SSRN AFA 2011 Denver Meetings (Archive)

1.

Why Do Hedge Funds Avoid Disclosure? Evidence from Confidential 13F Filings

AFA 2011 Denver Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming

Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 04 Sep 2013

Accepted Paper Series

George O. Aragon, Michael G. Hertzel and Zhen Shi

Arizona State University (ASU) - Finance Department, Arizona State University (ASU) - Finance Department and Georgia State University

Downloads 287

2.

Agency Problems in Public Firms: Evidence from Corporate Jets in Leveraged Buyouts

AFA 2011 Denver Meetings Paper, FEDS Working Paper, 2011-15, Journal of Finance, Forthcoming

Number of pages: 73 Posted: 04 Feb 2011 Last Revised: 31 Oct 2011

Accepted Paper Series

Jesse Edgerton

JP Morgan

Downloads 494

3.

The Origins of Savings Behavior

AFA 2011 Denver Meetings Paper

Number of pages: 54 Posted: 28 Jul 2010 Last Revised: 16 Nov 2013

Working Paper Series

Henrik Cronqvist and Stephan Siegel

University of Miami - Department of Finance and University of Washington - Michael G. Foster School of Business

Downloads 1,448

4.

Style Migration and the Cross-Section of Stock Returns

AFA 2011 Denver Meetings Paper, UIC College of Business Administration Research Paper No. 10-05

Number of pages: 56 Posted: 19 May 2010 Last Revised: 02 Jan 2011

Working Paper Series

Hsiu-Lang Chen and Russ Wermers

University of Illinois at Chicago - Department of Finance and University of Maryland - Robert H. Smith School of Business

Downloads 467

5.

Is Information Risk Priced? Evidence from the Price Discovery of Large Trades

AFA 2011 Denver Meetings Paper

Number of pages: 68 Posted: 02 Apr 2010 Last Revised: 20 Sep 2011

Working Paper Series

Xiaolin Qian and Chuan-Yang Hwang

University of Macau and Nanyang Technological University (NTU)

There are 4 versions of this paper

Downloads 246

6.

Private Placements, Regulatory Restrictions and Firm Value: Theory and Evidence from the Indian Market

AFA 2011 Denver Meetings Paper

Number of pages: 67 Posted: 26 Mar 2010 Last Revised: 08 Aug 2012

Working Paper Series

Marti G. Subrahmanyam, Vijaya B. Marisetty and V. Ravi Anshuman

New York University (NYU) - Department of Finance, RMIT University and Indian Institute of Management Bangalore

There are 3 versions of this paper

Downloads 240

7.

How Do Retirees Value Life Annuities? Evidence from Public Employees

AFA 2011 Denver Meetings Paper

Number of pages: 48 Posted: 23 Mar 2010 Last Revised: 12 Feb 2012

Working Paper Series

John Chalmers and Jonathan Reuter

University of Oregon and Boston College - Department of Finance

There are 2 versions of this paper

Downloads 116

8.

Mergers and Acquisitions Accounting and the Diversification Discount

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper

Number of pages: 30 Posted: 22 Mar 2010 Last Revised: 08 May 2013

Accepted Paper Series

Claudia Custodio

Imperial College London

Downloads 958

9.

Measuring Systemic Risk

AFA 2011 Denver Meetings Paper

Number of pages: 46 Posted: 22 Mar 2010 Last Revised: 09 Aug 2010

Working Paper Series

Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson

New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

There are 2 versions of this paper

Downloads 5,496

10.

What Broker Charges Reveal About Mortgage Credit Risk

AFA 2011 Denver Meetings Paper

Number of pages: 61 Posted: 22 Mar 2010 Last Revised: 26 Sep 2014

Working Paper Series

Antje Berndt, Burton Hollifield and Patrik Sandås

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics, Carnegie Mellon University - David A. Tepper School of Business and University of Virginia

There are 3 versions of this paper

Downloads 409

11.

The Cross-Section of Expected Stock Returns: Learning about Distress and Predictability in Heterogeneous Orchards

AFA 2011 Denver Meetings Paper

Number of pages: 84 Posted: 22 Mar 2010 Last Revised: 26 Oct 2010

Working Paper Series

Andrea Buraschi, Paolo Porchia and Fabio Trojani

University of Chicago - Booth School of Business, IE Business School and Swiss Finance Institute

Downloads 313

12.

