SSRN AFA 2002 Atlanta Meetings (Archive)

1.

A Model of Credit Risk, Optimal Policies, and Asset Prices

AFA 2002 Atlanta Meetings; NYU Finance Working Paper

Number of pages: 45 Posted: 21 Mar 2001

Working Paper Series

Suleyman Basak and Alex Shapiro

London Business School and New York University (NYU) - Department of Finance

There are 5 versions of this paper

Downloads 4,358

2.

Dividends, Share Repurchases, and the Substitution Hypothesis

AFA 2002 Atlanta Meetings

Number of pages: 51 Posted: 26 Apr 2000

Working Paper Series

Gustavo Grullon and Roni Michaely

Rice University - Jesse H. Jones Graduate School of Business and Johnson@Cornell Tech, Cornell University

There are 2 versions of this paper

Downloads 4,065

3.

Analyzing the Analysts: When Do Recommendations Add Value?

AFA 2002 Atlanta Meetings

Number of pages: 55 Posted: 22 Nov 2001

Working Paper Series

Narasimhan Jegadeesh, Joonghyuk Kim, Susan D. Krische and Charles M.C. Lee

Emory University - Department of Finance, Case Western Reserve University - Department of Banking & Finance, American University - Kogod School of Business and Stanford University - Graduate School of Business

Downloads 3,396

4.

Financial Conservatism: Evidence on Capital Structure from Low Leverage Firms

AFA 2002 Atlanta; Dice Ctr. Working Paper No. 2001-6

Number of pages: 42 Posted: 16 May 2001

Working Paper Series

Bernadette A. Minton and Karen H. Wruck

Ohio State University (OSU) - Department of Finance and Ohio State University - Fisher College of Business, Department of Finance

Downloads 2,887

5.

Capital Structure Choice: Macroeconomic Conditions and Financial Constraints

AFA 2002 Atlanta Meetings; Kellogg School of Mgmt. Finance Working Paper No. 279

Number of pages: 50 Posted: 04 Mar 2002

Working Paper Series

Robert A. Korajczyk and Amnon Levy

Northwestern University - Kellogg School of Management and Moody's KMV

There are 2 versions of this paper

Downloads 2,517

6.

How Much do Firms Hedge with Derivatives?

AFA 2002 Atlanta Meetings

Number of pages: 58 Posted: 27 Mar 2001

Working Paper Series

Wayne R. Guay and S.P. Kothari

University of Pennsylvania - Accounting Department and Massachusetts Institute of Technology (MIT) - Sloan School of Management

There are 3 versions of this paper

Downloads 2,493

7.

Style Investing

AFA 2002 Atlanta Meetings; Harvard Institute of Economic Research Paper No. 1908

Number of pages: 43 Posted: 23 Jan 2001

Working Paper Series

Nicholas Barberis and Andrei Shleifer

Yale School of Management and Harvard University - Department of Economics

There are 2 versions of this paper

Downloads 2,482

8.

Stock Return Predictability: Is It There?

AFA 2002 Atlanta Meetings

Number of pages: 53 Posted: 23 Mar 2001

Working Paper Series

Geert Bekaert and Andrew Ang

Columbia Business School - Finance and Economics and BlackRock, Inc

There are 2 versions of this paper

Downloads 2,286

9.

Strategic IPO Underpricing, Information Momentum, and Lockup Expiration Selling

AFA 2002 Atlanta Meetings

Number of pages: 39 Posted: 26 Apr 2001

Working Paper Series

Rajesh K. Aggarwal, Laurie Krigman and Kent L. Womack

Northeastern University, Babson College and University of Toronto - Rotman School of Management (Deceased)

Downloads 1,949

10.

The Walkdown to Beatable Analyst Forecasts: The Roles of Equity Issuance and Insider Trading Incentives

MIT Sloan Working Paper No. 4221-01; AFA 2002 Atlanta Meetings

Number of pages: 44 Posted: 19 Sep 2001

Working Paper Series

Scott A. Richardson, Siew Hong Teoh and Peter D. Wysocki

AQR Capital Management, LLC, University of California - Paul Merage School of Business and Boston University Questrom School of Business

Downloads 1,853

11.

The Illusory Nature of Momentum Profits

Journal of Financial Economics, Vol. 71, No. 2, pp. 349-380

Number of pages: 48 Posted: 29 May 2003

Accepted Paper Series

David A. Lesmond, Michael J. Schill and Chunsheng Zhou

Tulane University - A.B. Freeman School of Business, University of Virginia Darden School of Business and Peking University - Guanghua School of Management - Finance

Downloads 1,823

12.

Corporate Share Repurchases in the 1990s: What Role Do Stock Options Play?

