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 8,123

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 6,250

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 6,234

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

Downloads 3,321

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 Piraeus - Department of Banking and Financial Management

Downloads 2,441

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 2,336

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 1,585

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 1,506

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 1,465

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 1,448

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 1,303

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 1,256

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

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 1,179

15.

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 1,073

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 1,065

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 1,063

18.

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 1,058

19.

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 1,056

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 1,023

21.

Slow Trading and Stock Return Predictability

Number of pages: 53 Posted: 10 Oct 2015 Last Revised: 06 Jun 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 1,006

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 M. 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 1,004

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 990

24.

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 949

25.

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 928

26.

Factor-Based v. Industry-Based Asset Allocation: The Contest

Paris December 2016 Finance Meeting EUROFIDAI - AFFI

Number of pages: 72 Posted: 08 Jun 2015 Last Revised: 06 Dec 2016

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 906

27.

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

28.

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 867

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 862

30.

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 837

31.

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 809

32.

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 787

33.

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 765

34.

'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 760

35.

Women on Corporate Boards: Good or Bad?

AFA 2016 San Francisco Meetings Paper

Number of pages: 55 Posted: 25 Oct 2013 Last Revised: 31 Mar 2016

Working Paper Series

Thomas Schmid and Daniel Urban

The University of Hong Kong - Faculty of Business and Economics and Technische Universität München (TUM)

Downloads 740

36.

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, Maastricht University - Department of Finance, Students and Harvard University - Harvard Business School

Downloads 702

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 682

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 671

39.

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

40.

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 638

41.

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 627

42.

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 University of Pennsylvania - Finance Department

Downloads 621

43.

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 612

44.

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 604

45.

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 601

46.

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 578

47.

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 567

48.

Competition for Order Flow with Fast and Slow Traders

Forthcoming in the Review of Financial Studies

Number of pages: 51 Posted: 15 Mar 2012 Last Revised: 17 Jul 2015

Accepted Paper Series

Vincent van Kervel

Pontifical Catholic University of Chile

Downloads 557

49.

Pricing of Cross-Currency Interest Rate Derivatives on Graphics Processing Units

Number of pages: 8 Posted: 04 Nov 2009 Last Revised: 17 Feb 2010

Working Paper Series

Duy-Minh Dang

University of Queensland - School of Mathematics and Physics

Downloads 557

50.

Quantitative Forecast Model for the Application of the Black-Litterman Approach

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI

Number of pages: 28 Posted: 07 Oct 2009 Last Revised: 12 Nov 2010

Working Paper Series

Franziska Becker and Marc Gürtler

Technische Universität Braunschweig - Institute of Finance and University of Braunschweig - Institute of Technology, Department of Finance

Downloads 555

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