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AFA 2002 Atlanta Meetings (Archive)

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Viewing: 1 - 50 of 94 papers

1.

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

Multiple version iconThere are 2 versions of this paper

Downloads 993
2.

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
University of Oklahoma - Michael F. Price College of Business, University of Pennsylvania - Finance Department and University of California, Los Angeles (UCLA) - Finance Area
Downloads 904
3.

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
McGill University and University of Virginia - Darden School of Business
Downloads 1,781
4.

The Illusory Nature of Momentum Profits

Number of pages: 48 Posted: 29 May 2003
Accepted Paper Series
Tulane University - A.B. Freeman School of Business, University of Virginia - Darden School of Business and Peking University - Guanghua School of Management - Finance
Downloads 2,058
5.

Multiple Unit Auctions and Short Squeezes

Number of pages: 44 Posted: 10 Apr 2003
Working Paper Series
University of Zurich - Department of Banking and Finance and Stanford University - Graduate School of Business
Downloads 436
6.

Exploiting Short-Run Predictability

Number of pages: 48 Posted: 22 Mar 2002
Working Paper Series
London Business School
Downloads 388
7.

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
Northwestern University and Moody's KMV
Downloads 2,764
8.

Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks

Journal of Financial Intermediation, Vol. 17, 2008
Number of pages: 45 Posted: 22 Feb 2002 Last Revised: 14 Jun 2008
Accepted Paper Series
Vrije Universiteit Amsterdam
Downloads 439
9.

Do Bidders Hire Top-Tier Investment Banks to Certify Value?

Number of pages: 36 Posted: 28 Jan 2002
Working Paper Series
Pennsylvania State University - Department of Finance and University of Cambridge
Downloads 515
10.

On the Patterns and Wealth Effects of Vertical Mergers

Number of pages: 36 Posted: 10 Jan 2002
Working Paper Series
The Chinese University of Hong Kong (CUHK) - School of Accountancy and HKUST
Downloads 1,193
11.

Liquidity in an Automated Auction

Number of pages: 46 Posted: 05 Jan 2002
Working Paper Series
BlackRock, Inc, ITG, Inc. and BlackRock, Inc.
Downloads 1,222
12.

A Model of Asset Pricing and Portfolio Delegation

Number of pages: 61 Posted: 05 Jan 2002
Working Paper Series
American Century Investments and Cheung Kong Graduate School of Business
Downloads 500
13.

Copycat Funds: Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry

Number of pages: 46 Posted: 05 Jan 2002
Working Paper Series
University of Chicago - Booth School of Business, National Bureau of Economic Research (NBER), University of North Carolina Kenan-Flagler Business School and Stanford University - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 360
14.

Deposit Insurance: An Outmoded Lifeboat for Today's Sea of Liquidity?

Number of pages: 50 Posted: 05 Jan 2002
Working Paper Series
Harvard University - Harvard Kennedy School (HKS) and Vienna University of Economics & Business Administration - Department of Economics
Downloads 167
15.

Characteristics, Contracts, and Actions: Evidence from Venture Capitalist Analyses

Number of pages: 51 Posted: 28 Dec 2001
Working Paper Series
Swedish House of Finance and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 460
16.

House Money and Overconfidence on the Trading Floor

Number of pages: 38 Posted: 27 Dec 2001
Working Paper Series
Texas Christian University - M.J. Neeley School of Business and Texas Christian University
Downloads 572
17.

A Real Options Approach to Housing Investment

Number of pages: 38 Posted: 21 Dec 2001
Working Paper Series
BlackRock and University of California, Berkeley - Real Estate Group
Downloads 803
18.

Time-Varying Arrival Rates of Informed and Uninformed Trades

AFA 2002 Atlanta Meetings
Number of pages: 38 Posted: 21 Dec 2001
Working Paper Series
Cornell University - Department of Economics, City University of New York, CUNY Baruch College - Zicklin School of Business, New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,694
19.

How Much is Investor Autonomy Worth?

Number of pages: 38 Posted: 21 Dec 2001
Working Paper Series
University of California at Los Angeles and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 794
20.

Great Expectations: Banks as Equity Underwriters

AFA 2002 Atlanta Meetings
Number of pages: 32 Posted: 21 Dec 2001 Last Revised: 16 Dec 2009
Working Paper Series
University of Virginia - Darden School of Business and University of Virginia - McIntire School of Commerce
Downloads 399
21.

Banking Stability, Reputational Rents, and the Stock Market: Should Bank Regulators Care About Stock Prices?

Number of pages: 50 Posted: 21 Dec 2001
Working Paper Series
Washington University, Saint Louis - John M. Olin School of Business
Downloads 244
22.

The Telescoping Overlap Problem in Options Data

Number of pages: 42 Posted: 20 Dec 2001
Working Paper Series
Platinum Grove Asset Management L.P., The Johns Hopkins Carey Business School and Aarhus University
Downloads 353
23.

Asymmetric Information and Trading Strategies: Testing Behavior on the Primary and Secondary T-Bond Markets Around Auction Days

Number of pages: 66 Posted: 18 Dec 2001
Working Paper Series
INSEAD - Finance and European Central Bank (ECB)
Downloads 450
24.

