SSRN EFA 2001 Barcelona Meetings (Archive)

1.

Hedge Funds With Style

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-29

Number of pages: 35 Posted: 21 Feb 2001

Working Paper Series

Stephen J. Brown and William N. Goetzmann

New York University - Stern School of Business and Yale School of Management - International Center for Finance

There are 3 versions of this paper

Downloads 9,150

2.

A Model of Credit Risk, Optimal Policies, and Asset Prices

AFA 2002 Atlanta Meetings; NYU Finance Working Paper

Number of pages: 45 Posted: 21 Mar 2001

Working Paper Series

Suleyman Basak and Alex Shapiro

London Business School and New York University (NYU) - Department of Finance

There are 5 versions of this paper

Downloads 4,357

3.

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 3,840

4.

IAS versus US GAAP: Information Asymmetry-Based Evidence from Germany's New Market

Number of pages: 43 Posted: 28 Jun 2001

Working Paper Series

Christian Leuz

University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 3,398

5.

A Theory of Systemic Risk and Design of Prudential Bank Regulation

Number of pages: 50 Posted: 10 Feb 2002

Working Paper Series

Viral V. Acharya

New York University - Leonard N. Stern School of Business

There are 3 versions of this paper

Downloads 3,311

6.

Do Insider Trading Laws Work?

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-19; Yale SOM Working Paper No. ICF - 00-19

Number of pages: 47 Posted: 15 Nov 2000

Working Paper Series

Arturo Bris

IMD International

There are 2 versions of this paper

Downloads 3,246

7.

Market Valuations in the New Economy: An Investigation of What has Changed

JAE Boston Conference June 2001

Number of pages: 44 Posted: 18 Mar 2001

Working Paper Series

John E. Core, Wayne R. Guay and Andrew Van Buskirk

Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Pennsylvania - Accounting Department and Ohio State University (OSU) - Department of Accounting & Management Information Systems

There are 2 versions of this paper

Downloads 2,299

8.

Stock Return Predictability: Is It There?

AFA 2002 Atlanta Meetings

Number of pages: 53 Posted: 23 Mar 2001

Working Paper Series

Geert Bekaert and Andrew Ang

Columbia Business School - Finance and Economics and BlackRock, Inc

There are 2 versions of this paper

Downloads 2,283

9.

Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies

MIT Sloan Working Paper No. 4234-01; EFA 2001 Barcelona Meetings; AFA 2001 New Orleans Meetings

Number of pages: 32 Posted: 16 Sep 2000

Working Paper Series

Anna Pavlova and Suleyman Basak

London Business School and London Business School

There are 3 versions of this paper

Downloads 2,018

10.

Is It Overreaction? The Performance of Value and Momentum Strategies at Long Horizons

EFA 2001 Barcelona Meetings

Number of pages: 39 Posted: 11 Jul 2001

Working Paper Series

Stefan Nagel

University of Chicago - Booth School of Business

Downloads 1,922

11.

Corporate Governance and Dividend Pay-out Policy in Germany

EFA 2001 Barcelona Meetings

Number of pages: 32 Posted: 05 Jul 2001

Working Paper Series

Klaus Peter Gugler and B. Burcin Yurtoglu

Vienna University of Economics and Business and WHU - Otto Beisheim School of Management

Downloads 1,776

12.

Asset Prices and Trading Volume Under Fixed Transactions Costs

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-35

Number of pages: 78 Posted: 07 Jun 2001

Working Paper Series

Andrew W. Lo, Harry Mamaysky and Jiang Wang

Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 3 versions of this paper

Downloads 1,770

13.

The Political Economy of Corporate Governance

AFA 2002 Atlanta Meetings; Univ. of Salerno Working Paper No. 29

Number of pages: 35 Posted: 15 Mar 2000

Working Paper Series

Marco Pagano and Paolo F. Volpin

University of Naples Federico II - Department of Economics and Statistics and City University London - Faculty of Finance

There are 2 versions of this paper

Downloads 1,767

14.

