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

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Viewing: 1 - 50 of 63 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 638
2.

The Failure of a Clearinghouse: Empirical Evidence

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
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 293
3.

Trading Ahead of Treasury Auctions

Number of pages: 50 Posted: 06 Jun 2016 Last Revised: 15 Mar 2019
Working Paper Series
European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Downloads 140
4.

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

British Journal of Management, Forthcoming
Number of pages: 51 Posted: 06 Jun 2016 Last Revised: 16 Feb 2018
Accepted Paper Series
King's College London, University of St. Andrews and University of Edinburgh

Multiple version iconThere are 2 versions of this paper

Downloads 311
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 34
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 150
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 Europe - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 36
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 146
9.

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: 21 Jan 2019
Working Paper Series
University of Central Florida - College of Business Administration and University of Houston, C. T. Bauer College of Business
Downloads 168
10.

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 236
11.

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 18
12.

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: 02 Feb 2017
Working Paper Series
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich - Department of Banking and Finance
Downloads 117
13.

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
Otto-von-Guericke-Universität Magdeburg, HEC Paris - Finance Department and Federal Reserve Board
Downloads 430
14.

Margin Requirements and Equity Option Returns

Number of pages: 73 Posted: 04 Jun 2016 Last Revised: 25 Sep 2018
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 314
15.

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 47
16.

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: 39 Posted: 04 Jun 2016 Last Revised: 24 Aug 2018
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 200
17.

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 139
18.

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 139
19.

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

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 41 Posted: 04 Jun 2016
Working Paper Series
McGill University, Desautels Faculty of Management and ESSEC Business School

Multiple version iconThere are 2 versions of this paper

Downloads 37
20.

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

Number of pages: 51 Posted: 03 Jun 2016 Last Revised: 17 Mar 2018
Working Paper Series
KU Leuven, Department Accounting, Finance and Insurance, Tilburg University - Department of Finance, Lancaster University - Department of Accounting and Finance, Ghent University-Universiteit Gent - Faculty of Economics and Business Administration and ECB -Financial Research Division
Downloads 342
21.

Does the Crowd Forgive?

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 31 Posted: 03 Jun 2016
Working Paper Series
Université Lumière Lyon 2
Downloads 73
22.

Alliance Networks, Corporate Investment, and Firm Valuation

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 66 Posted: 03 Jun 2016 Last Revised: 08 Dec 2018
Working Paper Series
Tulane University - A.B. Freeman School of Business
Downloads 171
23.

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 24
24.

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 26
25.

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 Decision Sciences
Downloads 444
26.

Related Securities and the Cross-Section of Stock Return Momentum: Evidence From Credit Default Swaps (CDS)

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 98 Posted: 02 Jun 2016 Last Revised: 08 Aug 2018
Working Paper Series
University of Florida - Warrington College of Business Administration, University of Florida - Warrington College of Business Administration and Auburn University
Downloads 52
27.

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 University of Geneva GSEM and GFRI
Downloads 44
28.

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 41
29.

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 19
30.

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 64
31.

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 105
32.

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
Massachusetts Institute of Technology (MIT) and Harvard University - Entrepreneurial Management Unit
Downloads 16
33.

Market Structure and Transaction Costs of Index CDSs

Swiss Finance Institute Research Paper No. 18-40
Number of pages: 127 Posted: 31 May 2016 Last Revised: 31 Oct 2018
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and HEC Paris - Finance Department
Downloads 357
34.

Immigration, Real Estate Prices and the Consumption Decisions of Native Households

University of St.Gallen, School of Finance Research Paper No. 2016/15, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Posted: 31 May 2016 Last Revised: 03 Nov 2016
Working Paper Series
University of St. Gallen - School of Finance and Federal Reserve Banks - Federal Reserve Bank of New York
35.

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 97
36.

Why Do Distressed Firms Acquire?

Paris December 2016 Finance Meeting EUROFIDAI - AFFI, Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 59 Posted: 31 May 2016 Last Revised: 17 Jan 2018
Working Paper Series
Monash University
Downloads 113
37.

Style Investing and Commonality in Liquidity

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 30 May 2016 Last Revised: 01 Dec 2018
Working Paper Series
University of Warwick - Warwick Business School, University of Warwick - Warwick Business School and Lancaster University - Department of Accounting and Finance
Downloads 47
38.

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
Downloads 159
39.

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 Liege - HEC Management School, University of Liege, HEC Management School and HEC Liège

Multiple version iconThere are 2 versions of this paper

Downloads 84
40.

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 66
41.

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 26
42.

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: 66 Posted: 29 May 2016 Last Revised: 03 Oct 2017
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 373
43.

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 63
44.

Family First? Nepotism and Corporate Investment

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 49 Posted: 27 May 2016 Last Revised: 24 Oct 2017
Working Paper Series
EDHEC, 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 201
45.

Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 62 Posted: 25 May 2016 Last Revised: 09 Feb 2017
Working Paper Series
Deutsche Bundesbank, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Multiple version iconThere are 3 versions of this paper

Downloads 74
46.

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
Toulouse School of Economics, Newcastle University Business School and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)

Multiple version iconThere are 2 versions of this paper

Downloads 102
47.

Linear Credit Risk Models

Swiss Finance Institute Research Paper No. 16-34, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 50 Posted: 21 May 2016 Last Revised: 13 Mar 2019
Working Paper Series
Swissquote Bank and Ecole Polytechnique Fédérale de Lausanne
Downloads 316
48.

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)
Downloads 137
49.

Thinking about Prices versus Thinking about Returns in Financial Markets

Journal of Finance, Forthcoming, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 113 Posted: 20 Mar 2016 Last Revised: 06 Nov 2018
Accepted Paper Series
Ludwig Maximilian University of Munich - Faculty of Business Administration (Munich School of Management), Max Planck Institute for Research on Collective Goods and University of Mannheim - Department of Banking and Finance
Downloads 488
50.

Are CEOs Different? Characteristics of Top Managers

Columbia Business School Research Paper No. 16-27, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 15 Mar 2016 Last Revised: 10 Aug 2017
Working Paper Series
University of Chicago - Booth School of Business and Copenhagen Business School

Multiple version iconThere are 2 versions of this paper

Downloads 4,085