Evaporating Liquidity

AFA 2011 Denver Meetings Paper

Number of pages: 49 Posted: 22 Mar 2010 Last Revised: 23 Jul 2011

Working Paper Series

Stefan Nagel

University of Chicago - Booth School of Business

There are 3 versions of this paper

Downloads 270

13.

Asymmetric Information, Endogenous Illiquidity, and Asset Pricing with Imperfect Competition

AFA 2011 Denver Meetings Paper

Number of pages: 45 Posted: 22 Mar 2010 Last Revised: 26 Dec 2010

Working Paper Series

Hong Liu and Yajun Wang

Washington University in St. Louis - Olin Business School and City University of NY, Baruch College, Zicklin School of Business

There are 2 versions of this paper

Downloads 257

14.

Credit Rating and Competition

22nd Australasian Finance and Banking Conference 2009, AFA 2011 Denver Meetings Paper

Number of pages: 44 Posted: 21 Mar 2010 Last Revised: 02 Aug 2012

Working Paper Series

Nelson Camanho, Pragyan Deb and Zijun Liu

School of Economics and Finance, Queen Mary University of London, International Monetary Fund (IMF) and Bank of England

Downloads 826

15.

The Ownership and Trading of Debt Claims in Chapter 11 Restructurings

Journal of Financial Economics (JFE), 119 (2), 316-335, 2015

Number of pages: 47 Posted: 19 Mar 2010 Last Revised: 17 Jan 2017

Accepted Paper Series

Victoria Ivashina, Benjamin Charles Iverson and David C. Smith

Harvard University, Brigham Young University and University of Virginia - McIntire School of Commerce

Downloads 1,437

16.

Fails-to-Deliver, Short Selling, and Market Quality

Journal of Financial Economics (JFE), Vol. 114, No. 3, 493-516

Posted: 19 Mar 2010 Last Revised: 12 Dec 2014

Accepted Paper Series

Veljko Fotak, Vikas Raman and Pradeep K. Yadav

State of New York (SUNY) at Buffalo, Lancaster University - Department of Accounting and Finance and University of Oklahoma Price College of Business

17.

Do Non-Executive Employees Have Information? Evidence from Employee Stock Purchase Plans

AFA 2011 Denver Meetings Paper, Forthcoming in Management Science

Number of pages: 50 Posted: 19 Mar 2010 Last Revised: 23 Apr 2015

Accepted Paper Series

Ilona Babenko and Rik Sen

Arizona State University and University of New South Wales (UNSW)

Downloads 488

18.

Globalizing the Boardroom - The Effects of Foreign Directors on Corporate Governance and Firm Performance

Journal of Accounting & Economics (JAE), Forthcoming, AFA 2011 Denver Meetings Paper, ECGI - Finance Working Paper No. 242/2009

Number of pages: 69 Posted: 19 Mar 2010 Last Revised: 08 Jan 2012

Accepted Paper Series

Ronald W. Masulis, Cong Wang and Fei Xie

University of New South Wales - Australian School of Business, The Chinese University of Hong Kong, Shenzhen and University of Delaware - Lerner College of Business and Economics

Downloads 1,561

19.

The Value of Investment Banking Relationships: Evidence from the Collapse of Lehman Brothers

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper

Number of pages: 63 Posted: 19 Mar 2010 Last Revised: 04 May 2011

Working Paper Series

Chitru S. Fernando, Anthony D. May and William L. Megginson

University of Oklahoma - Michael F. Price College of Business, Wichita State University - W. Frank Barton School of Business and University of Oklahoma

Downloads 836

20.

The Role of Stock Ownership by US Members of Congress on the Market for Political Favors

AFA 2011 Denver Meetings Paper

Number of pages: 81 Posted: 19 Mar 2010 Last Revised: 30 Jan 2014

Working Paper Series

Ahmed Tahoun

London Business School

Downloads 645

21.

Hedge Fund Activism and Bank Loan Contracting

AFA 2011 Denver Meetings Paper

Number of pages: 47 Posted: 19 Mar 2010 Last Revised: 18 Sep 2011

Working Paper Series

Jin Xu and Yinghua Li

Virginia Tech - Pamplin College of Business and Arizona State University (ASU) - School of Accountancy

Downloads 498

22.

Disaster Risk and Business Cycles

AFA 2011 Denver Meetings Paper

Number of pages: 49 Posted: 19 Mar 2010

Working Paper Series

Francois Gourio

Federal Reserve Bank of Chicago

Downloads 228

23.

