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SSRN eLibrary Search Results
EFA 2003 Glasgow Meetings Presentation Papers (Archive)
157,114 Total downloads | Link to this page
Showing Papers 1 - 50 of 179
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Financial Innovation in Segmented Markets
EFA 2003 Annual Conference Paper No. 781
Rohit Rahi and Jean-Pierre Zigrand
London School of Economics - Department of Finance and London School of Economics - Department of Finance and Financial Markets Group
Date Posted: October 12, 2007
Working Paper Series

Incl. Electronic Paper The Cost of Barriers to Entry: Evidence from the Market for Corporate Euro Bond Underwriting
BIS Working Paper No. 134, EFA 2003 Annual Conference Paper
João A. C. Santos and Kostas Tsatsaronis
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: September 20, 2007
Working Paper Series
612 downloads

Incl. Electronic Paper Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms
ECB Working Paper No. 432; EFA 2003 Annual Conference Paper No. 245
Yiu Chung Cheung , Barbara Rindi and Frank De Jong
Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) , Bocconi University and IGIER and Tilburg University - Department of Finance
Date Posted: April 27, 2005
Working Paper Series
424 downloads

Incl. Electronic Paper Estimating the Dynamics of Mutual Fund Alphas and Betas
Yale ICF Working Paper No. 03-03; EFA 2003 Annual Conference Paper No. 803; AFA 2004 San Diego Meetings
Matthew I. Spiegel , Harry Mamaysky and Hong Zhang
Yale University - Yale School of Management, International Center for Finance , Citigroup and INSEAD - Finance
Date Posted: March 10, 2005
Working Paper Series
4883 downloads

Incl. Electronic Paper Executive Compensation and Analyst Guidance: The Link Between CEO Compensation and Expectations Management
EFA 2003 Annual Conference Paper No. 861
Guido Bolliger and Manuel Kast
University of Neuchatel - Institut de l'Entreprise and International Center FAME
Date Posted: February 04, 2005
Working Paper Series
610 downloads

Incl. Electronic Paper Does it Pay to Be Loyal? An Empirical Analysis of Underwriting Relationships and Fees
AFA 2005 Philadelphia Meetings; EFA 2003 Annual Conference Paper No. 550
Timothy R. Burch , Vikram K. Nanda and Vincent A. Warther
University of Miami - Department of Finance , Georgia Institute of Technology - College of Management and Compass Lexecon
Date Posted: January 18, 2005
Working Paper Series
301 downloads

Incl. Electronic Paper An International Comparison of Capital Structure and Debt Maturity Choices
AFA 2005 Philadelphia Meetings
Joseph P. H. Fan , Garry J. Twite and Sheridan Titman
The Chinese University of Hong Kong (CUHK) - School of Accountancy , University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Date Posted: December 27, 2004
Last Revised: October 04, 2011
Working Paper Series
5598 downloads

Incl. Electronic Paper Which Investors Fear Expropriation? Evidence from Investors' Portfolio Choices
ECGI - Finance Working Paper No. 54/2004; EFA 2003 Annual Conference Paper No. 715
Mariassunta Giannetti and Andrei Simonov
Stockholm School of Economics and Michigan State University - Eli Broad Graduate School of Management
Date Posted: October 27, 2004
Working Paper Series
1190 downloads

Incl. Electronic Paper Efficiency and the Bear: Short Sales and Markets around the World
Yale ICF Working Paper No. 02-45; EFA 2003 Annual Conference; AFA 2004 San Diego Meetings; 14th Annual Conference on Financial Economics & Accounting
Arturo Bris , William N. Goetzmann and Ning Zhu
IMD International , Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)
Date Posted: October 06, 2004
Working Paper Series
3975 downloads

Incl. Electronic Paper Risk Assessment for Banking Systems
14th Annual Utah Winter Finance Conference Paper; EFA 2003 Annual Conference Paper No. 437
Helmut Elsinger , Alfred Lehar and Martin Summer
Austrian National Bank - Economic Studies Division , University of Calgary - Haskayne School of Business and Oesterreichische Nationalbank (OeNB)
Date Posted: August 25, 2004
Working Paper Series
2896 downloads

Incl. Electronic Paper Closed-form Transformations from Risk-neutral to Real-world Distributions
EFA 2003 Annual Conference Paper No. 144
Xiaoquan Liu , Mark B. Shackleton , Stephen J. Taylor and Xinzhong Xu
Essex Business School , Lancaster University - Department of Accounting and Finance , Lancaster University - Department of Accounting and Finance and Peking University - Guang Hua School of Management
Date Posted: June 03, 2004
Working Paper Series
1028 downloads

