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EFA 2002 Berlin Meetings Discussion Papers (Archive)
52,377 Total downloads
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Showing Papers 1 - 50 of 68
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How Investors Trade Around Interim Earnings Announcements
EFA 2002 Berlin, Forthcoming
Hannu J. Schadewitz
Turku School of Economics at the University of Turku - Department of Accounting & Finance
Date Posted: March 10, 2007
Working Paper Series
400 downloads
Testing for Stochastic Dominance with Diversification Possibilities
ERIM Report Series Reference No. ERS-2001-38-F&A; EFA 2002 Berlin Meetings Discussion Paper
Thierry Post
Koc University - Graduate School of Business
Date Posted: November 19, 2005
Working Paper Series
294 downloads
Corporate Performance, Board Structure and its Determinants in the Banking Industry
EFA 2005 Moscow Meetings
Renee B. Adams and
Hamid Mehran
University of New South Wales
and
Federal Reserve Bank of New York
Date Posted: June 20, 2005
Working Paper Series
3207 downloads
Powerful CEOs and their Impact on Corporate Performance
AFA 2004 San Diego Meetings; EFA 2002 Berlin Meetings Discussion Paper
Heitor Almeida ,
Renee B. Adams and
Daniel Ferreira
University of Illinois at Urbana-Champaign
,
University of New South Wales
and
London School of Economics & Political Science (LSE) - Department of Finance
Date Posted: November 11, 2003
Working Paper Series
1348 downloads
Melting Pot or Salad Bowl: Some Evidence from U.S. Investments Abroad
EFA 2003 Annual Conference Paper No. 650
Utpal Bhattacharya and
Peter Groznik
Indiana University Bloomington - Department of Finance
and
University of Ljubljana - Faculty of Economics
Date Posted: August 06, 2003
Working Paper Series
723 downloads
Comparing Possible Proxies of Corporate Bond Liquidity
Journal of Banking and Finance, Vol. 29, No. 6, pp. 1331-1358, 2005, EFA 2003 Annual Conference Paper No. 298
Patrick Houweling ,
Albert Mentink
and
Ton Vorst
Robeco Quantitative Strategies
,
AEGON Group - AEGON Asset Management
and
VU University Amsterdam - Department of Finance and Financial Sector Management
Date Posted: August 01, 2003
Accepted Paper Series
1401 downloads
Tax Driven One-Time Dividends and the Managerial Discretion Hypothesis - New Evidence from Germany
EFMA 2003 Helsinki Meetings
Christoph Kaserer ,
Stephanie Roos and
Ekkehard Wenger
Technische Universität München (TUM)
,
University of Wuerzburg - Business Administration & Economics
and
University of Wuerzburg
Date Posted: June 08, 2003
Working Paper Series
287 downloads
Pricing Derivative Securities Using Cross-Entropy: An Economic Analysis
EFMA 2003 Helsinki Meetings
Nicole Branger
University of Muenster - Finance Center Muenster
Date Posted: May 10, 2003
Working Paper Series
356 downloads
Equilibrium Impact of Value-at-Risk Regulation
EFA 2002 Berlin Meetings Discussion Paper
Markus Leippold ,
Paolo Vanini and
Fabio Trojani
University of Zurich - Department of Banking and Finance
,
Zurich Cantonal Bank
and
Swiss Finance Institute
Date Posted: November 14, 2002
Working Paper Series
979 downloads
Efficient Governance Structures, Corporate Investment, and Profitability
GEABA Discussion Paper No. 02-07; EFA 2002 Berlin Meetings Discussion Paper
Erik E. Lehmann ,
Susanne Warning and
Jürgen Weigand
University of Augsburg - Faculty of Business and Economics
,
IAAEG, University of Trier
and
Wissenschaftliche Hochschule fuer Unternehmensfuehrung (WHU) Koblenz
Date Posted: August 26, 2002
Working Paper Series
648 downloads
Equity Trading by Institutional Investors: To Cross or Not to Cross
EFA 2002 Berlin Meetings Discussion Paper
Randi Naes
and
Bernt Arne Ødegaard
Norwegian Ministry of Trade and Industry
and
University of Stavanger
Date Posted: August 05, 2002
Working Paper Series
386 downloads
Hedging Volatility Risk
EFA 2002 Berlin Meetings Discussion Paper
Menachem Brenner ,
Ernest Y. Ou
and
Jin E. Zhang
New York University (NYU) - Department of Finance
