1.
Market Liquidity as a Sentiment Indicator
Number of pages: 48
Posted: 02 Jul 2008
Last Revised: 13 Jan 2009
Working Paper Series
Harvard Business School and Harvard University - Department of Economics
There are 3 versions of this paper
Market Liquidity as a Sentiment Indicator
Number of pages: 48
Posted: 02 Jul 2008
Last Revised: 13 Jan 2009
Downloads
1,481
Market Liquidity as a Sentiment Indicator
NBER Working Paper No. w8816
Number of pages: 48
Posted: 28 Feb 2002
Last Revised: 26 Oct 2010
Downloads
95
Market Liquidity as a Sentiment Indicator
Journal of Financial Markets, Vol. 7, No. 3, pp. 271-299, June 2004
Posted: 13 Oct 2004
Last Revised: 12 Aug 2008
Downloads
1,481
2.
Positive Feedback Trading Under Stress: Evidence from the Us Treasury Securities Market
AFA 2003 Washington, DC Meetings, BIS Working Paper No. 122
Number of pages: 50
Posted: 13 Dec 2005
Working Paper Series
Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads
386
3.
Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios
BIS Working Paper No. 118, AFA 2003 Washington, DC Meetings; London Business School, NYU Stern School of Business Working Paper
Number of pages: 61
Posted: 13 Dec 2005
Working Paper Series
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
There are 2 versions of this paper
Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios
BIS Working Paper No. 118, AFA 2003 Washington, DC Meetings; London Business School, NYU Stern School of Business Working Paper
Number of pages: 61
Posted: 13 Dec 2005
Downloads
1,673
Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios
Journal of Business, Forthcoming
Posted: 08 Jun 2004
Downloads
1,673
4.
Equilibrium Asset Pricing Under Heterogeneous Information
EFA 2004 Maastricht Meetings Paper No. 5083; 13th Annual Utah Winter Finance Conference; AFA 2003 Washington, DC Meetings
Number of pages: 36
Posted: 09 Jun 2004
Working Paper Series
Centre for Economic Policy Research (CEPR), University of Melbourne - Department of Finance and Carnegie Mellon University - David A. Tepper School of Business
Downloads
843
5.
Bidding and Performance in Repo Auctions - Evidence from ECB Open Market Operations
CEPR Discussion Paper No. 4367
Number of pages: 46
Posted: 26 May 2004
Working Paper Series
European Central Bank (ECB), University of Zurich - Department of Banking and Finance and Stanford University - Graduate School of Business
There are 3 versions of this paper
Bidding and Performance in Repo Auctions - Evidence from ECB Open Market Operations
AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper; ECB Working Paper No. 157
Number of pages: 57
Posted: 29 May 2003
Downloads
370
Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
FEEM Working Paper No. 92.05
Number of pages: 59
Posted: 28 Jul 2005
Downloads
197
Bidding and Performance in Repo Auctions - Evidence from ECB Open Market Operations
CEPR Discussion Paper No. 4367
Number of pages: 46
Posted: 26 May 2004
Downloads
25
Downloads
25
6.
Ownership: Evolution and Regulation
ECGI - Finance Working Paper No. 09/2003, EFA 2004 Maastricht Meetings Paper No. 3205, AFA 2003 Washington, DC Meetings, Review of Financial Studies, Forthcoming
Number of pages: 68
Posted: 26 Jan 2004
Last Revised: 30 Jun 2008
Working Paper Series
London Business School - Institute of Finance and Accounting, University of Oxford - Said Business School and Bocconi University
There are 2 versions of this paper
Ownership: Evolution and Regulation
ECGI - Finance Working Paper No. 09/2003, EFA 2004 Maastricht Meetings Paper No. 3205, AFA 2003 Washington, DC Meetings, Review of Financial Studies, Forthcoming
Number of pages: 68
Posted: 26 Jan 2004
Last Revised: 30 Jun 2008
Downloads
6,615
Ownership: Evolution and Regulation
The Review of Financial Studies, Vol. 22, No. 10, pp. 4009-4056, 2009
Posted: 28 Sep 2009
Downloads
6,615
7.
