SSRN AFA 2010 Atlanta 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 11,211

2.

Value and Momentum Everywhere

AFA 2010 Atlanta Meetings Paper

Number of pages: 54 Posted: 20 Mar 2009

Working Paper Series

Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen

AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

There are 2 versions of this paper

Downloads 10,697

3.

Originate-to-Distribute Model and the Subprime Mortgage Crisis

AFA 2010 Atlanta Meetings Paper

Number of pages: 53 Posted: 22 Jul 2008 Last Revised: 20 May 2010

Working Paper Series

Amiyatosh K. Purnanandam

University of Michigan, Stephen M. Ross School of Business

There are 2 versions of this paper

Downloads 4,838

4.

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper

Number of pages: 46 Posted: 22 Mar 2009 Last Revised: 24 Jun 2012

Accepted Paper Series

Harrison G. Hong and Motohiro Yogo

Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics

There are 2 versions of this paper

Downloads 3,530

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 3,350

6.

Securitization and Distressed Loan Renegotiation: Evidence from the Subprime Mortgage Crisis

Chicago Booth School of Business Research Paper No. 09-02, AFA 2010 Atlanta Meetings Paper

Number of pages: 57 Posted: 31 Dec 2008 Last Revised: 20 Aug 2011

Working Paper Series

Tomasz Piskorski, Amit Seru and Vikrant Vig

Columbia Business School - Finance and Economics, Stanford University and London Business School

Downloads 2,951

7.

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 2,802

8.

Crash-Neutral Currency Carry Trades

AFA 2010 Atlanta Meetings Paper

Number of pages: 51 Posted: 14 Sep 2008 Last Revised: 07 Oct 2013

Working Paper Series

Jakub W. Jurek

University of Pennsylvania - Finance Department

Downloads 2,757

9.

The Quality of Accounting Information in Politically Connected Firms

AFA 2010 Atlanta Meetings Paper

Number of pages: 48 Posted: 01 Mar 2007 Last Revised: 17 Nov 2012

Working Paper Series

Paul K. Chaney, Mara Faccio and David C. Parsley

Vanderbilt University - Accounting, Purdue University - Krannert School of Management and Vanderbilt University - Finance

Downloads 2,624

10.

Sovereign Risk Premia

AFA 2010 Atlanta Meetings Paper

Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 14 Sep 2011

Working Paper Series

Nicola Borri and Adrien Verdelhan

LUISS University - Department of Economics and Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 2,462

11.

A Reference Point Theory of Mergers and Acquisitions

AFA 2010 Atlanta Meetings Paper

Number of pages: 47 Posted: 23 Mar 2009 Last Revised: 23 Nov 2009

Working Paper Series

Malcolm P. Baker, Xin Pan and Jeffrey Wurgler

Harvard Business School, Harvard University and NYU Stern School of Business

There are 3 versions of this paper

Downloads 2,432

12.

In Search of Attention

AFA 2010 Atlanta Meetings Paper

Number of pages: 45 Posted: 22 Mar 2009 Last Revised: 30 Oct 2014

Working Paper Series

Zhi Da, Joseph Engelberg and Pengjie Gao

University of Notre Dame - Mendoza College of Business, University of California, San Diego (UCSD) - Rady School of Management and University of Notre Dame - Mendoza College of Business

Downloads 2,333

13.

Giants at the Gate: Investment Returns and Diseconomies of Scale in Private Equity

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, AFA 2010 Atlanta Meetings Paper, EFA 2009 Bergen Meetings Paper

Number of pages: 56 Posted: 23 Mar 2009 Last Revised: 17 Jan 2014

Accepted Paper Series

Florencio Lopez de Silanes, Ludovic Phalippou and Oliver Gottschalg

SKEMA Business School, University of Oxford - Said Business School and HEC Paris - Strategy & Business Policy

Downloads 2,172

14.

