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AFA 2010 Atlanta Meetings (Archive)

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Viewing: 1 - 50 of 139 papers

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

Multiple version iconThere 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
AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

Multiple version iconThere 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
University of Michigan, Stephen M. Ross School of Business

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

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

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

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

Multiple version iconThere 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
Harvard Business School, Harvard University and NYU Stern School of Business

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

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

Multiple version iconThere 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
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
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
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
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
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
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
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

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

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

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

Multiple version iconThere 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
Nova School of Business and Economics and New University of Lisbon - Nova School of Business and Economics

Multiple version iconThere 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
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
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
Columbia Business School - Finance and Economics

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

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

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

Multiple version iconThere 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
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
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
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
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
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
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
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
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
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