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AFA 2013 San Diego Meetings (Archive)

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Viewing: 1 - 50 of 135 papers

1.

Do ETFs Increase Volatility?

Journal of Finance, Forthcoming, Fisher College of Business Working Paper No. 2011-03-20, Swiss Finance Institute Research Paper No. 11-66, AFA 2013 San Diego Meetings Paper, Charles A. Dice Center Working Paper No. 2011-20
Number of pages: 145 Posted: 02 Dec 2011 Last Revised: 03 Dec 2017
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 4,236
2.

Algorithmic Trading and Market Quality: International Evidence

AFA 2013 San Diego Meetings Paper
Number of pages: 45 Posted: 15 Mar 2012 Last Revised: 08 Aug 2018
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, University of New South Wales - School of Banking and Finance and University of Nebraska - Lincoln
Downloads 3,770
3.

Credit Ratings and Credit Risk: Is One Measure Enough?

AFA 2013 San Diego Meetings Paper
Number of pages: 58 Posted: 18 Sep 2009 Last Revised: 05 Aug 2015
Working Paper Series
University of California, Davis and University of Oxford - Said Business School
Downloads 3,422
4.

Common Errors: How to (and Not to) Control for Unobserved Heterogeneity

Review of Financial Studies, 2014, 27(2), 617-61, AFA 2013 San Diego Meetings Paper
Number of pages: 58 Posted: 17 Mar 2012 Last Revised: 17 Jun 2014
Accepted Paper Series
Washington University in St. Louis and Northwestern University - Kellogg School of Management
Downloads 2,796
5.

Time-Varying Fund Manager Skill

Journal of Finance, Forthcoming
Number of pages: 60 Posted: 16 Nov 2011 Last Revised: 06 Dec 2012
Accepted Paper Series
Imperial College London - Accounting, Finance, and Macroeconomics, Columbia University Graduate School of Business and New York University - Stern School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 2,657
6.

As Certain as Debt and Taxes: Estimating the Tax Sensitivity of Leverage from State Tax Changes

Journal of Financial Economics (JFE), 118, 684-712 (2015)
Number of pages: 73 Posted: 18 Mar 2012 Last Revised: 24 May 2016
Accepted Paper Series
European Central Bank (ECB) and New York University (NYU) - Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 2,581
7.

Unknown Unknowns: Uncertainty About Risk and Stock Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 76 Posted: 20 Mar 2012 Last Revised: 24 Oct 2014
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University and Robeco Asset Management - Quantitative Strategies
Downloads 2,462
8.

Do Managers Do Good with Other Peoples' Money?

AFA 2013 San Diego Meetings Paper, Fama-Miller Working Paper, UCD & CalPERS Sustainability & Finance Symposium 2013, Chicago Booth Research Paper No. 12-47
Number of pages: 73 Posted: 20 Nov 2011 Last Revised: 14 May 2016
Working Paper Series
Dartmouth College - Tuck School of Business, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Yale School of Management
Downloads 2,439
9.

The CDS-Bond Basis

Georgetown McDonough School of Business Research Paper No. 2024531
Number of pages: 41 Posted: 20 Mar 2012 Last Revised: 21 Sep 2018
Working Paper Series
Georgetown University - Department of Finance and Ecole Polytechnique Fédérale de Lausanne
Downloads 2,384
10.

Do Hedge Funds Manipulate Stock Prices?

Journal of Finance, Forthcoming, Charles A. Dice Center Working Paper No. 2011-005, Fisher College of Business Working Paper No. 2011-03-005, Swiss Finance Institute Research Paper No. 11-53, AFA 2013 San Diego Meetings Paper
Number of pages: 80 Posted: 17 Feb 2011 Last Revised: 16 Sep 2012
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, USI Lugano, Toulouse School of Economics and Villanova University - Department of Finance
Downloads 2,161
11.

Asset Pricing: A Tale of Two Days

AFA 2013 San Diego Meetings Paper
Number of pages: 72 Posted: 19 Mar 2012 Last Revised: 21 Apr 2014
Working Paper Series
DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 2,013
12.

Macro to Micro: Country Exposures, Firm Fundamentals and Stock Returns

Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 55 Posted: 07 Mar 2012 Last Revised: 24 Apr 2014
Accepted Paper Series
University of Texas at Dallas, AQR Capital Management, LLC and London Business School
Downloads 2,012
13.