An Anatomy of Commodity Futures Risk Premia

AFA 2010 Atlanta Meetings Paper, Journal of Finance, Vol. 69, No. 1, pp. 453-482, 2014

Number of pages: 73 Posted: 17 Feb 2009 Last Revised: 11 May 2014

Accepted Paper Series

Marta Szymanowska, Frans de Roon, Theo Nijman and Rob van den Goorbergh

Erasmus University Rotterdam (EUR) - Department of Finance, Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and APG Asset Management

Downloads 2,001

15.

Managerial Attributes and Executive Compensation

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper

Number of pages: 61 Posted: 12 Sep 2008 Last Revised: 09 Jun 2011

Accepted Paper Series

John R. Graham, Si Li and Jiaping Qiu

Duke University, Wilfrid Laurier University - School of Business & Economics and McMaster University - Michael G. DeGroote School of Business

There are 2 versions of this paper

Downloads 1,909

16.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper

Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010

Working Paper Series

Scott Joslin, Kenneth J. Singleton and Haoxiang Zhu

University of Southern California, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 1,859

17.

Global, Local, and Contagious Investor Sentiment

Journal of Financial Economics (JFE), Vol. 104, pp 272-287, May 2012, AFA 2010 Atlanta Meetings Paper

Number of pages: 47 Posted: 23 Mar 2009 Last Revised: 11 Mar 2012

Accepted Paper Series

Malcolm P. Baker, Jeffrey Wurgler and Yu Yuan

Harvard Business School, NYU Stern School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

There are 2 versions of this paper

Downloads 1,814

18.

IQ, Trading Behavior, and Performance

Journal of Financial Economics, Forthcoming, CRSP Working Paper, AFA 2010 Atlanta Meetings Paper, EFA 2010 Frankfurt Meetings Paper, Chicago Booth Research Paper No. 09-33

Number of pages: 65 Posted: 20 Mar 2009 Last Revised: 17 Nov 2011

Working Paper Series

Mark Grinblatt, Matti Keloharju and Juhani T. Linnainmaa

University of California, Los Angeles (UCLA) - Finance Area, Aalto University - School of Business and USC Marshall School of Business

Downloads 1,703

19.

Trust and Credit

AFA 2010 Atlanta Meetings Paper

Number of pages: 60 Posted: 16 Feb 2009 Last Revised: 04 Aug 2010

Working Paper Series

Jefferson Duarte, Stephan Siegel and Lance A. Young

Rice University, University of Washington - Michael G. Foster School of Business and University of Washington - Department of Finance and Business Economics

Downloads 1,701

20.

The Information Content of IPO Prospectuses

Review of Financial Studies, Vol. 23, p. 2821-2864, 2010, AFA 2010 Atlanta Meetings Paper

Number of pages: 54 Posted: 15 Jan 2009 Last Revised: 22 Jan 2012

Accepted Paper Series

Kathleen Weiss Hanley and Gerard Hoberg

Lehigh University - College of Business & Economics and University of Southern California - Marshall School of Business

Downloads 1,640

21.

Debt Financing and Financial Flexibility: Evidence from Pro-active Leverage Increases

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper

Number of pages: 52 Posted: 17 Mar 2009 Last Revised: 20 Jan 2012

Accepted Paper Series

David J. Denis and Stephen B. McKeon

University of Pittsburgh and University of Oregon - Department of Finance

Downloads 1,596

22.

External Networking and Internal Firm Governance

Journal of Finance, 67 (1), pp 153-194

Number of pages: 50 Posted: 14 Aug 2008 Last Revised: 05 Feb 2015

Accepted Paper Series

Cesare Fracassi and Geoffrey A. Tate

University of Texas at Austin and University of North Carolina Kenan-Flagler Business School

Downloads 1,588

23.

Decomposing the Yield Curve

AFA 2010 Atlanta Meetings Paper

Number of pages: 54 Posted: 26 Jan 2009 Last Revised: 19 Mar 2009

Working Paper Series

John H. Cochrane and Monika Piazzesi

Hoover Institution and University of Chicago - Booth School of Business

Downloads 1,578

24.

