted: 31 Dec 2016 Last Revised: 23 Feb 2019
Working Paper Series
Aalto University School of Business, Aalto University School of Business and Independent
Downloads 1,867
8.

Time-Series Momentum: Is It There?

Journal of Financial Economics 135, 774-794, 2020
Number of pages: 61 Posted: 06 May 2018 Last Revised: 06 Oct 2020
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics, Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences and Washington University in St. Louis - John M. Olin Business School
Downloads 1,856
9.

A New Explanatory Model for Policy Analysis and Evaluation

Tinbergen Institute Discussion Paper No. 2006-063/2
Number of pages: 35 Posted: 19 Jul 2006
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam (UVA) - Amsterdam Business School
Downloads 1,694
10.

How Law Affects Lending

Columbia Law and Economics Working Paper No. 285
Number of pages: 34 Posted: 13 Nov 2005 Last Revised: 02 Sep 2008
Working Paper Series
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Columbia University School of Law and London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,582
11.

Optimising Cross-Asset Carry

"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming)
Number of pages: 29 Posted: 17 May 2017
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International
Downloads 1,576
12.

Home Bias Revisited

Number of pages: 62 Posted: 19 Feb 2009
Working Paper Series
Columbia Business School - Finance and Economics and PriceWaterhouseCoopers LLP - Financial services
Downloads 1,469
13.

Currency Premia and Global Imbalances

Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting, 28th Australasian Finance and Banking Conference
Number of pages: 72 Posted: 20 Jun 2013 Last Revised: 18 Oct 2017
Working Paper Series
Imperial College Business School, University of Toronto - Rotman School of ManagementUniversity of Toronto at Scarborough - Division of Management and University of Cambridge - Judge Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,378
14.

Financial Globalisation and Emerging Market Capital Flows

BIS Paper No. 44
Number of pages: 492 Posted: 10 Feb 2009
Accepted Paper Series
Bank for International Settlements (BIS)
Downloads 1,376
15.

A Regression Model of Country Risk and Risk Scoring

Curtin School of Economics and Finance Working Paper No. 97.11
Number of pages: 20 Posted: 21 Aug 2001
Working Paper Series
Curtin University - Centre for Research in Applied Economics
Downloads 1,305
16.

Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash

Swiss Finance Institute Research Paper No. 15-31
Number of pages: 16 Posted: 22 Nov 2015
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH ZürichGuangdong University of Foreign Studies, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich
Downloads 1,244
17.

Market Timing and Predictability in FX Markets

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 87 Posted: 20 Jun 2016 Last Revised: 09 Mar 2020
Working Paper Series
The University of Hong Kong, University of New South Wales, Sydney and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads 1,209
18.

Conditional Dependency of Financial Series: The Copula-Garch Model

FAME Research Paper No. 69
Number of pages: 37 Posted: 06 Jun 2003
Working Paper Series
University of Lausanne - Faculty of Business and Economics (HEC Lausanne)affiliation not provided to SSRN and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,202
19.

Dividend Policy Behaviour in the Jordanian Capital Market

Number of pages: 14 Posted: 27 May 2004
Accepted Paper Series
University of Jordan
Downloads 1,183
20.

DSGE Models and Central Banks

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-16
Number of pages: 33 Posted: 18 Dec 2010
Accepted Paper Series
International Monetary Fund

Multiple version iconThere are 3 versions of this paper

Downloads 1,161
21.

Access to Collateral and Corporate Debt Structure: Evidence from a Natural Experiment

EFA 2008 Athens Meetings Paper
Number of pages: 71 Posted: 28 Feb 2007 Last Revised: 12 Jul 2012
Working Paper Series
London Business School
Downloads 1,101
22.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Working Paper Series
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 998
23.

Optimal and Naive Diversification in Currency Markets

Swiss Finance Institute Research Paper No. 12-36
Number of pages: 36 Posted: 11 Dec 2012 Last Revised: 04 Feb 2016
Working Paper Series
Zurcher Kantonalbank, NHH Norwegian School of EconomicsUniversity of Zurich and IMD Lausanne
Downloads 966
24.

The Impact of the Financial Crisis on Emerging Asia

Peterson Institute for International Economics Working Paper No. 09-11
Number of pages: 47 Posted: 05 Nov 2009 Last Revised: 28 Jan 2011
Working Paper Series
Peter G. Peterson Institute for International Economics and Peter G. Peterson Institute for International Economics
Downloads 959
25.

Carry Trade Dynamics Under Capital Controls: The Case of China

Number of pages: 49 Posted: 28 Jun 2015
Working Paper Series
Peking University - HSBC School of Business and Fulbright University Vietnam
Downloads 933
26.

World Financial Crisis: Possible Impact on Developing Economies

Number of pages: 7 Posted: 17 Oct 2008
Working Paper Series
Centre for Social and Economic Analyses (CASE)
Downloads 903
27.

Can Oil Prices Forecast Exchange Rates?

Economic Research Initiatives at Duke Working Paper No. 95
Number of pages: 54 Posted: 12 May 2011
Accepted Paper Series
affiliation not provided to SSRN, Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI) and Harvard University - Department of Economics
Downloads 827
28.

Libor Benchmark Reform: An Overview of Libor Changes and Its Impact on Yield Curves, Pricing and Risk

Number of pages: 67 Posted: 12 Nov 2019 Last Revised: 03 Jan 2020
Working Paper Series
University of Oxford, Said Business School
Downloads 799
29.

Conditional Dependency of Financial Series: An Application of Copulas

HEC Department of Finance Working Paper No. 723
Number of pages: 43 Posted: 05 Apr 2001
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 766
30.