AFA 2002 Atlanta Meetings; FEDS Working Paper No. 2000-29

Number of pages: 43 Posted: 17 Aug 2000

Working Paper Series

Scott J. Weisbenner

University of Illinois at Urbana-Champaign - Department of Finance

Downloads 1,778

13.

The Political Economy of Corporate Governance

AFA 2002 Atlanta Meetings; Univ. of Salerno Working Paper No. 29

Number of pages: 35 Posted: 15 Mar 2000

Working Paper Series

Marco Pagano and Paolo F. Volpin

University of Naples Federico II - Department of Economics and Statistics and City University London - Faculty of Finance

There are 2 versions of this paper

Downloads 1,768

14.

Is There an Optimal Industry Financial Structure?

AFA 2002 Atlanta; R.H. Smith School of Business Working Paper

Number of pages: 47 Posted: 17 May 2001

Working Paper Series

Peter MacKay and Gordon M. Phillips

Hong Kong University of Science & Technology (HKUST) - Department of Finance and Tuck School of Business at Dartmouth

There are 2 versions of this paper

Downloads 1,669

15.

The Overseas Listing Decision: New Evidence of Proximity Preference

Review of Financial Studies, 2004, 17(3), 769-809, Darden Business School Working Paper No. 03-07

Number of pages: 57 Posted: 29 May 2003 Last Revised: 13 Nov 2012

Accepted Paper Series

Sergei Sarkissian and Michael J. Schill

McGill University and University of Virginia Darden School of Business

Downloads 1,642

16.

The Expected Illiquidity Premium: Evidence from Equity Index-Linked Bonds

London Business School Accounting Subject Area No. 014

Number of pages: 29 Posted: 31 Dec 2000

Working Paper Series

Elroy Dimson and Bernd Hanke

University of Cambridge - Judge Business School and London Business School - Institute of Finance and Accounting

There are 2 versions of this paper

Downloads 1,595

17.

Time-Varying Arrival Rates of Informed and Uninformed Trades

AFA 2002 Atlanta Meetings

Number of pages: 38 Posted: 21 Dec 2001

Working Paper Series

David Easley, Liuren Wu, Robert F. Engle and Maureen O'Hara

Cornell University - Department of Economics, City University of New York, CUNY Baruch College - Zicklin School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management

There are 2 versions of this paper

Downloads 1,574

18.

The Effect of Capital Structure When Expected Agency Costs are Extreme

AFA 2002 Atlanta Meetings

Number of pages: 40 Posted: 15 Aug 2001

Working Paper Series

Karl V. Lins, Campbell R. Harvey and Andrew H. Roper

University of Utah - Department of Finance, Duke University - Fuqua School of Business and Compass Lexecon

There are 2 versions of this paper

Downloads 1,550

19.

Dynamic Asset Allocation Under Inflation

AFA 2002 Atlanta Meetings

Number of pages: 69 Posted: 13 Dec 2000

Working Paper Series

Michael J. Brennan and Yihong Xia

University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (Deceased)

There are 2 versions of this paper

Downloads 1,436

20.

Explaining the Diversification Discount

AFA 2002 Atlanta Meetings

Number of pages: 51 Posted: 26 Mar 2001

Working Paper Series

José Manuel Campa and Simi Kedia

University of Navarra - Madrid Campus - IESE Business School and Rutgers Business School

There are 3 versions of this paper

Downloads 1,356

21.

Does Financial Liberalization Spur Growth?

AFA 2002 Atlanta Meetings

Number of pages: 52 Posted: 19 Apr 2001

Working Paper Series

Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad

Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

There are 2 versions of this paper

Downloads 1,305

22.

Implied Volatilities as Forecasts of Future Volatility, Time-Varying Risk Premia, and Returns Variability

AFA 2002 Atlanta Meetings

Number of pages: 32 Posted: 04 Dec 2001

Working Paper Series

Mikhail Chernov

UCLA Anderson

Downloads 1,269

23.

Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954-2002)

Number of pages: 55 Posted: 15 Jan 2001

Working Paper Series

Puneet Handa and Ashish Tiwari

University of Iowa - Department of Finance and University of Iowa

There are 2 versions of this paper

Downloads 1,218

24.

The Dual Role of Corporate Boards as Advisors and Monitors of Management: Theory and Evidence

AFA 2002 Atlanta Meetings

Number of pages: 56 Posted: 16 Nov 2000

Working Paper Series

Renee B. Adams

University of New South Wales, Department of Banking and Finance

Downloads 1,206

25.

Liquidity in an Automated Auction

AFA 2002 Atlanta Meetings

Number of pages: 46 Posted: 05 Jan 2002

Working Paper Series

Mark Coppejans, Ian Domowitz and Ananth Madhavan

BlackRock, Inc, ITG, Inc. and BlackRock, Inc.

