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EFMA 2000 Athens Meetings (Archive)

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Viewing: 1 - 50 of 77 papers

2.

Momentum, Business Cycle and Time Varying Expected Returns

London Business School Accounting Subject Area No. 020; AFA 2001
Number of pages: 47 Posted: 24 Nov 2001
Working Paper Series
Tarun Chordia and Lakshmanan Shivakumar
Emory University - Department of Finance and London Business School
Downloads 1,832
3.

Option-Based Bankruptcy Prediction

EFMA 2000 Athens
Number of pages: 27 Posted: 12 Feb 2001
Working Paper Series
Andreas Charitou and Lenos Trigeorgis
University of Cyprus and University of Cyprus - Department of Public and Business Administration
Downloads 1,600
4.

Lenders Collaboration to Compete

Number of pages: 24 Posted: 27 Jan 2001
Case and Teaching Paper Series
Josep A. Tribo and Miguel A. García-Cestona
Universidad Carlos III de Madrid - Department of Business Administration and Universitat Autonoma de Barcelona (UAB) - Department d'Economia de l'Empresa
Downloads 83
5.

Credit Spreads between German and Italian Sovereign Bonds - Do One-Factor Affine Models Work?

Canadian Journal of Administrative Sciences, Vol. 17, No. 2
Number of pages: 35 Posted: 24 Jan 2001
Accepted Paper Series
Klaus Duellmann and Marc Windfuhr
Deutsche Bundesbank and affiliation not provided to SSRN
Downloads 406
6.

Simulating the Evolution of the Implied Distribution

European Financial Management Journal
Posted: 19 Jan 2001
Accepted Paper Series
George S. Skiadopoulos and Stewart D. Hodges
University of Piraeus and University of Warwick - Financial Options Research Centre (FORC)
7.

The Effect of Stock Splits on Excess Returns: Evidence from Istanbul Stock Exchange

EFMA 2000 Athens
Posted: 15 Jan 2001
Working Paper Series
Ali Osman Gurbuz, Saadet Tantan and Handan Yolsal
Marmara University - Faculty of Economics and Administrative Sciences, Marmara University - School of Banking and Insurance and Marmara University
8.

Stock Return Predictability: A Bayesian Model Selection Perspective

EFA 0524; EFMA 2000 Athens
Number of pages: 36 Posted: 15 Jan 2001
Working Paper Series
Martijn Cremers
University of Notre Dame

Multiple version iconThere are 2 versions of this paper

Downloads 1,234
9.

The Contrarian Strategy in the Spanish Stock Market

EFMA 2000 Athens
Number of pages: 44 Posted: 02 Jan 2001
Working Paper Series
Carlos Forner and Joaquin Marhuenda
Universidad de Alicante-Dpto. Economía Financiera and Universidad de Alicante - Department of Economic Analysis
Downloads 727
10.

Simulation and Numerical Methods in Real Options Valuation

EFMA 2000 Athens
Number of pages: 24 Posted: 31 Dec 2000
Working Paper Series
Gonzalo Cortazar
Pontificia Universidad Catolica de Chile
Downloads 2,849
11.

Optimal Exploration Investments Under Price and Geological-Technical Uncertainty: A Real Options Model

EFMA 2000 Athens
Number of pages: 29 Posted: 31 Dec 2000
Working Paper Series
Gonzalo Cortazar, Eduardo S. Schwartz and Jaime Casassus
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU) and Pontificia Universidad Catolica de Chile
Downloads 1,012
12.

Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures

EFMA 2000 Athens
Number of pages: 23 Posted: 31 Dec 2000
Working Paper Series
Taufiq Choudhry
Bradford University School of Management
Downloads 28
13.

Capital Structure Decision: The Use of Preference Shares and Convertible Debt in the UK

EFMA 2000 Athens
Number of pages: 39 Posted: 31 Dec 2000
Working Paper Series
Sandra Laurent
University of the West of England (UWE) - Bristol Business School
Downloads 1,814
14.

Regulating Access to International Large-Value Payment Systems

EFMA 2000 Athens Meetings; European Central Bank Working Paper No. 22
Number of pages: 44 Posted: 31 Dec 2000
Working Paper Series
Cornelia Holthausen and Thomas Rønde
European Central Bank (ECB) and University of Copenhagen - Department of Economics
Downloads 149
15.

