SSRN EFA 2009 Bergen Meetings (Archive)

1.

Are Stocks Really Less Volatile in the Long Run?

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 56 Posted: 26 May 2008 Last Revised: 13 Dec 2011

Working Paper Series

Lubos Pastor and Robert F. Stambaugh

University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

There are 3 versions of this paper

Downloads 11,188

2.

Bank Lending During the Financial Crisis of 2008

EFA 2009 Bergen Meetings Paper

Number of pages: 45 Posted: 10 Nov 2008 Last Revised: 31 Jul 2009

Working Paper Series

Victoria Ivashina and David S. Scharfstein

Harvard University and Harvard Business School - Finance Unit

Downloads 9,850

3.

The Failure of Models that Predict Failure: Distance, Incentives and Defaults

Chicago GSB Research Paper No. 08-19, Ross School of Business Paper No. 1122, EFA 2009 Bergen Meetings Paper

Number of pages: 46 Posted: 10 Nov 2008 Last Revised: 15 Aug 2010

Working Paper Series

Uday Rajan, Amit Seru and Vikrant Vig

Stephen M. Ross School of Business, University of Michigan, Stanford University and London Business School

Downloads 5,213

4.

Creditor Control Rights, Corporate Governance, and Firm Value

Number of pages: 79 Posted: 17 Aug 2009 Last Revised: 14 Dec 2011

Working Paper Series

Greg Nini, Amir Sufi and David C. Smith

Drexel University - Department of Finance, University of Chicago - Booth School of Business and University of Virginia - McIntire School of Commerce

Downloads 4,696

5.

The Cross-Section and Time-Series of Stock and Bond Returns

Journal of Monetary Economics, Forthcoming, EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 65 Posted: 11 Feb 2009 Last Revised: 04 May 2017

Working Paper Series

Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh

New York University (NYU) - Department of Finance, Stanford Graduate School of Business and New York University Stern School of Business, Department of Finance

There are 4 versions of this paper

Downloads 3,310

6.

Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 54 Posted: 26 Mar 2008 Last Revised: 26 Jan 2010

Working Paper Series

Martijn Cremers, Antti Petajisto and Eric Zitzewitz

University of Notre Dame, New York University (NYU) - Department of Finance and Dartmouth College

There are 2 versions of this paper

Downloads 2,795

7.

Carry Trades and Global Foreign Exchange Volatility

Journal of Finance, Forthcoming, EFA 2009 Bergen Meetings Paper

Number of pages: 93 Posted: 14 Feb 2009 Last Revised: 02 Mar 2011

Accepted Paper Series

Lukas Menkhoff, Lucio Sarno, Maik Schmeling and Andreas Schrimpf

German Institute for Economic Research (DIW Berlin), City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department

There are 2 versions of this paper

Downloads 2,640

8.

Why Does Corporate Governance Affect Firm Value: Evidence on a Self-Dealing Channel from a Natural Experiment in Korea

Journal of Banking and Finance, Vol. 51, 2015, pp. 131-150, EFA 2009 Bergen Meetings Paper, ECGI - Finance Working Paper No. 103/2005, U of Texas Law, Law and Econ Research Paper No. 51, McCombs Research Paper No. 01-05, KDI School of Pub Policy & Management Paper No. 08/19

Number of pages: 57 Posted: 09 Nov 2005 Last Revised: 12 Feb 2017

Accepted Paper Series

Bernard S. Black, Woochan Kim, Hasung Jang and Kyung Suh Park

Northwestern University - Pritzker School of Law, Korea University Business School, Korea University - Department of Finance and Korea University - Department of Finance

There are 2 versions of this paper

Downloads 2,507

9.

Measuring Equity Risk with Option-Implied Correlations

EFA 2009 Bergen Meetings Paper

Number of pages: 39 Posted: 16 Nov 2008 Last Revised: 27 Dec 2012

Working Paper Series

Adrian Buss and Grigory Vilkov

INSEAD and Frankfurt School of Finance & Management

Downloads 2,369

10.