Downloads 1,154

26.

A Trade-based Analysis of Momentum

AFA 2002 Atlanta Meetings

Number of pages: 39 Posted: 11 Jul 2001

Working Paper Series

Soeren Hvidkjaer

Copenhagen Business School

There are 2 versions of this paper

Downloads 1,125

27.

On the Patterns and Wealth Effects of Vertical Mergers

EFA 2002 Berlin Meetings Discussion Paper; HKUST Department of Finance Working Paper

Number of pages: 36 Posted: 10 Jan 2002

Working Paper Series

Joseph P. H. Fan and Vidhan K. Goyal

The Chinese University of Hong Kong (CUHK) - School of Accountancy and Hong Kong University of Science & Technology (HKUST) - Department of Finance

Downloads 1,112

28.

The Interaction of Insiders and Outsiders in Monitoring: A Theory of Corporate Boards

Vanderbilt University Owen Graduate School of Management Working Paper No. 2001-25; AFA 2002 Atlanta Meetings

Number of pages: 53 Posted: 19 Jan 2001

Working Paper Series

Charu G. Raheja

Wake Forest University

Downloads 1,057

29.

The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

AFA 2002 Atlanta Meetings

Number of pages: 44 Posted: 13 Oct 2001

Working Paper Series

Francis A. Longstaff, Jun Liu and Ravit E. Mandell

University of California, Los Angeles (UCLA) - Finance Area, University of California, San Diego (UCSD) - Rady School of Management and Salomon Smith Barney, Inc., U.S.

There are 2 versions of this paper

Downloads 1,025

30.

Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield

London Business School Accounting Subject Area No. 032; Simon Business School Working Paper No. FR 01-21; AFA 2002 Atlanta Meetings

Number of pages: 57 Posted: 02 Dec 2001

Working Paper Series

Jay A. Shanken and Ane Tamayo

Emory University - Goizueta Business School and London School of Economics & Political Science (LSE)

There are 2 versions of this paper

Downloads 1,001

31.

Optimal Investment under Financial Constraints: The Roles of Internal Funds and Asymmetric Information

AFA 2002 Atlanta Meetings; Institute of Financial Studies, Carlson School of Management, Working Paper No. 0103

Number of pages: 42 Posted: 19 May 2001

Working Paper Series

Paul Povel and Michael Raith

University of Houston - Department of Finance, C.T. Bauer College of Business and University of Rochester - Simon Business School

Downloads 997

32.

Death Spiral Convertibles

AFA 2002 Atlanta Meetings

Number of pages: 104 Posted: 24 Jun 2001

Working Paper Series

Pierre Hillion and Theo Vermaelen

INSEAD - Finance and INSEAD - Finance

Downloads 994

33.

Why Do Managers Diversify Their Firms? Agency Reconsidered

AFA 2002 Atlanta Meetings; Amos Tuck School of Business Working Paper No. 01-01

Number of pages: 47 Posted: 01 Feb 2001

Working Paper Series

Rajesh K. Aggarwal and Andrew A. Samwick

Northeastern University and Dartmouth College - Department of Economics

There are 2 versions of this paper

Downloads 988

34.

Who's Informed? An Analysis of Stock Ownership and Informed Trading

AFA 2002 Atlanta Meetings

Number of pages: 33 Posted: 30 Apr 2001

Working Paper Series

Patrick J. Dennis and James Weston

University of Virginia - McIntire School of Commerce and Rice University - Jesse H. Jones Graduate School of Business

Downloads 978

35.

Allocating Bank Regulatory Powers: Lender of Last Resort, Deposit Insurance and Supervision

AFA 2002 Atlanta Meetings, BIS Working Paper No. 102

Number of pages: 46 Posted: 13 Dec 2005

Working Paper Series

Charles M. Kahn and João A. C. Santos

University of Illinois, Urbana-Champaign and Federal Reserve Bank of New York

There are 2 versions of this paper

Downloads 958

36.

Breadth of Ownership and Stock Returns

AFA 2002 Atlanta Meetings

Number of pages: 48 Posted: 03 Jan 2001

Working Paper Series

Joseph Chen, Harrison G. Hong and Jeremy C. Stein

University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics

There are 2 versions of this paper

Downloads 953

37.

Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards

AFA 2002 Atlanta Meetings, Sauder School of Business Working Paper

Number of pages: 48 Posted: 08 Sep 2001

Working Paper Series

Murray Z. Frank and Werner Antweiler

University of Minnesota and University of British Columbia (UBC) - Sauder School of Business

Downloads 952

38.