The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds

London Business School Accounting Subject Area No. 014
Number of pages: 29 Posted: 31 Dec 2000
Working Paper Series
Elroy Dimson and Bernd Hanke
University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting

Multiple version iconThere are 2 versions of this paper

Downloads 1,615
16.

The Impact of Large Changes in Asset Prices on Intra-Market Correlations in the Domestic and International Markets

EFMA 2000 Athens
Number of pages: 40 Posted: 20 Dec 2000
Working Paper Series
Ehud I. Ronn, Akin Sayrak and Stathis Tompaidis
University of Texas at Austin - Department of Finance, University of Pittsburgh and University of Texas at Austin - McCombs School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 293
17.

Intra-Day Seasonalities on Stock Returns: Evidence from the Turkish Stock Market

EFMA 2000 Athens
Number of pages: 57 Posted: 18 Dec 2000
Working Paper Series
Recep Bildik
Borsa Istanbul (Istanbul Stock Exchange)

Multiple version iconThere are 2 versions of this paper

Downloads 720
18.

Time-Varying Distribution and Hedging Effectiveness of Three Pacific-Basin Stock Futures

EFMA 2000 Athens
Number of pages: 18 Posted: 18 Dec 2000
Working Paper Series
Taufiq Choudhry
Bradford University School of Management
Downloads 461
19.

Factoring as a Financing Option: Evidence from the UK

EFMA 2000 Athens
Number of pages: 20 Posted: 18 Dec 2000
Working Paper Series
Khaled Soufani
Concordia University, Quebec - Department of Finance
Downloads 1,338
20.

The Causality between Interest Rate, Exchange Rate and Stock Price in Emerging Markets: The Case of the Jakarta Stock Exchange

EFMA 2000 Athens
Number of pages: 22 Posted: 18 Dec 2000
Working Paper Series
Jyoti P. Gupta, Alain Chevalier and Fran Sayekt
European School of Management (ESCP-EAP), ESCP Europe and ESCP Europe
Downloads 3,785
21.

A Tale of Three Cities: Is an Electronic Public Order Book Appropriate for Transition Economies?

EFMA 2000 Athens
Number of pages: 44 Posted: 18 Dec 2000
Working Paper Series
Joseph P. Kairys, Jr., Raimonds Kruza and Ritvars Kumpins
Vytautas Magnus University, Stockholm School of Economics and Parex Bank Corporation
Downloads 231
22.

Stock Prices and Exchange Rate Dynamics

EFMA 2000 Athens, Cass Business School Research Paper
Number of pages: 40 Posted: 18 Dec 2000
Working Paper Series
Fabiola Ravazzolo and Kate Phylaktis
City University London and City University London - Sir John Cass Business School
Downloads 1,323
23.

A Rose.Com by Any Other Name

Journal of Finance Journal of Finance, Vol. 56, No. 6, pp. 2371-2388
Posted: 16 Dec 2000
Accepted Paper Series
Michael J. Cooper, Orlin Dimitrov and P. Raghavendra Rau
University of Utah - David Eccles School of Business, Purdue University - Krannert School of Management and University of Cambridge

Multiple version iconThere are 2 versions of this paper

24.

The Size and Book-to-Market Effects and Their Role as Risk Proxies in the Istanbul Stock Exchange

EFMA 2000 Athens; Koc University, Graduate School of Business, Working Paper No. 2000-04
Number of pages: 42 Posted: 16 Dec 2000
Working Paper Series
Mine H. Aksu and Turkan Onder
Sabanci University and Marmara University - Faculty of Economics and Administrative Sciences
Downloads 1,130
25.

A Non-Parametric Examination of Stability in the Euro

EFMA 2000 Athens
Number of pages: 28 Posted: 13 Dec 2000
Working Paper Series
John Cotter
University College Dublin
Downloads 181
26.

Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

AFA 2001 New Orleans; EFMA 2000 Athens; UCLA Finance Working Paper No. 9-00
Number of pages: 61 Posted: 11 Dec 2000
Working Paper Series
Jun Liu and Francis A. Longstaff
University of California, San Diego (UCSD) - Rady School of Management and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,209
27.