Sovereign Wealth Funds: Investment Choices and Implications Around the World

Number of pages: 49 Posted: 12 Feb 2009 Last Revised: 15 Mar 2011

Working Paper Series

Nuno Fernandes

IMD International

Downloads 2,146

11.

Why do Investors Buy Structured Products?

EFA 2009 Bergen Meetings Paper

Number of pages: 31 Posted: 16 Feb 2009 Last Revised: 18 Aug 2011

Working Paper Series

Thorsten Hens and Marc Oliver Rieger

University of Zurich - Department of Banking and Finance and University of Trier

Downloads 2,034

12.

Corporate Fraud, Governance and Auditing

EFA 2009 Bergen Meetings Paper

Number of pages: 40 Posted: 05 Feb 2009 Last Revised: 02 Mar 2009

Working Paper Series

Giovanni Immordino and Marco Pagano

University of Salerno - Centre for Studies in Economics and Finance (CSEF) and University of Naples Federico II - Department of Economics and Statistics

There are 2 versions of this paper

Downloads 1,882

13.

Are US CEOs Paid More? New International Evidence

EFA 2009 Bergen Meetings Paper, ECGI - Finance Working Paper No. 255/2009, AFA 2011 Denver Meetings Paper

Number of pages: 50 Posted: 12 Feb 2009 Last Revised: 19 Jun 2012

Working Paper Series

Nuno Fernandes, Miguel A. Ferreira, Pedro P. Matos and Kevin J. Murphy

IMD International, Nova School of Business and Economics, University of Virginia - Darden School of Business and University of Southern California - Marshall School of Business

Downloads 1,835

14.

Mispricing of Dual-Class Shares: Profit Opportunities, Arbitrage, and Trading

EFA 2009 Bergen Meetings Paper

Number of pages: 60 Posted: 06 Feb 2009 Last Revised: 02 Nov 2009

Working Paper Series

Paul H. Schultz and Sophie Shive

University of Notre Dame - Department of Finance and University of Notre Dame - Department of Finance

Downloads 1,806

15.

Aggregate Idiosyncratic Volatility

AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper

Number of pages: 63 Posted: 25 Mar 2008 Last Revised: 28 Jun 2011

Working Paper Series

Geert Bekaert, Robert J. Hodrick and Xiaoyan Zhang

Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Purdue University - Krannert School of Management

There are 3 versions of this paper

Downloads 1,787

16.

Religious Beliefs, Gambling Attitudes, and Financial Market Outcomes

EFA 2009 Bergen Meetings Paper, Journal of Financial Economics (JFE), Forthcoming

Number of pages: 82 Posted: 31 Jan 2009 Last Revised: 04 Apr 2011

Accepted Paper Series

Alok Kumar, Jeremy K. Page and Oliver G. Spalt

University of Miami - School of Business Administration, Brigham Young University and Tilburg University - Department of Finance

Downloads 1,769

17.

Dynamic Hedging in Incomplete Markets: A Simple Solution

AFA 2012 Chicago Meetings Paper

Number of pages: 49 Posted: 07 Nov 2008 Last Revised: 12 May 2011

Working Paper Series

Suleyman Basak and Georgy Chabakauri

London Business School and London School of Economics and Political Science

There are 2 versions of this paper

Downloads 1,653

18.

Fundamentals, Trader Activity and Derivative Pricing

EFA 2009 Bergen Meetings Paper

Number of pages: 56 Posted: 02 Mar 2007 Last Revised: 13 Feb 2009

Working Paper Series

Bahattin Buyuksahin, Michael S. Haigh, Jeffrey H. Harris, James A. Overdahl and Michel A. Robe

Bank of Canada, Standard Chartered Bank, American University, affiliation not provided to SSRN and University of Illinois at Urbana-Champaign

Downloads 1,570

19.

Optimal Liquidation in Dark Pools

EFA 2009 Bergen Meetings Paper

Number of pages: 59 Posted: 17 Feb 2009 Last Revised: 18 Apr 2014

Working Paper Series

Peter Kratz and Torsten Schoeneborn

Humboldt University of Berlin and AHL (Man Investments)

There are 2 versions of this paper

Downloads 1,476

20.

