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Paris December 2016 Finance Meeting EUROFIDAI - AFFI - ESSEC (Archive)

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Viewing: 1 - 50 of 59 papers

1.

Quid Pro Quo? What Factors Influence IPO Allocations to Investors?

Journal of Finance, Forthcoming
Number of pages: 46 Posted: 09 Mar 2017 Last Revised: 05 Sep 2017
Accepted Paper Series
University of Oxford - Said Business School, University of Oxford, Saïd Business School and International Monetary Fund (IMF) - Monetary and Capital Markets Department
Downloads 1,073
2.

The Failure of a Clearinghouse: Empirical Evidence

Number of pages: 71 Posted: 02 Nov 2016 Last Revised: 28 Aug 2018
Working Paper Series
Banque de France and HEC Paris - Finance Department

Multiple version iconThere are 3 versions of this paper

Downloads 432
3.

Trading Ahead of Treasury Auctions

Number of pages: 51 Posted: 06 Jun 2016 Last Revised: 22 Dec 2020
Working Paper Series
European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Downloads 219
4.

Does Corporate Culture Affect Bank Risk-Taking? Evidence from Loan-Level Data

British Journal of Management, Vol. 30, Issue 1, 2019
Number of pages: 51 Posted: 06 Jun 2016 Last Revised: 01 Jul 2021
Accepted Paper Series
Durham University, University of St. Andrews and University of Edinburgh

Multiple version iconThere are 2 versions of this paper

Downloads 376
5.

Systematic Risk and Share Turnover [or Beta as a Measure of Mispricing]

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 05 Jun 2016
Working Paper Series
University of Mannheim - Department of Finance
Downloads 56
6.

A Single-Factor Consumption-Based Asset Pricing Model

Number of pages: 97 Posted: 05 Jun 2016 Last Revised: 07 Dec 2017
Working Paper Series
University of Miami - Department of Finance and University of Liverpool Management School
Downloads 206
7.

Customer Risk and the Choice between Cash and Bank Credit Lines

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 65 Posted: 05 Jun 2016 Last Revised: 02 Feb 2017
Working Paper Series
ESCP Business School

Multiple version iconThere are 2 versions of this paper

Downloads 41
8.

Technical Analysis, Liquidity, and Price Discovery

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 05 Jun 2016 Last Revised: 17 Dec 2016
Working Paper Series
Karlsruhe Institute of Technology and Karlsruhe Institute of Technology
Downloads 194
9.

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Journal of Financial Economics (JFE), Forthcoming, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 36 Posted: 04 Jun 2016 Last Revised: 16 Nov 2016
Accepted Paper Series
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign

Multiple version iconThere are 2 versions of this paper

Downloads 273
10.

Labor Rigidity, Inflation Risk and Bond Returns

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 40 Posted: 04 Jun 2016
Working Paper Series
University of Turin - Collegio Carlo Alberto

Multiple version iconThere are 2 versions of this paper

Downloads 24
11.

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 04 Jun 2016 Last Revised: 18 Jan 2021
Working Paper Series
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich

Multiple version iconThere are 2 versions of this paper

Downloads 172
12.

Shareholder Bargaining Power and the Emergence of Empty Creditors

Swiss Finance Institute Research Paper No. 16-17, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 55 Posted: 04 Jun 2016 Last Revised: 29 Jun 2018
Working Paper Series
Ca Foscari University of Venice, HEC Paris - Finance Department and Federal Reserve Board
Downloads 506
13.

Margin Requirements and Equity Option Returns

Number of pages: 81 Posted: 04 Jun 2016 Last Revised: 01 Jul 2021
Working Paper Series
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick, Karlsruhe Institute of Technology (KIT) - Institute for Finance, Karlsruhe Institute of Technology (KIT) - Institute for Finance and WU Vienna University of Economics and Business
Downloads 533
14.

Pricing Inflation Linked Bonds and Hedging Bond Portfolios: A Comparative Analysis Applied to French OAT Indexed Bonds

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 25 Posted: 04 Jun 2016 Last Revised: 29 Nov 2016
Working Paper Series
University of Coimbra and Université Paris Ouest Nanterre La Défense
Downloads 290
15.

Winning a Deal in Private Equity: Do Educational Ties Matter?

AFFI/EUROFIDAI, Paris December 2016 Finance Meeting EUROFIDAI - AFFI, University of St.Gallen, School of Finance Research Paper No. 2017/15
Number of pages: 49 Posted: 04 Jun 2016 Last Revised: 25 Aug 2019
Working Paper Series
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance, University of Oxford - Said Business School and University of St. Gallen - School of Finance
Downloads 327
16.

The Effects of Oil Inventories on Growth Prospects, Futures Markets, and Risk Premia

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 66 Posted: 04 Jun 2016 Last Revised: 29 Sep 2017
Working Paper Series
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Zurich - Department of Business Administration
Downloads 155
17.

