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EFA 2002 Berlin Meetings Discussion Papers (Archive)

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Viewing: 1 - 50 of 68 papers

1.

How Investors Trade Around Interim Earnings Announcements

EFA 2002 Berlin, Forthcoming
Number of pages: 56 Posted: 10 Mar 2007
Working Paper Series
Turku School of Economics at the University of Turku - Department of Accounting & Finance
Downloads 427
2.

Testing for Stochastic Dominance with Diversification Possibilities

ERIM Report Series Reference No. ERS-2001-38-F&A; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 36 Posted: 19 Nov 2005
Working Paper Series
Graduate School of Business of Nazarbayev University
Downloads 313
3.

Corporate Performance, Board Structure and its Determinants in the Banking Industry

EFA 2005 Moscow Meetings
Number of pages: 42 Posted: 20 Jun 2005
Working Paper Series
University of Oxford and Independent
Downloads 4,812
4.

Powerful CEOS and Their Impact on Corporate Performance

AFA 2004 San Diego Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 36 Posted: 11 Nov 2003
Working Paper Series
University of Illinois at Urbana-Champaign, University of Oxford and London School of Economics - Department of Finance
Downloads 1,583
5.

Melting Pot or Salad Bowl: Some Evidence from U.S. Investments Abroad

EFA 2003 Annual Conference Paper No. 650
Number of pages: 49 Posted: 06 Aug 2003
Working Paper Series
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management and University of Ljubljana - Faculty of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 774
6.

Comparing Possible Proxies of Corporate Bond Liquidity

Journal of Banking and Finance, Vol. 29, No. 6, pp. 1331-1358, 2005, EFA 2003 Annual Conference Paper No. 298
Number of pages: 39 Posted: 01 Aug 2003
Accepted Paper Series
Robeco Investment Research, AEGON Group - AEGON Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 1,735
7.

Tax Driven One-Time Dividends and the Managerial Discretion Hypothesis - New Evidence from Germany

EFMA 2003 Helsinki Meetings
Number of pages: 20 Posted: 08 Jun 2003
Working Paper Series
Technische Universität München (TUM), University of Würzburg - Business Administration & Economics and University of Wuerzburg
Downloads 307
8.

Pricing Derivative Securities Using Cross-Entropy: An Economic Analysis

EFMA 2003 Helsinki Meetings
Number of pages: 22 Posted: 10 May 2003
Working Paper Series
University of Muenster - Finance Center Muenster
Downloads 408
9.

Equilibrium Impact of Value-at-Risk Regulation

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 64 Posted: 14 Nov 2002
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads 1,063
10.

Efficient Governance Structures, Corporate Investment, and Profitability

GEABA Discussion Paper No. 02-07; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 18 Posted: 26 Aug 2002
Working Paper Series
University of Augsburg - Faculty of Business and Economics, University of Augsburg and Wissenschaftliche Hochschule fuer Unternehmensfuehrung (WHU) Koblenz
Downloads 728
11.

Equity Trading by Institutional Investors: To Cross or Not to Cross

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 23 Posted: 05 Aug 2002
Working Paper Series
Norwegian Ministry of Trade and Industry and University of Stavanger
Downloads 420
12.

Hedging Volatility Risk

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 34 Posted: 13 Jul 2002
Working Paper Series
New York University (NYU) - Department of Finance, Lehman Brothers, New York and University of Otago, Otago Business School, Department of Accountancy and Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,106
13.

Returns and Volatility Asymmetries in Global Stock Markets

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 35 Posted: 13 Jul 2002
Working Paper Series
Drexel University - Department of Finance, Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Downloads 380
14.

Credit Rationing, Customer Relationship and the Number of Banks: An Empirical Analysis

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 48 Posted: 20 Jun 2002
Working Paper Series
University of Lille II - University of Lille LSMRC & ISA, Univ. Lille and University of Lille II - GERME Research Center

Multiple version iconThere are 2 versions of this paper

Downloads 574
15.

Cost of Borrowing as an Indicator of Region-Specific Investment Risk: The Case of Russia

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 12 Posted: 10 Jun 2002
Working Paper Series
Novosibirsk State University - Department of Economics
Downloads 131
16.