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 1,464

21.

Private Equity and Long-Run Investment: The Case of Innovation

EFA 2009 Bergen Meetings Paper

Number of pages: 49 Posted: 17 Feb 2008 Last Revised: 25 Oct 2014

Working Paper Series

Morten Sorensen, Per Strömberg and Josh Lerner

Copenhagen Business School, Swedish House of Finance and Harvard Business School - Finance Unit

There are 3 versions of this paper

Downloads 1,400

22.

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

23.

Estimating Security Betas Using Prior Information Based on Firm Fundamentals

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper, WFA 2009 San Diego Meetings Paper, EFA 2009 Bergen Meetings Paper

Number of pages: 60 Posted: 13 Feb 2009 Last Revised: 25 Feb 2017

Working Paper Series

Mathijs Cosemans, Rik Frehen, Peter C. Schotman and Rob Bauer

Erasmus University - Rotterdam School of Management, Tilburg University - Department of Finance, Maastricht University - Limburg Institute of Financial Economics (LIFE) and Maastricht University

Downloads 1,248

24.

The Diminishing Liquidity Premium

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Number of pages: 60 Posted: 19 Mar 2008 Last Revised: 02 Aug 2013

Working Paper Series

Azi Ben-Rephael, Ohad Kadan and Avi Wohl

Indiana University - Kelley School of Business - Department of Finance, Washington University in St. Louis - John M. Olin Business School and Tel Aviv University - Coller School of Management

Downloads 1,181

25.

A Statistical Arbitrage FX Trading System Based on Short Term FX Volatility Swings Forecasting with Institutional Data on JPY Based Investment Flows Into US Markets

Number of pages: 17 Posted: 20 Jul 2009 Last Revised: 01 Oct 2009

Working Paper Series

Pavan Gadiraju

Independent

Downloads 1,175

26.

Leverage and Pricing in Buyouts: An Empirical Analysis

EFA 2009 Bergen Meetings Paper

Number of pages: 53 Posted: 19 Feb 2009

Working Paper Series

Ulf Axelson, Per Strömberg, Tim Jenkinson and Michael S. Weisbach

London School of Economics, Swedish House of Finance, University of Oxford - Said Business School and Ohio State University (OSU) - Department of Finance

Downloads 1,163

27.

Bond Liquidity Premia

Review of Financial Studies, (2012) 25 (4):1207-1254, EFA 2009 Bergen Meetings Paper

Number of pages: 60 Posted: 01 Mar 2007 Last Revised: 22 Nov 2012

Accepted Paper Series

Jean-Sebastien Fontaine and René Garcia

Bank of Canada and Université de Montréal - CIREQ - Département de sciences économiques

Downloads 1,123

28.

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

Journal of Finance, Forthcoming

Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 16 Sep 2013

Accepted Paper Series

Andrea Buraschi, Fabio Trojani and Andrea Vedolin

The University of Chicago, University of Geneva and Boston University - Department of Finance & Economics

Downloads 1,088

29.

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

30.

Tiebreaker: Certification and Multiple Credit Ratings

Yale ICF Working Paper No. 08-27, EFA 2009 Bergen Meetings Paper, AFA 2011 Denver Meetings Paper

Number of pages: 65 Posted: 29 Nov 2008 Last Revised: 10 Sep 2011

Working Paper Series

Dion Bongaerts, Martijn Cremers and William N. Goetzmann

Erasmus University Rotterdam (EUR) - Finance, University of Notre Dame and Yale School of Management - International Center for Finance

There are 2 versions of this paper

Downloads 1,034

31.

