SSRN Paris December Finance Meetings EUROFIDAI

1.

Does Academic Research Destroy Stock Return Predictability?

Journal of Finance, Forthcoming

Number of pages: 48 Posted: 04 Oct 2012 Last Revised: 24 Feb 2016

Accepted Paper Series

R. David McLean and Jeffrey Pontiff

Georgetown University - Department of Finance and Boston College - Department of Finance

Downloads 8,266

2.

Common Risk Factors in Currency Markets

Review of Financial Studies ( 2011), 24(11), .

Number of pages: 74 Posted: 01 Jun 2008 Last Revised: 27 Aug 2012

Accepted Paper Series

Hanno N. Lustig, Nikolai L. Roussanov and Adrien Verdelhan

Stanford Graduate School of Business, University of Pennsylvania - The Wharton School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 6,338

3.

Momentum Strategies in Futures Markets and Trend-following Funds

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 60 Posted: 06 Dec 2011 Last Revised: 12 Oct 2015

Working Paper Series

Nick Baltas and Robert Kosowski

Imperial College Business School and Imperial College Business School

Downloads 6,338

4.

Are CEOs Different? Characteristics of Top Managers

Columbia Business School Research Paper No. 16-27, Paris December 2016 Finance Meeting EUROFIDAI - AFFI

Number of pages: 54 Posted: 15 Mar 2016 Last Revised: 10 Aug 2017

Working Paper Series

Steven N. Kaplan and Morten Sorensen

University of Chicago - Booth School of Business and Copenhagen Business School

There are 2 versions of this paper

Downloads 3,445

5.

Debt Maturity and Financial Integration

Number of pages: 39 Posted: 16 Mar 2012 Last Revised: 27 Feb 2014

Working Paper Series

Angelos A. Antzoulatos, Kostas Koufopoulos and Costas Lambrinoudakis

University of Piraeus - Department of Banking and Financial Management, University of Warwick - Finance Group and University of Leeds - Leeds University Business School (LUBS)

Downloads 2,443

6.

Crowdfunding Models: Keep-It-All vs. All-Or-Nothing

Number of pages: 41 Posted: 11 Jun 2014 Last Revised: 13 Jan 2017

Working Paper Series

Douglas J. Cumming, Gaël Leboeuf and Armin Schwienbacher

York University - Schulich School of Business, Univ. Lille, SKEMA Business School, EA4112 - LSMRC and SKEMA Business School

Downloads 2,415

7.

The Impact of Government Interventions on CDS and Equity Markets

AFA 2012 Chicago Meetings, Finance Meeting EUROFIDAI - AFFI, Paris, December 2011

Number of pages: 69 Posted: 23 Mar 2010 Last Revised: 19 Nov 2012

Working Paper Series

Frederic A. Schweikhard and Zoe Tsesmelidakis

University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance

There are 2 versions of this paper

Downloads 1,594

8.

The Level and Quality of Value-at-Risk Disclosure by Commercial Banks

AFA 2008 New Orleans Meetings Paper, Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper

Number of pages: 49 Posted: 20 Dec 2006 Last Revised: 14 Mar 2013

Working Paper Series

Christophe Perignon and Daniel R. Smith

HEC Paris - Finance Department and Queensland University of Technology - School of Economics and Finance

Downloads 1,525

9.

The Life Cycle of Family Ownership: International Evidence

EFA 2009 Bergen Meetings Paper, AFA 2009 San Francisco Meetings Paper, Paris December 2011 Finance Meeting EUROFIDAI - AFFI

Number of pages: 68 Posted: 06 Mar 2008 Last Revised: 25 Oct 2011

Working Paper Series

Julian R. Franks, Colin Mayer, Paolo F. Volpin and Hannes F. Wagner

London Business School, University of Oxford - Said Business School, City University London - Faculty of Finance and Bocconi University - Department of Finance

Downloads 1,473

10.

