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EFA 2001 Barcelona Meetings (Archive)

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

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

Multiple version iconThere 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
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
University of Chicago - Booth School of Business

Multiple version iconThere 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
New York University - Leonard N. Stern School of Business

Multiple version iconThere 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
IMD International

Multiple version iconThere 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
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

Multiple version iconThere 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
Columbia Business School - Finance and Economics and BlackRock, Inc

Multiple version iconThere 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
London Business School and London Business School

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

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

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

Multiple version iconThere 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
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
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
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
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 1,592
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
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
Columbia Business School - Finance and Economics and Yale University - International Center for Finance

Multiple version iconThere 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
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

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

Multiple version iconThere 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
University of Navarra - Madrid Campus - IESE Business School and Rutgers Business School

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

Multiple version iconThere 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
Hebrew University of Jerusalem - Jerusalem School of Business Administration

Multiple version iconThere 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
Copenhagen Business School

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

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

Multiple version iconThere 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
Vienna University of Technology and Vienna University of Economics and Business

Multiple version iconThere 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
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
Ajou University
Downloads 857
40.

Predictability in Emerging Sovereign Debt Markets

Number of pages: 51 Posted: 11 Jul 2001
Working Paper Series
George Washington University - Department of Finance

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

Multiple version iconThere 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
Universidad Carlos III de Madrid-Departamento de Economía de la Empresa

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

Multiple version iconThere 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
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
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
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
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
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
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
University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 773