Yahoo! For Amazon: Sentiment Parsing from Small Talk on the Web

EFA 2001 Barcelona Meetings

Number of pages: 45 Posted: 11 Jul 2001 Last Revised: 17 Nov 2015

Accepted Paper Series

Sanjiv Ranjan Das and Mike Y. Chen

Santa Clara University - Leavey School of Business and University of California, Berkeley

Downloads 1,759

15.

Incentive Fees and Mutual Funds

EFA 2001 Barcelona Meetings

Number of pages: 49 Posted: 05 Jul 2001

Working Paper Series

Edwin J. Elton, Martin J. Gruber and Christopher R. Blake

New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Gabelli School of Business, Fordham University

There are 4 versions of this paper

Downloads 1,731

16.

Asymmetric Correlations of Equity Portfolios

EFA 2001 Barcelona Meetings

Number of pages: 56 Posted: 19 May 2000

Working Paper Series

Joseph Chen and Andrew Ang

University of California, Davis - Graduate School of Management and BlackRock, Inc

Downloads 1,670

17.

Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market

AFA 2003 Washington, DC Meetings

Number of pages: 34 Posted: 06 Jul 2001

Working Paper Series

Ilya A. Strebulaev

Stanford University - Graduate School of Business

Downloads 1,638

18.

The Choice Between Rights Offerings and Private Equity Placements

EFA 2001 Barcelona Meetings

Number of pages: 42 Posted: 06 Jul 2001

Working Paper Series

Henrik Cronqvist and Mattias Nilsson

University of Miami - Department of Finance and U.S. Securities and Exchange Commission

Downloads 1,628

19.

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

There are 2 versions of this paper

Downloads 1,592

20.

Conditional Value-at-Risk for General Loss Distributions

EFA 2001 Barcelona Meetings, EFMA 2001 Lugano Meetings; U of Florida, ISE Dept. Working Paper No. 2001-5

Number of pages: 34 Posted: 30 Apr 2001

Working Paper Series

R. Tyrrell Rockafellar and Stanislav P. Uryasev

University of Washington - Department of Mathmatics and University of Florida

Downloads 1,565

21.

Optimal Liquidity Trading

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-21; Yale SOM Working Paper No. ICF - 00-21

Number of pages: 59 Posted: 11 Dec 2000

Working Paper Series

Gur Huberman and Werner Stanzl

Columbia Business School - Finance and Economics and Yale University - International Center for Finance

There are 2 versions of this paper

Downloads 1,539

22.

Default Risk and Diversification: Theory and Empirical Implications

EFA 2001 Barcelona Meetings

Number of pages: 34 Posted: 01 Jan 2001

Working Paper Series

Robert A. Jarrow, David Lando and Fan Yu

Cornell University - Samuel Curtis Johnson Graduate School of Management, Copenhagen Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance

There are 2 versions of this paper

Downloads 1,519

23.

Value-at-Risk vs. Building Block Regulation in Banking

EFA 2001 Barcelona Meetings; AFA 2001 New Orleans Meetings

Number of pages: 55 Posted: 28 Oct 2000

Working Paper Series

Thomas Dangl and Alfred Lehar

Vienna University of Technology and University of Calgary - Haskayne School of Business

Downloads 1,518

24.

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 1,405

25.

Do External Auditors Perform a Corporate Governance Role in Emerging Markets? Evidence from East Asia

EFA 2001 Barcelona Meetings; 3rd Annual Fin. Mkt. Dev. Conference, Hong Kong 2001

Number of pages: 49 Posted: 05 Jul 2001

Working Paper Series

Joseph P. H. Fan and T.J. Wong

The Chinese University of Hong Kong (CUHK) - School of Accountancy and The Chinese University of Hong Kong (CUHK) - School of Accountancy

There are 3 versions of this paper

Downloads 1,378

26.

