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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 968
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 894
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 1,709
4.

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
Tulane University - A.B. Freeman School of Business, University of Virginia - Darden School of Business and Peking University - Guanghua School of Management - Finance
Downloads 1,952
5.

Multiple Unit Auctions and Short Squeezes

FEEM Working Paper No. 27.2003; EFA 2002 Berlin Meetings Presented Paper; IFA Working Paper No. 328
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 416
6.

Exploiting Short-Run Predictability

AFA 2002 Atlanta Meetings
Number of pages: 48 Posted: 22 Mar 2002
Working Paper Series
London Business School
Downloads 380
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

Multiple version iconThere are 2 versions of this paper

Downloads 2,607
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
VU Amsterdam
Downloads 420
9.

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

Purdue University Working Paper; AFA 2002 Meetings
Number of pages: 36 Posted: 28 Jan 2002
Working Paper Series
Pennsylvania State University - Department of Finance and University of Cambridge
Downloads 492
10.

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
The Chinese University of Hong Kong (CUHK) - School of Accountancy and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 1,141
11.

Liquidity in an Automated Auction

AFA 2002 Atlanta Meetings
Number of pages: 46 Posted: 05 Jan 2002
Working Paper Series
BlackRock, Inc, ITG, Inc. and BlackRock, Inc.
Downloads 1,193
12.

A Model of Asset Pricing and Portfolio Delegation

AFA 2002 Atlanta Meetings
Number of pages: 61 Posted: 05 Jan 2002
Working Paper Series
American Century Investments and Cheung Kong Graduate School of Business
Downloads 473
13.

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

AFA 2002 Atlanta Meetings
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 353
14.

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

AFA 2002 Atlanta Meeting
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 161
15.

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

AFA 2002 Atlanta Meetings
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 427
16.

House Money and Overconfidence on the Trading Floor

AFA 2002 Atlanta Meetings
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 537
17.

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
BlackRock and University of California, Berkeley - Real Estate Group
Downloads 766
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 - Leonard N. Stern School of Business - Department of Economics and Cornell University - Samuel Curtis Johnson Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,615
19.

How Much is Investor Autonomy Worth?

AFA 2002 Atlanta Meetings
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 726
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 391
21.

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

AFA 2002 Atlanta Meetings
Number of pages: 50 Posted: 21 Dec 2001
Working Paper Series
Washington University, Saint Louis - John M. Olin School of Business
Downloads 241
22.

The Telescoping Overlap Problem in Options Data

AFA 2002 Atlanta Meetings
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 334
23.

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

AFA 2002 Atlanta Meetings
Number of pages: 66 Posted: 18 Dec 2001
Working Paper Series
INSEAD - Finance and European Central Bank (ECB)
Downloads 436
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 421
25.

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
Downloads 734
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
OP Jindal Global University and California Institute of Technology
Downloads 482
27.

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

AFA 2002 Atlanta Meetings
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 333
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 278
29.

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

AFA 2002 Atlanta Meetings
Number of pages: 30 Posted: 05 Dec 2001
Working Paper Series
University of Arizona and School of Business, University of Vermont
Downloads 181
30.

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
UCLA Anderson
Downloads 1,287
31.

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

Multiple version iconThere are 2 versions of this paper

Downloads 1,006
32.

Analyzing the Analysts: When Do Recommendations Add Value?

AFA 2002 Atlanta Meetings
Number of pages: 55 Posted: 22 Nov 2001
Working Paper Series
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 3,553
33.

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
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 817
34.

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
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 1,032
35.

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

AFA 2002 Atlanta Meetings
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 589
36.

A Nonparametric Test of Market (Mis-) Timing

AFA 2002 Atlanta Meetings
Number of pages: 52 Posted: 13 Oct 2001
Working Paper Series
Columbia Business School - Finance and Economics
Downloads 456
37.

Dynamic Choice and Risk Aversion

AFA 2002 Atlanta Meetings
Number of pages: 30 Posted: 13 Oct 2001
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management
Downloads 348
38.

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

AFA 2002 Atlanta Meetings, U of London Queen Mary Economics Working Paper No. 460
Number of pages: 62 Posted: 13 Oct 2001
Working Paper Series
University of Lugano
Downloads 228
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 209
40.

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

AFA 2002 Atlanta Meetings
Number of pages: 43 Posted: 13 Oct 2001
Working Paper Series
Toulouse School of Economics
Downloads 156
41.

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

Journal of Finance, Vol. 57, pp. 931-958, 2002
Posted: 13 Oct 2001
Accepted Paper Series
Cornerstone Research
42.

Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs

AFA 2002 Atlanta Meetings
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 178
43.

Are Firms Successful at 'Selective' Hedging?

AFA 2002 Atlanta Meetings
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 347
44.

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
AQR Capital Management, LLC, University of California, Irvine - Accounting Area and Boston University Questrom School of Business
Downloads 1,892
45.

Interest Rates and the Durability of Consumption Goods

AFA 2002 Atlanta Meetings; Yale ICF Working Paper No. 00-52
Number of pages: 53 Posted: 19 Sep 2001
Working Paper Series
Columbia University - Columbia Business School
Downloads 383
46.

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

AFA 2002 Atlanta Meetings
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 485
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 1,014
48.

Range-Based Estimation of Stochastic Volatility Models

Journal of Finance, Vol. 57, pp. 1047-1091, 2002
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 819
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
University of Illinois, Urbana-Champaign and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 614