Does Governance Travel around the World? Evidence from Institutional Investors

Fisher College of Business Working Paper No. 2009-008, ECGI - Finance Working Paper No. 267/2010, AFA 2010 Atlanta Meetings Paper, CELS 2009 4th Annual Conference on Empirical Legal Studies Paper, Fourth Singapore International Conference on Finance 2010 Paper

Number of pages: 66 Posted: 24 Mar 2009 Last Revised: 24 Feb 2012

Working Paper Series

Reena Aggarwal, Isil Erel, Miguel A. Ferreira and Pedro P. Matos

Georgetown University - Robert Emmett McDonough School of Business, Ohio State University (OSU) - Department of Finance, Nova School of Business and Economics and University of Virginia - Darden School of Business

There are 2 versions of this paper

Downloads 1,486

25.

Determinants of Volume in Dark Pool Crossing Networks

AFA 2010 Atlanta Meetings Paper

Number of pages: 70 Posted: 17 Mar 2009 Last Revised: 17 Apr 2014

Working Paper Series

Mark J. Ready

University of Wisconsin - Madison - Department of Finance, Investment and Banking

Downloads 1,397

26.

Did Subjectivity Play a Role in CDO Credit Ratings?

Journal of Finance, Forthcoming, AFA 2010 Atlanta Meetings Paper, CELS 2009 4th Annual Conference on Empirical Legal Studies Paper, McCombs Research Paper Series No. FIN-04-10

Number of pages: 54 Posted: 22 Mar 2009 Last Revised: 23 Feb 2012

Accepted Paper Series

John M. Griffin and Dragon Yongjun Tang

University of Texas at Austin - Department of Finance and The University of Hong Kong - School of Economics and Finance

Downloads 1,379

27.

Factor-Loading Uncertainty and Expected Returns

AFA 2010 Atlanta Meetings Paper

Number of pages: 52 Posted: 12 Nov 2008 Last Revised: 13 Sep 2012

Working Paper Series

Chris Armstrong, Snehal Banerjee and Carlos Corona

University of Pennsylvania - Accounting Department, University of California, San Diego (UCSD) - Rady School of Management and Carnegie Mellon University

Downloads 1,335

28.

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 1,254

29.

Peer Choice in CEO Compensation

Number of pages: 53 Posted: 22 Mar 2009 Last Revised: 14 Sep 2012

Working Paper Series

Ana M. Albuquerque, Gus De Franco and Rodrigo S. Verdi

Boston University Questrom School of Business, Tulane University - A.B. Freeman School of Business and Massachusetts Institute of Technology (MIT)

There are 2 versions of this paper

Downloads 1,222

30.

The Changing Nature of Chapter 11

Fisher College of Business Working Paper No. 2008-03-003, Charles A. Dice Center WP No. 2008-4, AFA 2010 Atlanta Meetings Paper, EFA 2008 Athens Meetings Paper

Number of pages: 55 Posted: 06 Mar 2008 Last Revised: 16 Dec 2010

Working Paper Series

Sreedhar T. Bharath, Venkatesh Panchapagesan and Ingrid M. Werner

Arizona State University - W.P. Carey School of Business, The Goldman Sachs Group, Inc. and The Ohio State University - Fisher College of Business

There are 2 versions of this paper

Downloads 1,175

31.

A Unified Theory of Tobin's Q, Corporate Investment, Financing, and Risk Management

Journal of Finance, Forthcoming , AFA 2010 Atlanta Meetings Paper

Number of pages: 50 Posted: 19 Mar 2009 Last Revised: 12 Jul 2011

Accepted Paper Series

Patrick Bolton, Hui Chen and Neng Wang

Columbia Business School - Department of Economics, Massachusetts Institute of Technology and Columbia Business School - Finance and Economics

There are 2 versions of this paper

Downloads 1,136

32.

Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole

AFA 2010 Atlanta Meetings Paper

Number of pages: 57 Posted: 22 Mar 2009 Last Revised: 25 Jul 2010

Working Paper Series

Miguel A. Ferreira and Pedro Santa-Clara

Nova School of Business and Economics and New University of Lisbon - Nova School of Business and Economics

There are 3 versions of this paper

Downloads 1,122

33.

Optimized vs. Sort-Based Portfolios

AFA 2010 Atlanta Meetings Paper

Number of pages: 45 Posted: 14 Jan 2009 Last Revised: 28 Dec 2009

Working Paper Series

Gerard Hoberg and Ivo Welch

University of Southern California - Marshall School of Business and University of California, Los Angeles (UCLA)

Downloads 1,081

34.

The Executive Turnover Risk Premium

The Journal of Finance, Vol. 69 (No. 4), p. 1529-1563, August 2014., Swiss Finance Institute Research Paper No. 08-11

Number of pages: 62 Posted: 05 Jun 2008 Last Revised: 12 Oct 2014

Accepted Paper Series

Florian S. Peters and Alexander F. Wagner

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

Downloads 1,021

35.

Does Public Financial News Resolve Asymmetric Information?

AFA 2010 Atlanta Meetings Paper

Number of pages: 52 Posted: 21 Nov 2008 Last Revised: 30 Aug 2011

Working Paper Series

Paul C. Tetlock

Columbia Business School - Finance and Economics

There are 2 versions of this paper

Downloads 1,020

36.

Securitization without Adverse Selection: The Case of CLOs

AFA 2010 Atlanta Meetings Paper

Number of pages: 58 Posted: 16 Feb 2009 Last Revised: 16 Apr 2013

Working Paper Series

Efraim Benmelech, Jennifer Dlugosz and Victoria Ivashina

Northwestern University - Kellogg School of Management, Washington University in St. Louis - John M. Olin Business School and Harvard University

There are 2 versions of this paper

Downloads 985

37.

Liquidity Mergers

Journal of Financial Economics (JFE), Forthcoming, AFA 2010 Atlanta Meetings Paper

Number of pages: 66 Posted: 18 Mar 2009 Last Revised: 14 Feb 2012

Accepted Paper Series

Heitor Almeida, Murillo Campello and Dirk Hackbarth

University of Illinois at Urbana-Champaign, Cornell University and Boston University Questrom School of Business

There are 2 versions of this paper

Downloads 957

38.

The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance

AFA 2010 Atlanta Meetings Paper

Number of pages: 68 Posted: 04 Feb 2009 Last Revised: 09 Apr 2011

Working Paper Series

Zheng Sun, Ashley Wang and Lu Zheng

University of California, Irvine - Paul Merage School of Business, Federal Reserve Board and University of California, Irvine - Paul Merage School of Business

Downloads 942

39.

Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options

Journal of Financial Economics, Forthcoming., AFA 2010 Atlanta Meetings Paper, EFA 2008 Athens Meetings Paper

Number of pages: 51 Posted: 07 Mar 2008 Last Revised: 22 Jan 2012

Working Paper Series

Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai

University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management

Downloads 932

40.

Are Analysts’ Forecasts Informative to the General Public?

Management Science, Forthcoming

Number of pages: 30 Posted: 23 Mar 2009 Last Revised: 05 Sep 2013

Accepted Paper Series

Oya Altinkilic, Vadim S. Balashov and Robert S. Hansen

George Washington University, School of Business, Rutgers School of Business-Camden and Tulane University - A.B. Freeman School of Business

Downloads 922

41.

Dynamic Trading with Predictable Returns and Transaction Costs

AFA 2010 Atlanta Meetings Paper

Number of pages: 64 Posted: 24 Mar 2009 Last Revised: 18 Aug 2009

Working Paper Series

Nicolae Garleanu and Lasse Heje Pedersen

University of California, Berkeley - Haas School of Business and AQR Capital Management, LLC

There are 3 versions of this paper

Downloads 894

42.