Distracted Institutional Investors

Journal of Financial and Quantitative Analysis (forthcoming)
Number of pages: 62 Posted: 04 Jun 2016 Last Revised: 07 Feb 2019
Accepted Paper Series
HEC Paris - Finance Department
Downloads 218
18.

Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

Management Science, Forthcoming
Number of pages: 62 Posted: 04 Jun 2016 Last Revised: 07 Jul 2020
Accepted Paper Series
McGill UniversityMcGill University, Desautels Faculty of Management and ESSEC Business School

Multiple version iconThere are 2 versions of this paper

Downloads 62
19.

Identifying Credit Supply Shocks with Bank-Firm Data: Methods and Applications

Journal of Financial Intermediation, Vol. 40, 2019
Number of pages: 54 Posted: 03 Jun 2016 Last Revised: 09 Feb 2020
Working Paper Series
KU Leuven - Faculty of Business and Economics (FEB), Tilburg University - Department of FinanceNational Bank of Belgium - Research Department, WU Vienna University of Economics and Business, Ghent University - Faculty of Economics and Business Administration and European Central Bank (ECB)European Central Bank (ECB)
Downloads 409
20.

Does the Crowd Forgive?

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 31 Posted: 03 Jun 2016
Working Paper Series
CERGAM - Aix-Marseille University
Downloads 95
21.

Alliance Networks, Corporate Investment, and Firm Valuation

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 66 Posted: 03 Jun 2016 Last Revised: 26 Jan 2021
Working Paper Series
California State Polytechnic University, Pomona
Downloads 229
22.

A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 03 Jun 2016
Working Paper Series
Université Catholique de Louvain and Université de Rennes I and CREM
Downloads 39
23.

Ranking Consistency of Systemic Risk Measures: A Simulation-Based Analysis in a Banking Network Model

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 60 Posted: 03 Jun 2016 Last Revised: 02 Feb 2017
Working Paper Series
University Osnabrück, Chair of Banking and Finance
Downloads 34
24.

Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options

Number of pages: 142 Posted: 02 Jun 2016 Last Revised: 23 Sep 2018
Working Paper Series
Simon Fraser University, HEC Montreal and HEC Montreal - Department of Management SciencesHEC Montreal - Department of Decision Sciences
Downloads 645
25.

Valuing American Options Using Fast Recursive Projections

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 02 Jun 2016
Working Paper Series
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and Swiss Finance Institute - University of Geneva
Downloads 69
26.

Are Information and Portfolio Diversification Substitutes or Complements?

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 26 Posted: 02 Jun 2016 Last Revised: 19 Nov 2016
Working Paper Series
Collegio Carlo Alberto and University of Torino
Downloads 48
27.

Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data

Journal of Econometrics, Forthcoming
Number of pages: 84 Posted: 02 Jun 2016 Last Revised: 07 Oct 2019
Accepted Paper Series
University of Tasmania (deceased), IESEG School of Management, LEM-CNRS 9221, France, University of Tasmania and Rutgers, The State University of New Jersey - Department of Economics
Downloads 132
28.

Funding Shortfall Risk and Asset Prices in General Equilibrium

Number of pages: 85 Posted: 02 Jun 2016 Last Revised: 02 Feb 2017
Working Paper Series
EDHEC Business School (EDHEC), Students
Downloads 25
29.

The Cost of Immediacy for Corporate Bonds

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 01 Jun 2016
Working Paper Series
Copenhagen Business School - Department of Finance and Texas A&M

Multiple version iconThere are 2 versions of this paper

Downloads 85
30.

Collusion and Efficiency in Horizontal Mergers: Evidence from Geographic Overlap

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 01 Jun 2016 Last Revised: 01 Jul 2017
Working Paper Series
Washington State University and University of Arizona - Department of Finance
Downloads 156
31.

Can Paying Firms Quicker Impact Aggregate Employment?

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 66 Posted: 01 Jun 2016 Last Revised: 02 Feb 2017
Working Paper Series
HEC ParisHEC Paris and Harvard University - Entrepreneurial Management Unit
Downloads 25
32.

Estimating Skill in Private Equity Performance Using Market Data

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 59 Posted: 31 May 2016 Last Revised: 30 Nov 2018
Working Paper Series
University of Melbourne - Department of Finance
Downloads 156
33.

Why are distressed firms acquisitive?

Paris December 2016 Finance Meeting EUROFIDAI - AFFI, Asian Finance Association (AsianFA) 2018 Conference, Journal of Corporate Finance, Forthcoming
Posted: 31 May 2016 Last Revised: 29 Nov 2021
Accepted Paper Series
Monash University
34.

Style Investing and Commonality in Liquidity

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 30 May 2016 Last Revised: 05 Jun 2019
Working Paper Series
University of Warwick - Warwick Business School, University of Warwick - Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 82
35.

