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Paris December 2014 Finance Meeting EUROFIDAI - AFFI (Archive)

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Logo 12th INTERNATIONAL PARIS FINANCE MEETING
PARIS December 18, 2014

For more information on this conference,
please visit:
https://www.eurofidai.org/en/december_2014.html
Deadline Call for Papers: June 4, 2014
Call for Papers
20,251 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

Viewing: 1 - 50 of 53 papers

1.

Term Structure of Disagreement and Predictability Over the Business Cycle

Rotman School of Management Working Paper No. 2506673
Number of pages: 52 Posted: 19 Nov 2015
Working Paper Series
Julien Cujean and Michael Hasler
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Toronto - Rotman School of Management
Downloads 85
2.

Size Matters, Book Value Does Not! The Fama-French Empirical CAPM Revisited

Number of pages: 59 Posted: 19 Nov 2015
Working Paper Series
Marie Lambert and Georges Hübner
University of Liege - HEC Management School and HEC Liège

Multiple version iconThere are 2 versions of this paper

Downloads 371
4.

Nominal Rigidities and Asset Pricing

Number of pages: 62 Posted: 28 Oct 2014
Working Paper Series
Michael Weber
University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 55
5.

Debt Financing, Survival, and Growth of Start-Up Firms

Journal of Corporate Finance, Forthcoming
Number of pages: 48 Posted: 09 Oct 2014 Last Revised: 26 Nov 2017
Accepted Paper Series
Rebel A. Cole and Tatyana Sokolyk
Florida Atlantic University and Brock University - Department of Finance, Operations & Information Systems
Downloads 502
6.

Limited Participation and International Risk Sharing: Does the Nominal Exchange Rate Matter?

Number of pages: 42 Posted: 08 Oct 2014 Last Revised: 10 Oct 2014
Working Paper Series
Xuedong Wang
Erasmus University Rotterdam (EUR) - Erasmus School of Economics
Downloads 31
7.

The Equity-Like Behaviour of Sovereign Bonds

Number of pages: 48 Posted: 08 Oct 2014 Last Revised: 22 Mar 2016
Working Paper Series
Alfonso Dufour, Andrei Stancu and Simone Varotto
ICMA Centre, Henley Business School, University of Reading, University of East Anglia (UEA) - Norwich Business School and ICMA Centre - Henley Business School, University of Reading
Downloads 125
8.

What is Special About Hedge Fund Activism? Evidence from 13-D Filings

Swedish House of Finance Research Paper No. 14-16
Number of pages: 54 Posted: 08 Oct 2014 Last Revised: 21 Feb 2019
Working Paper Series
Ulf von Lilienfeld-Toal and Jan Schnitzler
Luxembourg School of Finance and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 277
9.

Time Varying Volatility and the Origins of Financial Crises

Number of pages: 62 Posted: 08 Oct 2014
Working Paper Series
Omar Rachedi
Universidad Carlos III de Madrid
Downloads 51
10.

The Effect of Natural Disasters on Bank Failures

Number of pages: 25 Posted: 08 Oct 2014
Working Paper Series
Felix Noth and Ulrich Schüwer
Otto-von-Guericke-Universität Magdeburg and University of Bonn - Institute for Financial Economics and Statistics
Downloads 160
11.

Learning About Target Firms and Pricing of Acquisitions

Number of pages: 61 Posted: 08 Oct 2014 Last Revised: 25 Oct 2014
Working Paper Series
Jan Jindra and Thomas Moeller
U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis and Texas Christian University - Neeley School of Business
Downloads 109
12.

Do Small Firms Need Liquidity? Can Policy Help? Evidence from a Temporary Lending Program

Number of pages: 57 Posted: 08 Oct 2014 Last Revised: 07 Feb 2019
Working Paper Series
James R. Brown, Gustav Martinsson and Christian Thomann
Iowa State University - Department of Finance, Royal Institute of Technology (KTH) - Department of Industrial Economics and Management (INDEK) and Kungl Tekniska Hogskolan

Multiple version iconThere are 2 versions of this paper

Downloads 177
13.

Price Discovery Through Options

Number of pages: 28 Posted: 08 Oct 2014
Working Paper Series
Semyon Malamud
Ecole Polytechnique Federale de Lausanne

Multiple version iconThere are 2 versions of this paper

Downloads 62
14.