Model Misspecification and Under-Diversification

EFA 2002 Berlin Meetings Presented Paper, Sauder School of Business Working Paper
Number of pages: 31 Posted: 16 Dec 2001
Working Paper Series
University of British Columbia (UBC) - Division of Finance and EDHEC Business School

Multiple version iconThere are 2 versions of this paper

Downloads 447
25.
Downloads 762
26.

East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis

AFA 2002 Atlanta Meetings
Number of pages: 42 Posted: 10 Dec 2001
Working Paper Series
O. P. Jindal Global University and California Institute of Technology
Downloads 495
27.

What If Trading Location is Different from Business Location? Evidence from the Jardine Group

Number of pages: 38 Posted: 10 Dec 2001
Working Paper Series
CUHK Business School, National University of Singapore (NUS) - Department of Finance and Nanyang Technological University (NTU) - Division of Banking & Finance

Multiple version iconThere are 2 versions of this paper

Downloads 338
28.

On Measuring the Economic Significance of Asset Return Predictability

AFA 2002 Atlanta Meetings, Sauder School of Business Working Paper
Number of pages: 70 Posted: 08 Dec 2001
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), McIntire School, University of Virginia and University of Rochester - Simon Business School
Downloads 285
29.

Price Discovery as a Public Good: Why Dealers Do Not Engage in Bertrand Price Competition

Number of pages: 30 Posted: 05 Dec 2001
Working Paper Series
University of Arizona and School of Business, University of Vermont
Downloads 186
30.
Downloads 1,335
31.

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

Number of pages: 57 Posted: 02 Dec 2001
Working Paper Series
Emory University - Goizueta Business School and London School of Economics & Political Science (LSE)

Multiple version iconThere are 2 versions of this paper

Downloads 1,011
32.

Analyzing the Analysts: When Do Recommendations Add Value?

Number of pages: 55 Posted: 22 Nov 2001
Working Paper Series
Emory University - Department of Finance, Case Western Reserve University - Department of Banking & Finance, affiliation not provided to SSRN and Stanford University - Graduate School of Business
Downloads 3,765
33.

Bubbles in Experimental Asset Markets: Irrational Exuberance No More

Number of pages: 40 Posted: 13 Oct 2001
Working Paper Series
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 913
34.

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

Number of pages: 44 Posted: 13 Oct 2001
Working Paper Series
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.

Multiple version iconThere are 2 versions of this paper

Downloads 1,051
35.

Bank Borrowers and Loan Sales: New Evidence on the Uniqueness of Bank Loans

Number of pages: 31 Posted: 13 Oct 2001
Working Paper Series
Georgetown University - Department of Finance, Duke University - Fuqua School of Business and New York University - Leonard N. Stern School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 606
36.

A Nonparametric Test of Market (Mis-) Timing

Number of pages: 52 Posted: 13 Oct 2001
Working Paper Series
Columbia Business School - Finance and Economics
Downloads 489
37.

Dynamic Choice and Risk Aversion

Number of pages: 30 Posted: 13 Oct 2001
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management
Downloads 365
38.

Fundamental Properties of Bond Prices in Models of the Short-Term Rate

Number of pages: 62 Posted: 13 Oct 2001
Working Paper Series
University of Lugano
Downloads 236
39.

The Development of Financial Intermediation and Real Effects of Capital Account Liberalization

AFA 2002 Atlanta Meetings
Number of pages: 48 Posted: 13 Oct 2001
Working Paper Series
Federal Reserve Bank of Philadelphia and Fanhai International School of Finance, Fudan University
Downloads 216
40.

The Walrasian Tatonnement to Economize on Cognitive Transaction Costs: An Experiment

Number of pages: 43 Posted: 13 Oct 2001
Working Paper Series
Toulouse School of Economics
Downloads 164
41.

Competition, Market Structure and Bid-Ask Spreads in Stock Option Markets

Posted: 13 Oct 2001
Accepted Paper Series
Cornerstone Research
42.

Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

Number of pages: 51 Posted: 12 Oct 2001
Working Paper Series
HEC Paris and London School of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 195
43.

Are Firms Successful at 'Selective' Hedging?

Number of pages: 40 Posted: 11 Oct 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Finance Area, Northwest Nazarene University and Pennsylvania State University - Mary Jean and Frank P. Smeal College of Business Administration
Downloads 351
44.

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

Number of pages: 44 Posted: 19 Sep 2001
Working Paper Series
AQR Capital Management, LLC, University of California, Irvine - Accounting Area and Boston University Questrom School of Business
Downloads 1,917
45.

Interest Rates and the Durability of Consumption Goods

Number of pages: 53 Posted: 19 Sep 2001
Working Paper Series
Columbia University - Columbia Business School
Downloads 393
46.

A Simple Robust Test for the Presence of Jumps in Asset Prices

Number of pages: 44 Posted: 13 Sep 2001
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 492
47.

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
University of Minnesota and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,126
48.

Range-Based Estimation of Stochastic Volatility Models

Posted: 04 Sep 2001
Accepted Paper Series
University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics

Multiple version iconThere are 2 versions of this paper

49.

Cronyism and Capital Controls: Evidence from Malaysia

AFA 2002 Atlanta Meetings
Number of pages: 41 Posted: 01 Sep 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Entrepreneurship Center and Brigham Young University - J. Willard and Alice S. Marriott School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 857
50.

Moral Hazard and Optimal Subsidiary Structure for Financial Institutions

Number of pages: 43 Posted: 26 Aug 2001
Working Paper Series
University of Illinois, Urbana-Champaign and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 633