Institutional Investor Expectations, Manager Performance, and Fund Flows

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, Saïd Business School WP 2015-6,

Number of pages: 46 Posted: 17 Apr 2013 Last Revised: 20 Feb 2017

Accepted Paper Series

Howard Jones and Jose Vicente Martinez

University of Oxford, Saïd Business School and University of Connecticut

Downloads 1,458

11.

How to Identify and Forecast Bull and Bear Markets?

Paris December 2010 Finance Meeting EUROFIDAI - AFFI, ERIM Report Series Reference No. ERS-2013-016-F&A

Number of pages: 77 Posted: 22 Oct 2010

Accepted Paper Series

Erik Kole and Dick J. C. van Dijk

Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

Downloads 1,312

12.

The Dynamics of Sovereign Credit Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Number of pages: 37 Posted: 13 Dec 2007 Last Revised: 23 Sep 2013

Accepted Paper Series

Alexandre Jeanneret

HEC Montréal

Downloads 1,263

13.

In Search of Habitat

Number of pages: 59 Posted: 19 Apr 2012 Last Revised: 16 Dec 2013

Working Paper Series

Xuanjuan Chen, Zhenzhen Sun, Tong Yao and Tong Yu

Shanghai University of Finance and Economics, University of Massachusetts Dartmouth, University of Iowa - Henry B. Tippie College of Business and University of Cincinnati - Department of Finance - Real Estate

Downloads 1,200

14.

Shell Games: On the Value of Shell Companies

Journal of Corporate Finance, Vol. 17, pp. 850-867, 2011

Number of pages: 52 Posted: 18 Aug 2009 Last Revised: 20 Sep 2011

Accepted Paper Series

Ioannis V. Floros and Travis Sapp

Iowa State University - Department of Finance and Iowa State University - Department of Finance

Downloads 1,188

15.

Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches

European Journal of Finance, Forthcoming.

Number of pages: 48 Posted: 12 Jun 2012 Last Revised: 06 Dec 2014

Accepted Paper Series

Wolfgang Bessler, Heiko Opfer and Dominik Wolff

Justus-Liebig-University Giessen, Deka Investment GmbH and Deka Investment GmbH

Downloads 1,104

16.

On Secondary Buyouts

Journal of Financial Economics (JFE), Forthcoming, ECGI - Finance Working Paper No. 384, Swiss Finance Institute Research Paper No. 13-48

Number of pages: 59 Posted: 23 Sep 2013 Last Revised: 09 Oct 2015

Accepted Paper Series

Francois Degeorge, Jens Martin and Ludovic Phalippou

University of Lugano - Faculty of Economics, University of Amsterdam - Finance Group and University of Oxford - Said Business School

Downloads 1,093

17.

Top-Down Versus Bottom-Up Approaches in Risk Management

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI

Number of pages: 48 Posted: 13 Oct 2008

Working Paper Series

Peter Grundke

University Osnabrück, Chair of Banking and Finance

Downloads 1,089

18.

The Value of Independent Directors: Evidence from Sudden Deaths

Journal of Financial Economics, Volume 98, Issue 3, December 2010, pages 550-567

Number of pages: 39 Posted: 16 Feb 2009 Last Revised: 30 Mar 2015

Accepted Paper Series

Bang Dang Nguyen and Kasper Meisner Nielsen

University of Cambridge Judge Business School and Hong Kong University of Science & Technology (HKUST) - Department of Finance

Downloads 1,078

19.

Can Internet Search Queries Help to Predict Stock Market Volatility?

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, European Financial Management, Forthcoming

Number of pages: 34 Posted: 10 Oct 2011 Last Revised: 07 Jan 2016

Accepted Paper Series

Thomas Dimpfl and Stephan Jank

University of Tuebingen - Department of Statistics and Econometrics and Deutsche Bundesbank

There are 2 versions of this paper

Downloads 1,070

20.