System-Wide Tail Comovements: A Bootstrap Test for Cojump Identification on the S&P 500, US Bonds and Exchange Rates

Number of pages: 44 Posted: 08 Oct 2014
Working Paper Series
Jean-Yves Gnabo, Liudmyla Hvozdyk and Jérôme Lahaye
Facultés Universitaires Notre-Dame de la Paix (FUNDP), University of Essex and Fordham University
Downloads 55
15.

Self-Fulfilling Fire Sales: Fragility of Collateralised Short-Term Debt Markets

INSEAD Working Paper No. 2015/37/FIN
Number of pages: 45 Posted: 08 Oct 2014 Last Revised: 13 May 2015
Working Paper Series
John Chi-Fong Kuong
INSEAD - Finance
Downloads 372
16.

Institutional Investors and Stock Return Anomalies

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 48 Posted: 08 Oct 2014 Last Revised: 27 May 2015
Accepted Paper Series
Roger M. Edelen, Ozgur Ince and Gregory B. Kadlec
Virginia Tech, University of South Carolina - Moore School of Business and Virginia Polytechnic Institute & State University - Pamplin College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,049
17.

The Effect of Options on Information Acquisition and Asset Pricing

Number of pages: 47 Posted: 08 Oct 2014 Last Revised: 07 Nov 2014
Working Paper Series
Shiyang Huang
The University of Hong Kong - Faculty of Business and Economics

Multiple version iconThere are 2 versions of this paper

Downloads 126
18.

Fiscal Austerity and the Informativeness of Credit Ratings

Number of pages: 40 Posted: 08 Oct 2014
Working Paper Series
Anna Gibert
European University Institute
Downloads 16
19.

Systemic Risk in Clearing Houses: Evidence from the European Repo Market

HEC Paris Research Paper No. FIN-2015-1112
Number of pages: 57 Posted: 08 Oct 2014 Last Revised: 09 Oct 2015
Working Paper Series
Charles Boissel, François Derrien, Evren Ors and David Thesmar
HEC Paris - Finance Department, HEC Paris - Finance Department, HEC Paris - Finance Department and Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 413
20.

Actual Share Repurchases, Price Efficiency, and the Information Content of Stock Prices

Review of Financial Studies, 30 (1), 324-362, 2017.
Number of pages: 87 Posted: 08 Oct 2014 Last Revised: 14 Mar 2017
Accepted Paper Series
Pascal Busch and Stefan Obernberger
University of Mannheim and Erasmus University Rotterdam - Erasmus School of Economics
Downloads 520
21.

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 81 Posted: 06 Oct 2014 Last Revised: 18 Sep 2018
Working Paper Series
Panayiotis C. Andreou, Anastasios Kagkadis, Paulo F. Maio and Dennis Philip
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 107
22.

International Stochastic Discount Factors and Covariance Risk

Number of pages: 48 Posted: 23 Sep 2014 Last Revised: 03 May 2019
Working Paper Series
Nicole Branger, Michael Herold and Matthias Muck
University of Muenster - Finance Center Muenster, University of Bamberg and University of Bamberg
Downloads 137
23.

Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, Swiss Finance Institute Research Paper No. 14-55
Number of pages: 49 Posted: 06 Sep 2014 Last Revised: 10 Dec 2014
Working Paper Series
Matthias Efing, Harald Hau, Patrick Kampkötter and Johannes Steinbrecher
HEC Paris - Finance Department, University of Geneva - Geneva Finance Research Institute (GFRI), University of Tuebingen - Department of Managerial Accounting and CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

Multiple version iconThere are 4 versions of this paper

Downloads 121
24.

Contagious Negative Sentiment and Corporate Policies: Evidence from Local Bankruptcy Filings

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 47 Posted: 04 Sep 2014
Working Paper Series
Jawad M. Addoum, Alok Kumar and Nhan Le
Cornell University, University of Miami - School of Business Administration and Australian National University
Downloads 184
25.

Harnessing media attention: Strategic press releases around earnings announcements

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 52 Posted: 29 Aug 2014 Last Revised: 31 Aug 2017
Working Paper Series
Wai-Man (Raymond) Liu, Phong T. H. Ngo and Qiaoqiao Zhu
Australian National University (ANU) - School of Finance and Applied Statistics, Australian National University (ANU) and Australian National University (ANU) - College of Business and Economics
Downloads 183
26.