Does Source of Capital Affect Investment and Firm Value?

AFA 2010 Atlanta Meetings Paper

Number of pages: 53 Posted: 19 Sep 2008 Last Revised: 28 Aug 2012

Working Paper Series

Indraneel Chakraborty

University of Miami

Downloads 868

43.

Political Uncertainty and Corporate Investment Cycles

Journal of Finance, Forthcoming

Number of pages: 55 Posted: 25 Feb 2009 Last Revised: 16 Nov 2010

Working Paper Series

Brandon Julio and Youngsuk Yook

Lundquist College of Business, University of Oregon and Board of Governors of the Federal Reserve System

Downloads 867

44.

Acquirer-Target Social Ties and Merger Outcomes

AFA 2010 Atlanta Meetings Paper, Fourth Singapore International Conference on Finance 2010 Paper, Journal of Financial Economics (JFE), Forthcoming

Number of pages: 52 Posted: 17 Mar 2009 Last Revised: 25 Mar 2014

Accepted Paper Series

Joy L. Ishii and Yuhai Xuan

Stanford Graduate School of Business and University of Illinois at Urbana-Champaign - Department of Finance

Downloads 865

45.

Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices

Management Science, Forthcoming, AFA 2010 Atlanta Meetings Paper

Number of pages: 37 Posted: 22 Mar 2009 Last Revised: 23 May 2013

Accepted Paper Series

Nerissa C. Brown, Kelsey D. Wei and Russ Wermers

University of Delaware - Accounting & MIS, University of Texas at Dallas and University of Maryland - Robert H. Smith School of Business

Downloads 807

46.

Information Networks: Implications for Mutual Fund Trading Behavior and Stock Returns

AFA 2010 Atlanta Meetings Paper

Number of pages: 61 Posted: 18 Mar 2009 Last Revised: 09 Feb 2012

Working Paper Series

Ankur Pareek

Rutgers University

Downloads 791

47.

Strategic Allocation: The Role of Corporate Bond Indices?

AFA 2010 Atlanta Meetings Paper

Number of pages: 54 Posted: 14 May 2009 Last Revised: 14 May 2009

Working Paper Series

Antonios A. Sangvinatsos

New York University (NYU) - Department of Finance

Downloads 789

48.

Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Cost

Review of Financial Studies, 2012, Vol. 2 (25), 557-598.

Number of pages: 64 Posted: 23 Sep 2008 Last Revised: 03 Jul 2013

Accepted Paper Series

Amber Anand, Paul J. Irvine, Andy Puckett and Kumar Venkataraman

Syracuse University - Whitman School of Management, Neeley School of Business, University of Tennessee, Knoxville and Southern Methodist University (SMU) - Edwin L. Cox School of Business

Downloads 785

49.

Option Mispricing Around Nontrading Periods

AFA 2010 Atlanta Meetings Paper, Marshall School of Business Working Paper No. FBE 03-10

Number of pages: 86 Posted: 22 Mar 2009 Last Revised: 17 Sep 2017

Working Paper Series

Christopher S. Jones and Joshua Shemesh

University of Southern California - Marshall School of Business - Finance and Business Economics Department and Monash University - Department of Banking and Finance

Downloads 784

50.

The Good or the Bad? Which Mutual Fund Managers Join Hedge Funds?

Review for Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper

Number of pages: 22 Posted: 22 Mar 2009 Last Revised: 29 Jun 2011

Accepted Paper Series

Prachi Deuskar, Joshua Matthew Pollet, Zhi Jay Wang and Lu Zheng

Indian School of Business, University of Illinois at Urbana-Champaign - Department of Finance, University of Oregon - Charles H. Lundquist School of Business and University of California, Irvine - Paul Merage School of Business

Downloads 782

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