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EFMA 2001 Lugano Meetings (Archive)

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1.

The Equity Premium

EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522
Number of pages: 29 Posted: 20 Jul 2000
Working Paper Series
University of Chicago - Finance and Tuck School of Business at Dartmouth

Multiple version iconThere are 2 versions of this paper

Downloads 18,597
2.

Equivalence of the Different Discounted Cash Flow Valuation Methods: Different Alternatives for Determining the Discounted Value of Tax Shields and Their Implications for the Valuation

EFMA 2001 Lugano Meetings
Number of pages: 23 Posted: 09 Jan 2000 Last Revised: 16 Oct 2008
Working Paper Series
University of Navarra - IESE Business School
Downloads 7,583
3.

Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?

EFMA 2001 Lugano Meetings, Cass Business School Research Paper
Number of pages: 39 Posted: 23 May 2001
Working Paper Series
Independent and Albourne Partners
Downloads 4,905
4.

Risk Analysis for Asset Managers: Historical Simulation, the Bootstrap Approach and Value at Risk Calculation

EFMA 2001 Lugano Meetings
Number of pages: 44 Posted: 12 Jan 2001
Working Paper Series
Ras Asset Management SGR SpA and Ras Asset Management SGR SpA - Risk Management
Downloads 4,537
5.

Hedging Foreign Exchange Exposure: Risk Reduction from Transaction and Translation Hedging

EFMA 2001 Lugano Meetings
Number of pages: 22 Posted: 14 May 2001
Working Paper Series
Nordea Bank, Nordea Markets and Swedbank

Multiple version iconThere are 2 versions of this paper

Downloads 3,850
6.

Assessing Market Risk for Hedge Funds and Hedge Funds Portfolios

EFA 2001 Barcelona Meetings; EFMA 2001 Lugano Meetings; FAME Research Paper No 24
Number of pages: 38 Posted: 30 Apr 2001
Working Paper Series
Kedge Capital Fund Management
Downloads 3,845
7.

The Exit Structure of Venture Capital

UCLA Law Review, Vol. 53, p. 315, 2005, Univ. of Wisconsin Legal Studies Research Paper No. 1005
Number of pages: 43 Posted: 08 Dec 2005
Accepted Paper Series
Brigham Young University - J. Reuben Clark Law School
Downloads 3,326
8.

Asset Securitization and Optimal Asset Structure of the Firm

EFMA 2001 Lugano Meetings
Number of pages: 55 Posted: 13 Mar 2001
Working Paper Series
Independent
Downloads 2,627
9.

Principal Component Analysis of Volatility Smiles and Skews

EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Number of pages: 16 Posted: 08 Dec 2000
Working Paper Series
University of Sussex - School of Business, Management and Economics
Downloads 2,603
10.

Capital Structure in Venture Finance

Journal of Corporate Finance, Vol. 11, pp. 550-585, 2005
Number of pages: 38 Posted: 31 Mar 2000
Accepted Paper Series
York University - Schulich School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,374
11.

Other Evidences of the Predictive Power of Technical Analysis: The Moving Averages Rules on European Indexes

EFMA 2001 Lugano Meetings
Number of pages: 25 Posted: 13 May 2001
Working Paper Series
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Universite Catholique de Louvain, CeReFiM
Downloads 2,233
12.

Stock Options and Managerial Incentives to Invest

EFMA 2002 London Meetings
Number of pages: 42 Posted: 07 Aug 2001
Working Paper Series
Loyola University of Chicago and Loyola University of Chicago
Downloads 1,923
13.

Debt and Expropriation

EFMA 2001 Lugano Meetings
Number of pages: 35 Posted: 29 Sep 2000
Working Paper Series
Purdue University - Krannert School of Management, The Chinese University of Hong Kong (CUHK) - Department of Finance and The Chinese University of Hong Kong (CUHK) - Department of Finance
Downloads 1,892
14.

Long-Run Performance of Initial Public Offerings (IPOs) in the Spanish Capital Market

EFMA 2001 Lugano Meetings
Number of pages: 42 Posted: 18 Jun 2001
Working Paper Series
Universidad de Oviedo - Business Administration and Universidad de Oviedo - Business Administration
Downloads 1,765
15.

Capital Structure and Firm Value: A Study of Split-Capital Closed-End Funds in the UK

EFMA 2001 Lugano Meetings
Number of pages: 25 Posted: 04 May 2001
Working Paper Series
Warwick Business School
Downloads 1,593
16.

Revisiting the Shape of the Yield Curve: The Effect of Interest Rate Volatility

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 30 Posted: 21 Mar 2001
Working Paper Series
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 1,565
17.

Dispersion in Analyst Forecasts and the Profitability of Earnings Momentum Strategies

EFMA 2001 Lugano Meetings
Number of pages: 28 Posted: 23 May 2001
Working Paper Series
University of St. Gallen

Multiple version iconThere are 2 versions of this paper

Downloads 1,528
18.