Incl. Electronic Paper Alternative Market Structures for Derivatives
EFA 2003 Glasgow
Söhnke M. Bartram and Frank Fehle
Warwick Business School - Department of Finance and BlueCrest Capital
Date Posted: April 26, 2004
Working Paper Series
624 downloads

Incl. Fee Electronic Paper Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms
CEPR Discussion Paper No. 4285
Yiu Chung Cheung , Barbara Rindi and Frank De Jong
Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) , Bocconi University and IGIER and Tilburg University - Department of Finance
Date Posted: April 06, 2004
Working Paper Series
29 downloads

Incl. Electronic Paper Accounting Discretion, Corporate Governance and Firm Performance
14th Annual Conference on Financial Economics and Accounting (FEA); EFA 2003 Annual Conference Paper No. 127
Robert M. Bowen , Shivaram Rajgopal and Mohan Venkatachalam
University of San Diego - School of Business , Emory University - Goizueta Business School and Duke University - Fuqua School of Business
Date Posted: January 20, 2004
Working Paper Series
5849 downloads

Incl. Electronic Paper Valuation Waves and Merger Activity: The Empirical Evidence
14th Conf. on Financial Economics & Accounting (FEA); AFA 2004 San Diego Meetings; EFA 2003 Meetings Paper No. 904; 5th Annual Texas Finance Festival
Matthew Rhodes-Kropf , S. Viswanathan and David T. Robinson
Harvard Business School - Entrepreneurial Management Unit , Duke University - Fuqua School of Business and Duke University - Fuqua School of Business
Date Posted: January 15, 2004
Working Paper Series
2143 downloads

Incl. Electronic Paper Marginal Stockholder Tax Effects and Ex-dividend Day Behavior - Thirty-two Years Later
AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper
Edwin J. Elton , Martin J. Gruber and Christopher R. Blake
New York University (NYU) - Department of Finance , New York University (NYU) - Department of Finance and Fordham University Schools of Business
Date Posted: November 23, 2003
Working Paper Series
1034 downloads

Incl. Electronic Paper Flows, Performance, and Managerial Incentives in Hedge Funds
EFA 2003 Annual Conference Paper No. 501
Vikas Agarwal , Naveen D. Daniel and Narayan Y. Naik
Georgia State University , Drexel University - Department of Finance and London Business School - Institute of Finance and Accounting
Date Posted: November 03, 2003
Working Paper Series
2119 downloads

Incl. Electronic Paper Governance Mechanisms and Equity Prices
Yale ICF Working Paper No. 03-15; NYU, Ctr for Law and Business Research Paper No. 03-09; AFA 2004 San Diego Meetings
Martijn Cremers and Vinay B. Nair
University of Notre Dame and University of Pennsylvania - Finance Department
Date Posted: September 18, 2003
Working Paper Series
5915 downloads

Incl. Electronic Paper Tournaments in Mutual Fund Families
EFA 2003 Annual Conference Paper; CFR Working Paper No. 04-02
Alexander Kempf and Stefan Ruenzi
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance
Date Posted: September 01, 2003
Working Paper Series
1167 downloads

Incl. Electronic Paper Order Dynamics: Recent Evidence from the NYSE
EFA 2003 Annual Conference Paper No. 836
Andrew Ellul , Pankaj K. Jain , Craig W. Holden and Robert H. Jennings
Indiana University - Kelley School of Business - Department of Finance , University of Memphis - Fogelman College of Business and Economics , Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Date Posted: August 07, 2003
Working Paper Series
645 downloads

Incl. Electronic Paper Trading Costs of Public Investors with Obligatory and Voluntary Market-Making: Evidence from Market Reforms
EFA 2003 Annual Conference Paper No. 408
Narayan Y. Naik and Pradeep K. Yadav
London Business School - Institute of Finance and Accounting and University of Oklahoma Price College of Business
Date Posted: August 07, 2003
Working Paper Series
208 downloads

Incl. Electronic Paper Margin Rules, Informed Trading in Derivatives, and Price Dynamics
EFA 2003 Annual Conference Paper No. 508
Kose John , Apoorva Koticha , Marti G. Subrahmanyam and Ranga Narayanan
New York University (NYU) - Department of Finance , New York University (NYU) , New York University - Stern School of Business and Case Western Reserve University - Weatherhead School of Management
Date Posted: August 07, 2003
Working Paper Series
558 downloads

Incl. Electronic Paper Upstairs, Downstairs: Electronic vs. Open Outcry Exchanges
EFA 2003 Annual Conference Paper No. 203
Craig Pirrong
University of Houston - Department of Finance
Date Posted: August 07, 2003
Working Paper Series
330 downloads

