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2012 International Conference of the French Finance Association (AFFI) (Archive)

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1.

Market Stock Liquidity and Corporate Governance

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 20 Posted: 05 Nov 2012
Working Paper Series
Groupe Sup de Co La Rochelle, IRGO and University of Liege - HEC Management School
Downloads 513
2.

The Price Pressure Hypothesis Revisited: Evidence from Tax-Induced Selling

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 17 Posted: 01 Oct 2012
Working Paper Series
University of Mannheim - Finance Area and affiliation not provided to SSRN
Downloads 334
3.

The Determinants of Corporate Board Size and Independence: Evidence from Malaysia

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 36 Posted: 09 Oct 2012
Working Paper Series
Toulouse University, Toulouse Business School, Toulouse Business School - Economics and Finance and Toulouse Business School
Downloads 249
4.

Strategic Internationalization of Mexican Emerging Multinationals

Number of pages: 24 Posted: 06 Nov 2012
Working Paper Series
Universidad de Guadalajara, University Center for Economic and Managerial Sciences, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 246
5.

The Impact of Credit Rating Announcements on Corporates' Credit Default Swap Spreads - Are There Intra-Industry Effects Observable?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 28 Posted: 05 Nov 2012
Working Paper Series
University of Hohenheim, affiliation not provided to SSRN and University of Hohenheim
Downloads 225
6.

Does Corporate Governance Affect Stock Liquidity in the Tunisian Stock Market?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 34 Posted: 05 Nov 2012
Working Paper Series
FIESTA - ISG Tunis and Université Montpellier II - Montpellier Research in Management (MRM)
Downloads 223
7.

Understanding the Operational Risk Profile of Banks: An Empirical Analysis

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 24 Posted: 09 Oct 2012
Working Paper Series
affiliation not provided to SSRN and Central Bank of Syria
Downloads 214
8.

Ownership Structure and Debt Leverage: Empirical Test of a Trade-Off Hypothesis On French Firms

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 41 Posted: 05 Nov 2012
Working Paper Series
Université Paris Dauphine and Université du Québec à Chicoutimi (UQAC)
Downloads 202
9.

The Dividend Policy of the Merged Firm, Method of Payment, and Takeover Premium

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 32 Posted: 05 Nov 2012
Working Paper Series
Université Lille Nord de France - Lille School of Management Research Center (LSMRC) and European Business School, Paris
Downloads 201
10.

On the Pricing and Early Call of American and Bermudan Callable Bonds

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 26 Posted: 05 Nov 2012
Working Paper Series
Université d'Évry, Université de Rennes I and CREM and Université de Rennes I
Downloads 153
11.

Raising Companies’ Profile with Corporate Social Performance: Variations in Investor Recognition and Liquidity Linked to VIGEO CSP Rating Disclosures

Bankers, Markets & Investors (Forthcoming)
Number of pages: 19 Posted: 02 Dec 2012 Last Revised: 11 Jun 2014
Accepted Paper Series
IAE Aix-en-Provence, Aix Marseille University, CERGAM, Euromed Marseille Ecole de Management and Exane BNP Paribas
Downloads 153
12.

Portfolio Performance Maximization with Generalized Kappa Ratio

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 41 Posted: 26 Sep 2012
Working Paper Series
University of Cergy-Pontoise and University of Cergy-Pontoise - ThEMA
Downloads 152
13.

The Crash Risk Premia of Efficient Carry Trades

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 32 Posted: 05 Nov 2012
Working Paper Series
Grenoble Ecole de Management
Downloads 149
14.

Private Equity Fundraising and Firm Specialization

Number of pages: 42 Posted: 09 Oct 2012 Last Revised: 05 Jun 2015
Working Paper Series
IESEG School of Management, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and SKEMA Business School
Downloads 148
15.

Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 30 Posted: 05 Nov 2012
Working Paper Series
Laval University - Business School, Ecole Superieure des Sciences Economiques et Commerciales (ESSEC), Independent and BNP Paribas

Multiple version iconThere are 2 versions of this paper

Downloads 137
16.

The Existence of Blockholders and Corporate Governance. Empirical Evidence from U.S.

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 39 Posted: 17 Sep 2012
Working Paper Series
University of Toulouse 1 - Toulouse School of Economics (TSE) and Montpellier Business School
Downloads 137
17.

Corporate Governance Scores and Long Term Performance

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 56 Posted: 05 Nov 2012
Working Paper Series
Université Paris Dauphine
Downloads 135
18.