Cyclicality of Credit Supply: Firm Level Evidence

Harvard Business School Finance Working Paper No. 10-107 , AFA 2011 Denver Meetings Paper, Journal of Monetary Economics, Vol. 62 (C), 76-93, 2014

Number of pages: 48 Posted: 18 Mar 2010 Last Revised: 15 Feb 2018

Accepted Paper Series

Victoria Ivashina and Bo Becker

Harvard University and Stockholm School of Economics

There are 2 versions of this paper

Downloads 1,468

24.

Combining Banking with Private Equity Investing

AFA 2011 Denver Meetings Paper, Harvard Business School Finance Working Paper No. 10-106, Review of Financial Studies, 26 (9), 2137-2173, 2013

Number of pages: 47 Posted: 18 Mar 2010 Last Revised: 15 Feb 2018

Accepted Paper Series

Lily H. Fang, Victoria Ivashina and Josh Lerner

INSEAD - Finance, Harvard University and Harvard Business School - Finance Unit

Downloads 1,596

25.

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper

Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 04 Oct 2014

Accepted Paper Series

Roman Kozhan, Anthony Neuberger and Paul Schneider

University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance

There are 2 versions of this paper

Downloads 1,964

26.

Are Analysts' Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper

Number of pages: 53 Posted: 18 Mar 2010 Last Revised: 26 Oct 2015

Accepted Paper Series

Daniel Bradley, Jonathan Clarke, Suzanne S. Lee and Chayawat Ornthanalai

University of South Florida, Georgia Institute of Technology - Scheller College of Business, Georgia Institute of Technology - Finance Area and University of Toronto - Rotman School of Management

Downloads 804

27.

Determinants of Dividend Smoothing: Empirical Evidence

AFA 2011 Denver Meetings Paper, Johnson School Research Paper Series No. 18-2010

Number of pages: 74 Posted: 18 Mar 2010 Last Revised: 02 Jul 2011

Working Paper Series

Mark T. Leary and Roni Michaely

Washington University in St. Louis - Olin Business School and University of Geneva - Geneva Finance Research Institute (GFRI)

Downloads 1,187

28.

Does the Location of Directors Matter? Information Acquisition and Board Decisions

AFA 2011 Denver Meetings Paper

Number of pages: 56 Posted: 18 Mar 2010 Last Revised: 28 Jul 2012

Working Paper Series

Zinat S. Alam, Mark A. Chen, Conrad S. Ciccotello and Harley E. Ryan

University of Oklahoma- Division of Finance, Georgia State University - Robinson College of Business, Daniels College of Business, University of Denver and Georgia State University - Department of Finance

Downloads 757

29.

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

AFA 2011 Denver Meetings Paper

Number of pages: 49 Posted: 18 Mar 2010 Last Revised: 02 Sep 2013

Working Paper Series

Hui Chen, Scott Joslin and Ngoc-Khanh Tran

Massachusetts Institute of Technology, University of Southern California and Washington University in Saint Louis - John M. Olin Business School

There are 2 versions of this paper

Downloads 736

30.

Does Enforcement of Intellectual Property Rights Matter in China? Evidence from Financing and Investment Choices in the High Tech Industry

AFA 2011 Denver Meetings Paper

Number of pages: 47 Posted: 18 Mar 2010 Last Revised: 21 Dec 2010

Working Paper Series

James S. Ang, Chaopeng Wu and Yingmei Cheng

Florida State University, Xiamen University and Florida State University - College of Business

Downloads 453

31.

Bank Risk-Taking, Securitization, Supervision, and Low Interest Rates: Evidence from Lending Standards

AFA 2011 Denver Meetings Paper

Number of pages: 57 Posted: 18 Mar 2010

Working Paper Series

Jose-Luis Peydro and Angela Maddaloni

Government of Catalan - Catalan Institution for Research and Advanced Studies (ICREA) and European Central Bank (ECB)

Downloads 362

32.

Does Media Coverage of Stocks Affect Mutual Funds’ Trading and Performance?

Forthcoming in Review of Financial Studies

Number of pages: 42 Posted: 18 Mar 2010 Last Revised: 25 Sep 2014

Accepted Paper Series

Lily H. Fang, Joel Peress and Lu Zheng

INSEAD - Finance, INSEAD - Finance and University of California, Irvine - Paul Merage School of Business

Downloads 316

33.

Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper

Number of pages: 70 Posted: 18 Mar 2010 Last Revised: 08 Aug 2012

Accepted Paper Series

Jessica A. Wachter

University of Pennsylvania - Finance Department

There are 2 versions of this paper

Downloads 225

34.

