SSRN American Finance Association Meetings (AFA)

1.

How Active is Your Fund Manager? A New Measure That Predicts Performance

AFA 2007 Chicago Meetings Paper, Yale ICF Working Paper No. 06-14, EFA 2007 Ljubljana Meetings Paper

Number of pages: 47 Posted: 21 Mar 2006 Last Revised: 09 Feb 2019

Accepted Paper Series

Martijn Cremers and Antti Petajisto

University of Notre Dame and New York University (NYU) - Department of Finance

There are 2 versions of this paper

Downloads 25,826

2.

The Worldwide Equity Premium: A Smaller Puzzle

Chapter 11 of R Mehra (Ed), Handbook of the Equity Risk Premium. Elsevier, 2008, pages 467–514, AFA 2008 New Orleans Meetings Paper; EFA 2006 Zurich Meetings Paper,

Number of pages: 41 Posted: 17 Mar 2006 Last Revised: 20 Mar 2016

Accepted Paper Series

Elroy Dimson, Paul Marsh and Mike Staunton

University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting

Downloads 18,266

3.

Are Stocks Really Less Volatile in the Long Run?

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 56 Posted: 26 May 2008 Last Revised: 13 Dec 2011

Working Paper Series

Lubos Pastor and Robert F. Stambaugh

University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

There are 3 versions of this paper

Downloads 11,661

4.

Value and Momentum Everywhere

AFA 2010 Atlanta Meetings Paper

Number of pages: 54 Posted: 20 Mar 2009

Working Paper Series

Clifford S. Asness, Tobias J. Moskowitz and Lasse Heje Pedersen

AQR Capital Management, LLC, Yale University, Yale SOM and AQR Capital Management, LLC

There are 2 versions of this paper

Downloads 11,373

5.

High Frequency Trading and the New-Market Makers

Journal of Financial Markets, Vol. 16, 2013

Number of pages: 49 Posted: 10 Dec 2010 Last Revised: 31 Dec 2013

Accepted Paper Series

Albert J. Menkveld

VU Amsterdam

Downloads 11,000

6.

Forecasting Default with the Kmv-Merton Model

AFA 2006 Boston Meetings Paper

Number of pages: 36 Posted: 31 Dec 2004

Working Paper Series

Sreedhar T. Bharath and Tyler Shumway

Arizona State University (ASU) - Finance Department and University of Michigan at Ann Arbor, The Stephen M. Ross School of Business

Downloads 8,409

7.

Capital Structure and Debt Structure

EFA 2008 Athens Meetings Paper, AFA 2009 San Francisco Meetings Paper

Number of pages: 56 Posted: 19 Mar 2008 Last Revised: 18 Feb 2010

Working Paper Series

Joshua D. Rauh and Amir Sufi

Stanford Graduate School of Business and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 6,310

8.

Behind the Scenes: The Corporate Governance Preferences of Institutional Investors

Journal of Finance, Forthcoming

Number of pages: 46 Posted: 15 Mar 2010 Last Revised: 07 Jul 2015

Accepted Paper Series

Joseph A. McCahery, Zacharias Sautner and Laura T. Starks

Tilburg University - School of Law; European Banking Center (EBC), Frankfurt School of Finance & Management gemeinnützige GmbH and University of Texas at Austin - Department of Finance

Downloads 5,806

9.

Hedge Funds: Performance, Risk, and Capital Formation

The Journal of Finance, Vol. LXIII, No. 4, August 2008

Number of pages: 44 Posted: 16 Aug 2005 Last Revised: 11 Jul 2011

Accepted Paper Series

William Fung, David A. Hsieh, Tarun Ramadorai and Narayan Y. Naik

PI Asset Management, LLC, Duke University - Fuqua School of Business, Imperial College London and London Business School - Institute of Finance and Accounting

There are 2 versions of this paper

Downloads 5,642

10.

Measuring Systemic Risk

AFA 2011 Denver Meetings Paper

Number of pages: 46 Posted: 22 Mar 2010 Last Revised: 09 Aug 2010

Working Paper Series

Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew P. Richardson

New York University - Leonard N. Stern School of Business, AQR Capital Management, LLC, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

There are 2 versions of this paper

Downloads 5,470

11.

The Short of It: Investor Sentiment and Anomalies

Journal of Financial Economics (JFE), Vol. 104, pp 288-302, May 2012, AFA 2012 Chicago Meetings Paper

Number of pages: 37 Posted: 15 Mar 2010 Last Revised: 11 Mar 2012

Accepted Paper Series

Robert F. Stambaugh, Jianfeng Yu and Yu Yuan

University of Pennsylvania - The Wharton School, Tsinghua University - PBC School of Finance and Shanghai Mingshi Investment Company

There are 2 versions of this paper

Downloads 5,105

12.