,
Lehman Brothers, New York
and
The University of Hong Kong
Date Posted: July 13, 2002
Working Paper Series
1026 downloads
Returns and Volatility Asymmetries in Global Stock Markets
EFA 2002 Berlin Meetings Discussion Paper
Thomas Chinan Chiang ,
Cathy W. S. Chen
and
Mike K. P. So
Drexel University - Department of Finance
,
Feng Chia University - Department of Statistics
and
Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Date Posted: July 13, 2002
Working Paper Series
359 downloads
Credit Rationing, Customer Relationship and the Number of Banks: An Empirical Analysis
EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Jean-Christophe Statnik ,
Eric de Bodt and
Frederic Lobez
Université de Lille Nord de France – European Center for Corporate
,
Université Lille Nord de France - SKEMA Business School
and
University of Lille II - GERME Research Center
Date Posted: June 20, 2002
Working Paper Series
530 downloads
Cost of Borrowing as an Indicator of Region-Specific Investment Risk: The Case of Russia
EFA 2002 Berlin Meetings Discussion Paper
Natalia Kravchenko
Novosibirsk State University - Department of Economics
Date Posted: June 10, 2002
Working Paper Series
120 downloads
Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry
AFA 2003 Washington, DC Meetings, Yale ICF Working Paper No. 02-12
Masahiro Watanabe
University of Alberta - School of Business
Date Posted: May 07, 2002
Working Paper Series
921 downloads
Tax Relief Mechanisms and the Least Taxed Path for Circulating Income Within a Multinational Enterprise
EFA 2002 Berlin Meetings Discussion Paper
Marcel Gerard and
Marie-France Gillard
Facultes Universitaires Catholiques de Mons (FUCAM)
and
Facultes Universitaires Catholiques de Mons (FUCAM) - Department of Finance
Date Posted: April 01, 2002
Working Paper Series
101 downloads
Bank Size, Specialization and Efficiency: The Netherlands, 1992-1998
Maastricht University Department of Economics Working paper RM/01/018; EFA 2002 Berlin Meetings Discussion Paper
Jaap W.B. Bos
and
Clemens J.M. Kool
Maastricht University
and
University of Utrecht - Utrecht University School of Economics
Date Posted: March 22, 2002
Working Paper Series
491 downloads
Industry Returns, Single and Multifactor Asset Pricing Tests
EFA 2002 Berlin Meetings Discussion Paper
Syed I. Hussain
and
Steve Toms
Nottingham University Business School
and
University of Leeds - Leeds University Business School (LUBS)
Date Posted: March 22, 2002
Working Paper Series
508 downloads
Performance, Herding, and Career Concerns of Individual Financial Analysts
EFA 2002 Berlin Meetings Discussion Paper
Xi Li
Hong Kong University of Science & Technology
Date Posted: March 22, 2002
Working Paper Series
754 downloads
Survival, Look-Ahead Bias and the Performance of Hedge Funds
EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
G. Baquero ,
Jenke ter Horst and
Marno Verbeek
ESMT European School of Management and Technology
,
Tilburg University - Center for Economic Research (CentER)
and
Erasmus University - Rotterdam School of Management
Date Posted: March 21, 2002
Working Paper Series
749 downloads
The Influence of Managerial Ownership on the Real Gains in Corporate Mergers and Market Revaluation of Merger Partners: Empirical Evidence
EFA 2002 Berlin Meetings Discussion Paper
Nicholas F. Carline
,
Scott C. Linn and
Pradeep K. Yadav
University of Birmingham - The Birmingham Business School
,
University of Oklahoma - Michael F. Price College of Business
and
University of Oklahoma - Division of Finance
Date Posted: March 21, 2002
Working Paper Series
759 downloads
Value and Size Effects: Now you see It, Now you don't
EFA 2002 Berlin Meetings Discussion Paper
Frederiek van Holle
,
Jan Annaert ,
John Crombez and
Bart Spinel
affiliation not provided to SSRN
,
Antwerp Management School
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: March 21, 2002
Working Paper Series
524 downloads
Managerial Compensation Contracts and Overconfidence