Price Volatility and Investor Behavior in an Overlapping Generations Model with Information Asymmetry

AFA 2003 Washington, DC Meetings, Yale ICF Working Paper No. 02-12
Number of pages: 48 Posted: 07 May 2002
Working Paper Series
University of Alberta - School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,050
17.

Tax Relief Mechanisms and the Least Taxed Path for Circulating Income within a Multinational Enterprise

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 31 Posted: 01 Apr 2002
Working Paper Series
Facultes Universitaires Catholiques de Mons (FUCAM) and Facultes Universitaires Catholiques de Mons (FUCAM) - Department of Finance
Downloads 117
18.

Performance, Herding, and Career Concerns of Individual Financial Analysts

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 52 Posted: 22 Mar 2002
Working Paper Series
University of Arkansas - Department of Finance
Downloads 876
19.

Industry Returns, Single and Multifactor Asset Pricing Tests

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 28 Posted: 22 Mar 2002
Working Paper Series
Nottingham University Business School and University of Leeds - Leeds University Business School (LUBS)
Downloads 578
20.

Bank Size, Specialization and Efficiency: The Netherlands, 1992-1998

Maastricht University Department of Economics Working paper RM/01/018; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 30 Posted: 22 Mar 2002
Working Paper Series
Maastricht University and Utrecht University - Utrecht University School of Economics
Downloads 568
21.

The Influence of Managerial Ownership on the Real Gains in Corporate Mergers and Market Revaluation of Merger Partners: Empirical Evidence

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 43 Posted: 21 Mar 2002
Working Paper Series
Department of Finance, Birmingham Business School, University of Birmingham, University of Oklahoma - Michael F. Price College of Business and University of Oklahoma Price College of Business
Downloads 866
22.

Survival, Look-Ahead Bias and the Performance of Hedge Funds

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 27 Posted: 21 Mar 2002
Working Paper Series
ESMT European School of Management and Technology, TIAS School for Business and Society and Erasmus University - Rotterdam School of Management
Downloads 789
23.

Value and Size Effects: Now You See it, Now You Don't

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 32 Posted: 21 Mar 2002
Working Paper Series
Bank Degroof Petercam, University of Antwerp Department of Accounting & Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 654
24.

Managerial Compensation Contracts and Overconfidence

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 35 Posted: 20 Mar 2002
Working Paper Series
European University Viadrina Frankfurt (Oder) - Department of Economics
Downloads 891
25.

An Empirical Analysis of Venture Capital Exits in Europe and the United States

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 40 Posted: 19 Mar 2002
Working Paper Series
SKEMA Business School
Downloads 3,168
26.

Modeling the Conditional Covariance between Stock and Bond Returns: A Multivariate GARCH Approach

ERIM Report Series No. ERS-2002-11-F&A, EFA 2002 Berlin Meetings Discussion Paper, EFMA 2002 London Meetings
Number of pages: 45 Posted: 16 Mar 2002
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Financial Management and Tilburg University

Multiple version iconThere are 2 versions of this paper

Downloads 990
27.

A Critical Investigation of the Explanatory Role of Factor Mimicking Portfolios in Multifactor Asset Pricing Models

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 31 Posted: 16 Mar 2002
Working Paper Series
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 466
28.

Efficiency and Profitability Test of Investment Firms: A Comparison between the UK and Italian Industries

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 32 Posted: 16 Mar 2002
Working Paper Series
Catholic University of the Sacred Heart of Milan - Institute of Economy and Finance
Downloads 312
29.

International Transmission of Uncertainty Implicit in Stock Index Option Prices

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 29 Posted: 16 Mar 2002
Working Paper Series
University of Oulu and University of Vaasa - Department of Accounting and Finance
Downloads 219
30.

Expectations of Infrequently Occurring Jumps in Returns: The Reclined 7-Curve Shape of Cumulative Abnormal Returns

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 36 Posted: 16 Mar 2002
Working Paper Series
affiliation not provided to SSRN
Downloads 153
31.

The Explanatory Role of Factor Portfolios for Industries Exposed to Foreign Competition: Evidence from the Swedish Stock Market

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 41 Posted: 16 Mar 2002
Working Paper Series
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University - Department of Economics
Downloads 97
32.

Stock Valuation and Learning About Profitability

CRSP Working Paper No. 537; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 60 Posted: 11 Mar 2002
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 1,223
33.