Multivariate Option Pricing With Copulas

EFMA 2001 Lugano Meetings
Number of pages: 23 Posted: 14 May 2001
Working Paper Series
Collegio Carlo Alberto and University of Bologna - Department of Statistics
Downloads 1,458
19.

Industries, Business Cycle and Profitability of Momentum Strategies: An International Perspective

EFMA 2001 Lugano Meetings
Number of pages: 31 Posted: 24 Mar 2001
Working Paper Series
RMF Investment Management, University of Neuchatel - Institute of Financial Analysis and University of Fribourg - Faculty of Economics and Social Science
Downloads 1,434
20.

Market Reactions to Tangible and Intangible Information

EFMA 2001 Lugano Meetings
Number of pages: 49 Posted: 19 Jun 2001
Working Paper Series
Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,420
21.

The Decision to Repurchase Shares: A Cash Flow Story

EFMA 2001 Lugano Meetings
Number of pages: 28 Posted: 12 Mar 2001
Working Paper Series
Curtin University - Centre for Research in Applied Economics, Curtin University - Graduate School of Business and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,414
22.

Institutional Trading and Stock Returns

EFMA 2001 Lugano Meetings, EFA 2001 Barcelona Meetings
Number of pages: 19 Posted: 15 Jan 2001
Working Paper Series
Federal Reserve Board and University of California, Irvine - Paul Merage School of Business
Downloads 1,408
23.

Coping with Credit Risk

EFMA 2001 Lugano Meetings
Number of pages: 20 Posted: 13 Jun 2001
Working Paper Series
University of Geneva - Geneva School of Economics and Management and University of Alabama
Downloads 1,398
24.

Approximated Moment-Matching Dynamics for Basket-Options Simulation

EFMA 2001 Lugano Meetings
Number of pages: 39 Posted: 29 Apr 2001
Working Paper Series
Imperial College London - Department of Mathematics, Bloomberg L.P., Bloomberg L.P. and affiliation not provided to SSRN
Downloads 1,385
25.

Glamour Acquirers, Method of Payment and Post-Acquisition Performance: The UK Evidence

EFMA 2001 Lugano Meetings
Number of pages: 35 Posted: 21 Jul 2001
Working Paper Series
Cranfield University - School of Management, University of Wollongong - Dubai Campus and London Metropolitan University Business School
Downloads 1,378
26.

Emerging Markets: Stock Market Investing with Political Risk

EFMA 2001 Lugano Meetings, Middlesex University Business School Discussion Paper No. 6, Cass Business School Research Paper
Number of pages: 21 Posted: 14 May 2001
Working Paper Series
Middlesex University Business School and University of Kent, Canterbury - Kent Business School
Downloads 1,375
27.

Multifactor Model of Growth and Z Score for Projecting Stock Return and Evaluating Risk

Number of pages: 40 Posted: 04 Oct 2001
Working Paper Series
Zhejiang University - School of Business Administration
Downloads 1,371
28.

Approximations for the Value-At-Risk Approach to Risk-Return Analysis

EFMA 2001 Lugano Meetings
Number of pages: 22 Posted: 12 May 2001
Working Paper Series
Swiss Financial Market Supervisory Authority (FINMA) and University of Turin - Department of Management
Downloads 1,367
29.

Explaining the Diversification Discount

AFA 2002 Atlanta Meetings
Number of pages: 51 Posted: 26 Mar 2001
Working Paper Series
University of Navarra - Madrid Campus - IESE Business School and Rutgers Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,362
30.

The Efficient Market Hypothesis, the Gaussian Assumption, and the Investment Management Industry

EFMA 2001 Lugano Meetings
Number of pages: 37 Posted: 19 Apr 2001
Working Paper Series
affiliation not provided to SSRN
Downloads 1,299
31.

Evaluating Style Analysis

ERIM Report Series Reference No. ERS-2000-11-F&A; EFMA 2001 Lugano Meetings
Number of pages: 35 Posted: 28 Feb 2001
Working Paper Series
Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and TIAS School for Business and Society

Multiple version iconThere are 2 versions of this paper

Downloads 1,268
32.

The Determinants of Private Equity Fundraising in Western Europe

EFMA 2001 Lugano Meetings
Number of pages: 32 Posted: 13 May 2001
Working Paper Series
University of Alicante - Department of Financial Economics and Complutense University of Madrid - Departamento de Economia Financiera
Downloads 1,259
33.

Fast Fourier Transform for Discrete Asian Options

EFMA 2001 Lugano Meetings
Number of pages: 18 Posted: 10 May 2001
Working Paper Series
Université Paris Est - Université Paris Est-Creteil
Downloads 1,258
34.

Evaluating Credit Risk Models: A Critique And A Proposal (New Version)

EFMA 2001 Lugano Meetings
Number of pages: 36 Posted: 10 May 2001
Working Paper Series
affiliation not provided to SSRN and Ulm University
Downloads 1,239
35.

