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Paris December Finance Meetings EUROFIDAI - AFFI

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

Multiple version iconThere 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
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
University of Chicago - Booth School of Business and Copenhagen Business School

Multiple version iconThere 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
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
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
University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Oxford - Oxford-Man Institute of Quantitative Finance

Multiple version iconThere 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
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
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
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
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
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
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
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
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
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
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
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
University of Tuebingen - Department of Statistics and Econometrics and Deutsche Bundesbank

Multiple version iconThere 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
Stockholm School of Economics and Harvard University

Multiple version iconThere 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
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
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
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
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
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
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
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
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
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

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

Multiple version iconThere 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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
University of Iowa - Henry B. Tippie College of Business

Multiple version iconThere 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
Ghent University and RPM Risk and Portfolio Management AB
Downloads 570