What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?

AFA 2009 San Francisco Meetings Paper

Number of pages: 38 Posted: 26 Mar 2008 Last Revised: 15 Aug 2008

Working Paper Series

Xiaoyan Zhang, Rui Zhao and Yuhang Xing

Tsinghua University - PBC School of Finance, BlackRock, Inc. and Rice University

Downloads 5,076

13.

Originate-to-Distribute Model and the Subprime Mortgage Crisis

AFA 2010 Atlanta Meetings Paper

Number of pages: 53 Posted: 22 Jul 2008 Last Revised: 20 May 2010

Working Paper Series

Amiyatosh K. Purnanandam

University of Michigan, Stephen M. Ross School of Business

There are 2 versions of this paper

Downloads 4,956

14.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010

Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 25 Apr 2012

Working Paper Series

Monica Billio, Andrew W. Lo, Mila Getmansky Sherman and Loriana Pelizzon

Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration

Downloads 4,837

15.

Systemic Risk and Hedge Funds

MIT Sloan Research Paper No. 4535-05, EFA 2005 Moscow Meetings Paper, AFA 2006 Boston Meetings Paper

Number of pages: 111 Posted: 07 Mar 2005

Working Paper Series

Nicholas T. Chan, Mila Getmansky Sherman, Shane M. Haas and Andrew W. Lo

AlphaSimplex Group, LLC, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 2 versions of this paper

Downloads 4,714

16.

Assessing the Costs and Benefits of Brokers in the Mutual Fund Industry

AFA 2006 Boston Meetings, HBS Finance Working Paper No. 616981

Number of pages: 36 Posted: 08 Nov 2005

Working Paper Series

Daniel Bergstresser, John Chalmers and Peter Tufano

Brandeis International Business School, University of Oregon and University of Oxford - Said Business School

There are 2 versions of this paper

Downloads 4,682

17.

Do ETFs Increase Volatility?

Journal of Finance, Forthcoming, Fisher College of Business Working Paper No. 2011-03-20, Swiss Finance Institute Research Paper No. 11-66, AFA 2013 San Diego Meetings Paper, Charles A. Dice Center Working Paper No. 2011-20

Number of pages: 145 Posted: 02 Dec 2011 Last Revised: 03 Dec 2017

Accepted Paper Series

Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi

Ohio State University (OSU) - Department of Finance, USI Lugano and Villanova University - Department of Finance

There are 2 versions of this paper

Downloads 4,590

18.

The Global Rise of the Value-Weighted Portfolio

AFA 2007 Chicago Meetings Paper

Number of pages: 35 Posted: 18 Nov 2005

Working Paper Series

Utpal Bhattacharya and Neal Galpin

Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and University of Melbourne - Department of Finance

There are 2 versions of this paper

Downloads 4,265

19.

Which CEO Characteristics and Abilities Matter?

Swedish Institute for Financial Research Conference on the Economics of the Private Equity Market, AFA 2008 New Orleans Meetings Paper

Number of pages: 49 Posted: 20 Mar 2007 Last Revised: 13 Jan 2015

Working Paper Series

Steven N. Kaplan, Mark M. Klebanov and Morten Sorensen

University of Chicago - Booth School of Business, University of Chicago - Graduate School of Business (GSB) and Copenhagen Business School

There are 2 versions of this paper

Downloads 4,239

20.

Asset Growth and the Cross-Section of Stock Returns

AFA 2007 Chicago Meetings Paper

Number of pages: 54 Posted: 26 Jul 2005

Working Paper Series

Michael J. Cooper, Huseyin Gulen and Michael J. Schill

University of Utah - David Eccles School of Business, Purdue University - Krannert School of Management and University of Virginia - Darden School of Business

Downloads 4,068

21.

Algorithmic Trading and Market Quality: International Evidence

AFA 2013 San Diego Meetings Paper

Number of pages: 45 Posted: 15 Mar 2012 Last Revised: 08 Aug 2018

Working Paper Series

Ekkehart Boehmer, Kingsley Y. L. Fong and Julie Wu

Singapore Management University - Lee Kong Chian School of Business, University of New South Wales - School of Banking and Finance and University of Nebraska - Lincoln

Downloads 3,896

22.

