SSRN EFMA 2001 Lugano Meetings (Archive)

1.

The Equity Premium

EFMA 2001 Lugano Meetings; CRSP Working Paper No. 522

Number of pages: 29 Posted: 20 Jul 2000

Working Paper Series

Eugene F. Fama and Kenneth R. French

University of Chicago - Finance and Tuck School of Business at Dartmouth

There 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

Pablo Fernandez

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

Harry M. Kat and Gaurav S. Amin

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

Raffaele Zenti and Massimiliano Pallotta

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

Niclas Hagelin and Bengt Pramborg

Nordea Bank, Nordea Markets and Swedbank

There 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

Francois Lhabitant

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

D. Gordon Smith

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

Jure Skarabot

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

Carol Alexander

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

Douglas J. Cumming

York University - Schulich School of Business

There 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

P.J. Detry and Philippe Gregoire

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

Tom Nohel and Steven K. Todd

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

Mara Faccio, Larry H.P. Lang and Leslie Young

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

Susana Alvarez and Victor González

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

Gordon Gemmill

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

Charlotte Christiansen and Jesper Lund

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

Andreas P. Dische

University of St. Gallen

There 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

Elisa Luciano and Umberto Cherubini

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

Jean-Francois Bacmann, Michel Dubois and Dušan Isakov

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

Kent D. Daniel and Sheridan Titman

Columbia Business School - Finance and Economics and University of Texas at Austin - Department of Finance

There 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

John P. Evans, Robert T. Evans and James A. Gentry

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

Fang Cai and Lu Zheng

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

Henri Loubergé and Harris Schlesinger

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

Damiano Brigo, Fabio Mercurio, Francesco Rapisarda and Rita Scotti

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

Puliyur Sudarsanam, Ashraf A. Mahate and Alan Freeman

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

Ephraim Clark and Radu Tunaru

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

Kangmao Wang

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

Dirk Tasche and Luisa Tibiletti

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

José Manuel Campa and Simi Kedia

University of Navarra - Madrid Campus - IESE Business School and Rutgers Business School

There 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

Christian A. Walter

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

Frans de Roon, Theo Nijman and Jenke ter Horst

Tilburg University - Department of Finance, Tilburg University - Center and Faculty of Economics and Business Administration and TIAS School for Business and Society

There 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

Marina Balboa and José Martí

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

Eric Benhamou

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

Hergen Frerichs and Gunter Löffler

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

Recep Bildik and Guzhan Gulay

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

Robert T. Evans and John P. Evans

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

Michael Rockinger and Eric Jondeau

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)

There 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

Andrea Landi and Valeria Venturelli

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

Arjan B. Berkelaar, Phomchanok Cumperayot and Roy Kouwenberg

World Bank - Quantitative Strategies, Risk & Analytics Department, Chulalongkorn University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

There 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

Didier Cossin and Tomas Hricko

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

Peter G. Klein and Kathrin Zoeller

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

Francis J. Kerins, Janet Kiholm Smith and Richard L. Smith

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

Rogér Otten and Dennis Bams

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

Fulvio Corsi, Gilles O. Zumbach, Ulrich A. Müller and Michel M. Dacorogna

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

Pierre-Antoine Bares, Rajna Gibson and Sébastien Gyger

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

Alan A. Bevan and Jo Danbolt

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

Eva Liljeblom and Anders Löflund

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

Carsten Lausberg

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

Dirk Jenter

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

Lisa K. Meulbroek

Claremont McKenna College - Robert Day School of Economics and Finance

Downloads 1,041

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