1.
Days to Cover and Stock Returns
29th Australasian Finance and Banking Conference 2016
Number of pages: 63
Posted: 26 Feb 2015
Last Revised: 11 Nov 2016
Working Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Singapore Management University - Lee Kong Chian School of Business, Hong Kong Baptist University (HKBU), Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management
There are 2 versions of this paper
Days to Cover and Stock Returns
29th Australasian Finance and Banking Conference 2016
Number of pages: 63
Posted: 26 Feb 2015
Last Revised: 11 Nov 2016
Downloads
2,371
Days to Cover and Stock Returns
NBER Working Paper No. w21166
Number of pages: 51
Posted: 18 May 2015
Downloads
20
Downloads
2,371
2.
Optimal Factor Strategy in FX Markets
HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 77
Posted: 20 Jun 2016
Last Revised: 24 Sep 2018
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of New South Wales, Sydney and Washington University in Saint Louis - John M. Olin Business School
Downloads
886
3.
Cointegration and Relative Value Arbitrage
29th Australasian Finance and Banking Conference 2016
Number of pages: 44
Posted: 22 Aug 2016
Last Revised: 21 Sep 2016
Working Paper Series
Monash University and University of Queensland
There are 2 versions of this paper
Cointegration and Relative Value Arbitrage
29th Australasian Finance and Banking Conference 2016
Number of pages: 44
Posted: 22 Aug 2016
Last Revised: 21 Sep 2016
Downloads
758
Cointegration and Relative Value Arbitrage
Number of pages: 42
Posted: 29 May 2016
Last Revised: 19 Aug 2016
Downloads
510
Downloads
758
4.
Optimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case
29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 52
Posted: 10 Feb 2016
Last Revised: 29 Oct 2018
Working Paper Series
University of Toronto - Rotman School of Management, Iowa State University and Washington University in St. Louis - John M. Olin Business School
Downloads
714
5.
Informed Trading of Out-of-the-Money Options and Market Efficiency
Number of pages: 51
Posted: 05 Jul 2016
Last Revised: 25 Nov 2018
Working Paper Series
UNSW Australia Business School, School of Banking and Finance, University of Wisconsin - Milwaukee and NH Finance Research Institute
Downloads
625
6.
On the Economic Value of Alphas
Number of pages: 80
Posted: 15 Mar 2011
Last Revised: 06 Sep 2017
Working Paper Series
University of Toronto - Rotman School of Management and Iowa State University
Downloads
477
7.
The Bottom-Up Beta of Momentum
29th Australasian Finance and Banking Conference 2016
Number of pages: 21
Posted: 11 Sep 2012
Last Revised: 04 Oct 2016
Working Paper Series
UNSW Australia Business School, School of Banking and Finance
Downloads
439
8.
Nearness to the 52-Week High and Low Prices, Past Returns, and Average Stock Returns
29th Australasian Finance and Banking Conference 2016
Number of pages: 60
Posted: 19 Jun 2016
Working Paper Series
National Chung Cheng University and University of Edinburgh - Organisation StudiesNational University of KaohsiungUniversity of Edinburgh - Accounting and Finance
Downloads
434
9.
The Gender Face-Off: Do Females Come Out on Top in Terms of Trading Performance?
29th Australasian Finance and Banking Conference 2016
Number of pages: 63
Posted: 20 Aug 2016
Last Revised: 04 Sep 2016
Working Paper Series
The University of New South Wales, University of New South Wales (UNSW Sydney and University of Sydney Business School
Downloads
407
10.
Do Venture Capital Investors Learn from Public Markets?
Number of pages: 53
Posted: 19 May 2016
Last Revised: 12 Jun 2018
Working Paper Series
Tsinghua University and Tsinghua University - PBC School of Finance
Downloads
404
11.
City Goes Dark: Dark Trading and Adverse Selection in Aggregate Markets
FCA Occasional Paper No. 29
Number of pages: 49
Posted: 16 Aug 2016
Last Revised: 03 May 2018
Accepted Paper Series
Financial Conduct Authority, University of Otago - School of Business, University of Edinburgh and Queen's University Belfast
Downloads
374
12.
Starting on the Wrong Foot: Seasonality in Mutual Fund Performance
Journal of Banking and Finance, Forthcoming, Asian Finance Association (AsianFA) 2016 Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 49
Posted: 10 Aug 2015
Last Revised: 16 Dec 2017
Accepted Paper Series
New York University - Stern School of Business, University of Melbourne - Department of Finance, Manchester Business School and Lancaster University - Management School
Downloads
348
13.