A Theory of Profit Sharing Ratio Under Adverse Selection: The Case of Islamic Venture Capital

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 19 Sep 2012
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads 134
19.

Sovereign Recovery Schemes: Discounting and Risk Management Issues

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 18 Posted: 05 Nov 2012
Working Paper Series
affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Convergence Asset Management
Downloads 132
20.

Do Foreign Takeovers Affect Currency Risk Exposure?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 25 Posted: 17 Sep 2012
Working Paper Series
WHU - Otto Beisheim School of Management, Université Lille Nord de France - SKEMA Business School and SKEMA Business School - Lille Campus
Downloads 130
21.

From Ethical Principles to Financial Decision Theoretical Foundations and Empirical Comparison with Conventional Banks of Islamic Banks Capital Structure

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 28 Posted: 19 Sep 2012
Working Paper Series
University of Toulouse 3 - Laboratoire gouvernance et contrôle organisationnel, Université de Rennes I and University of Sousse
Downloads 125
22.

Initial Underpricing and Long-Run Performance of French Venture Capital-Backed and Non-Venture Capital-Backed IPOs

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 17 Posted: 05 Nov 2012
Working Paper Series
University of Tunis - Faculty of Economic Sciences and Management (ESSEC)
Downloads 123
23.

Dividend Announcements Reconsidered: Dividend Changes Versus Dividend Surprises

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 37 Posted: 05 Nov 2012
Working Paper Series
WHU - Otto Beisheim School of Management, BUW- Schumpeter School of Business and Economics, University of Mannheim - Finance Area, WHU - Otto Beisheim School of Management and University of Mannheim - Finance Area

Multiple version iconThere are 2 versions of this paper

Downloads 120
24.

Comparative Performances of Sharia-Compliant versus Conventional Funds

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 28 Posted: 19 Sep 2012
Working Paper Series
University of Orleans
Downloads 119
25.

Family Ownership, Private Equity Funds and Financial Performance is There a Family Equity Premium in LBO Transactions?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 43 Posted: 05 Nov 2012
Working Paper Series
affiliation not provided to SSRN, University of Bordeaux - Montesquieu University - Bordeaux IV and University of Bordeaux - Montesquieu University - Bordeaux IV
Downloads 118
26.

Which Dimensions of Social Responsibility Concern Financial Investors?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 36 Posted: 17 Sep 2012
Working Paper Series
Université Grenoble Alpes, University of Lyon 2 and University of Grenoble - Institut d'Administration des Entreprises Grenoble (IAE Grenoble)
Downloads 118
27.

Stock Market and Corporate Social Responsibility: A Long-Run Analysis of the Major Industrial Crises

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 43 Posted: 05 Nov 2012
Working Paper Series
Laval University and Laval University
Downloads 114
28.

What Drives the Herding Behavior of Individual Investors?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 32 Posted: 19 Sep 2012
Working Paper Series
Strasbourg University, LaRGE Research Center, EM Strasbourg Business School and Université Paris-Dauphine, PSL Research University

Multiple version iconThere are 2 versions of this paper

Downloads 114
29.

Bank Capital Buffer and Liquidity: Evidence from US and European Publicly Traded Banks

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 61 Posted: 17 Sep 2012
Working Paper Series
University of Limoges, Université de Limoges, LAPE and Universite de Limoges, LAPE

Multiple version iconThere are 2 versions of this paper

Downloads 113
30.

Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 09 Oct 2012
Working Paper Series
University of Technology, Sydney - UTS Business School, Finance Discipline Group, University of York - Department of Mathematics, University of Technology Sydney - Business School and University of New South Wales, Sydney
Downloads 113
31.

Worldwide Commodities Sector Market-to-Book and Return on Equity Valuation

Number of pages: 54 Posted: 23 Oct 2012
Working Paper Series
Tufts University - Department of Economics and University of Sao Paulo (USP) - Department of Economics
Downloads 113
32.

The Hotelling Valuation Principle: Evidence from the Six Super Majors

Number of pages: 11 Posted: 31 Oct 2012
Working Paper Series
RMIT University
Downloads 105
33.

Portfolio Diversification Dynamics of Individual Investors: A New Measure of Investor Sentiment

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 42 Posted: 05 Nov 2012
Working Paper Series
Strasbourg University - LARGE Research Center - EM Strasbourg Business School
Downloads 101
34.

Are Red or Blue Companies More Likely to Go Green? Politics and Corporate Social Responsibility

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 55 Posted: 05 Nov 2012
Working Paper Series
ESCP Europe - Department of Finance and Carroll School of Management, Boston College

Multiple version iconThere are 2 versions of this paper

Downloads 100
35.