Financial Repression in the European Sovereign Debt Crisis

Swedish House of Finance Research Paper No. 14-13, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper

Number of pages: 41 Posted: 27 Apr 2014 Last Revised: 26 Sep 2014

Working Paper Series

Bo Becker and Victoria Ivashina

Stockholm School of Economics and Harvard University

There are 2 versions of this paper

Downloads 1,059

21.

Slow Trading and Stock Return Predictability

Number of pages: 53 Posted: 10 Oct 2015 Last Revised: 12 Oct 2017

Working Paper Series

Allaudeen Hameed, Matthijs Lof and Matti Suominen

National University of Singapore (NUS) - Department of Finance, Aalto University and Aalto University School of Business

Downloads 1,045

22.

Decomposing Performance

EFA 2007 Ljubljana Meetings Paper

Number of pages: 60 Posted: 16 Feb 2007 Last Revised: 02 Nov 2016

Working Paper Series

Daniel Hoechle, Markus Schmid and Heinz Zimmermann

University of Basel - Department of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of Basel - Center for Economic Science (WWZ) - Department of Finance

Downloads 1,012

23.

Fast and Slow Informed Trading

AFA 2013 San Diego Meetings, Paris December 2015 Finance Meeting EUROFIDAI - AFFI, HEC Paris Research Paper No. FIN-2015-1123

Number of pages: 62 Posted: 07 Jun 2011 Last Revised: 24 Apr 2016

Working Paper Series

Ioanid Rosu

HEC Paris - Finance Department

Downloads 1,012

24.

Performance-Vesting Provisions in Executive Compensation

Number of pages: 63 Posted: 04 Jul 2013 Last Revised: 20 Sep 2016

Working Paper Series

J. Carr Bettis, John M. Bizjak, Jeffrey L. Coles and Swaminathan L. Kalpathy

Arizona State University (ASU) - Finance Department, Texas Christian University, David Eccles School of Business, University of Utah and Texas Christian University - M.J. Neeley School of Business

Downloads 991

25.

Replicating the Properties of Hedge Fund Returns

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper, UBC Winter Finance Conference 2008 Paper

Number of pages: 50 Posted: 13 Dec 2007

Working Paper Series

Nicolas A. Papageorgiou, Bruno Remillard and Alexandre Hocquard

HEC Montreal - Department of Finance, Department of Decision Sciences, HEC Montreal and Pavilion Advisory Group

Downloads 951

26.

Factor Investing: Risk Premia vs. Diversification Benefits

Paris December 2016 Finance Meeting EUROFIDAI - AFFI

Number of pages: 43 Posted: 08 Jun 2015 Last Revised: 10 Sep 2017

Working Paper Series

Marie Briere and Ariane Szafarz

Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi

Downloads 930

27.

Stock Price Synchronicity and Material Sustainability Information

Harvard Business School Working Paper

Number of pages: 44 Posted: 10 May 2017 Last Revised: 09 Aug 2017

Working Paper Series

Jyothika Grewal, Clarissa Hauptmann and George Serafeim

Harvard University - Harvard Business School, Oxford University, Saïd Business School and Harvard University - Harvard Business School

Downloads 899

28.

Regulation and the Anatomy of Ownership Structures in European Listed Firms

Version without internet appendix publised as: Rapp, M.S. and Trinchera, O. 2017), Regulation and the ownership structure of European listed firms, in Kose John , Anil K. Makhija , Stephen P. Ferris (ed.), Advances in Financial Economics, Volume 19: Global Corporate Governance, Emerald Group.

Number of pages: 58 Posted: 23 Nov 2011 Last Revised: 16 Jan 2017

Accepted Paper Series

Marc Steffen Rapp and Oliver Trinchera

University of Marburg - School of Business & Economics and Technische Universität München

Downloads 888

29.