Limited Attention, Information Disclosure, and Financial Reporting
JAE Boston Conference October 2002
Number of pages: 63
Posted: 06 Jan 2004
Working Paper Series
University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Accounting Area
Downloads
3,132
8.
Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole
Journal of Finance, Forthcoming
Posted: 24 Nov 2003
Last Revised: 31 Mar 2015
Accepted Paper Series
University of Texas at Austin - Department of Finance, College of Business, Governors State University and University of Melbourne - Faculty of Business and Economics
9.
News Spillovers in the Sovereign Debt Market
AFA 2003 Washington, DC Meetings
Number of pages: 42
Posted: 23 Nov 2003
Working Paper Series
Southern Methodist University (SMU) - Finance Department and Vanderbilt University - Finance
There are 2 versions of this paper
News Spillovers in the Sovereign Debt Market
AFA 2003 Washington, DC Meetings
Number of pages: 42
Posted: 23 Nov 2003
Downloads
218
News Spillovers in the Sovereign Debt Market
Journal of Financial Economics, Vol. 75, No. 3, pp. 691-734, March 2005
Posted: 05 Dec 2003
Downloads
218
10.
Overconfidence and Speculative Bubbles
13th Annual Utah Winter Finance Conference; AFA 2003 Washington, DC Meetings
Number of pages: 46
Posted: 31 Jul 2003
Working Paper Series
Columbia University and Princeton University - Department of Economics
There are 2 versions of this paper
Overconfidence and Speculative Bubbles
13th Annual Utah Winter Finance Conference; AFA 2003 Washington, DC Meetings
Number of pages: 46
Posted: 31 Jul 2003
Downloads
2,271
Overconfidence and Speculative Bubbles
Journal of Political Economy, Vol. 111, December 2003
Posted: 03 Oct 2003
Downloads
2,271
11.
Liquidity and Financial Market Runs
Yale ICF Working Paper No. 02-11; AFA 2003 Washington, DC Meetings
Number of pages: 35
Posted: 15 Jul 2003
Working Paper Series
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA)
Downloads
2,776
12.
Bidding and Performance in Repo Auctions - Evidence from ECB Open Market Operations
AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper; ECB Working Paper No. 157
Number of pages: 57
Posted: 29 May 2003
Working Paper Series
University of Zurich - Department of Banking and Finance, European Central Bank (ECB) and Stanford University - Graduate School of Business
There are 3 versions of this paper
Bidding and Performance in Repo Auctions - Evidence from ECB Open Market Operations
AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper; ECB Working Paper No. 157
Number of pages: 57
Posted: 29 May 2003
Downloads
370
Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
FEEM Working Paper No. 92.05
Number of pages: 59
Posted: 28 Jul 2005
Downloads
197
Bidding and Performance in Repo Auctions - Evidence from ECB Open Market Operations
CEPR Discussion Paper No. 4367
Number of pages: 46
Posted: 26 May 2004
Downloads
25
Downloads
370
13.
Market Timing and Managerial Portfolio Decisions
MIT Sloan Working Paper No. 4310-03; AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 61
Posted: 21 May 2003
Working Paper Series
London School of Economics & Political Science (LSE) - Department of Finance
Downloads
1,829
14.
The Behavior of Bid-Ask Spreads and Volume in Options Markets During the Competition for Listings in 1999
AFA 2003 Washington, DC Meetings
Number of pages: 38
Posted: 27 Dec 2002
Working Paper Series
Federal Reserve Bank of Boston - Supervision and Regulation, University of Richmond - E. Claiborne Robins School of Business and American University - Department of Finance and Real Estate
Downloads
264
15.
A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium
AFA 2003 Washington, DC Meetings
Number of pages: 36
Posted: 21 Dec 2002
Working Paper Series
INSEAD and INSEAD - Finance
Downloads
260
16.
Can Ownership Restrictions Enhance Security Value? Evidence from a Natural Experiment
AFA 2003 Washington, DC Meetings
Number of pages: 40
Posted: 17 Dec 2002
Working Paper Series
Southern Methodist University (SMU) - Finance Department and Duke University - Fuqua School of Business
Downloads
160
17.