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper

Number of pages: 46 Posted: 22 Mar 2009 Last Revised: 24 Jun 2012

Accepted Paper Series

Harrison G. Hong and Motohiro Yogo

Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics

There are 2 versions of this paper

Downloads 3,735

23.

The Cross-Section and Time-Series of Stock and Bond Returns

Journal of Monetary Economics, Forthcoming, EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 65 Posted: 11 Feb 2009 Last Revised: 04 May 2017

Working Paper Series

Ralph S. J. Koijen, Hanno N. Lustig and Stijn Van Nieuwerburgh

University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business

There are 4 versions of this paper

Downloads 3,713

24.

Common Problems in Capital Structure Research: The Financial-Debt-To-Asset Ratio, and Issuing Activity vs. Leverage Changes

AFA 2008 New Orleans Meetings Paper

Number of pages: 18 Posted: 20 Sep 2006 Last Revised: 22 Oct 2010

Working Paper Series

Ivo Welch

University of California, Los Angeles (UCLA)

Downloads 3,509

25.

Why Do Firms Go Dark? Causes and Economic Consequences of Voluntary SEC Deregistrations

ECGI - Finance Working Paper No. 155/2007, AFA 2006 Boston Meetings Paper, Robert H. Smith School Research Paper No. RHS 06-045

Number of pages: 70 Posted: 24 Oct 2005 Last Revised: 13 Feb 2011

Working Paper Series

Christian Leuz, Alexander J. Triantis and Tracy Yue Wang

University of Chicago - Booth School of Business, University of Maryland - Robert H. Smith School of Business and University of Minnesota - Twin Cities - Carlson School of Management

There are 2 versions of this paper

Downloads 3,495

26.

Credit Ratings and Credit Risk: Is One Measure Enough?

AFA 2013 San Diego Meetings Paper

Number of pages: 58 Posted: 18 Sep 2009 Last Revised: 05 Aug 2015

Working Paper Series

Jens Hilscher and Mungo Ivor Wilson

University of California, Davis and University of Oxford - Said Business School

Downloads 3,494

27.

A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, Swedish Institute for Financial Research Conference on The Economics of the Private Equity Market

Number of pages: 50 Posted: 27 Feb 2007 Last Revised: 13 Jan 2015

Accepted Paper Series

Joost Driessen, Tse-Chun Lin and Ludovic Phalippou

Tilburg University - Center and Faculty of Economics and Business Administration, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School

There are 3 versions of this paper

Downloads 3,480

28.

Profits and Capital Structure

AFA 2009 San Francisco Meetings Paper

Number of pages: 42 Posted: 13 Mar 2008 Last Revised: 30 Jul 2014

Working Paper Series

Murray Z. Frank and Vidhan K. Goyal

University of Minnesota and Hong Kong University of Science & Technology (HKUST) - Department of Finance

Downloads 3,476

29.

Media Coverage and the Cross-Section of Stock Returns

The Journal of Finance, Vol. 64, No. 5, pp. 2023-2052, 2009, AFA 2009 San Francisco Meetings Paper

Number of pages: 45 Posted: 21 Mar 2007 Last Revised: 08 Nov 2011

Working Paper Series

Lily H. Fang and Joel Peress

INSEAD - Finance and INSEAD - Finance

Downloads 3,370

30.

Dynamic Mean-Variance Asset Allocation

EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper

Number of pages: 46 Posted: 27 Feb 2007 Last Revised: 09 Apr 2009

Working Paper Series

Suleyman Basak and Georgy Chabakauri

London Business School and London School of Economics and Political Science

There are 2 versions of this paper

Downloads 3,304

31.

Who Blows the Whistle on Corporate Fraud?

AFA 2007 Chicago Meetings Paper, Chicago GSB Research Paper No. 08-22, CRSP Working Paper No. 618, 1st Annual Conference on Empirical Legal Studies, Forthcoming, ECGI - Finance Working Paper No. 156/2007

Number of pages: 44 Posted: 15 Mar 2006 Last Revised: 14 Apr 2011

Working Paper Series

I. J. Alexander Dyck, Adair Morse and Luigi Zingales

University of Toronto - Rotman School of Management, University of California, Berkeley - Haas School of Business and University of Chicago - Booth School of Business

There are 3 versions of this paper

Downloads 3,292

32.

Corporate Governance and Firm Cash Holdings

AFA 2006 Boston Meetings Paper

Number of pages: 40 Posted: 24 Oct 2005

Working Paper Series

Jarrad Harford, Sattar Mansi and William F. Maxwell

University of Washington, Virginia Polytechnic Institute & State University and Southern Methodist University (SMU) - Finance Department

There are 2 versions of this paper

Downloads 3,164

33.