Institutional Investors and Stock Return Anomalies

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 48 Posted: 08 Oct 2014 Last Revised: 27 May 2015

Accepted Paper Series

Roger M. Edelen, Ozgur Ince and Gregory B. Kadlec

University of California, Davis - Graduate School of Management, University of South Carolina - Moore School of Business and Virginia Polytechnic Institute & State University - Pamplin College of Business

There are 2 versions of this paper

Downloads 876

30.

Competition between High-Frequency Traders, and Market Quality

NYU Stern Microstructure Meeting 2013

Number of pages: 61 Posted: 14 May 2013 Last Revised: 04 Dec 2013

Accepted Paper Series

Johannes H. Breckenfelder

European Central Bank (ECB) - Financial Research

Downloads 874

31.

Should We Invest in Microcredit? A Financial Analysis of Microcredit from a USD-Investor's Perspective

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper

Number of pages: 53 Posted: 13 Dec 2007

Working Paper Series

Hanna K. Koivulehto

Vienna University of Economics and Business Administration - Department of Corporate Finance

Downloads 840

32.

Do Stock Markets Price Expected Stock Skewness? New Evidence from Quantile Regression Skewness Forecasts

Number of pages: 48 Posted: 11 Sep 2014 Last Revised: 17 Dec 2016

Working Paper Series

Kevin Aretz and Yakup Eser Arısoy

Manchester Business School and Université Paris Dauphine - DRM Finance

Downloads 810

33.

Financial Transaction Taxes, Market Composition, and Liquidity

Journal of Finance, Forthcoming

Number of pages: 94 Posted: 12 Feb 2013 Last Revised: 01 Nov 2016

Accepted Paper Series

Jean-Edouard Colliard and Peter Hoffmann

HEC Paris - Finance Department and European Central Bank (ECB) - Directorate General Research

There are 2 versions of this paper

Downloads 806

34.

Queuing Uncertainty in Limit Order Market

Number of pages: 56 Posted: 06 Oct 2013 Last Revised: 31 Oct 2014

Working Paper Series

Bart Z. Yueshen

INSEAD - Finance

Downloads 785

35.

'Effective' Parameters for Stochastic Volatility Models

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper

Number of pages: 20 Posted: 26 Dec 2007

Working Paper Series

Zaizhi Wang

Ecole des Mines de Paris

Downloads 762

36.

The Economic Consequences of a 'Glass-Ceiling': Women on Corporate Boards and Firm Value

AFA 2016 San Francisco Meetings Paper

Number of pages: 51 Posted: 25 Oct 2013 Last Revised: 24 Sep 2017

Working Paper Series

Thomas Schmid and Daniel Urban

The University of Hong Kong - Faculty of Business and Economics and Technical University of Munich

Downloads 761

37.

The Real Costs of Corporate Credit Ratings

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper

Number of pages: 56 Posted: 04 Mar 2014 Last Revised: 11 Aug 2015

Working Paper Series

Taylor A. Begley

Washington University in St. Louis - John M. Olin Business School

Downloads 706

38.

First to 'Read' the News: News Analytics and High Frequency Trading

Paris December 2015 Finance Meeting EUROFIDAI - AFFI

Number of pages: 58 Posted: 18 Nov 2013 Last Revised: 28 Oct 2015

Working Paper Series

Bastian von Beschwitz, Donald B. Keim and Massimo Massa

Board of Governors of the Federal Reserve System, University of Pennsylvania - Wharton School and INSEAD - Finance

Downloads 676

39.

Trade Credit and Industry Dynamics: Evidence from Trucking Firms

Journal of Finance, Forthcoming

Number of pages: 57 Posted: 04 Oct 2013 Last Revised: 30 May 2015

Accepted Paper Series

Jean-Noel Barrot

Massachusetts Institute of Technology (MIT)

Downloads 666

40.

Derivatives Clearing, Default Risk, and Insurance

Paris December 2008 Finance International Meeting AFFI - EUROFIDAI

Number of pages: 39 Posted: 28 Feb 2008 Last Revised: 14 Mar 2013

Working Paper Series

Robert A. Jones and Christophe Perignon

Simon Fraser University (SFU) - Department of Economics and HEC Paris - Finance Department

Downloads 657

41.