Common Liquidity Risk and Market Collapse: Lessons from the Market for Perps

AFA 2002 Atlanta Meetings, Forthcoming

Number of pages: 50 Posted: 03 Dec 2004

Working Paper Series

Chitru S. Fernando, Richard J. Herring and Avanidhar Subrahmanyam

University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and University of California, Los Angeles (UCLA) - Finance Area

Downloads 886

39.

An Investment-Growth Asset Pricing Model

AFA 2002 Atlanta Meetings

Number of pages: 58 Posted: 21 Jul 2001

Working Paper Series

Qing Li, Maria Vassalou and Yuhang Xing

Columbia University - Columbia Business School, Centre for Economic Policy Research (CEPR) and Rice University

There are 2 versions of this paper

Downloads 875

40.

Predicting the Next Step of a Random Walk: Experimental Evidence of Regime-Shifting Beliefs

AFA 2002 Atlanta Meetings

Number of pages: 35 Posted: 20 Apr 2001

Working Paper Series

Robert J. Bloomfield and Jeffrey Hales

Cornell University - Samuel Curtis Johnson Graduate School of Management and Georgia Institute of Technology - Scheller College of Business

Downloads 843

41.

Are Bank Loans Special? Evidence on the Post-Announcement Performance of Bank Borrowers.

AFA 2002 Atlanta Meetings

Number of pages: 41 Posted: 16 Aug 2001

Working Paper Series

Matthew T. Billett, Mark J. Flannery and Jon A. Garfinkel

Indiana University - Kelley School of Business - Department of Finance, University of Florida - Department of Finance, Insurance and Real Estate and University of Iowa - Tippie College of Business

There are 2 versions of this paper

Downloads 842

42.

Cronyism and Capital Controls: Evidence From Malaysia

AFA 2002 Atlanta Meetings

Number of pages: 41 Posted: 01 Sep 2001

Working Paper Series

Simon Johnson and Todd Mitton

Massachusetts Institute of Technology (MIT) - Entrepreneurship Center and Brigham Young University - J. Willard and Alice S. Marriott School of Management

There are 2 versions of this paper

Downloads 804

43.

A Nonlinear Factor Analysis of S&P 500 Index Option Returns

AFA 2002 Atlanta Meetings

Number of pages: 38 Posted: 04 Jul 2001

Working Paper Series

Christopher S. Jones

University of Southern California - Marshall School of Business - Finance and Business Economics Department

Downloads 775

44.

Bubbles in Experimental Asset Markets: Irrational Exuberance No More

Federal Reserve Bank of Atlanta Working Paper 2002-24

Number of pages: 40 Posted: 13 Oct 2001

Working Paper Series

Lucy F. Ackert, Narat Charupat, Bryan K. Church and Richard Deaves

Kennesaw State University - Michael J. Coles College of Business, McMaster University - DeGroote School of Business, Georgia Institute of Technology - Accounting Area and McMaster University - Michael G. DeGroote School of Business

Downloads 775

45.

A Real Options Approach to Housing Investment

AFA 2002 Atlanta Mtgs; FEDS Working Paper No. 2000-30

Number of pages: 38 Posted: 21 Dec 2001

Working Paper Series

Chris Downing and Nancy Wallace

BlackRock and University of California, Berkeley - Real Estate Group

Downloads 754

46.

The Bond/Old-Bond Spread

AFA 2002 Atlanta Meetings

Number of pages: 47 Posted: 13 Dec 2000

Working Paper Series

Arvind Krishnamurthy

Northwestern University - Kellogg School of Management

Downloads 740

47.

Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints

AFA 2002 Atlanta Meetings

Number of pages: 43 Posted: 10 Dec 2001

Working Paper Series

Tongshu Ma and Ravi Jagannathan

Binghamton University and Northwestern University - Kellogg School of Management

Downloads 723

48.

How Much is Investor Autonomy Worth?

AFA 2002 Atlanta Meetings

Number of pages: 38 Posted: 21 Dec 2001

Working Paper Series

Shlomo Benartzi and Richard H. Thaler

University of California at Los Angeles and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 684

49.

Raids, Rewards, and Reputations in the Market for CEO Talent

AFA 2002 Atlanta Meetings

Number of pages: 56 Posted: 12 Mar 2001

Working Paper Series

Charles J. Hadlock and C. Edward Fee

Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management and Tulane University - A.B. Freeman School of Business

Downloads 646

50.

Moral Hazard and Optimal Subsidiary Structure for Financial Institutions

AFA 2002 Atlanta Meetings

Number of pages: 43 Posted: 26 Aug 2001

Working Paper Series

Charles M. Kahn and Andrew Winton

University of Illinois, Urbana-Champaign and University of Minnesota - Twin Cities - Carlson School of Management

Downloads 602

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