EFA 2002 Berlin Meetings Discussion Paper
Karl Ludwig Keiber
European University Viadrina Frankfurt (Oder) - Department of Economics
Date Posted: March 20, 2002
Working Paper Series
774 downloads
An Empirical Analysis of Venture Capital Exits in Europe and the United States
EFA 2002 Berlin Meetings Discussion Paper
Armin Schwienbacher
Univ. Lille Nord de France - SKEMA Business School
Date Posted: March 19, 2002
Working Paper Series
2329 downloads
A Critical Investigation of the Explanatory Role of Factor Mimicking Portfolios in Multifactor Asset Pricing Models
EFA 2002 Berlin Meetings Discussion Paper
Hossein Asgharian and
Bjorn Hansson
Lund University - Department of Economics
and
Lund University - Department of Economics
Date Posted: March 16, 2002
Working Paper Series
410 downloads
Efficiency and Profitability Test of Investment Firms: A Comparison Between the UK and Italian Industries
EFA 2002 Berlin Meetings Discussion Paper
Elena Beccalli
Catholic University of the Sacred Heart of Milan - Institute of Economy and Finance
Date Posted: March 16, 2002
Working Paper Series
242 downloads
Expectations of Infrequently Occurring Jumps in Returns: The Reclined 7-Curve Shape of Cumulative Abnormal Returns
EFA 2002 Berlin Meetings Discussion Paper
Date Posted: March 16, 2002
Working Paper Series
142 downloads
International Transmission of Uncertainty Implicit in Stock Index Option Prices
EFA 2002 Berlin Meetings Discussion Paper
Petri Sahlström
and
Jussi Nikkinen
University of Oulu
and
University of Vaasa - Department of Accounting and Finance
Date Posted: March 16, 2002
Working Paper Series
191 downloads
Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate Garch Approach
ERIM Report Series No. ERS-2002-11-F&A, EFA 2002 Berlin Meetings Discussion Paper, EFMA 2002 London Meetings
Wessel Marquering and
Peter de Goeij
Erasmus University Rotterdam (EUR) - Department of Financial Management
and
CentER, Tilburg Law and Economics Center (TILEC), Tilburg University
Date Posted: March 16, 2002
Working Paper Series
897 downloads
The Explanatory Role of Factor Portfolios for Industries Exposed to Foreign Competition: Evidence from the Swedish Stock Market
EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Hossein Asgharian and
Bjorn Hansson
Lund University - Department of Economics
and
Lund University - Department of Economics
Date Posted: March 16, 2002
Working Paper Series
90 downloads
Shareholder Wealth Effects of Joint Venture Strategies: Theory and Evidence from The Netherlands
EFA 2002 Berlin Meetings Discussion Paper
Gertjan Schut
and
Ruud A.I. van Frederikslust
affiliation not provided to SSRN
and
Erasmus University Rotterdam (EUR) - Department of Financial Management
Date Posted: March 11, 2002
Working Paper Series
520 downloads
Stock Valuation and Learning About Profitability
CRSP Working Paper No. 537; EFA 2002 Berlin Meetings Discussion Paper
Lubos Pastor and
Pietro Veronesi
University of Chicago - Booth School of Business
and
University of Chicago - Booth School of Business
Date Posted: March 11, 2002
Working Paper Series
1170 downloads
Foreigners' Trading and Price Effects Across Firms
EFA 2002 Berlin Meetings Discussion Paper
Magnus Dahlquist and
Goran Robertsson
Stockholm School of Economics
and
Swedish Institute for Financial Research (SIFR)
Date Posted: March 10, 2002
Working Paper Series
139 downloads
Common Risk Factors Vs. Mispricing Factor Of Tokyo Stock Exchange Firms: Inquries Into The Fundamental Price Derived From Analysts' Earnings Forecasts
Musashi University Faculty of Economics Discussion Paper No. 31; EFA 2002 Berlin Meetings Discussion Paper
Keiichi Kubota ,
Kazuyuki Suda and
Hitoshi Takehara
Chuo University - Graduate School of Strategic Management
,
Waseda University
and
Waseda University
Date Posted: March 09, 2002
Working Paper Series
486 downloads
Securitisation and Rate Setting in the UK Mortgage Market
EFA 2002 Berlin Meetings Discussion Paper, City University Business School Finance Working Paper No. 2, Cass Business School Research Paper