Why Surplus Consumption in the Habit Model May Be Less Persistent than You Think

AFA 2011 Denver Meetings Paper

Number of pages: 49 Posted: 18 Mar 2010

Working Paper Series

Anthony W. Lynch and Oliver Randall

New York University (NYU) - Department of Finance and Emory University - Goizueta Business School

There are 2 versions of this paper

Downloads 101

35.

The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options

AFA 2011 Denver Meetings Paper

Posted: 18 Mar 2010 Last Revised: 09 May 2014

Working Paper Series

Michael L. Lemmon and Sophie Xiaoyan Ni

University of Utah - Department of Finance and Hong Kong Baptist University (HKBU)

There are 2 versions of this paper

36.

Learning about Consumption Dynamics

Journal of Finance, Forthcoming

Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 29 Jan 2016

Accepted Paper Series

Michael S. Johannes, Lars A. Lochstoer and Yiqun Mou

Columbia Business School - Finance and Economics, University of California, Los Angeles (UCLA) - Anderson School of Management and Columbia Business School

Downloads 400

37.

The Size and Specialization of Direct Investment Portfolios

AFA 2011 Denver Meetings Paper

Number of pages: 47 Posted: 17 Mar 2010 Last Revised: 05 Feb 2016

Working Paper Series

Yael V. Hochberg and Mark M. Westerfield

National Bureau of Economic Research (NBER) and University of Washington

Downloads 217

38.

Glamour Brands and Glamour Stocks

AFA 2011 Denver Meetings Paper

Number of pages: 45 Posted: 17 Mar 2010 Last Revised: 13 May 2014

Working Paper Series

Matthew T. Billett, Zhan Jiang and Lopo Rego

Indiana University - Kelley School of Business - Department of Finance, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Indiana University - Kelley School of Business - Department of Marketing

Downloads 569

39.

Capital Allocation and Delegation of Decision-Making Authority within Firms

Number of pages: 52 Posted: 17 Mar 2010 Last Revised: 03 Oct 2014

Working Paper Series

John R. Graham, Campbell R. Harvey and Manju Puri

Duke University, Duke University - Fuqua School of Business and Duke University - Fuqua School of Business

There are 2 versions of this paper

Downloads 1,462

40.

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

AFA 2011 Denver Meetings Paper

Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 14 Nov 2013

Working Paper Series

Victor DeMiguel, Francisco J. Nogales and Raman Uppal

London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School

There are 2 versions of this paper

Downloads 1,134

41.

Short-Term Trading and Stock Return Anomalies: Momentum, Reversal, and Share Issuance

Review of Finance, Forthcoming

Number of pages: 62 Posted: 17 Mar 2010 Last Revised: 12 Jul 2014

Accepted Paper Series

Martijn Cremers and Ankur Pareek

University of Notre Dame and Rutgers University

Downloads 1,650

42.

Determinants of Bond Risk Premia

AFA 2011 Denver Meetings Paper

Number of pages: 57 Posted: 17 Mar 2010 Last Revised: 22 Jan 2014

Working Paper Series

Zhan Shi and Jing-Zhi Huang

Tsinghua University - PBC School of Finance and Pennsylvania State University - University Park - Department of Finance

Downloads 351

43.

Corporate Policies of Republican Managers

AFA 2011 Denver Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), 2014, 49(5/6), 1279-1310

Number of pages: 76 Posted: 17 Mar 2010 Last Revised: 14 Apr 2015

Accepted Paper Series

Irena Hutton, Danling Jiang and Alok Kumar

Florida State University - College of Business, College of Business, Stony Brook University and University of Miami - School of Business Administration

Downloads 1,385

44.

Asset Prices and Institutional Investors

AFA 2011 Denver Meetings Paper

Number of pages: 62 Posted: 17 Mar 2010 Last Revised: 27 Aug 2012

Working Paper Series

Suleyman Basak and Anna Pavlova

London Business School and London Business School

There are 2 versions of this paper

Downloads 1,362

45.

Equity-Debtholder Conflicts and Capital Structure

AFA 2011 Denver Meetings Paper

Number of pages: 30 Posted: 17 Mar 2010

Working Paper Series

Per Strömberg and Bo Becker

Swedish House of Finance and Stockholm School of Economics

There are 2 versions of this paper

Downloads 576

46.

What is Different About Government-Controlled Acquirers in Cross-Border Deals?

AFA 2011 Denver Meetings Paper

Number of pages: 56 Posted: 17 Mar 2010

Working Paper Series

Chuan Rose Liao and George Andrew Karolyi

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 401

47.