Social Screens and Systematic Boycott Risk

Number of pages: 77 Posted: 26 Aug 2014 Last Revised: 10 Apr 2015
Working Paper Series
H. Arthur Luo and Ronald J. Balvers
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and McMaster University - Michael G. DeGroote School of Business
Downloads 402
27.

Market-based Estimates of Implicit Government Guarantees in European Financial Institutions

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, European Financial Management, forthcoming
Number of pages: 48 Posted: 19 Aug 2014 Last Revised: 17 Jun 2017
Accepted Paper Series
Lei Zhao
ESCP Europe

Multiple version iconThere are 2 versions of this paper

Downloads 118
28.

Nominal Rigidities and Asset Pricing

Number of pages: 95 Posted: 12 Aug 2014 Last Revised: 10 May 2017
Working Paper Series
Michael Weber
University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 185
29.

Crowdfunding Models: Keep-It-All vs. All-Or-Nothing

Number of pages: 41 Posted: 11 Jun 2014 Last Revised: 13 Jan 2017
Working Paper Series
Douglas J. Cumming, Gaël Leboeuf and Armin Schwienbacher
Florida Atlantic University, Université Lumière Lyon 2 and SKEMA Business School
Downloads 3,504
30.

Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets

Journal of Financial Economics, Forthcoming
Number of pages: 34 Posted: 06 Jun 2014 Last Revised: 19 Mar 2016
Accepted Paper Series
Laurent Barras and Aytek Malkhozov
McGill University - Desautels Faculty of Management and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 234
31.

Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946

Journal of Financial Economics (JFE), Forthcoming, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 52 Posted: 29 May 2014 Last Revised: 14 Nov 2018
Accepted Paper Series
David Le Bris, William N. Goetzmann and Sebastien Pouget
Toulouse Business School, Yale School of Management - International Center for Finance and Toulouse School of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 379
32.

Financial Repression in the European Sovereign Debt Crisis

Swedish House of Finance Research Paper No. 14-13, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, Review of Finance, Forthcoming
Number of pages: 41 Posted: 27 Apr 2014 Last Revised: 15 Feb 2018
Accepted Paper Series
Bo Becker and Victoria Ivashina
Stockholm School of Economics and Harvard University

Multiple version iconThere are 2 versions of this paper

Downloads 1,272
33.

Heterogeneous Beliefs about Rare Event Risk in the Lucas Orchard

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, Saïd Business School WP 2014-5,
Number of pages: 59 Posted: 23 Apr 2014 Last Revised: 18 Feb 2017
Working Paper Series
Ilaria Piatti
University of Oxford - Said Business School
Downloads 177
34.

Who Are the Value and Growth Investors?

Journal of Finance, Forthcoming, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, HEC Paris Research Paper No. FIN-2014-1043
Number of pages: 76 Posted: 21 Apr 2014 Last Revised: 15 Mar 2016
Accepted Paper Series
Sebastien Betermier, Laurent E. Calvet and Paolo Sodini
McGill University - Desautels Faculty of Management, EDHEC Business School - Department of Economics & Finance and Stockholm School of Economics - Department of Finance
Downloads 732
35.

Are Professional Investment Managers Skilled? Evidence from Syndicated Loan Portfolios

Management Science, Forthcoming, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 62 Posted: 29 Mar 2014 Last Revised: 28 Mar 2017
Accepted Paper Series
Roberto Liebscher and Thomas Mählmann
Catholic University of Eichstaett-Ingolstadt and Catholic University of Eichstaett-Ingolstadt
Downloads 218
36.

Call for Papers: Paris December 2014 Finance Meeting Eurofidai - Affi

Number of pages: 1 Posted: 28 Mar 2014
Working Paper Series
Laura Barus
Paris December Finance Meeting
Downloads 59
37.

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 44 Posted: 15 Mar 2014 Last Revised: 24 Aug 2016
Working Paper Series
Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management

Multiple version iconThere are 2 versions of this paper

Downloads 420
38.

The Real Costs of Corporate Credit Ratings

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 56 Posted: 04 Mar 2014 Last Revised: 11 Aug 2015
Working Paper Series
Taylor A. Begley
Washington University in St. Louis - John M. Olin Business School
Downloads 857
39.

Data Abundance and Asset Price Informativeness

HEC Paris Research Paper No. FIN-2014-1036, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 63 Posted: 21 Feb 2014 Last Revised: 30 Aug 2017
Working Paper Series
Jérôme Dugast and Thierry Foucault
Université Paris Dauphine - Department of Finance and HEC Paris - Finance Department

Multiple version iconThere are 2 versions of this paper

Downloads 804
40.