Effects of Changes in Index Composition on Stock Market: Evidence from the Istanbul Stock Exchange

EFMA 2001 Lugano Meetings
Number of pages: 65 Posted: 15 Jun 2001
Working Paper Series
Borsa Istanbul (Istanbul Stock Exchange) and Istanbul Stock Exchange
Downloads 1,237
36.

The Influence of Non-Executive Director Control and Rewards on CEO Remuneration: Australian Evidence

EFMA 2002 London Meetings
Number of pages: 23 Posted: 12 Mar 2001
Working Paper Series
Curtin University - Graduate School of Business and Curtin University - Centre for Research in Applied Economics
Downloads 1,228
37.

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

EFMA 2001 Lugano Meetings; HEC Department of Finance Working Paper No. 710/2000
Number of pages: 49 Posted: 17 Apr 2001
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)

Multiple version iconThere are 2 versions of this paper

Downloads 1,205
38.

The Diversification Strategy of European Banks: Determinants and Effects on Efficiency and Profitability

EFMA 2001 Lugano Meetings
Number of pages: 30 Posted: 13 May 2001
Working Paper Series
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN) and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN)
Downloads 1,195
39.

The Effect of VaR Based Risk Management on Asset Prices and the Volatility Smile

EFMA 2001 Lugano Meetings
Number of pages: 27 Posted: 15 Apr 2001
Working Paper Series
World Bank - Quantitative Strategies, Risk & Analytics Department, Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Multiple version iconThere are 2 versions of this paper

Downloads 1,193
40.

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data

EFMA 2001 Lugano Meetings
Number of pages: 65 Posted: 13 Jun 2001
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,192
41.

Universal Banking and Conflicts of Interest: Evidence from German Initial Public Offerings

CORI Working Paper No. 03-06
Number of pages: 27 Posted: 31 Jan 2004
Working Paper Series
Baylor University, Department of Entrepreneurship and Independent
Downloads 1,191
42.

Opportunity Cost of Capital for Venture Capitalists and Entrepreneurs

EFMA 2001 Lugano Meetings
Number of pages: 52 Posted: 17 Jun 2001
Working Paper Series
Montana State University - Bozeman - College of Business, Claremont McKenna College - Robert Day School of Economics and Finance and University of California, Riverside - Anderson Graduate School of Management
Downloads 1,177
43.

Statistical Tests For Return-Based Style Analysis

EFMA 2001 Lugano Meetings
Number of pages: 32 Posted: 25 Jul 2001
Working Paper Series
Maastricht University - Department of Finance and University of Maastricht - Limburg Institute of Financial Economics (LIFE)
Downloads 1,145
44.

Consistent High-Precision Volatility from High-Frequency Data

EFMA 2001 Lugano Meetings; FCO Working Paper No. 2000-09-25
Number of pages: 19 Posted: 23 Feb 2001
Working Paper Series
Ca' Foscari University of Venice, Independent, Olsen & Associates and DEAR-Consulting
Downloads 1,126
45.

Style Consistency and Survival Probability in the Hedge Funds Industry

EFA 2001 Barcelona Meetings; EFMA 2001 Lugano Meetings
Number of pages: 25 Posted: 15 Jun 2001
Working Paper Series
affiliation not provided to SSRN, University of Geneva - Geneva Finance Research Institute (GFRI) and affiliation not provided to SSRN
Downloads 1,126
46.

On the Determinants and Dynamics of UK Capital Structure

EFMA 2001 Lugano Meetings
Number of pages: 47 Posted: 12 May 2001
Working Paper Series
European Bank for Reconstruction and Development (EBRD) - Office of the Chief Economist and University of Edinburgh Business School
Downloads 1,115
47.

Determinants of International Portfolio Investment Flows to a Small Market: Empirical Evidence

EFMA 2001 Lugano Meetings
Number of pages: 25 Posted: 04 Apr 2001
Working Paper Series
Swedish School of Economics and Business Administration and Swedish School of Economics and Business Administration
Downloads 1,077
48.

The Real Estate Market Risk of Banks - Evidence of its Importance and Consequences for Managing Risk in Real Estate Lending

EFMA 2001 Lugano Meetings, The ICFAI Journal of Financial Economics, Vol. II, No. 2, June 2004
Number of pages: 13 Posted: 29 Apr 2001 Last Revised: 09 Mar 2009
Accepted Paper Series
Nuertingen-Geislingen University
Downloads 1,074
49.

Understanding High-Powered Incentives

Harvard NOM Working Paper No. 01-06; EFMA 2001 Lugano Meetings
Number of pages: 49 Posted: 11 May 2001
Working Paper Series
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 1,062
50.

Does Risk Matter? Corporate Insider Transactions in Internet-Based Firms

EFMA 2001 Lugano Meetings; Harvard Business School Working Paper No. 00-062
Number of pages: 45 Posted: 11 Apr 2000
Working Paper Series
Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 1,041