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 1,348

27.

Does Financial Liberalization Spur Growth?

AFA 2002 Atlanta Meetings

Number of pages: 52 Posted: 19 Apr 2001

Working Paper Series

Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad

Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

There are 2 versions of this paper

Downloads 1,304

28.

Stock Return Predictability and Asset Pricing Models

EFA 2001 Barcelona Meetings

Number of pages: 62 Posted: 19 Feb 2001

Working Paper Series

Doron Avramov

Hebrew University of Jerusalem - Jerusalem School of Business Administration

There are 2 versions of this paper

Downloads 1,279

29.

A Trade-based Analysis of Momentum

AFA 2002 Atlanta Meetings

Number of pages: 39 Posted: 11 Jul 2001

Working Paper Series

Soeren Hvidkjaer

Copenhagen Business School

There are 2 versions of this paper

Downloads 1,125

30.

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 1,123

31.

The Timing of Initial Public Offerings

EFA 2001 Barcelona Meetings

Number of pages: 31 Posted: 09 Jan 2001

Working Paper Series

Simon Benninga, Mark Helmantel and Oded Sarig

Tel Aviv University - Faculty of Management, University of Groningen - Faculty of Economics and Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship

There are 3 versions of this paper

Downloads 1,106

32.

Reputation and Dealers' Trading. A Microstructure Analysis of the Treasury Bond Market

EFA 2001 Barcelona Meetings

Number of pages: 58 Posted: 16 Dec 1999

Working Paper Series

Massimo Massa and Andrei Simonov

INSEAD - Finance and Michigan State University - Eli Broad Graduate School of Management

Downloads 1,086

33.

Size, Charter Value and Risk in Banking: An International Perspective

EFA 2001 Barcelona Meetings; FRB International Finance Discussion Paper No. 689

Number of pages: 42 Posted: 10 Jul 2001

Working Paper Series

Gianni De Nicolo

International Monetary Fund and CESifo

Downloads 1,073

34.

Death Spiral Convertibles

AFA 2002 Atlanta Meetings

Number of pages: 104 Posted: 24 Jun 2001

Working Paper Series

Pierre Hillion and Theo Vermaelen

INSEAD - Finance and INSEAD - Finance

Downloads 992

35.

Do Behavioral Biases Affect Prices?

EFA 2001 Barcelona Meetings

Number of pages: 35 Posted: 15 May 2001

Working Paper Series

Joshua D. Coval and Tyler Shumway

Harvard Business School - Finance Unit and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

Downloads 982

36.

Allocating Bank Regulatory Powers: Lender of Last Resort, Deposit Insurance and Supervision

AFA 2002 Atlanta Meetings, BIS Working Paper No. 102

Number of pages: 46 Posted: 13 Dec 2005

Working Paper Series

Charles M. Kahn and João A. C. Santos

University of Illinois, Urbana-Champaign and Federal Reserve Bank of New York

There are 2 versions of this paper

Downloads 958

37.

Credit Risk and Dynamic Capital Structure Choice

EFA 2001 Barcelona Meetings

Number of pages: 28 Posted: 05 Jul 2001

Working Paper Series

Thomas Dangl and Josef Zechner

Vienna University of Technology and Vienna University of Economics and Business

There are 2 versions of this paper

Downloads 918

38.

A VaR-Constrained Mean-Variance Model: Implications for Portfolio Selection and the Basle Capital Accord.

EFA 2001 Barcelona Meetings

Number of pages: 45 Posted: 04 Jul 2001

Working Paper Series

Gordon J. Alexander and Alexandre M. Baptista

University of Minnesota - Twin Cities - Carlson School of Management and George Washington University - School of Business

Downloads 866

39.

Optimal Contracts under Moral Hazard and Adverse Selection: A Continuous-Time Approach

EFA 2001 Barcelona Meetings

Number of pages: 51 Posted: 05 Jul 2001

Working Paper Series

Jaeyoung Sung

Ajou University

Downloads 857

40.