Incl. Electronic Paper Information, Trading and Product Market Interactions: Cross-Sectional Implications of Informed Trading
AFA 2004 San Diego Meetings, Journal of Finance, Vol. 63, No. 1, 2008, EFA 2003 Annual Conference Paper No. 68
Heather Tookes
Yale University - Yale School of Management
Date Posted: August 07, 2003
Last Revised: October 23, 2008
Working Paper Series
436 downloads

Incl. Electronic Paper Measuring Stock Illiquidity: An Investigation of the Demand and Supply Schedules at the TASE
EFA 2003 Annual Conference Paper No. 231
Avner Kalay , Orly Sade and Avi Wohl
Tel Aviv University - Faculty of Management , Hebrew University of Jerusalem - Department of Finance and Tel Aviv University - Faculty of Management
Date Posted: August 07, 2003
Working Paper Series
430 downloads

Incl. Electronic Paper 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 - Kelley School of Business - Department of Finance and University of Ljubljana - Faculty of Economics
Date Posted: August 06, 2003
Working Paper Series
734 downloads

Incl. Electronic Paper Return-Volume Dependence and Extremes in International Equity Markets
EFA 2003 Annual Conference Paper No. 284; Research Program in Finance RPF No. 293
Terry A. Marsh and Niklas Wagner
University of California, Berkeley - Department of Finance and Passau University
Date Posted: August 06, 2003
Working Paper Series
879 downloads

Incl. Electronic Paper Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis
EFA 2003 Annual Conference Paper No. 965
Jon Danielsson and Burak Saltoglu
London School of Economics - Systemic Risk Centre and Marmara University
Date Posted: August 06, 2003
Working Paper Series
366 downloads

Incl. Electronic Paper Order Submission Strategies and Information: Empirical Evidence from the NYSE
EFA 2003 Annual Conference Paper No. 875, FAME Research Paper No. 146
Alessandro Beber and Cecilia Caglio
Cass Business School and Board of Governors of the Federal Reserve System
Date Posted: August 06, 2003
Working Paper Series
363 downloads

Incl. Electronic Paper Should the World Market Portfolio Contain Just the Free Float? - Why U.S. Investors are Different
EFA 2003 Annual Conference Paper No. 969
Mohammed Aba Al-Khail and Tom Berglund
Swedish School of Economics and Business Administration and Hanken School of Economics - Department of Economics
Date Posted: August 06, 2003
Working Paper Series
261 downloads

Incl. Electronic Paper Correlation Dynamics in European Equity Markets
Research in International Business and Finance, Vol. 20, No. 3, pp. 305-321, 2006, EFA 2003 Annual Conference Paper No. 744
Colm Kearney and Valerio Potì
Monash University - Faculty of Business and Economics and Dublin City University Business School
Date Posted: August 06, 2003
Last Revised: January 05, 2011
Accepted Paper Series
481 downloads

Incl. Electronic Paper Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods
Journal of Business and Economic Statistics, Vol. 25, 2007
Albert J. Menkveld , Siem Jan Koopman and Andre Lucas
VU University Amsterdam , VU University Amsterdam and VU University Amsterdam - Faculty of Economics and Business
Date Posted: August 06, 2003
Last Revised: January 18, 2012
Accepted Paper Series
401 downloads

Incl. Electronic Paper Price Discovery in a Market Under Stress: The U.S. Treasury Market in Fall 1998
EFA 2003 Annual Conference Paper No. 558, FRB Chicago Working Paper No. 2005-06
Craig Furfine and Eli M. Remolona
Kellogg School of Management and Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: August 06, 2003
Working Paper Series
240 downloads

Incl. Electronic Paper The Informativeness of Domestic and Foreign Investors' Stock Trades: Evidence from the Perfectly Segmented Chinese Market
Journal of Financial Markets, Vol. 10, No. 4, 2007
Kalok Chan , Albert J. Menkveld and Zhishu Yang
Hong Kong University of Science & Technology - Department of Finance , VU University Amsterdam and Tsinghua University - School of Economics & Management
Date Posted: August 06, 2003
Last Revised: June 14, 2008
Accepted Paper Series
499 downloads

Incl. Electronic Paper The Neglected Effect of Fiscal Policy on Stock and Bond Returns
EFA 2003 Annual Conference Paper No. 201; UCLA, Anderson School of Management Working Paper, FEUNL Working Paper No. 413
José Tavares and Rossen I. Valkanov
Universidad Nova de Lisboa - Faculdade de Economia and University of California, San Diego (UCSD) - Rady School of Management
Date Posted: August 06, 2003
Working Paper Series
455 downloads

Incl. Electronic Paper The Importance of the Loss Function in Option Valuation
EFA 2003 Annual Conference Paper No. 604
Peter Christoffersen and Kris Jacobs
University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Date Posted: August 03, 2003
Working Paper Series
473 downloads

