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AFA 2013 San Diego Meetings (Archive)

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Viewing: 1 - 50 of 135 papers

1.

International Evidence on Algorithmic Trading

AFA 2013 San Diego Meetings Paper
Number of pages: 46 Posted: 15 Mar 2012 Last Revised: 18 Sep 2015
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 at Lincoln
Downloads 3,325
2.

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 3,216
3.

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 - Fisher College of Business, Finance Department, USI Lugano and Villanova University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,934
4.

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, New York University Stern School of Business, Department of Finance and New York University - Stern School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 2,555
5.

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 2,528
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 2,403
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 2,241
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
Tuck School of Business at Dartmouth, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Yale School of Management
Downloads 2,211
9.

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 - Fisher College of Business, Finance Department, USI Lugano, Toulouse School of Economics and Villanova University - Department of Finance
Downloads 2,070
10.

The CDS-Bond Basis

AFA 2013 San Diego Meetings Paper
Number of pages: 51 Posted: 20 Mar 2012 Last Revised: 19 Nov 2013
Working Paper Series
Georgetown University - Department of Finance and Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 2,048
11.

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 1,953
12.

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
Temple University - Fox School of Business and University of Oxford - Said Business School
Downloads 1,915
13.

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: 04 Sep 2014
Working Paper Series
University of Toulouse 1 - Toulouse School of Economics (TSE), HEC Paris - Finance Department and Toulouse School of Economics
Downloads 1,845
14.

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 1,831
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
University of Chicago - Finance and Arizona State University (ASU) - Finance Department
Downloads 1,712
16.

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 1,466
17.

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 1,458
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 1,429
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
Georgetown University - Department of Finance, 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 1,343
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 1,194
21.

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 - Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,085
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 1,083
23.

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 1,070
24.

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 1,046
25.

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 1,020
26.

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 977
27.

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 969
28.

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 965
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 Commerce and Business Administration
Downloads 954
30.

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 919
31.

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 889
32.

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, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 870
33.

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 845
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 842
35.

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 840
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
Downloads 786
37.

Feedback Effects, Asymmetric Trading, and the Limits to Arbitrage

American Economic Review, Forthcoming, AFA 2013 San Diego Meetings Paper, ECGI - Finance Working Paper No. 318/2011
Number of pages: 61 Posted: 21 Mar 2011 Last Revised: 02 May 2015
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 731
38.

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

Multiple version iconThere are 2 versions of this paper

Downloads 730
39.

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 698
40.

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 688
41.

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
The University of Chicago and IE Business School
Downloads 684
42.

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 and The Wharton School
Downloads 672
43.

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 651
44.

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 635
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 631
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 628
47.

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
Rotterdam School of Management, Erasmus University (RSM)

Multiple version iconThere are 2 versions of this paper

Downloads 619
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 588
49.

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, Cornell University - Samuel Curtis Johnson Graduate School of Management, Rice University - Jesse H. Jones Graduate School of Business and Cornell University - Cornell Tech NYC
Downloads 576
50.

Dispersion in Beliefs among Active Mutual Funds and the Cross-Section of Stock Returns

AFA 2013 San Diego Meetings Paper, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 62 Posted: 12 Nov 2011 Last Revised: 16 Sep 2013
Accepted Paper Series
Michigan State University and University of California, Irvine - Paul Merage School of Business
Downloads 563