How Does Investor Confidence Lead to Trading? Linking Investor Return Experiences, Confidence, and Investment Beliefs
29th Australasian Finance and Banking Conference 2016
Number of pages: 55
Posted: 30 Sep 2013
Last Revised: 23 Feb 2016
Working Paper Series
University of Adelaide - Business School and Maastricht University - School of Business and Economics - Department of Finance
Downloads
341
14.
Does Stock Market Liquidity Affect Real and Accrual-Based Earnings Management?
29th Australasian Finance and Banking Conference 2016
Number of pages: 47
Posted: 18 Aug 2016
Last Revised: 01 Jul 2017
Working Paper Series
School of Management and Economics, Chinese University of Hong Kong, Shenzhen and Monash University - Monash Business School
Downloads
310
15.
Clearinghouse Margin Requirements
Operations Research, Forthcoming
Number of pages: 70
Posted: 05 Oct 2015
Last Revised: 30 Jan 2018
Accepted Paper Series
Columbia University and AQR Capital Management, LLC
Downloads
295
16.
The Value of Growth: Changes in Profitability and Future Stock Returns
29th Australasian Finance and Banking Conference 2016, Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 56
Posted: 10 Aug 2016
Last Revised: 16 Jan 2018
Working Paper Series
University of Melbourne - Department of Finance, Manchester Business School and Lancaster University - Management School
Downloads
294
17.
Superstar Fund Managers: Talent Revelation or Just Glamor?
29th Australasian Finance and Banking Conference 2016, Asian Finance Association (AsianFA) 2017 Conference, 8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 47
Posted: 15 Feb 2016
Last Revised: 25 Nov 2018
Working Paper Series
UNSW Australia Business School, School of Banking and Finance and University of Queensland - Business School
Downloads
293
18.
Private Debt: Volatility, Credit Risk, and Returns
Asian Finance Association (AsianFA) 2016 Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 42
Posted: 22 May 2015
Last Revised: 20 Aug 2016
Working Paper Series
Florida Atlantic University, Continuity Capital Partners and The University of Western Australia Business School
Downloads
285
19.
Measuring the Added Value of Stock Recommendations
Saïd Business School WP 2016-04, 29th Australasian Finance and Banking Conference 2016, Swedish House of Finance Research Paper No. 16-06,
Number of pages: 54
Posted: 23 Jan 2016
Last Revised: 05 Sep 2018
Working Paper Series
Swedish House of Finance, University of Oxford, Saïd Business School and University of Connecticut
Downloads
275
20.
Funding Liquidity Shocks in a Quasi-Experiment: Evidence from the CDS Big Bang
29th Australasian Finance and Banking Conference 2016
Number of pages: 57
Posted: 12 Feb 2016
Last Revised: 26 Oct 2018
Working Paper Series
Southern University of Science and Technology, Rutgers University, Newark - School of Business - Department of Finance & Economics, Driehaus College of Business, DePaul University and Rutgers University
Downloads
248
21.
Shareholder Litigation Rights and the Cost of Debt: Evidence from Derivative Lawsuits
Journal of Corporate Finance, Forthcoming, Asian Finance Association (AsianFA) 2017 Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 47
Posted: 22 Aug 2016
Last Revised: 04 Nov 2017
Accepted Paper Series
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Miami University
Downloads
234
22.
Asset Pricing Anomalies: A Multidimensional Analysis
29th Australasian Finance and Banking Conference 2016
Number of pages: 31
Posted: 02 Jun 2016
Last Revised: 06 Mar 2017
Working Paper Series
Technische Universität München (TUM), Department of Financial Management and Capital Markets
Downloads
227
23.
Estimating Order Imbalance Using Low Frequency Data
Number of pages: 95
Posted: 01 Feb 2016
Last Revised: 15 Jan 2018
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business and Singapore Management University - Lee Kong Chian School of Business
Downloads
227
24.
Bank Monitoring and CEO Risk-Taking Incentives
2nd Annual Financial Institutions, Regulation and Corporate Governance Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 52
Posted: 15 Oct 2014
Last Revised: 28 Jun 2017
Working Paper Series
New York University - Leonard N. Stern School of Business and Melbourne Business School, the University of Melbourne
Downloads
220
25.
Investment and Financing Decisions of Private and Public Firms
29th Australasian Finance and Banking Conference 2016
Number of pages: 55
Posted: 08 Mar 2016
Last Revised: 20 Jan 2018
Working Paper Series
Hamburg University, University of Hamburg and HEC Montreal - Department of Finance
Downloads
217
26.
Reporting Bias in Private Equity: Reporting Frequency, Endowments, and Governance
29th Australasian Finance and Banking Conference 2016
Number of pages: 65
Posted: 21 Aug 2016
Working Paper Series
Florida Atlantic University - Finance and Odette School of Business - University of Windsor
Downloads
211
27.