The Share of Systematic Variation in Bilateral Exchange Rates

Journal of Finance, Forthcoming
Number of pages: 54 Posted: 19 Sep 2011 Last Revised: 30 Oct 2015
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,008
14.

Equilibrium Fast Trading

AFA 2013 San Diego Meetings Paper, HEC Paris Research Paper No. 968/2013
Number of pages: 57 Posted: 19 Mar 2012 Last Revised: 23 Feb 2018
Working Paper Series
University of Toulouse 1 - Toulouse School of Economics (TSE), HEC Paris - Finance Department and Toulouse School of Economics
Downloads 1,939
15.

Market Expectations in the Cross Section of Present Values

Journal of Finance, Forthcoming, Chicago Booth Research Paper No. 11-08, Fama-Miller Working Paper , AFA 2013 San Diego Meetings Paper
Number of pages: 52 Posted: 02 Feb 2011 Last Revised: 11 Sep 2012
Working Paper Series
Yale SOM and Arizona State University (ASU) - Finance Department
Downloads 1,767
16.

The Role of Institutional Investors in Voting: Evidence from the Securities Lending Market

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 17 Mar 2012 Last Revised: 22 May 2015
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, University of Cambridge - Judge Business School and Queen Mary University of London
Downloads 1,541
17.

Do Security Analysts Discipline Credit Rating Agencies?

AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 12 Dec 2011 Last Revised: 20 Aug 2014
Working Paper Series
University of New South Wales - School of Banking and Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Imperial College London - Accounting, Finance, and Macroeconomics and Syracuse University - Department of Economics
Downloads 1,519
18.

Can Hedge Funds Time Market Liquidity?

Journal of Financial Economics (JFE), Forthcoming, AFA 2013 San Diego Meetings Paper
Number of pages: 55 Posted: 22 Jan 2010 Last Revised: 18 Feb 2015
Accepted Paper Series
Pennsylvania State University, Texas A&M University - Department of Finance, University of Massachusetts Amherst - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,454
19.

Inconsistent Regulators: Evidence from Banking

AFA 2013 San Diego Meetings Paper
Number of pages: 59 Posted: 03 Jan 2012 Last Revised: 10 Apr 2013
Working Paper Series
National University of Singapore, Federal Reserve Banks - Federal Reserve Bank of New York, Stanford University and Vancouver School of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,403
20.

Risk, Uncertainty, and Expected Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 79 Posted: 24 Nov 2012 Last Revised: 29 Aug 2014
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,222
21.

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

AFA 2013 San Diego Meetings Paper
Number of pages: 68 Posted: 19 Mar 2012 Last Revised: 20 Jan 2016
Working Paper Series
Massachusetts Institute of Technology, University of Southern California and Hong Kong Baptist University (HKBU)
Downloads 1,150
22.

Capital Market Efficiency and Arbitrage Efficacy

AFA 2013 San Diego Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 55 Posted: 15 Mar 2012 Last Revised: 20 Mar 2015
Accepted Paper Series
University of Illinois at Chicago, Texas Tech University - Area of Finance, Texas A&M University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,144
23.

Do Prices Reveal the Presence of Informed Trading?

Journal of Finance, Volume 70, Issue 4, August 2015, Pages 1555-1582
Number of pages: 45 Posted: 16 Mar 2012 Last Revised: 08 Sep 2015
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,144
24.

Dissecting the Profitability Premium

AFA 2013 San Diego Meetings Paper
Number of pages: 69 Posted: 21 Nov 2010 Last Revised: 08 Feb 2015
Working Paper Series
University of Delaware and Tsinghua University - PBC School of Finance
Downloads 1,102
25.

Portfolio Optimization Using Forward-Looking Information

Forthcoming in: Review of Finance
Number of pages: 36 Posted: 29 Feb 2012 Last Revised: 25 Jan 2014
Accepted Paper Series
University of Cologne - Department of Finance & Centre for Financial Research (CFR), Georg-August-Universität Göttingen and Georg-August-Universität Göttingen
Downloads 1,099
26.

