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American Finance Association Meetings (AFA)

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1.

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

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

Multiple version iconThere are 2 versions of this paper

Downloads 27,167
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 18,709
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

Multiple version iconThere are 3 versions of this paper

Downloads 12,354
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

Multiple version iconThere are 2 versions of this paper

Downloads 11,935
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 11,700
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 8,956
7.

Capital Structure and Debt Structure

AFA 2009 San Francisco Meetings Paper, EFA 2008 Athens 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

Multiple version iconThere are 2 versions of this paper

Downloads 6,494
8.

Behind the Scenes: The Corporate Governance Preferences of Institutional Investors

Journal of Finance 71, 2016, 2905-2932
Number of pages: 46 Posted: 15 Mar 2010 Last Revised: 03 Feb 2020
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 and University of Texas at Austin - Department of Finance
Downloads 6,159
9.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,842
10.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,755
11.

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 5,652
12.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,389
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 Purnanandam
University of Michigan, Stephen M. Ross School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 5,250
14.

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

Multiple version iconThere are 2 versions of this paper

Downloads 5,241
15.

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 5,093
16.

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

Multiple version iconThere are 2 versions of this paper

Downloads 4,762
17.

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

Multiple version iconThere are 2 versions of this paper

Downloads 4,731
18.

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

Multiple version iconThere are 2 versions of this paper

Downloads 4,333
19.

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 Monash University - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 4,304
20.

Algorithmic Trading and Market Quality: International Evidence

Journal of Financial and Quantitative Analysis
Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 15 May 2020
Accepted Paper Series
Ekkehart Boehmer, Kingsley Y. L. Fong and J. (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 4,163
21.

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 4,161
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

Multiple version iconThere are 2 versions of this paper

Downloads 3,872
23.

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

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

Multiple version iconThere are 4 versions of this paper

Downloads 3,861
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 3,683
25.

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 3,614
26.

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 3,599
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 - Tilburg University School of Economics and Management, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School

Multiple version iconThere are 3 versions of this paper

Downloads 3,598
28.

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,559
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 3,437
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

Multiple version iconThere are 2 versions of this paper

Downloads 3,420
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

Multiple version iconThere are 3 versions of this paper

Downloads 3,401
32.

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, Sydney, The Chinese University of Hong Kong, Shenzhen and University of Delaware - Lerner College of Business and Economics
Downloads 3,271
33.

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,260
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
Stockholm School of Economics, Harvard Business School and University of Virginia - McIntire School of Commerce

Multiple version iconThere are 2 versions of this paper

Downloads 3,209
35.

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, Sydney and Department of Finance, University of Central Florida
Downloads 3,148
36.

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,145
37.

How Informative Are Insider Trades and Analyst Recommendations?

Number of pages: 80 Posted: 21 Mar 2005 Last Revised: 16 Oct 2019
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 3,130
38.

Price Efficiency and Short Selling

AFA 2008 New Orleans Meetings Paper, IESE Business School Working Paper No. 748, Review of Finance Studies, Vol. 24, No. 3, pp. 821-852, 2011
Number of pages: 41 Posted: 04 Dec 2006 Last Revised: 07 Mar 2011
Accepted Paper Series
Pedro A. C. Saffi and Kari Sigurdsson
University of Cambridge - Judge Business School and Schroders Investment Management
Downloads 3,130
39.

Common Errors: How to (and Not to) Control for Unobserved Heterogeneity

Review of Financial Studies, 2014, 27(2), 617-61, AFA 2013 San Diego Meetings Paper
Number of pages: 58 Posted: 17 Mar 2012 Last Revised: 17 Jun 2014
Accepted Paper Series
Todd A. Gormley and David A. Matsa
Washington University in St. Louis and Northwestern University - Kellogg School of Management
Downloads 3,122
40.

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,112
41.

Technological Revolutions and Stock Prices

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

Multiple version iconThere are 3 versions of this paper

Downloads 3,103
42.

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,097
43.

Does Asymmetric Information Drive Capital Structure Decisions?

EFA 2006 Zurich Meetings, AFA 2008 New Orleans Meetings Paper
Number of pages: 55 Posted: 06 Mar 2006 Last Revised: 17 Jun 2018
Working Paper Series
Sreedhar T. Bharath, Paolo Pasquariello and Guojun Wu
Arizona State University (ASU) - Finance Department, University of Michigan, Stephen M. Ross School of Business and University of Houston

Multiple version iconThere are 2 versions of this paper

Downloads 3,087
44.

The CDS-Bond Basis

Georgetown McDonough School of Business Research Paper No. 2024531
Number of pages: 41 Posted: 20 Mar 2012 Last Revised: 21 Sep 2018
Working Paper Series
Jennie Bai and Pierre Collin-Dufresne
Georgetown University - Department of Finance and Ecole Polytechnique Fédérale de Lausanne
Downloads 3,081
45.

Private Equity and the Resolution of Financial Distress

AFA 2012 Chicago Meetings Paper, ECGI - Finance Working Paper No. 331/2012
Number of pages: 58 Posted: 21 Mar 2011 Last Revised: 14 Mar 2014
Working Paper Series
Edith S. Hotchkiss, Per Strömberg and David C. Smith
Boston College - Carroll School of Management, Swedish House of Finance and University of Virginia - McIntire School of Commerce
Downloads 3,076
46.

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 3,063
47.

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 3,060
48.

Are ETFs Replacing Index Mutual Funds?

AFA 2009 San Francisco Meetings Paper
Number of pages: 41 Posted: 24 Mar 2008 Last Revised: 17 Nov 2009
Working Paper Series
Jennifer C. Huang and Ilan Guedj
University of Texas at Austin - Department of Finance and Bates White, LLC
Downloads 3,059
49.

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 3,042
50.

Sovereign Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 14 Sep 2011
Working Paper Series
Nicola Borri and Adrien Verdelhan
LUISS University - Department of Economics and Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,928