Do Stock Prices Reflect Growth Forecasts?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 30 Posted: 05 Nov 2012
Working Paper Series
University of Lille 2 - ESA and University of Lille II
Downloads 100
36.

On the (Mis)Use of Conditional Value-at-Risk and Spectral Risk Measures for Portfolio Selection - A Comparison with Mean-Variance Analysis

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 29 Posted: 09 Oct 2012
Working Paper Series
University of Jena
Downloads 96
37.

Has Gold Been a Good Hedge Against Inflation in France from 1949 to 2011? Empiricial Evidence of the French Specificity

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 21 Posted: 19 Sep 2012
Working Paper Series
Independent
Downloads 95
38.

The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 38 Posted: 19 Sep 2012
Working Paper Series
Luxembourg School of Finance, Luxembourg School of Finance and Maastricht School of Business and Economics

Multiple version iconThere are 2 versions of this paper

Downloads 95
39.

How Do Banks React to Increased Asset Risks? Evidence from Hurricane Katrina

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 43 Posted: 09 Oct 2012
Working Paper Series
Goethe University Frankfurt - Chair of Econometrics, Otto-von-Guericke University and University of Bonn

Multiple version iconThere are 2 versions of this paper

Downloads 92
40.

Bank Capital, Liquidity Creation and Deposit Insurance

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 26 Posted: 19 Sep 2012
Working Paper Series
Bank of Finland - Institute for Economies in Transition (BOFIT), University of Strasbourg - LaRGE Research Center (Laboratoire de Recherche en Gestion et Economie) and University of Colorado, Colorado Springs - College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 91
41.

Is the Convenience Yield a Good Indicator for a Commodity’s Criticality?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 27 Posted: 05 Nov 2012
Working Paper Series
University of Augsburg, affiliation not provided to SSRN and University of Augsburg - Institute of Materials Resource Management
Downloads 81
42.

On the Estimation of the Risk of Financial Intermediaries

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 36 Posted: 09 Oct 2012
Working Paper Series
Montpellier Business School and Athens University of Economics and Business - Department of Economics
Downloads 77
43.

Lessons from the French Exception: How Firms Choose between Unitary and Dual Boards

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 44 Posted: 09 Oct 2012
Working Paper Series
Université de Cergy-Pontoise, Université Paris Dauphine, Louisiana State University, Baton Rouge - Department of Finance and Arizona State University
Downloads 75
44.

How Do Capital Buffers Respond to Basel? An Empirical Analysis of the Brazilian Banking System

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 32 Posted: 17 Sep 2012
Working Paper Series
Getulio Vargas Foundation (FGV) - Accounting, Finance & Control and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 72
45.

Is Trading Behavior Stable Across Contexts? Evidence from Style and Multi-Style Investors

Quantitative Finance 14 (4) 2014, 29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 51 Posted: 19 Sep 2012 Last Revised: 23 Apr 2017
Accepted Paper Series
Fordham University, Yale School of Management - International Center for Finance and Cornell University
Downloads 72
46.

Growth Opportunities, Assets in Place, Stocks Migration and CAPM: A Rational Foundation for the Fama-French and Momentum Factors

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 33 Posted: 17 Sep 2012 Last Revised: 03 Nov 2012
Working Paper Series
Kedge Business School Bordeaux

Multiple version iconThere are 2 versions of this paper

Downloads 71
47.

The Financial Performance and Investment Style of French Ethical Funds

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 23 Posted: 17 Sep 2012
Working Paper Series
Ecole de Management de Normandie
Downloads 70
48.

Weather Derivatives Structuring and Pricing: Evidence from an Agricultural Sustainable Aid in Africa

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 20 Posted: 05 Nov 2012
Working Paper Series
Grenoble Ecole de Management and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 68
49.

Portfolio Optimisation with Jumps: Illustration with a Pension Accumulation Scheme

Journal of Banking and Finance, Vol. 60, p. 127-137, 2015.
Number of pages: 36 Posted: 09 Oct 2012 Last Revised: 11 Apr 2016
Accepted Paper Series
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and University of Brescia - Department of Economics
Downloads 67
50.

The Value of Private Information in Investment Research: Do Company On-Site Visits Affect the Trading Patterns and Performance of Professional Investors?

29th International Conference of the French Finance Association (AFFI) 2012
Number of pages: 48 Posted: 17 Sep 2012
Working Paper Series
Concordia University, Quebec - Department of Finance and Concordia University, Quebec
Downloads 67