Corporate Governance and Acquirer Returns

ECGI-Finance Working Paper No. 116/2006, Journal of Finance, Forthcoming

Number of pages: 63 Posted: 11 Apr 2005

Accepted Paper Series

Ronald W. Masulis, Cong Wang and Fei Xie

University of New South Wales - Australian School of Business, The Chinese University of Hong Kong, Shenzhen and University of Delaware - Lerner College of Business and Economics

Downloads 3,159

34.

Rewriting History

AFA 2007 Chicago Meetings Paper

Number of pages: 36 Posted: 09 Mar 2006 Last Revised: 18 May 2010

Working Paper Series

Alexander Ljungqvist, Christopher J. Malloy and Felicia C. Marston

New York University (NYU) - Department of Finance, Harvard Business School and University of Virginia - McIntire School of Commerce

There are 2 versions of this paper

Downloads 3,159

35.

Wall Street and Main Street: What Contributes to the Rise in the Highest Incomes?

CRSP Working Paper No. 615, AFA 2008 New Orleans Meetings Paper

Number of pages: 67 Posted: 20 Sep 2006

Working Paper Series

Joshua D. Rauh and Steven N. Kaplan

Stanford Graduate School of Business and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 3,073

36.

How Informative are Analyst Recommendations and Insider Trades?

AFA 2006 Boston Meetings Paper

Number of pages: 46 Posted: 21 Mar 2005

Working Paper Series

Jim Hsieh, Lilian K. Ng and Qinghai Wang

George Mason University, York University - Schulich School of Business and University of Central Florida - College of Business Administration

Downloads 3,059

37.

Venture Capital Reputation, Post-IPO Performance and Corporate Governance

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, ECGI - Finance Working Paper No. 265/2009

Number of pages: 56 Posted: 22 Jun 2006 Last Revised: 08 Sep 2011

Accepted Paper Series

C. N. V. Krishnan, Vladimir I. Ivanov, Ronald W. Masulis and Ajai K. Singh

Case Western Reserve University - Department of Banking & Finance, US Securities & Exchange Commission, University of New South Wales - Australian School of Business and Department of Finance, University of Central Florida

Downloads 3,054

38.

Technological Revolutions and Stock Prices

CRSP Working Paper No. 606, EFA 2006 Zurich Meetings, AFA 2007 Chicago Meetings Paper

Number of pages: 49 Posted: 24 May 2006 Last Revised: 04 Oct 2014

Working Paper Series

Lubos Pastor and Pietro Veronesi

University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

There are 3 versions of this paper

Downloads 3,045

39.

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48

Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008

Working Paper Series

Tim Bollerslev, George Tauchen and Hao Zhou

Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

There are 2 versions of this paper

Downloads 3,039

40.

Securitization and Distressed Loan Renegotiation: Evidence from the Subprime Mortgage Crisis

Chicago Booth School of Business Research Paper No. 09-02, AFA 2010 Atlanta Meetings Paper

Number of pages: 57 Posted: 31 Dec 2008 Last Revised: 20 Aug 2011

Working Paper Series

Tomasz Piskorski, Amit Seru and Vikrant Vig

Columbia Business School - Finance and Economics, Stanford University and London Business School

Downloads 3,029

41.

Corporate Governance and Firm Value: the Impact of the 2002 Governance Rules

Johnson School Research Paper Series No. 23-06, AFA 2006 Boston Meetings Paper

Number of pages: 59 Posted: 24 Oct 2005

Working Paper Series

Vidhi Chhaochharia and Yaniv Grinstein

University of Miami - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 3,011

42.

Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation

EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper

Number of pages: 54 Posted: 26 Mar 2008 Last Revised: 26 Jan 2010

Working Paper Series

Martijn Cremers, Antti Petajisto and Eric Zitzewitz

University of Notre Dame, New York University (NYU) - Department of Finance and Dartmouth College

There are 2 versions of this paper

Downloads 2,986

43.

Corporate Governance Consequences of Accounting Scandals: Evidence from Top Management, CFO and Auditor Turnover

Quarterly Journal of Finance, 2016, Forthcoming

Number of pages: 48 Posted: 05 Mar 2008 Last Revised: 16 Sep 2015

Accepted Paper Series

Anup Agrawal and Tommy Cooper

University of Alabama - Culverhouse College of Commerce & Business Administration and University of Alabama - Department of Economics, Finance and Legal Studies

Downloads 2,984

44.