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Derivatives Research

Collection's Items: 1 to 20 of 61

Issue DateTitleAuthor(s)
4-Sep-2002Assessing the Incremental Value of Option Pricing Theory Relative to an ‘Informationally Passive’ BenchmarkFiglewski, Stephen
11-Jun-2004Asset Pricing with Liquidity RiskAcharya, Viral V.; Pedersen, Lasse Heje
Nov-2004Benefits of Broad-Based Option PayInderst, Roman; Müller, Holger M.
9-Jan-2003The Cash Flow, Return and Risk Characteristics of Private EquityLjungqvist, Alexander; Richardson, Matthew
Nov-2001ComovementBarberis, Nicholas; Shleifer, Andrei; Wurgler, Jeffrey
Oct-2003ComovementBarberis, Nicholas; Shleifer, Andrei; Wurgler, Jeffrey
Jul-2000Credit Risk and the Yen Interest Rate Swap MarketEom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun
Nov-2003Cyclicality in Catastrophic and Operational Risk MeasurementsAllen, Linda
Jan-2006Demand-Based Option PricingGârleanu, Nicolae; Pedersen, Lasse Heje; Poteshman, Allen M.
8-Dec-2005The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent LiquidityChacko, George; Mahanti, Sriketan; Mallik, Gaurav; Subrahmanyam, Marti
6-Apr-2005Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ MarketBoudoukh, Jacob; Richardson, Matthew; Shen, YuQing; Whitelaw, Robert F.
1-Jan-2003Does Mutual Fund Performance Vary over the Business Cycle?Boudry, Walter; Lynch, Anthony W.; Wachter, Jessica
21-Jan-2003Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?Sangvinatsos, Antonios; Wachter, Jessica
Mar-1999Empirical pricing kernelsRosenberg, Joshua V.; Engle, Robert F.
Sep-2005Employee Stock Options (ESOPs) and Restricted Stock: Valuation Effects and ConsequencesDamodaran, Aswath
29-Jun-2003Estimation Error in the Assessment of Financial Risk ExposureFiglewski, Stephen
Sep-2001An Examination of the Static and Dynamic Performance of Interest Rate Option Pricing Models In the Dollar Cap-Floor MarketsGupta, Anurag; Subrahmanyam, Marti G.
Jul-2003An Explanation for the Joint Evolution of Firm and Aggregate VolatilityPhilippon, Thomas
14-Jun-2004Fees on Fees in Funds of FundsBrown, Stephen J.; Goetzmann, William N.; Liang, Bing