Risk Perceptions and International Stock Market Liquidity
29th Australasian Finance and Banking Conference 2016
Number of pages: 59
Posted: 25 May 2016
Last Revised: 27 May 2018
Working Paper Series
Massey University - School of Economics and Finance, Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads
210
28.
Earnings Transparency and Corporate Cash Holdings
29th Australasian Finance and Banking Conference 2016
Number of pages: 48
Posted: 21 Aug 2016
Last Revised: 21 Feb 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads
201
29.
Monetary Policy Implementation and Financial Vulnerability: Evidence from the Overnight Reverse Repurchase Facility
29th Australasian Finance and Banking Conference 2016
Number of pages: 57
Posted: 07 Jul 2016
Last Revised: 22 Oct 2017
Working Paper Series
Board of Governors of the Federal Reserve System (FRB) and Board of Governors of the Federal Reserve System
There are 2 versions of this paper
Monetary Policy Implementation and Financial Vulnerability: Evidence from the Overnight Reverse Repurchase Facility
29th Australasian Finance and Banking Conference 2016
Number of pages: 57
Posted: 07 Jul 2016
Last Revised: 22 Oct 2017
Downloads
193
Monetary Policy Implementation and Private Repo Displacement: Evidence from the Overnight Reverse Repurchase Facility
FEDS Working Paper No. 2016-096
Number of pages: 46
Posted: 19 Dec 2016
Downloads
29
Downloads
193
30.
Trading Momentum: How Shares and Investors Behave During Momentum Periods
29th Australasian Finance and Banking Conference 2016
Number of pages: 35
Posted: 22 Aug 2016
Last Revised: 12 Dec 2016
Working Paper Series
University of Sydney Business School, University of Sydney - Discipline of Finance, Faculty of Economics and Business and University of Sydney Business School
Downloads
190
31.
Private Information in the Chinese Stock Market: Evidence from Mutual Funds and Corporate Insiders
Second Annual Volatility Institute at NYU Shanghai (VINS) 2016, 29th Australasian Finance and Banking Conference 2016
Number of pages: 64
Posted: 12 Aug 2016
Working Paper Series
Shanghai Jiaotong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads
182
32.
Interdependencies and Causalities in Coupled Financial Networks
I. Vodenska, H. Aoyama, Y. Fujiwara, H. Iyetomi, Y. Arai, Interdependencies and causalities in complex financial networks, PLoS ONE 11(3): e0150994. doi:10.1371/journal.pone.0150994 (2016), 29th Australasian Finance and Banking Conference 2016
Number of pages: 30
Posted: 08 Aug 2014
Last Revised: 11 May 2016
Accepted Paper Series
Boston University Metropolitan College, Kyoto University, University of Hyogo - Graduate School of Simulation Studies, Niigata University and Niigata University
Downloads
178
33.
A BIT of Investor Protection: How Bilateral Investment Treaties Impact the Terms of Syndicated Loans
29th Australasian Finance and Banking Conference 2016
Number of pages: 65
Posted: 17 Feb 2015
Last Revised: 14 Jan 2017
Working Paper Series
State of New York (SUNY) at Buffalo, State University of New York (SUNY) - Buffalo and University of Oklahoma
Downloads
164
34.
Seed-Stage Success and Growth of Angel Networks
Paris December 2016 Finance Meeting EUROFIDAI - AFFI, 29th Australasian Finance and Banking Conference 2016, 29th Annual Conference on Financial Economics & Accounting 2018
Number of pages: 59
Posted: 05 Jun 2016
Last Revised: 02 Aug 2018
Working Paper Series
University of Central Florida - College of Business Administration and University of Houston, C. T. Bauer College of Business
Downloads
155
35.
Why Do Individuals Not Participate in the Stock Market?
Number of pages: 39
Posted: 12 Aug 2016
Last Revised: 22 Jun 2018
Working Paper Series
New York University - Stern School of Business, Monash University and Monash University - Department of Finance
Downloads
155
36.
Government Spending Shocks and Asset Prices
29th Australasian Finance and Banking Conference 2016
Number of pages: 49
Posted: 25 Jun 2016
Last Revised: 22 Oct 2018
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads
153
37.
Skewed Target Range Strategy for Multi-Period Portfolio Optimization by a Two-Stage Least Squares Monte Carlo Method
Accepted by Journal of Computational Finance
Number of pages: 25
Posted: 22 Aug 2016
Last Revised: 21 Sep 2018
Accepted Paper Series
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University
Downloads
148
38.
Environmental, Social and Governance Proposals and Shareholder Activism
29th Australasian Finance and Banking Conference 2016
Number of pages: 43
Posted: 22 Jun 2016
Last Revised: 08 Mar 2017
Working Paper Series
Southwestern University of Finance and Economics (SWUFE)
Downloads
137
39.