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

2015 Financial Management Association Annual Meeting; Orlando, FL, US. , 2015 European Financial Management Association Annual Meeting; Amsterdam, Netherlands.
Number of pages: 64 Posted: 30 Jun 2013 Last Revised: 22 Jun 2016
Working Paper Series
City University of Hong Kong and University of Glasgow - Adam Smith Business School
Downloads 714
31.

Momentum in the Indian Equity Markets: Positive Convexity and Positive Alpha

Number of pages: 16 Posted: 18 Mar 2019 Last Revised: 23 Apr 2019
Working Paper Series
Wright Research, Qplum and Qplum
Downloads 706
32.

Exchange Rate Prediction with Machine Learning and a Smart Carry Portfolio

Number of pages: 61 Posted: 27 Sep 2019 Last Revised: 06 Jul 2021
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, Washington University in St. LouisSaint Louis University, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 702
33.

Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations

IIIS Discussion Paper No. 122
Number of pages: 27 Posted: 02 Mar 2006 Last Revised: 14 Jul 2009
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads 686
34.

Liquidity Risk and Interest Rate Risk on Banks: Are They Related?

The IUP Journal of Financial Risk Management, Forthcoming
Number of pages: 37 Posted: 28 Sep 2012 Last Revised: 21 Oct 2012
Accepted Paper Series
University of Padova, Department of Economic and Managerial Sciences and University of Padua - Department of Economics and Management

Multiple version iconThere are 2 versions of this paper

Downloads 676
35.

The Cross-Section of Currency Volatility Premia

Number of pages: 108 Posted: 13 Jan 2017 Last Revised: 24 Dec 2019
Working Paper Series
Imperial College Business School, University of Warwick - Warwick Business School and City University London - Faculty of Finance
Downloads 658
36.

Time-Varying Integration and International Diversification Strategies

EFA 2006 Zurich Meetings Paper
Number of pages: 53 Posted: 20 Mar 2008
Working Paper Series
Tilburg University - Department of Finance and Ghent University - Department of Economics
Downloads 646
37.

What Might the Next Emerging-Market Financial Crisis Look Like?

Peterson Institute for International Economics Working Paper No. 05-7
Number of pages: 109 Posted: 08 Aug 2005 Last Revised: 28 Jan 2011
Working Paper Series
Peter G. Peterson Institute for International Economics
Downloads 644
38.

Financial Crisis and New Dimensions of Liquidity Risk: Rethinking Prudential Regulation and Supervision

Number of pages: 18 Posted: 19 Oct 2009
Working Paper Series
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN), Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN) and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN)
Downloads 642
39.

Enforcement and its Impact on Cost of Equity and Liquidity of the Market

Number of pages: 28 Posted: 21 Dec 2006 Last Revised: 12 May 2014
Working Paper Series
HKUST Business School
Downloads 641
40.

The Changing Concept of Financial Risk

Number of pages: 46 Posted: 29 Jan 2002
Working Paper Series
University of California at Irvine - The Paul Merage School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 632
41.

The Effects of Brexit on the Pound: Towards a Currency Crisis?

Number of pages: 14 Posted: 24 Jul 2017
Working Paper Series
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads 629
42.

Exchange Rates and Fundamentals

Number of pages: 50 Posted: 02 Dec 2003
Working Paper Series
University of Wisconsin - Madison - Department of Economics and University of Wisconsin - Madison - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 607
43.

Fundamentals and Exchange Rate Forecastability with Simple Machine Learning Methods

HEC Paris Research Paper No. ECO/SCD-2014-1049
Number of pages: 69 Posted: 12 Jun 2014 Last Revised: 29 May 2018
Working Paper Series
Ecole Polytechnique, Paris, HEC Paris - Economics & Decision Sciences and HEC Paris - Economics & Decision Sciences
Downloads 602
44.

Tail Risk Concerns Everywhere

Number of pages: 41 Posted: 17 May 2015 Last Revised: 08 Jun 2017
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, Fudan University, Fanhai International School of FinanceShanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Johns Hopkins University - Carey Business School
Downloads 596
45.

Insurance Companies in Emerging Markets

IMF Working Paper No. 05/88
Number of pages: 21 Posted: 03 Mar 2006
Working Paper Series
affiliation not provided to SSRN and International Monetary Fund (IMF)
Downloads 595
46.

An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention

FRB of St. Louis Working Paper No. 2005-030B
Number of pages: 41 Posted: 29 Jul 2005
Working Paper Series
Federal Reserve Bank of St. Louis - Research Division
Downloads 593
47.

A Low-Risk Strategy Based on Higher Moments in Currency Markets

Number of pages: 59 Posted: 28 Sep 2015 Last Revised: 30 May 2016
Working Paper Series
Goethe University Frankfurt - Department of Finance
Downloads 578
48.

Rent-Seeking in Elite Networks

Forthcoming in Journal of Political Economy, SAFE Working Paper No. 132
Number of pages: 55 Posted: 03 Feb 2017 Last Revised: 10 Feb 2017
Working Paper Series
Goethe University Frankfurt - Faculty of Economics and Business AdministrationLeibniz Institute for Financial Research SAFE, Princeton University, Bendheim Center for Finance and London Business School
Downloads 573
49.

Why are Capital Flows so Much More Volatile in Emerging than in Developed Countries?

Number of pages: 23 Posted: 01 Mar 2006
Working Paper Series
CREI and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 538
50.

Disagreement Beta

Journal of Monetary Economics, Forthcoming
Number of pages: 42 Posted: 17 Jun 2016 Last Revised: 07 Oct 2018
Accepted Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of ManagementT. Rowe Price, Fudan University, Fanhai International School of FinanceShanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Johns Hopkins University - Carey Business School and DePaul University
Downloads 530