Shareholder Wealth Effects of Joint Venture Strategies: Theory and Evidence from the Netherlands

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 17 Posted: 11 Mar 2002
Working Paper Series
affiliation not provided to SSRN and Erasmus University Rotterdam (EUR) - Department of Financial Management
Downloads 592
34.

Foreigners' Trading and Price Effects Across Firms

Journal of Banking and Finance, Vol. 28, 2004
Number of pages: 29 Posted: 10 Mar 2002 Last Revised: 14 Aug 2015
Accepted Paper Series
Stockholm School of Economics and Swedish National Debt Office
Downloads 161
35.

Common Risk Factors vs. Mispricing Factor of Tokyo Stock Exchange Firms: Inquries into the Fundamental Price Derived from Analysts' Earnings Forecasts

Musashi University Faculty of Economics Discussion Paper No. 31; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 39 Posted: 09 Mar 2002
Working Paper Series
Chuo University - Graduate School of Strategic Management, Waseda University and Graduate School of Business and Finance
Downloads 520
36.

Securitisation and Rate Setting in the UK Mortgage Market

EFA 2002 Berlin Meetings Discussion Paper, City University Business School Finance Working Paper No. 2, Cass Business School Research Paper
Number of pages: 36 Posted: 09 Mar 2002
Working Paper Series
Massey University - Department of Commerce
Downloads 489
37.

Conditioning Information and European Bond Fund Performance

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 34 Posted: 05 Mar 2002
Working Paper Series
University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 381
38.

Dynamic Strategies, Asset Pricing Models, and the Out-of-Sample Performance of the Tangency Portfolio

FRB of Atlanta Working Paper No. 2003-6
Number of pages: 57 Posted: 04 Mar 2002
Working Paper Series
Warwick Business School
Downloads 341
39.

Which Volatility Model Should Be Used for Option Pricing?

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 40 Posted: 04 Mar 2002
Working Paper Series
University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 650
40.

Financial Engineering and Firm Value: Split-Capital Closed-End Funds in the UK

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 30 Posted: 04 Mar 2002
Working Paper Series
Warwick Business School
Downloads 553
41.

Quantile-Var is the Wrong Measure to Quantify Market Risk for Regulatory Purposes

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 10 Posted: 04 Mar 2002
Working Paper Series
infinada
Downloads 442
42.

Risk-Minimizing Hedging of General Cash Flows in Discrete Time

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 25 Posted: 04 Mar 2002
Working Paper Series
Martin Luther Universitat Halle Wittenberg
Downloads 281
43.

Intertemporal CAPM and the Cross-Section of Stock Returns

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 56 Posted: 03 Mar 2002
Working Paper Series
University of California, Davis - Graduate School of Management
Downloads 1,980
44.

Share Repurchases, Dividends, and Executive Options: Empirical Evidence from Finland

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 21 Posted: 03 Mar 2002
Working Paper Series
Swedish School of Economics and Business Administration and Hanken School of Economics
Downloads 599
45.

Smart Monte Carlo: Various Tricks Using Malliavin Calculus

Goldman Sachs Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 11 Posted: 02 Mar 2002
Working Paper Series
A.I. Square Connect
Downloads 1,990
46.

The Performance of Economic Tracking Portfolios in an It-Sensitive Stock Market

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 40 Posted: 01 Mar 2002
Working Paper Series
Jyväskylä University School of Business and Economics and University of Oulu
Downloads 167
47.

Association between Accounting Earnings and Stock Returns as a Measure of Value Relevance of Accounting Standards: Empirical Evidence from the Swiss Market

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 36 Posted: 27 Feb 2002
Working Paper Series
University of Fribourg, Financial Management Department
Downloads 1,930
48.

The European Single Currency and the Volatility of European Stock Markets

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper; GRETA Associati Venezia Working Paper No. 0102
Number of pages: 39 Posted: 26 Feb 2002
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 326
49.

The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: The Case of Corn and Wheat

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 32 Posted: 24 Feb 2002 Last Revised: 05 Oct 2008
Working Paper Series
Banco de Mexico
Downloads 1,537
50.

Subordinated Debt and Equity: Complements or Substitutes?

EFA 2002 Berlin Meetings Discussion Paper
Posted: 24 Feb 2002
Working Paper Series
SSEES, University College London