Incl. Electronic Paper What UIP Tests on Extreme Samples Reveal About the Missing Variable
EFA 2003 Annual Conference Paper No. 289
Martina L. Vandebroek
Katholieke Universiteit Leuven - Faculty of Business and Economics
Date Posted: August 03, 2003
Working Paper Series
68 downloads

Incl. Electronic Paper Banks' Participation in the Eurosystem Auctions and Money Market Integration
Bank of Italy Discussion Paper Series No. 562, EFA 2003 Annual Conference Paper No. 783
Antonio Scalia , Maurizio Ordine and Giuseppe Bruno
Bank of Italy , Bank of Italy - Monetary and Exchange Rate Policy Department and Bank of Italy
Date Posted: August 03, 2003
Working Paper Series
105 downloads

Incl. Electronic Paper Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates
EFA 2003 Annual Conference Paper No. 843
Yongmiao Hong , Haitao Li and Feng Zhao
Cornell University - Department of Economics , University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management
Date Posted: August 03, 2003
Working Paper Series
515 downloads

Incl. Electronic Paper Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
New York University, Stern School of Business Finance Paper No. 03-016; EFA 2003 Annual Conference Paper No. 915
Jing-Zhi Huang and Liuren Wu
Pennsylvania State University - University Park - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: August 03, 2003
Working Paper Series
295 downloads

Incl. Electronic Paper The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas
EFA 2003 Glasgow, Cass Business School Finance Working Paper No. WP-FF-21-2005
Joelle Miffre
EDHEC Business School
Date Posted: August 03, 2003
Working Paper Series
1908 downloads

Incl. Electronic Paper Hedge Fund Payoffs and Loss Aversion
EFA 2003 Annual Conference Paper No. 116
Arjen Siegmann and Andre Lucas
VU University Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam - Faculty of Economics and Business
Date Posted: August 03, 2003
Working Paper Series
466 downloads

Incl. Electronic Paper Do Hedge Funds Have Enough Capital? A Value-at-Risk Approach
EFA 2003 Annual Conference Paper No. 376
Anurag Gupta and Bing Liang
Case Western Reserve University - Department of Banking & Finance and University of Massachusetts at Amherst - Department of Finance & Operations Management
Date Posted: August 03, 2003
Working Paper Series
2476 downloads

Incl. Electronic Paper Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount
Journal of Finance, Vol. 63, 2008
Kalok Chan , Albert J. Menkveld and Zhishu Yang
Hong Kong University of Science & Technology - Department of Finance , VU University Amsterdam and Tsinghua University - School of Economics & Management
Date Posted: August 03, 2003
Last Revised: June 26, 2008
Accepted Paper Series
681 downloads

Incl. Electronic Paper Liquidity and Expected Returns: Lessons from Emerging Markets
AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 690
Geert Bekaert , Campbell R. Harvey and Christian T. Lundblad
Columbia Business School - Finance and Economics , Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School
Date Posted: August 03, 2003
Working Paper Series
2890 downloads

Incl. Electronic Paper Transparency and International Investor Behavior
EFA 2003 Annual Conference Paper No. 325
Gaston Gelos and Shang-Jin Wei
International Monetary Fund (IMF) - Research Department and Columbia Business School - Finance and Economics
Date Posted: August 03, 2003
Working Paper Series
463 downloads

Incl. Electronic Paper The Breadth of Ownership and the Production of Information
EFA 2003 Annual Conference Paper No. 261
Joel Peress
INSEAD - Finance
Date Posted: August 01, 2003
Working Paper Series
173 downloads

Incl. Electronic Paper Interest Rate, Learning and the Asset Allocation Puzzle
EFA 2003 Annual Conference Paper No. 389
Nicolas Mougeot
Schroder Salomon Smith Barney (UK)
Date Posted: August 01, 2003
Working Paper Series
283 downloads

Incl. Electronic Paper Real Estate and its Role in Household Portfolio Choice
EFA 2003 Annual Conference Paper No. 918, Sauder School of Business Working Paper
Cornelia Kullmann and Stephan Siegel
University of British Columbia - Faculty of Commerce and University of Washington - Michael G. Foster School of Business
Date Posted: August 01, 2003
Last Revised: October 23, 2012
Working Paper Series
732 downloads

Incl. Electronic Paper Market Informational Inefficiency, Risk Aversion and Quantity Grid
EFA 2003 Annual Conference Paper No. 89
J. P. Decamps and Stefano Lovo
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ) and HEC Paris (Groupe HEC) - Finance Department
Date Posted: August 01, 2003
Working Paper Series
92 downloads


 

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