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asset pricing
37
volatility
35
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28
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22
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15
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13
monetary policy
13
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11
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Acharya, Viral V
20
Massa, Massimo
15
Albuquerque, Rui
14
Lettau, Martin
13
Ramadorai, Tarun
12
Foucault, Thierry
11
Pedersen, Lasse Heje
11
Hau, Harald
10
Timmermann, Allan G
10
Basak, Suleyman
9
Bekaert, Geert
9
Pástor, Luboš
9
Söderlind, Paul
9
Veronesi, Pietro
9
Vives, Xavier
9
Ludvigson, Sydney
8
Vitale, Paolo
8
Wolfers, Justin
8
Campbell, John Y
7
Chernov, Mikhail
7
Dahlquist, Magnus
7
Gehrig, Thomas
7
Pagano, Marco
7
Pavlova, Anna
7
Rose, Andrew K
7
de Jong, Frank
7
Beber, Alessandro
6
Sarno, Lucio
6
Sentana, Enrique
6
Uppal, Raman
6
Vayanos, Dimitri
6
Viceira, Luis M
6
Cespa, Giovanni
5
Danthine, Jean-Pierre
5
Farmer, Roger E A
5
Hardouvelis, Gikas A
5
Kaniel, Ron
5
Kondor, Péter
5
Vassalou, Maria
5
Voth, Hans-Joachim
5
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C.E.P.R. Discussion Papers
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2,055
Finance research letters
1,979
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1,714
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1,640
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1,554
Journal of banking & finance
1,440
International review of financial analysis
1,325
MPRA Paper
1,231
Applied economics
1,181
Journal of financial economics
1,098
Energy economics
1,090
Journal of forecasting
1,080
The journal of finance : the journal of the American Finance Association
1,051
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1,033
Applied economics letters
958
Applied financial economics
950
Pacific-Basin finance journal
942
NBER Working Papers
935
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846
Discussion paper / Centre for Economic Policy Research
842
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796
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787
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765
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761
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739
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734
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727
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717
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662
CESifo working papers
650
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637
Review of quantitative finance and accounting
633
The European journal of finance
604
Journal of international money and finance
579
Journal of risk and financial management : JRFM
556
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
556
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RePEc
571
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1
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571
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1
Improving Portfolio Selection Using Option-Implied
Volatility
and Skewness
DeMiguel, Victor
;
Plyakha, Yuliya
;
Uppal, Raman
; …
-
C.E.P.R. Discussion Papers
-
2010
weights, one needs to estimate for each stock its
volatility
, correlations with all other stocks, and expected return. Our … contained in the
volatility
risk premium and option-implied skewness increases substantially Sharpe ratios and certainty …
Persistent link: https://www.econbiz.de/10008530360
Saved in:
2
Testing Asymmetric-Information Asset Pricing Models
Kelly, Bryan
;
Ljungqvist, Alexander P.
-
C.E.P.R. Discussion Papers
-
2009
Theoretical asset pricing models routinely assume that investors have heterogeneous information. We provide direct evidence of the importance of information asymmetry for asset prices and investor demands using plausibly exogenous variation in the supply of information caused by the closure or...
Persistent link: https://www.econbiz.de/10005792510
Saved in:
3
Limits to
Arbitrage
and Hedging: Evidence from Commodity Markets
Acharya, Viral V
;
Lochstoer, Lars
;
Ramadorai, Tarun
-
C.E.P.R. Discussion Papers
-
2009
and inventories, consistent with our model. Our analysis demonstrates that limits to financial
arbitrage
can generate …
Persistent link: https://www.econbiz.de/10005016244
Saved in:
4
Carry
Koijen, Ralph
;
Moskowitz, Tobias J
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2013
, and
volatility
risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673
Saved in:
5
Demand-Based Option Pricing
Garleanu, Nicolae Bogdan
;
Pedersen, Lasse Heje
; …
-
C.E.P.R. Discussion Papers
-
2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10005067592
Saved in:
6
Insider Trading in Credit Derivatives
Acharya, Viral V
;
Johnson, Tim
-
C.E.P.R. Discussion Papers
-
2005
Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we report evidence of significant incremental...
Persistent link: https://www.econbiz.de/10005666591
Saved in:
7
Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of May 2005
Acharya, Viral V
;
Schaefer, Stephen M
;
Zhang, Yili
-
C.E.P.R. Discussion Papers
-
2007
The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced in the significant imbalance in their quotes...
Persistent link: https://www.econbiz.de/10005123999
Saved in:
8
Performance Maximization of Actively Managed Funds
Guasoni, Paolo
;
Huberman, Gur
;
Wang, Zhenyu
-
C.E.P.R. Discussion Papers
-
2010
Ratios that indicate the statistical significance of a fund’s alpha typically appraise its performance. A growing literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets or trading frequently can significantly enhance...
Persistent link: https://www.econbiz.de/10008468707
Saved in:
9
The Effect of Introducing a Non-redundant Derivative on the
Volatility
of Stock-Market Returns
Bhamra, Harjoat Singh
;
Uppal, Raman
-
C.E.P.R. Discussion Papers
-
2006
We study the effect of introducing a new security, such as a non-redundant derivative, on the
volatility
of stock … increases the
volatility
of stock-market returns. …
Persistent link: https://www.econbiz.de/10005114422
Saved in:
10
The Dynamics of Financially Constrained
Arbitrage
Gromb, Denis
;
Vayanos, Dimitri
-
C.E.P.R. Discussion Papers
-
2015
We develop a model of financially constrained
arbitrage
, and use it to study the dynamics of
arbitrage
capital … the dynamics of
arbitrage
activity are self-correcting: following a shock that depletes
arbitrage
capital, profitability … trades, although arbitrageurs cut their positions in these trades the least. When
arbitrage
capital is more mobile across …
Persistent link: https://www.econbiz.de/10011184076
Saved in:
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