Valuing Changes in Political Networks: Evidence from Campaign Contributions to Close Congressional Elections

The Review of Financial Studies, Forthcoming, AFA 2013 San Diego Meetings Paper
Number of pages: 49 Posted: 29 Feb 2012 Last Revised: 07 May 2015
Accepted Paper Series
University of Toronto - Rotman School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 1,087
27.

Facebook Finance: How Social Interaction Propagates Active Investing

AFA 2013 San Diego Meetings Paper
Number of pages: 70 Posted: 18 Mar 2012 Last Revised: 14 Dec 2012
Working Paper Series
Brandeis University - International Business School and Boston College - Department of Finance
Downloads 1,067
28.

Large Wealth Creation in Mergers and Acquisitions

AFA 2013 San Diego Meetings Paper
Number of pages: 63 Posted: 13 Mar 2012 Last Revised: 08 Nov 2017
Working Paper Series
Drexel University - Department of Finance, University of Waterloo - School of Accounting and Finance and Loyola Marymount University - Department of Finance and Computer Information Systems
Downloads 1,045
29.

Independent Director Incentives: Where Do Talented Directors Spend Their Limited Time and Energy?

Journal of Financial Economics (JFE), Forthcoming, AFA 2013 San Diego Meetings Paper, ECGI - Finance Working Paper No. 355/2013
Number of pages: 55 Posted: 07 Mar 2012 Last Revised: 25 Nov 2013
Accepted Paper Series
University of New South Wales - Australian School of Business and University of Alabama - Culverhouse College of Business Administration
Downloads 1,021
30.

The Impact of Firm Prestige on Executive Compensation

AFA 2013 San Diego Meetings Paper
Number of pages: 63 Posted: 22 Feb 2012 Last Revised: 07 Jan 2016
Working Paper Series
University of Mannheim - Department of International Finance, University of Mannheim Business School and University of Mannheim - Department of Finance
Downloads 1,006
31.

Large Bets and Stock Market Crashes

Number of pages: 43 Posted: 17 Mar 2012 Last Revised: 26 Feb 2016
Working Paper Series
University of Maryland and New Economic School (NES)
Downloads 983
32.

The Wall Street Walk when Blockholders Compete for Flows

Journal of Finance, Forthcoming, AFA 2013 San Diego Meetings Paper, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 430/2014
Number of pages: 64 Posted: 23 May 2011 Last Revised: 12 Mar 2015
Accepted Paper Series
London School of Economics (LSE) and Columbia University
Downloads 925
33.

Short-Run Bond Risk Premia

AFA 2013 San Diego Meetings Paper
Number of pages: 47 Posted: 27 May 2011 Last Revised: 07 Aug 2012
Working Paper Series
Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 909
34.

Testing Dynamic Agency Theory via Structural Estimation

Simon School Working Paper No. FR 12-06, AFA 2013 San Diego Meetings Paper
Number of pages: 42 Posted: 15 Mar 2012
Working Paper Series
University of Lausanne and Duke University - The Fuqua School of Business
Downloads 896
35.

Short-Term Return Reversal: The Long and the Short of It

AFA 2013 San Diego Meetings Paper
Number of pages: 35 Posted: 15 Mar 2012 Last Revised: 06 Dec 2012
Working Paper Series
University of Notre Dame - Mendoza College of Business, University of Hawaii at Manoa - Shidler College of Business and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 880
36.

Social Learning and Corporate Peer Effects

AFA 2013 San Diego Meetings Paper, Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 46 Posted: 26 Mar 2012 Last Revised: 04 Nov 2014
Working Paper Series
Aalto University School of Business and University of Miami - Department of Finance
Downloads 848
37.

Covenant Violations and Dynamic Loan Contracting

Journal of Corporate Finance, Forthcoming, AFA 2013 San Diego Meetings Paper, NYU Working Paper No. FIN-11-042
Number of pages: 74 Posted: 20 Nov 2011 Last Revised: 24 May 2017
Accepted Paper Series
Goethe University Frankfurt - Department of Finance, Deutsche Bundesbank - Research Centre, New York University - Leonard N. Stern School of Business and Frankfurt School of Finance & Management
Downloads 761
38.

Investor Horizon and the Life Cycle of Innovative Firms: Evidence from Venture Capital

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, AFA 2013 San Diego Meetings Paper
Number of pages: 49 Posted: 19 Mar 2012 Last Revised: 13 Jul 2016
Working Paper Series
Massachusetts Institute of Technology (MIT)
Downloads 752
39.

Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage

American Economic Review, Forthcoming, AFA 2013 San Diego Meetings Paper, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 318/2015
Number of pages: 67 Posted: 21 Mar 2011 Last Revised: 29 Oct 2018
Accepted Paper Series
London Business School - Institute of Finance and Accounting, University of Pennsylvania - The Wharton School - Finance Department and Columbia Business School - Finance and Economics

Multiple version iconThere are 3 versions of this paper

Downloads 750
40.

Can Facebook Predict Stock Market Activity?

AFA 2013 San Diego Meetings Paper
Number of pages: 58 Posted: 20 Mar 2012 Last Revised: 24 Nov 2016
Working Paper Series
Frankfurt School of Finance & Management

Multiple version iconThere are 2 versions of this paper

Downloads 734
41.

The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation

AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 18 Mar 2010 Last Revised: 08 Dec 2012
Working Paper Series
University of Toronto - Rotman School of Management, Bank of Canada, University of Houston - C.T. Bauer College of Business and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 729
42.

Dynamic Networks and Asset Pricing

AFA 2013 San Diego Meetings Paper
Number of pages: 33 Posted: 19 Mar 2012 Last Revised: 23 Dec 2012
Working Paper Series
University of Chicago - Booth School of Business and IE Business School
Downloads 716
43.

Investment without Q

AFA 2013 San Diego Meetings Paper
Number of pages: 32 Posted: 20 Mar 2012 Last Revised: 10 May 2016
Working Paper Series
The Wharton School, University of Pennsylvania and The Wharton School
Downloads 687
44.

When Some Investors Head for the Exit

AFA 2013 San Diego Meetings Paper
Number of pages: 40 Posted: 20 Nov 2011 Last Revised: 15 Mar 2012
Working Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and CUHK Business School, The Chinese University of Hong Kong
Downloads 674
45.

Financial Overconfidence Over Time: Foresight, Hindsight, and Insight of Investors

Journal of Banking and Finance, 2017, Vol. 84, pp. 68-87. Preprint Version, AFA 2013 San Diego Meetings Paper
Number of pages: 59 Posted: 08 Feb 2012 Last Revised: 08 Dec 2017
Accepted Paper Series
Kuehne Logistics University
Downloads 662
46.

A Theory of Shareholder Approval and Proposal Rights

AFA 2013 San Diego Meetings Paper, USC CLEO Research Paper Series No. C12-1, USC Law Legal Studies Paper No. 12-3, Marshall School of Business Working Paper No. FBE 02-12
Number of pages: 38 Posted: 14 Jan 2012 Last Revised: 17 Jan 2017
Working Paper Series
University of Southern California - Marshall School of Business and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 657
47.

Ex-Ante Expection Errors and the Asset Growth Effect

AFA 2013 San Diego Meetings Paper
Number of pages: 40 Posted: 20 Jan 2012 Last Revised: 19 Mar 2017
Working Paper Series
Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences and Hong Kong Polytechnic University
Downloads 651
48.

Opaque Trading, Disclosure and Asset Prices: Implications for Hedge Fund Regulation

Review of Financial Studies, 2014, 27(4): 1190-1237, AFA 2013 San Diego Meetings Paper, Rotman School of Management Working Paper No. 1945347, Johnson School Research Paper Series No. 53-2011
Number of pages: 60 Posted: 17 Oct 2011 Last Revised: 26 Feb 2016
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Toronto - Rotman School of Management
Downloads 621
49.

Structural Models of Capital Structure: A Framework for Model Evaluation and Testing

AFA 2013 San Diego Meetings Paper
Number of pages: 46 Posted: 19 Mar 2012 Last Revised: 14 Jan 2013
Working Paper Series
University of Southern California - Marshall School of Business and University of Utah - Department of Finance
Downloads 604
50.

Product Market Competition and Internal Governance: Evidence from the Sarbanes Oxley Act

AFA 2013 San Diego Meetings Paper, Forthcoming, Management Science, Johnson School Research Paper Series No. 18-2012
Number of pages: 45 Posted: 20 Mar 2012 Last Revised: 24 Nov 2015
Working Paper Series
University of Miami - Department of Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management, Rice University - Jesse H. Jones Graduate School of Business and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 602