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
2,277
Days to Cover and Stock Returns
NBER Working Paper No. w21166
Number of pages: 51
Posted: 18 May 2015
Downloads
18
Downloads
2,277
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: 96
Posted: 20 Jun 2016
Last Revised: 07 Dec 2017
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
784
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
700
Cointegration and Relative Value Arbitrage
Number of pages: 42
Posted: 29 May 2016
Last Revised: 19 Aug 2016
Downloads
471
Downloads
700
4.
On the Value of Portfolio Optimization under Estimation Risk: The Case without Risk-Free Asset
29th Australasian Finance and Banking Conference 2016, Rotman School of Management Working Paper No. 2819254
Number of pages: 92
Posted: 10 Feb 2016
Last Revised: 06 Oct 2017
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
641
5.
Informed Trading of Out-of-the-Money Options and Market Efficiency
29th Australasian Finance and Banking Conference 2016
Number of pages: 54
Posted: 05 Jul 2016
Last Revised: 02 Nov 2017
Working Paper Series
UNSW Australia Business School, School of Banking and Finance, University of Wisconsin - Milwaukee and NH Finance Research Institute
Downloads
569
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
462
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
424
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
410
9.
Aggregate Market Quality Implications of Dark Trading
FCA Occasional Paper No. 29
Number of pages: 45
Posted: 16 Aug 2016
Last Revised: 03 Aug 2017
Accepted Paper Series
Financial Conduct Authority, University of Otago - School of Business, University of Edinburgh and Queen's University Belfast
Downloads
353
10.
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
342
11.
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, The University of Melbourne - Department of Finance, Manchester Business School and Lancaster University - Management School
Downloads
336
12.
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
333
13.
Do Venture Capital Investors Learn from Public Markets?
29th Australasian Finance and Banking Conference 2016
Number of pages: 61
Posted: 19 May 2016
Last Revised: 04 Sep 2017
Working Paper Series
Tsinghua University and Tsinghua University - PBC School of Finance
Downloads
324
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
The University of Hong Kong - School of Economics and Finance and Monash University - Monash Business School
Downloads
283
15.
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: 43
Posted: 15 Feb 2016
Last Revised: 05 Oct 2017
Working Paper Series
UNSW Australia Business School, School of Banking and Finance and University of Otago - Department of Accountancy and Finance
Downloads
265
16.
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
263
17.
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
York University - Schulich School of Business, Continuity Capital Partners and The University of Western Australia Business School
Downloads
255
18.
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: 53
Posted: 23 Jan 2016
Last Revised: 24 Nov 2017
Working Paper Series
Swedish House of Finance, University of Oxford, Saïd Business School and University of Connecticut
Downloads
242
19.
The Value of Growth: Changes in Profitability and Future Stock Returns
29th Australasian Finance and Banking Conference 2016
Number of pages: 56
Posted: 10 Aug 2016
Last Revised: 16 Jan 2018
Working Paper Series
The University of Melbourne - Department of Finance, Manchester Business School and Lancaster University - Management School
Downloads
241
20.
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, Students
Downloads
223
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 University of Arizona, Eller College of Management, Department of Finance
Downloads
214
22.
Funding Liquidity Shocks in a Quasi-Experiment: Evidence from the CDS Big Bang
29th Australasian Finance and Banking Conference 2016
Number of pages: 51
Posted: 12 Feb 2016
Last Revised: 31 Dec 2017
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
211
23.
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
210
24.
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
York University - Schulich School of Business and Odette School of Business - University of Windsor
There are 2 versions of this paper
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
Downloads
203
Reporting Bias in Private Equity: Reporting Frequency, Endowments, and Governance
TILEC Discussion Paper No. 2014-016
Number of pages: 52
Posted: 18 Mar 2014
Last Revised: 09 Jun 2014
Downloads
139
Downloads
203
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
192
26.
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
181
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
26
Downloads
181
27.
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
180
28.
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
177
29.
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
176
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
173
31.
