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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 438
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 316
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 5,149
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 1,635
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
HKUST Business School and University of Ljubljana - Faculty of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 789
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 1,817
7.

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

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 316
8.

Pricing Derivative Securities Using Cross-Entropy: An Economic Analysis

Number of pages: 22 Posted: 10 May 2003
Working Paper Series
University of Muenster - Finance Center Muenster
Downloads 424
9.

Equilibrium Impact of Value-at-Risk Regulation

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 1,076
10.

Efficient Governance Structures, Corporate Investment, and Profitability

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 745
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 428
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 1,136
13.

Returns and Volatility Asymmetries in Global Stock Markets

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 384
14.

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

Number of pages: 48 Posted: 20 Jun 2002
Working Paper Series
Unniversity of Lille, NHH-Caltech and University of Lille II - GERME Research Center

Multiple version iconThere are 2 versions of this paper

Downloads 591
15.

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

Number of pages: 12 Posted: 10 Jun 2002
Working Paper Series
Novosibirsk State University - Department of Economics
Downloads 137
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 1,079
17.

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

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 121
18.

Performance, Herding, and Career Concerns of Individual Financial Analysts

Number of pages: 52 Posted: 22 Mar 2002
Working Paper Series
University of Arkansas - Department of Finance
Downloads 916
19.

Industry Returns, Single and Multifactor Asset Pricing Tests

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 593
20.

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

Number of pages: 30 Posted: 22 Mar 2002
Working Paper Series
Maastricht University and Utrecht University - School of Economics
Downloads 589
21.

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

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 895
22.

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

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 811
23.

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

Number of pages: 32 Posted: 21 Mar 2002
Working Paper Series
Degroof Petercam Asset Management, University of Antwerp Department of Accounting & Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 684
24.

Managerial Compensation Contracts and Overconfidence

Number of pages: 35 Posted: 20 Mar 2002
Working Paper Series
European University Viadrina Frankfurt (Oder) - Department of Economics
Downloads 952
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 3,404
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 1,053
27.

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

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 482
28.

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

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 320
29.

International Transmission of Uncertainty Implicit in Stock Index Option Prices

Number of pages: 29 Posted: 16 Mar 2002
Working Paper Series
University of Oulu and University of Vaasa - Department of Accounting and Finance
Downloads 225
30.

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

Number of pages: 36 Posted: 16 Mar 2002
Working Paper Series
affiliation not provided to SSRN
Downloads 158
31.

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

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 105
32.

Stock Valuation and Learning About Profitability

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 1,241
33.

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

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 610
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 House of Finance at Stockholm School of Economics
Downloads 173
35.

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

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 533
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 495
37.

Conditioning Information and European Bond Fund Performance

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 388
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 355
39.

Which Volatility Model Should Be Used for Option Pricing?

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 662
40.

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

Number of pages: 30 Posted: 04 Mar 2002
Working Paper Series
Warwick Business School
Downloads 563
41.

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

Number of pages: 10 Posted: 04 Mar 2002
Working Paper Series
infinada
Downloads 457
42.

Risk-Minimizing Hedging of General Cash Flows in Discrete Time

Number of pages: 25 Posted: 04 Mar 2002
Working Paper Series
Martin Luther Universitat Halle Wittenberg
Downloads 289
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 2,210
44.

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

Number of pages: 21 Posted: 03 Mar 2002
Working Paper Series
Swedish School of Economics and Business Administration and Hanken School of Economics
Downloads 613
45.

Smart Monte Carlo: Various Tricks Using Malliavin Calculus

Number of pages: 11 Posted: 02 Mar 2002
Working Paper Series
LAMSADE- Paris Dauphine University
Downloads 4,363
46.

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

Number of pages: 40 Posted: 01 Mar 2002
Working Paper Series
Jyväskylä University School of Business and Economics and University of Oulu
Downloads 177
47.

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

Number of pages: 36 Posted: 27 Feb 2002
Working Paper Series
University of Fribourg, Financial Management Department
Downloads 1,981
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 338
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 1,587
50.

Subordinated Debt and Equity: Complements or Substitutes?

Posted: 24 Feb 2002
Working Paper Series
SSEES, University College London