Predictability in Emerging Sovereign Debt Markets

Number of pages: 51 Posted: 11 Jul 2001

Working Paper Series

Gergana Jostova

George Washington University - Department of Finance

There are 2 versions of this paper

Downloads 832

41.

The Term Structure of Interest-Rate Futures Prices

EFA 2001 Barcelona Meetings

Number of pages: 68 Posted: 13 Dec 1999

Working Paper Series

Richard C. Stapleton and Marti G. Subrahmanyam

University of Strathclyde - Department of Accounting and Finance and New York University - Stern School of Business

There are 3 versions of this paper

Downloads 822

42.

An Economic Analysis of Corporate Directors' Fiduciary Duties

EFA 2001 Barcelona Meetings; CEMFI Working Paper No. 0014

Number of pages: 63 Posted: 27 Jan 2001

Working Paper Series

María Gutiérrez Urtiaga

Universidad Carlos III de Madrid-Departamento de Economía de la Empresa

There are 2 versions of this paper

Downloads 821

43.

Modeling Sovereign Yield Spreads: A Case Study of Russian Debt

EFA 2001 Barcelona Meetings

Number of pages: 49 Posted: 11 Jul 2001

Working Paper Series

Darrell Duffie, Lasse Heje Pedersen and Kenneth J. Singleton

Stanford University - Graduate School of Business, AQR Capital Management, LLC and Stanford University - Graduate School of Business

There are 2 versions of this paper

Downloads 821

44.

State Shareholding and the Value of China's Firms

EFA 2001 Barcelona Meetings

Number of pages: 48 Posted: 05 Jul 2001

Working Paper Series

Lihui Tian

Nankai University

Downloads 813

45.

The Role of Capital Adequacy Requirements in Sound Banking Systems

EFA 2001 Barcelona Meetings; Oxford Financial Research Center Working Paper No. 2001-FE-04

Number of pages: 41 Posted: 02 Jun 2001

Working Paper Series

Alan D. Morrison and Lucy White

University of Oxford - Said Business School and Centre for Economic Policy Research (CEPR)

Downloads 811

46.

Risk Premia and the Dynamic Covariance between Stock and Bond Returns

Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, 2003

Number of pages: 37 Posted: 05 Jul 2001 Last Revised: 23 Oct 2012

Accepted Paper Series

John T. Scruggs and Paskalis Glabadanidis

Barclays Global Investors and University of Adelaide Business School

Downloads 803

47.

Reviving Beta? Bayesian Test of Efficiency and the CAPM

EFA 2001 Barcelona Meetings

Number of pages: 28 Posted: 10 Jul 2001

Working Paper Series

Martijn Cremers

University of Notre Dame

Downloads 800

48.

Lognormal-Mixture Dynamics and Calibration to Volatility Smiles and Skews

EFA 2001 Barcelona Meetings

Number of pages: 21 Posted: 11 Jul 2001

Working Paper Series

Damiano Brigo, Gianvittorio Mauri and Fabio Mercurio

Imperial College London - Department of Mathematics, Banca IMI and Bloomberg L.P.

Downloads 799

49.

Design and Pricing of Equity-Linked Life Insurance Under Stochastic Interest Rates

EFA 2001 Barcelona Meetings

Number of pages: 26 Posted: 14 Jul 2001

Working Paper Series

Anna Rita Bacinello and Svein-Arne Persson

Università degli Studi di Trieste and Norwegian School of Economics (NHH)

Downloads 784

50.

A Nonlinear Factor Analysis of S&P 500 Index Option Returns

AFA 2002 Atlanta Meetings

Number of pages: 38 Posted: 04 Jul 2001

Working Paper Series

Christopher S. Jones

University of Southern California - Marshall School of Business - Finance and Business Economics Department

Downloads 773

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