Are Female Top Managers Really Paid Less?

European Corporate Governance Institute (ECGI) - Finance Working Paper No. 403/2014, CentER Discussion Paper Series No. 2014-004, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 56 Posted: 15 Jan 2014 Last Revised: 26 Sep 2014
Working Paper Series
Philipp Geiler and Luc Renneboog
EMLYON Business School and Tilburg University - Department of Finance
Downloads 414
41.

CDS Spreads in the Aftermath of Central Clearing

Posted: 12 Nov 2013 Last Revised: 27 Feb 2017
Working Paper Series
Orcun Kaya
Independent
42.

Contingent Capital Trigger Effects: Evidence from Liability Management Exercises

HEC Paris Research Paper No. FIN-2013-1014, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 48 Posted: 29 Oct 2013 Last Revised: 16 Jan 2018
Working Paper Series
Boris Vallee
Harvard Business School - Finance Unit
Downloads 158
43.

Do Stock Returns Really Decrease with Default Risk? New International Evidence

Management Science, Forthcoming
Number of pages: 77 Posted: 22 Aug 2013 Last Revised: 06 Nov 2016
Accepted Paper Series
Kevin Aretz, Chris Florackis and Alexandros Kostakis
Alliance Manchester Business School, University of Liverpool (UK) and University of Liverpool Management School
Downloads 354
44.

Dynamic Dependence and Diversification in Corporate Credit

Rotman School of Management Working Paper No. 2314027, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 47 Posted: 22 Aug 2013 Last Revised: 07 Jul 2016
Working Paper Series
Peter Christoffersen, Kris Jacobs, Xisong Jin and Hugues Langlois
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, Central Bank of Luxembourg and HEC Paris - Finance Department
Downloads 483
45.

Debt Heterogeneity and Covenants

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, HEC Paris Research Paper No. FIN-2014-1033, Singapore Management University School of Accountancy Research Series Vol. 6, No. 3 Paper No 2018-83
Number of pages: 66 Posted: 25 Jul 2013 Last Revised: 13 Dec 2018
Working Paper Series
Yun Lou and Clemens A. Otto
Singapore Management University - School of Accountancy and Singapore Management University - Lee Kong Chian School of Business
Downloads 364
46.

The Impact of Arbitrage on Market Liquidity

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 103 Posted: 20 Jul 2013 Last Revised: 14 Oct 2018
Working Paper Series
Dominik Rösch
State University of New York at Buffalo - School of Management
Downloads 301
47.

Performance-Vesting Provisions in Executive Compensation

Journal of Accounting & Economics (JAE), Vol. 66, 2018
Number of pages: 66 Posted: 04 Jul 2013 Last Revised: 19 Oct 2018
Accepted Paper Series
J. Carr Bettis, John M. Bizjak, Jeffrey L. Coles and Swaminathan L. Kalpathy
Arizona State University (ASU) - Finance Department, Texas Christian University, University of Utah - Department of Finance and Texas Christian University - M.J. Neeley School of Business
Downloads 1,342
48.

Do Markets Anticipate Changes in Risk after Major Corporate Events? Evidence from SEOs

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 37 Posted: 09 Apr 2013 Last Revised: 26 Sep 2014
Working Paper Series
Douglas J. Cumming, Lutz Johanning, Umut Ordu and Denis Schweizer
Florida Atlantic University, WHU - Otto Beisheim School of Management, WHU - Otto Beisheim School of Management and Concordia University
Downloads 111
49.

Financial Transaction Taxes, Market Composition, and Liquidity

Journal of Finance, Forthcoming
Number of pages: 94 Posted: 12 Feb 2013 Last Revised: 01 Nov 2016
Accepted Paper Series
Jean-Edouard Colliard and Peter Hoffmann
HEC Paris - Finance Department and European Central Bank (ECB) - Directorate General Research

Multiple version iconThere are 2 versions of this paper

Downloads 883
50.

Pricing and Hedging Contingent Claims Using Variance and Higher-Order Moment Swaps

Quantitative Finance 47(4), 2017, p. 531-550
Number of pages: 40 Posted: 19 Dec 2012 Last Revised: 07 Jun 2017
Accepted Paper Series
Leonidas Rompolis and Elias Tzavalis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Economics
Downloads 109