Corporate Governance in Banking: A Conceptual Framework

Number of pages: 28 Posted: 11 Dec 2000
Working Paper Series
Penny Ciancanelli and José Antonio Reyes-Gonzalez
University of Strathclyde - Department of Accounting and Finance and University of Strathclyde - Department of Accounting and Finance
Downloads 9,585
28.

Detecting Falsified Financial Statements Using Multicriteria Analysis: The Case of Greece

EFMA 2000 Athens
Number of pages: 27 Posted: 10 Dec 2000
Working Paper Series
C. Zopounidis, Michael Doumpos and Charalambos Spathis
Technical University of Crete (TUC) - Department of Production Engineering and Management, Technical University of Crete (TUC) - Department of Production Engineering and Management and Aristotle University of Thessaloniki - Department of Economics
Downloads 1,201
29.

The Effect of Firm Diversification on Capital Structure: Evidence from Spanish Firms

EFMA 2000 Athens
Number of pages: 17 Posted: 07 Dec 2000
Working Paper Series
Eduardo José Menéndez Alonso
Universidad de Oviedo - Business Administration
Downloads 1,012
30.

A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market

EFMA 2000 Athens; Department of Economics Working Paper No. 2000:8
Number of pages: 21 Posted: 07 Dec 2000
Working Paper Series
Andreas Graflund
Lund University - Department of Economics
Downloads 371
31.

Finance and Politics: Special Interest Group Influence During the Nationalization and Privatization of Conrail

EFMA 2000 Athens
Number of pages: 66 Posted: 06 Dec 2000
Working Paper Series
James S. Ang and Carol Marie Boyer
Florida State University and Long Island University CW Post
Downloads 464
32.

Stock Index Futures and the Effect on Cash Market in Italy: Evidence from Changes in Indexes' Composition

EFMA 2000 Athens
Number of pages: 23 Posted: 02 Dec 2000
Working Paper Series
Silvia Rigamonti and Roberto Barontini
Catholic University of Milan and Scuola Superiore Sant'Anna di Pisa - Institute of Management
Downloads 730
33.

Customer Controlled Firms: The Case of Stock Exchanges

EFMA 2000 Athens
Number of pages: 26 Posted: 01 Dec 2000
Working Paper Series
Carmine Di Noia
ASSONIME

Multiple version iconThere are 2 versions of this paper

Downloads 497
34.

Asymmetry and Downside Risk in Foreign Exchange Markets

EFMA 2000 Athens; AFA 2001 New Orleans
Number of pages: 51 Posted: 30 Nov 2000
Working Paper Series
Shaun A. Bond
University of Cincinnati
Downloads 572
35.

Company Investment Announcements and the Market Value of the Firm

EFMA 2000 Athens
Number of pages: 41 Posted: 23 Nov 2000
Working Paper Series
Edward A.E. Jones
Heriot-Watt University, Edinburgh
Downloads 958
36.

Financial Decisions and Growth Opportunities: A Spanish Firms Panel Data Analysis

Applied Financial Economics, No. 15, pp. 391-407, 2005, EFMA 2002 London Meetings
Number of pages: 17 Posted: 23 Nov 2000
Accepted Paper Series
Pablo de Andrés Alonso, Félix J. López-Iturriaga and Juan Antonio Rodríguez-Sanz
Universidad Autonoma de Madrid, University of Valladolid - Department of Financial Economics and Accounting and University of Valladolid - Department of Economics and Business Administration
Downloads 899
37.

A Rude Awakening: Internet Shakeout in 2000

EFA 0660; EFMA 2000 Athens Meetings; Simon Business School Working Paper No. FR 00-13
Number of pages: 45 Posted: 21 Nov 2000
Working Paper Series
Elizabeth A. Demers and Baruch Lev
University of Lausanne - Department of Accounting and Control and New York University - Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,473
38.

Pre-Acquisition Profile of Privately Held Companies Involved in Takeovers: An Empirical Study

EFMA 2000 Athens
Number of pages: 34 Posted: 20 Nov 2000
Working Paper Series
Jan Camerlynck and Hubert Ooghe
Sofindev Private Equity and Vlerick Business School
Downloads 265
39.