A Model-Free Tail Risk Index and Its Return Predictability
Number of pages: 63
Posted: 23 Aug 2016
Last Revised: 04 Oct 2017
Working Paper Series
Victoria University of Wellington - School of Economics and Finance
Downloads
136
40.
Hedge Fund Ownership, Funding Liquidity Constraints and Excess Return Co-Movement
29th Australasian Finance and Banking Conference 2016
Number of pages: 39
Posted: 06 Sep 2016
Working Paper Series
UNSW Australia Business School, School of Banking and Finance, UNSW Australia Business School, School of Banking and Finance and UNSW Australia Business School, School of Banking and Finance
Downloads
135
41.
Trust and Debt Contracting: Evidence from the Backdating Scandal
Number of pages: 53
Posted: 03 Jul 2016
Last Revised: 07 Nov 2017
Working Paper Series
State of New York (SUNY) at Buffalo, University at Buffalo - School of Management, State University of New York (SUNY) - Buffalo and University of Iowa - Henry B. Tippie College of Business
Downloads
130
42.
Stock Returns and Investors’ Mood: Good Day Sunshine or Spurious Correlation?
29th Australasian Finance and Banking Conference 2016, International Review of Financial Analysis, Vol. 52, No. July, 2017
Number of pages: 36
Posted: 19 Apr 2016
Last Revised: 10 Apr 2018
Working Paper Series
La Trobe University - School of Economics and Finance
Downloads
128
43.
Improving the Naive Portfolio Strategy
29th Australasian Finance and Banking Conference 2016
Number of pages: 26
Posted: 23 Aug 2016
Last Revised: 11 Jan 2017
Working Paper Series
Durham Business School
Downloads
127
44.
Toward a General Model of Financial Markets
29th Australasian Finance and Banking Conference 2016
Number of pages: 42
Posted: 03 May 2016
Last Revised: 30 Oct 2018
Working Paper Series
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads
120
45.
High Frequency Trading and Co-Movement in Financial Markets
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50
Posted: 23 Aug 2016
Last Revised: 03 Apr 2018
Working Paper Series
Stockholm School of Economics, Riga, Stockholm School of Economics, Riga and University of Technology Sydney (UTS)
There are 2 versions of this paper
High Frequency Trading and Co-Movement in Financial Markets
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50
Posted: 23 Aug 2016
Last Revised: 03 Apr 2018
Downloads
119
High Frequency Trading and Co-Movement in Financial Markets
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 50
Posted: 26 Apr 2018
Downloads
86
Downloads
119
46.
DEA Portfolio Modeling - The Case of Socially Responsible Investing
29th Australasian Finance and Banking Conference 2016
Number of pages: 28
Posted: 22 Aug 2016
Last Revised: 24 Jan 2018
Working Paper Series
Vienna University of Economics and Business - Institute for Finance, Banking and Insurance, Vienna University of Economics and Business - Department of Corporate Finance and Modul University Vienna - Department of International Management
Downloads
116
47.
Do Banks Differently Set Their Liquidity Ratios Based on Their Network Characteristics?
29th Australasian Finance and Banking Conference 2016
Number of pages: 51
Posted: 25 Jun 2016
Last Revised: 03 Mar 2017
Working Paper Series
Université de Limoges, LAPE, Université de Limoges, LAPE and University of Limoges - Faculty of Law and Economic Science
Downloads
109
48.
The Performance of Governmental Venture Capital Firms: A Life Cycle Perspective and Evidence from China
29th Australasian Finance and Banking Conference 2016
Number of pages: 43
Posted: 22 Aug 2016
Last Revised: 07 Dec 2016
Working Paper Series
University of Auckland and University of Auckland (Deceased)
Downloads
106
49.
Asset Diversification and Efficiency: Evidence from the Chinese Banking Sector
29th Australasian Finance and Banking Conference 2016
Number of pages: 27
Posted: 18 Aug 2016
Working Paper Series
University of Adelaide, Griffith University and University of Queensland
Downloads
102
50.
Lethal Lapses – How a Positive Interest Rate Shock Might Stress Life Insurers
Number of pages: 35
Posted: 25 Apr 2016
Last Revised: 12 May 2018
Working Paper Series
Deutsche Bundesbank and University of Ulm
There are 2 versions of this paper
Lethal Lapses – How a Positive Interest Rate Shock Might Stress Life Insurers
Number of pages: 35
Posted: 25 Apr 2016
Last Revised: 12 May 2018
Downloads
101
Lethal Lapses: How a Positive Interest Rate Shock Might Stress German Life Insurers
Bundesbank Discussion Paper No. 12/2015
Number of pages: 27
Posted: 21 Jun 2016
Downloads
43
Downloads
101
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