Liquidity Cycles and Make/Take Fees in Electronic Markets

Journal of Finance, Fforthcoming, EFA 2009 Bergen Meetings Paper

Number of pages: 71 Posted: 16 Feb 2009 Last Revised: 15 Mar 2013

Accepted Paper Series

Thierry Foucault, Ohad Kadan and Eugene Kandel

HEC Paris - Finance Department, Washington University in St. Louis - John M. Olin Business School and Hebrew University of Jerusalem - Department of Economics

There are 2 versions of this paper

Downloads 988

32.

Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?

EFA 2009 Bergen Meetings Paper

Number of pages: 183 Posted: 22 Nov 2006 Last Revised: 03 Feb 2013

Working Paper Series

Albert Lee Chun

University of Queensland - Business School

Downloads 957

33.

Costs and Benefits of 'Friendly' Boards during Mergers and Acquisitions

EFA 2009 Bergen Meetings Paper

Number of pages: 51 Posted: 13 Mar 2014 Last Revised: 13 Mar 2014

Working Paper Series

Breno Schmidt

Emory University - Goizueta Business School

Downloads 917

34.

Institutional Investment in Syndicated Loans

UBC Winter Finance Conference 2008 Paper, EFA 2009 Bergen Meetings Paper

Number of pages: 45 Posted: 19 Mar 2008 Last Revised: 20 Jul 2015

Working Paper Series

Debarshi K. Nandy and Pei Shao

Brandeis University - International Business School and affiliation not provided to SSRN

Downloads 886

35.

Estimating Equity Premia from CDS Spreads

EFA 2009 Bergen Meetings Paper

Number of pages: 30 Posted: 16 Oct 2007 Last Revised: 22 Jun 2016

Working Paper Series

Christoph Kaserer and Tobias Berg

Technische Universität München (TUM) and Frankfurt School of Finance & Management

Downloads 883

36.

The Credit Ratings Game

EFA 2009 Bergen Meetings Paper

Number of pages: 46 Posted: 16 Feb 2009

Working Paper Series

Patrick Bolton, Xavier Freixas and Joel Shapiro

Columbia Business School - Department of Economics, Universitat Pompeu Fabra and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

There are 3 versions of this paper

Downloads 785

37.

Limits to Arbitrage and Hedging: Evidence from Commodity Markets

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 57 Posted: 14 Mar 2008 Last Revised: 15 Dec 2015

Working Paper Series

Viral V. Acharya, Tarun Ramadorai and Lars A. Lochstoer

New York University - Leonard N. Stern School of Business, Imperial College London and University of California, Los Angeles (UCLA) - Anderson School of Management

There are 6 versions of this paper

Downloads 780

38.

Consumption Volatility Risk

Journal of Finance, Forthcoming

Number of pages: 40 Posted: 11 Feb 2009 Last Revised: 18 Oct 2012

Accepted Paper Series

Oliver Boguth and Lars-Alexander Kuehn

Arizona State University (ASU) - Finance Department and Carnegie Mellon University - David A. Tepper School of Business

Downloads 764

39.

On the Real Effects of Bank Bailouts: Micro-Evidence from Japan

EFA 2009 Bergen Meetings Paper, ECGI - Finance Working Paper No. 260/2009, FEEM Working Paper No. 103.2009

Number of pages: 46 Posted: 20 Apr 2009 Last Revised: 20 Jun 2016

Working Paper Series

Mariassunta Giannetti and Andrei Simonov

Stockholm School of Economics and Michigan State University - Eli Broad Graduate School of Management

There are 3 versions of this paper

Downloads 751

40.

Red and Blue Investing: Values and Finance

Simon School Working Paper No. FR 09-06, EFA 2009 Bergen Meetings Paper

Number of pages: 51 Posted: 10 Aug 2008 Last Revised: 18 Mar 2010

Working Paper Series

Harrison G. Hong and Leonard Kostovetsky

Columbia University, Graduate School of Arts and Sciences, Department of Economics and Carroll School of Management, Boston College

Downloads 738

41.

The Cost of Financial Distress and the Timing of Default

EFA 2009 Bergen Meetings Paper

Number of pages: 50 Posted: 04 Feb 2009 Last Revised: 26 May 2009

Working Paper Series

Redouane Elkamhi, Christopher A. Parsons and Jan Ericsson

University of Toronto - Rotman School of Management, University of California, San Diego (UCSD) - Rady School of Management and McGill University

Downloads 710

42.