The Real Effects of Lending Relationships on Innovative Firms and Inventor Mobility

Number of pages: 70 Posted: 11 Jun 2012 Last Revised: 23 May 2016

Working Paper Series

Johan Hombert and Adrien Matray

HEC Paris - Finance Department and Princeton University

Downloads 637

42.

Shareholder Activism and Voluntary Disclosure

Review of Accounting Studies, 2017, 22(3), 1307-1339

Number of pages: 50 Posted: 03 Oct 2015 Last Revised: 17 Aug 2017

Accepted Paper Series

Thomas Bourveau and Jordan Schoenfeld

Hong Kong University of Science & Technology (HKUST) and University of Utah

Downloads 634

43.

Who Are the Value and Growth Investors?

Journal of Finance, Forthcoming, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, HEC Paris Research Paper No. FIN-2014-1043

Number of pages: 76 Posted: 21 Apr 2014 Last Revised: 15 Mar 2016

Accepted Paper Series

Sebastien Betermier, Laurent E. Calvet and Paolo Sodini

McGill University - Desautels Faculty of Management, EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance

Downloads 632

44.

Risk Premia and Volatilities in a Nonlinear Term Structure Model

Review of Finance, Forthcoming

Number of pages: 74 Posted: 01 Apr 2013 Last Revised: 10 Sep 2016

Accepted Paper Series

Peter Feldhütter, Christian Heyerdahl-Larsen and Philipp K. Illeditsch

London Business School, London Business School - Department of Finance and Tepper School of Business

Downloads 625

45.

Multi-Asset Noisy Rational Expectations Equilibrium with Contingent Claims

Paris December 2015 Finance Meeting EUROFIDAI - AFFI

Number of pages: 58 Posted: 08 Jun 2014 Last Revised: 26 Nov 2016

Working Paper Series

Georgy Chabakauri, Kathy Yuan and Konstantinos E. Zachariadis

London School of Economics and Political Science, London School of Economics & Political Science (LSE) - Department of Finance and School of Economics and Finance, Queen Mary University of London

Downloads 621

46.

Portfolio Policies with Stock Options

Number of pages: 40 Posted: 04 Mar 2008 Last Revised: 15 Feb 2009

Working Paper Series

Yuliya Plyakha and Grigory Vilkov

Universite du Luxembourg - School of Finance and Frankfurt School of Finance & Management

Downloads 614

47.

The Fine Structure of Variance: Pricing VIX Derivatives in Consistent and Log-VIX Models

Number of pages: 63 Posted: 25 Mar 2012 Last Revised: 18 Aug 2016

Working Paper Series

Nicole Branger, Alexander Kraftschik and Clemens Völkert

University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster

Downloads 586

48.

Demystifying Pairs Trading: The Role of Volatility and Correlation

Number of pages: 42 Posted: 11 May 2016 Last Revised: 08 Jun 2017

Working Paper Series

Stephanie Sarah Riedinger

Catholic University of Eichstaett-Ingolstadt - Ingolstadt School of Management

Downloads 580

49.

The Real Effects of Political Uncertainty: Elections and Investment Sensitivity to Stock Prices

Paris December 2010 Finance Meeting EUROFIDAI - AFFI

Number of pages: 55 Posted: 22 Oct 2010 Last Revised: 25 Dec 2010

Working Paper Series

Art Durnev

University of Iowa - Henry B. Tippie College of Business

There are 2 versions of this paper

Downloads 574

50.

Adaptive Time Series Momentum: Incorporating Trend Signal Strength and the Performance of Managed Futures

Number of pages: 50 Posted: 30 Apr 2016 Last Revised: 21 Jul 2017

Working Paper Series

Gert Elaut and Peter Erdos

Ghent University and RPM Risk and Portfolio Management AB

Downloads 570

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