Amelia Pais
Massey University - Department of Commerce
Date Posted: March 09, 2002
Working Paper Series
456 downloads
Conditioning Information and European Bond Fund Performance
EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Florinda Silva and
Maria Ceu Cortez
University of Minho - School of Economics and Management
and
University of Minho - School of Economics and Management
Date Posted: March 05, 2002
Working Paper Series
339 downloads
Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio
FRB of Atlanta Working Paper No. 2003-6
Cesare Robotti
Federal Reserve Bank of Atlanta
Date Posted: March 04, 2002
Working Paper Series
308 downloads
Financial Engineering and Firm Value: Split-Capital Closed-End Funds in the UK
EFA 2002 Berlin Meetings Discussion Paper
Gordon Gemmill
Warwick Business School
Date Posted: March 04, 2002
Working Paper Series
497 downloads
Quantile-VaR is the Wrong Measure to Quantify Market Risk for Regulatory Purposes
EFA 2002 Berlin Meetings Discussion Paper
Stefan R. Jaschke
Munich RE
Date Posted: March 04, 2002
Working Paper Series
392 downloads
Risk-Minimizing Hedging of General Cash Flows in Discrete Time
EFA 2002 Berlin Meetings Discussion Paper
Lars Schiefner
Martin Luther Universitat Halle Wittenberg
Date Posted: March 04, 2002
Working Paper Series
265 downloads
Which Volatility Model Should be Used for Option Pricing?
EFA 2002 Berlin Meetings Discussion Paper
Kris Jacobs and
Peter Christoffersen
University of Houston - C.T. Bauer College of Business
and
University of Toronto - Rotman School of Management
Date Posted: March 04, 2002
Working Paper Series
610 downloads
Intertemporal CAPM and the Cross-Section of Stock Returns
EFA 2002 Berlin Meetings Discussion Paper
Joseph Chen
University of California, Davis - Graduate School of Management
Date Posted: March 03, 2002
Working Paper Series
1255 downloads
Share Repurchases, Dividends, and Executive Options: Empirical Evidence from Finland
EFA 2002 Berlin Meetings Discussion Paper
Eva Liljeblom and
Daniel Pasternack
Swedish School of Economics and Business Administration
and
Hanken School of Economics
Date Posted: March 03, 2002
Working Paper Series
528 downloads
Smart Monte Carlo: Various Tricks Using Malliavin Calculus
Goldman Sachs Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Eric Benhamou
Pricing Partners
Date Posted: March 02, 2002
Working Paper Series
1719 downloads
The Performance of Economic Tracking Portfolios in an IT-sensitive Stock Market
EFA 2002 Berlin Meetings Discussion Paper
Juha-Pekka Junttila and
Heli Kinnunen
Jyväskylä University School of Business and Economics
and
University of Oulu
Date Posted: March 01, 2002
Working Paper Series
153 downloads
Association Between Accounting Earnings and Stock Returns as a Measure of Value Relevance of Accounting Standards: Empirical Evidence from the Swiss Market
EFA 2002 Berlin Meetings Discussion Paper
Levon Babalyan
University of Fribourg, Financial Management Department
Date Posted: February 27, 2002
Working Paper Series
1662 downloads
The European Single Currency and the Volatility of European Stock Markets
EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper; GRETA Associati Venezia Working Paper No. 0102
Monica Billio and
Loriana Pelizzon
Ca Foscari University of Venice - Department of Economics
and
Ca Foscari University of Venice - Department of Economics
Date Posted: February 26, 2002
Working Paper Series
295 downloads
Subordinated Debt and Equity: Complements or Substitutes?
EFA 2002 Berlin Meetings Discussion Paper
Eugene Nivorozhkin
SSEES, University College London
Date Posted: February 24, 2002
Working Paper Series
The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: The Case of Corn and Wheat
EFA 2002 Berlin Meetings Discussion Paper
Guillermo Benavides
Banco de Mexico
Date Posted: February 24, 2002
Last Revised: October 05, 2008
Working Paper Series
1320 downloads
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