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EFA 2002 Berlin Meetings Discussion Papers (Archive)

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Viewing: 1 - 50 of 68 papers

1.

Long-Term Global Market Correlations

Yale ICF Working Paper No. 08-04
Number of pages: 46 Posted: 25 Oct 2001 Last Revised: 24 Jan 2008
Working Paper Series
Yale School of Management - International Center for Finance, Capula Investment Services and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 6,040
2.

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 New South Wales, Department of Banking and Finance and Independent
Downloads 4,402
3.

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 2,929
4.

The Valuation of IPOs by Investment Banks and the Stock Market: Empirical Evidence

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 29 Posted: 28 Jan 2002
Working Paper Series
Vlerick Business School, University of Antwerp and Ghent University - Department of Financial Economics
Downloads 2,783
5.

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
Université Paris Est - Université Paris Est-Creteil
Downloads 1,919
6.

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 1,872
7.

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 1,801
8.

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 1,651
9.

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 New South Wales, Department of Banking and Finance and London School of Economics - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,532
10.

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 1,490
11.

Financial Constraints, Investment and Capital Structure: Implications From a Multi-Period Model

Hong Kong University of Science and Technology Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 53 Posted: 30 Jan 2002
Working Paper Series
The University of Sydney - Discipline of Economics and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 1,330
12.

China and the World Financial Markets 1870-1930: Modern Lessons From Historical Globalization (Chinese Version)

Yale ICF Working Paper No. 00-63; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 55 Posted: 01 Nov 2001
Working Paper Series
Yale School of Management - International Center for Finance, Cornell University and China Academy of Financial Research (CAFR)
Downloads 1,323
13.

Trading Your Neighbor's ETFs: Competition or Fragmentation?

AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 50 Posted: 29 Nov 2001
Working Paper Series
affiliation not provided to SSRN and Singapore Management University - Lee Kong Chian School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,277
14.

Do Underwater Executive Stock Options Still Align Incentives? The Effect of Stock Price Movements on Managerial Incentive-Alignment

HBS Finance School Working Paper No. 02-002
Number of pages: 73 Posted: 24 Nov 2001
Accepted Paper Series
Claremont McKenna College - Robert Day School of Economics and Finance and Harvard Business School - Finance Unit
Downloads 1,238
15.

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 1,207
16.

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 1,111
17.

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 1,091
18.

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 University of Geneva
Downloads 1,054
19.

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 1,016
20.

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 CentER, Tilburg Law and Economics Center (TILEC), Tilburg University

Multiple version iconThere are 2 versions of this paper

Downloads 971
21.

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 867
22.

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
Hong Kong University of Science & Technology (HKUST)
Downloads 847
23.

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
University of Birmingham - Birmingham Business School, University of Oklahoma - Michael F. Price College of Business and University of Oklahoma Price College of Business
Downloads 841
24.

Does 'Illiquidity' Rather Than 'Risk Aversion' Explain the Equity Premium Puzzle?: The Value of Endogenous Market Trading

University of Sydney School of Business Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 52 Posted: 18 Dec 2000
Working Paper Series
University of New South Wales (UNSW Australia)
Downloads 811
25.

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 777
26.

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 753
27.

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 714
28.

An Evaluation Framework for Alternative VaR Models

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 25 Posted: 21 Jan 2002
Working Paper Series
University of Maastricht - Limburg Institute of Financial Economics (LIFE), Luxembourg School of Finance and University of Luxembourg - Luxembourg School of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 677
29.

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 638
30.

Cookie-Cutter Versus Character: The Micro Structure of Small Business Lending by Large and Small Banks

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 46 Posted: 23 Feb 2002
Working Paper Series
University of Miami - Department of Finance, College of Business--Florida Atlantic University and New York University (NYU) - Leonard N. Stern School of Business, Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 629
31.

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
affiliation not provided to SSRN, University of Antwerp Department of Accounting & Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 626
32.

Quarterly Financial Reports and the Stock Price Reaction at the Warsaw Stock Exchange

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 25 Posted: 08 Feb 2002
Working Paper Series
Warsaw School of Economics
Downloads 608
33.

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 588
34.

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 572
35.

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
Université de Lille - LSRMC – European Center for Corporate, Université de Lille and University of Lille II - GERME Research Center

Multiple version iconThere are 2 versions of this paper

Downloads 563
36.

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 555
37.

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 549
38.

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 543
39.

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 Waseda University
Downloads 512
40.

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 486
41.

Uncovered Interest Rate Parity and the Term Structure

Columbia Business School Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 57 Posted: 06 Feb 2002
Working Paper Series
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve - Division of Monetary Affairs and Rice University

Multiple version iconThere are 2 versions of this paper

Downloads 480
42.

The Price of the Smirk: Returns to Delta and Vega Neutral Portfolios of S&P 500 Futures Options

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 30 Posted: 08 Feb 2002
Working Paper Series
City University of Hong Kong, The University of Hong Kong - School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 462
43.

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 458
44.

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 436
45.

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 421
46.

The Determinants of Corporate Liquidity in the Netherlands

Maastricht University Economics Working Paper; EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 29 Posted: 23 Feb 2002
Working Paper Series
Maastricht University - Department of Economics and Utrecht University - Utrecht University School of Economics
Downloads 417
47.

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 413
48.

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 399
49.

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 376
50.

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 371