Prospect Theory, Liquidation and the Disposition Effect

EFA 2009 Bergen Meetings Paper

Number of pages: 34 Posted: 17 Feb 2009 Last Revised: 03 Oct 2011

Working Paper Series

Vicky Henderson

University of Warwick

Downloads 697

43.

Oil Price Shocks and Stock Return Predictability

EFA 2009 Bergen Meetings Paper

Number of pages: 46 Posted: 11 Feb 2009 Last Revised: 20 Aug 2009

Working Paper Series

Lars Qvigstad Sørensen

Norwegian School of Economics (NHH) - Department of Finance

Downloads 677

44.

Liquidity and Shareholder Activism

Forthcoming The Review of Financial Studies

Number of pages: 48 Posted: 16 Feb 2009 Last Revised: 21 Jun 2014

Accepted Paper Series

Oyvind Norli, Charlotte Ostergaard and Ibolya Schindele

BI Norwegian Business School - Department of Financial Economics, BI Norwegian Business School, Department of Finance and BI Norwegian Business School

Downloads 664

45.

Rating-Based Investment Practices and Bond Market Segmentation

WFA 2012 Las Vegas Meetings Paper, Swiss Finance Institute Research Paper No. 10-30

Number of pages: 62 Posted: 16 Feb 2009 Last Revised: 27 Jun 2014

Working Paper Series

Zhihua Chen, Aziz A. Lookman, Norman Schürhoff and Duane J. Seppi

School of Finance, Shanghai University of Finance and Economics, AIG International, Inc., University of Lausanne and Carnegie Mellon University - David A. Tepper School of Business

Downloads 645

46.

Rollover Risk and Market Freezes

EFA 2009 Bergen Meetings Paper

Number of pages: 60 Posted: 11 Jan 2009 Last Revised: 09 Aug 2010

Working Paper Series

Viral V. Acharya, Douglas M. Gale and Tanju Yorulmazer

New York University - Leonard N. Stern School of Business, New York University (NYU) - Department of Economics and University of Amsterdam - Faculty of Economics and Business (FEB)

There are 4 versions of this paper

Downloads 639

47.

Lévy Jump Risk: Evidence from Options and Returns

EFA 2009 Bergen Meetings, Journal of Financial Economics (JFE), Forthcoming

Number of pages: 49 Posted: 13 Sep 2008 Last Revised: 10 Aug 2013

Accepted Paper Series

Chayawat Ornthanalai

University of Toronto - Rotman School of Management

Downloads 637

48.

Securitization, Transparency and Liquidity

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 56 Posted: 05 Feb 2009 Last Revised: 30 Dec 2010

Working Paper Series

Marco Pagano and Paolo F. Volpin

University of Naples Federico II - Department of Economics and Statistics and City University London - Faculty of Finance

There are 2 versions of this paper

Downloads 622

49.

The Costs of Being Private: Evidence from the Loan Market

Review of Financial Studies, Forthcoming

Number of pages: 57 Posted: 01 Feb 2009 Last Revised: 30 May 2011

Accepted Paper Series

Anthony Saunders and Sascha Steffen

New York University - Leonard N. Stern School of Business and Frankfurt School of Finance & Management

Downloads 603

50.

The Year-End Trading Activities of Institutional Investors: Evidence from Daily Trades

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper, EFA 2009 Bergen Meetings Paper, University of Alberta School of Business Research Paper No. 2014-11

Number of pages: 39 Posted: 15 Feb 2009 Last Revised: 08 Dec 2013

Accepted Paper Series

Gang Hu, R. David McLean, Jeffrey Pontiff and Qinghai Wang

Hong Kong Polytechnic University - School of Accounting and Finance, Georgetown University - Department of Finance, Boston College - Department of Finance and University of Central Florida - College of Business Administration

Downloads 601

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