CoRisk: Measuring Systemic Risk Through Default Probability Contagion

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 30 May 2016
Working Paper Series
University of Pavia and European Central Bank (ECB)
Downloads 204
36.

Size and Value Matter, But Not the Way You Thought

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 30 May 2016 Last Revised: 02 Feb 2017
Working Paper Series
University of Liège - HEC Liège, University of Liège - HEC Management School and HEC Liège

Multiple version iconThere are 2 versions of this paper

Downloads 123
37.

Heterogeneous Risk Preferences in Financial Markets

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 29 May 2016 Last Revised: 31 Jan 2018
Working Paper Series
Institut d'Etudes Politiques de Paris (Sciences Po), Department of Economics, Students
Downloads 80
38.

Capital Heterogeneity, Volatility Shock, and the Value Premium

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 55 Posted: 29 May 2016 Last Revised: 15 Nov 2016
Working Paper Series
Hong Kong University of Science & Technology (HKUST)
Downloads 36
39.

Identifying the Benefits from Home Ownership: A Swedish Experiment

Swedish House of Finance Research Paper No. 16-11, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 122 Posted: 29 May 2016 Last Revised: 14 Jul 2021
Working Paper Series
Stockholm School of Economics - Department of Finance, Columbia University Graduate School of Business, Stockholm University - Department of Economics and Universite du Luxembourg

Multiple version iconThere are 3 versions of this paper

Downloads 593
40.

Access to Collateral and the Democratization of Credit: France's Reform of the Napoleonic Code

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 51 Posted: 27 May 2016
Working Paper Series
Alliance Manchester Business School, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Manchester - Alliance Manchester Business School

Multiple version iconThere are 2 versions of this paper

Downloads 98
41.

Family First? Kinship Ties and Equity Prices

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 44 Posted: 27 May 2016 Last Revised: 31 Oct 2019
Working Paper Series
EDHEC Business School and CEPR, University of Turin - Collegio Carlo Alberto and Università della Svizzera italiana (USI), Lugano; Swiss Finance Institute

Multiple version iconThere are 2 versions of this paper

Downloads 266
42.

Funding Constraints and Market Illiquidity in the European Treasury Bond Market

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 48 Posted: 25 May 2016 Last Revised: 09 Aug 2018
Working Paper Series
Universite de Toulouse 1 Capitole, Newcastle University Business School and Hong Kong Institute for Monetary and Financial Research (HKIMR)
Downloads 124
43.

Linear Credit Risk Models

Finance and Stochastics, Forthcoming, Swiss Finance Institute Research Paper No. 16-34, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 51 Posted: 21 May 2016 Last Revised: 23 Jul 2019
Accepted Paper Series
UBS and Ecole Polytechnique Fédérale de Lausanne
Downloads 389
44.

Generalists and Specialists in the Credit Market

Saïd Business School WP 2016-11, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 77 Posted: 21 Mar 2016 Last Revised: 19 Apr 2018
Working Paper Series
Deutsche Bundesbank and Massachusetts Institute of Technology (MIT)KU Leuven - Faculty of Business and Economics (FEB)
Downloads 153
45.

Thinking about Prices versus Thinking about Returns in Financial Markets

Journal of Finance, Forthcoming, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 112 Posted: 20 Mar 2016 Last Revised: 06 Nov 2018
Accepted Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Business Administration (Munich School of Management), University of Bonn - Department of Economics and University of Mannheim - Department of Banking and Finance
Downloads 934
46.

Are CEOs Different?

Columbia Business School Research Paper No. 16-27, Paris December 2016 Finance Meeting EUROFIDAI - AFFI, Journal of Finance, Forthcoming
Number of pages: 61 Posted: 15 Mar 2016 Last Revised: 30 Oct 2020
Accepted Paper Series
University of Chicago - Booth School of Business and Dartmouth College - Tuck School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 5,058
47.

Equity Is Cheap for Large Financial Institutions

Swiss Finance Institute Research Paper No. 16-22, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 83 Posted: 14 Mar 2016 Last Revised: 31 Jan 2019
Working Paper Series
Rutgers Business School, Newark and New Brunswick, Stanford Graduate School of Business and Universita' della Svizzera italiana
Downloads 618
48.

Speed and Learning in High-Frequency Auctions

Journal of Financial Markets, Volume 54, June 2021, 100583
Number of pages: 32 Posted: 02 Mar 2016 Last Revised: 03 Jun 2021
Accepted Paper Series
Independent, University of Toronto - Finance Area and University of Toronto at Mississauga - Department of Management
Downloads 417
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

Multiple version iconThere are 2 versions of this paper

Downloads 113
50.

Collateral Constraints and Asset Prices

AFFI/EUROFIDAI, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 14 Nov 2015 Last Revised: 30 Nov 2019
Working Paper Series
London School of Economics and Political Science and Robert H. Smith School of Business, University of Maryland
Downloads 861