Mean Variance Causality between the Official and Parallel Currency Markets: Evidence from Four Latin American Countries

EFMA 2000 Athens
Number of pages: 28 Posted: 20 Nov 2000
Working Paper Series
Angelos Kanas and Georgios P. Kouretas
University of Crete - Department of Economics and Athens University of Economics and Business
Downloads 167
40.

Common Stochastic Trends in International Stock Markets: Testing in an Integrated Framework

EFMA 2000 Athens
Number of pages: 23 Posted: 20 Nov 2000
Working Paper Series
Dimitris A. Georgoutsos and Georgios P. Kouretas
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business
Downloads 386
41.

Exchange Rate Risk Management: Evidence from East Asia

Darden Business School Working Paper No. 01-09; World Bank Policy Research Working Paper No. 2606
Number of pages: 47 Posted: 19 Nov 2000
Working Paper Series
George Allayannis, Gregory W. Brown and Leora F. Klapper
University of Virginia - Darden School of Business, University of North Carolina (UNC) at Chapel Hill - Finance Area and World Bank

Multiple version iconThere are 2 versions of this paper

Downloads 2,713
42.

The Correlation Effect

EFMA 2000 Athens
Number of pages: 23 Posted: 18 Nov 2000
Working Paper Series
Hans Gersbach and Alexander Lipponer
ETH Zurich - CER-ETH -Center of Economic Reseaarch and Deutsche Bundesbank
Downloads 1,502
43.

Capital Market Integration and Industrial Structure: The Case of Australia, Canada and the United States

EFMA 2000 Athens
Number of pages: 60 Posted: 17 Nov 2000
Working Paper Series
Usha R. Mittoo and Robert W. Faff
University of Manitoba - Department of Accounting and Finance and University of Queensland
Downloads 533
44.

Efficiency in the Turkish Life Insurance Industry (Using DEA Approach)

EFMA 2000 Athens
Posted: 10 Nov 2000
Working Paper Series
Saadet Tantan, Handan Yolsal and Ali Osman Gurbuz
Marmara University - School of Banking and Insurance, Marmara University and Marmara University - Faculty of Economics and Administrative Sciences
45.

Seasonality in Agricultural Commodity Futures

EFA 0689; EFMA 2000 Athens
Number of pages: 40 Posted: 07 Nov 2000
Working Paper Series
Carsten Sørensen
Copenhagen Business School - Department of Finance
Downloads 1,564
46.

Alternative Value-at-Risk Models for Options

EFMA 2000 Athens
Number of pages: 42 Posted: 06 Nov 2000
Working Paper Series
Alfred Lehar
University of Calgary - Haskayne School of Business
Downloads 818
47.

Is the London Market Competitive? A Study of Trading Behavior of London Market Makers

EFMA 2000 Athens
Number of pages: 40 Posted: 04 Nov 2000
Working Paper Series
Rosita P. Chang, Chunlin Liu and S. Ghon Rhee
University of Hawaii - Department of Financial Economics and Institutions, University of Rhode Island and University of Hawaii - Shidler College of Business
Downloads 232
48.

Paying for Minimum Interest Rate Guarantees: Who Should Compensate Who?

EFMA 2000 Athens
Number of pages: 36 Posted: 03 Nov 2000
Working Paper Series
Bjarne Astrup Jensen and Carsten Sørensen
Copenhagen Business School - Department of Finance and Copenhagen Business School - Department of Finance
Downloads 178
49.

Credit Decisions and Adverse Selection: An Empirical Study of Banking Behavior

EFMA 2000 Athens
Number of pages: 36 Posted: 02 Nov 2000
Working Paper Series
Jean-Christophe Statnik, Eric de Bodt and Frederic Lobez
University of Lille II - University of Lille LSMRC & ISA, Univ. Lille and University of Lille II - GERME Research Center
Downloads 384
50.

Expected Utility Maximization and Time Diversification

EFMA 2000 Athens
Number of pages: 17 Posted: 23 Oct 2000
Working Paper Series
Mattias Persson and Bjorn Hansson
Sveriges Riksbank and Lund University - Department of Economics
Downloads 539