Risk Perceptions and International Stock Market Liquidity
29th Australasian Finance and Banking Conference 2016
Number of pages: 59
Posted: 25 May 2016
Last Revised: 04 Mar 2018
Working Paper Series
Massey University - School of Economics and Finance and Massey University - School of Economics and Finance
Downloads
157
32.
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
Downloads
156
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
153
34.
How Do Investors Accumulate Network Capital? Evidence from Angel Networks
Paris December 2016 Finance Meeting EUROFIDAI - AFFI, 29th Australasian Finance and Banking Conference 2016
Number of pages: 51
Posted: 05 Jun 2016
Last Revised: 15 Mar 2017
Working Paper Series
University of Houston - C.T. Bauer College of Business, Students and University of Houston, C. T. Bauer College of Business
Downloads
141
35.
Government Spending Shocks and Asset Prices
29th Australasian Finance and Banking Conference 2016
Number of pages: 48
Posted: 25 Jun 2016
Last Revised: 24 Sep 2017
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads
129
36.
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
Downloads
123
37.
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
122
38.
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
116
39.
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
115
40.
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
ESSEC Business School
Downloads
113
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
113
42.
Toward a General Model of Financial Markets
29th Australasian Finance and Banking Conference 2016
Number of pages: 40
Posted: 03 May 2016
Last Revised: 23 Jan 2017
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
107
43.
Bank Capital and Loan Monitoring
Number of pages: 61
Posted: 06 Jun 2016
Last Revised: 31 Jul 2017
Working Paper Series
Southern Methodist University (SMU) - Accounting Department and Southern Methodist University (SMU) - Accounting Department
Downloads
106
44.
Why Do Individuals Not Participate in the Stock Market?
29th Australasian Finance and Banking Conference 2016
Number of pages: 43
Posted: 12 Aug 2016
Last Revised: 16 Jun 2017
Working Paper Series
New York University - Stern School of Business, Monash University and Monash University - Department of Finance
Downloads
106
45.
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
IMC University of Applied Sciences Krems, Vienna University of Economics and Business - Department of Corporate Finance and Modul University Vienna - Department of International Management
Downloads
103
46.
Sharp Target Range Strategies with Application to Dynamic Portfolio Selection
29th Australasian Finance and Banking Conference 2016
Number of pages: 28
Posted: 22 Aug 2016
Last Revised: 15 May 2017
Working Paper Series
Monash University - School of Mathematical Sciences, 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
100
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
99
48.
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
97
49.
Solvency Risk Premia and the Carry Trades
Paris December 2016 Finance Meeting EUROFIDAI - AFFI, 29th Australasian Finance and Banking Conference 2016
Number of pages: 50
Posted: 23 Feb 2016
Last Revised: 06 Nov 2017
Working Paper Series
University of St. Gallen - School of Finance
There are 2 versions of this paper
Solvency Risk Premia and the Carry Trades
University of St.Gallen, School of Finance Research Paper No. 2018/02
Number of pages: 51
Posted: 02 Feb 2018
Downloads
124
Solvency Risk Premia and the Carry Trades
Paris December 2016 Finance Meeting EUROFIDAI - AFFI, 29th Australasian Finance and Banking Conference 2016
Number of pages: 50
Posted: 23 Feb 2016
Last Revised: 06 Nov 2017
Downloads
95
Downloads
95
50.
Is Market Volatility Systematically Priced While Illiquidity Is Only Priced on the Down-Side?
29th Australasian Finance and Banking Conference 2016
Number of pages: 43
Posted: 26 Feb 2016
Last Revised: 21 Aug 2016
Working Paper Series
University of New South Wales (UNSW Sydney
There are 2 versions of this paper
Is Liquidity Largely Unpriced While Market Volatility is Systematically Priced?
Number of pages: 61
Posted: 15 Jan 2016
Last Revised: 11 Feb 2016
Downloads
100
Is Market Volatility Systematically Priced While Illiquidity Is Only Priced on the Down-Side?
29th Australasian Finance and Banking Conference 2016
Number of pages: 43
Posted: 26 Feb 2016
Last Revised: 21 Aug 2016
Downloads
94
Downloads
94
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