On the Wealth and Risk Effects of the Glass-Steagall Overhaul: Evidence from the Stock Market
AFA 2003 Washington, DC Meetings
Posted: 16 Dec 2002
Working Paper Series
University of Notre Dame
18.
What Can We Learn About Investment and Capital Structure with a Better Measure of Q?
AFA 2003 Washington, DC Meetings
Number of pages: 50
Posted: 15 Dec 2002
Working Paper Series
Williams College - Department of Economics and Columbia Business School - Finance and Economics
Downloads
553
19.
CEO Overconfidence and Corporate Investment
AFA 2003 Washington, DC Meetings
Number of pages: 76
Posted: 14 Dec 2002
Working Paper Series
University of California, Berkeley - Department of Economics and University of North Carolina Kenan-Flagler Business School
There are 2 versions of this paper
CEO Overconfidence and Corporate Investment
AFA 2003 Washington, DC Meetings
Number of pages: 76
Posted: 14 Dec 2002
Downloads
2,050
CEO Overconfidence and Corporate Investment
NBER Working Paper No. w10807
Number of pages: 57
Posted: 13 Oct 2004
Last Revised: 14 Jul 2010
Downloads
133
Downloads
2,050
20.
Talking Up Liquidity: Insider Trading and Investor Relations
AFA 2003 Washington, DC Meetings
Number of pages: 45
Posted: 04 Dec 2002
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads
645
21.
The Price of Diversifiable Risk in Venture Capital and Private Equity
AFA 2003 Washington, DC Meetings
Number of pages: 53
Posted: 30 Nov 2002
Last Revised: 05 Jun 2013
Working Paper Series
California Institute of Technology - Division of the Humanities and Social Sciences, Columbia Business School and Harvard Business School - Entrepreneurial Management Unit
Downloads
2,515
22.
Optimal Diversification
AFA 2003 Washington, DC Meetings
Number of pages: 31
Posted: 30 Nov 2002
Working Paper Series
The Wharton School and University of California, Berkeley
There are 2 versions of this paper
Downloads
625
Downloads
26
Downloads
625
23.
Monitoring Financial Intermediaries with Subordinated Debt: A Dynamic Signal Model for Bank Risk
AFA 2003 Washington, DC Meetings
Number of pages: 32
Posted: 30 Nov 2002
Working Paper Series
University of California, Riverside (UCR) - Department of Economics and Ryerson University, TGSM
Downloads
307
24.
The Real Effects of Investor Sentiment
AFA 2003 Washington, DC Meetings
Number of pages: 69
Posted: 30 Nov 2002
Working Paper Series
London School of Economics and Northwestern University - Kellogg School of Management - Department of Finance
There are 4 versions of this paper
The Real Effects of Investor Sentiment
AFA 2003 Washington, DC Meetings
Number of pages: 69
Posted: 30 Nov 2002
Downloads
950
The Real Effects of Investor Sentiment
6th Annual Texas Finance Festival
Number of pages: 61
Posted: 01 Sep 2004
Downloads
349
The Real Effects of Investor Sentiment
NBER Working Paper No. w10563
Number of pages: 62
Posted: 04 Jul 2004
Downloads
78
The Real Effects of Investor Sentiment
CEPR Discussion Paper No. 3826
Number of pages: 70
Posted: 08 May 2003
Downloads
33
Downloads
950
25.
Outside Directors and Corporate Board Decisions: A Natural Experiment
AFA 2003 Washington, DC Meetings
Number of pages: 41
Posted: 30 Nov 2002
Working Paper Series
Zicklin School of Business, Baruch College - The City University of New York and Purdue University
Downloads
803
26.
Signaling, Free Cash Flow, and 'Nonmonotonic' Dividends
AFA 2003 Washington, DC Meetings
Number of pages: 37
Posted: 30 Nov 2002
Working Paper Series
University of Mississippi - School of Business Administration and Washington University, Saint Louis - John M. Olin School of Business
Downloads
1,260
27.
Systemic Risk and International Portfolio Choice
AFA 2003 Washington, DC Meetings
Number of pages: 55
Posted: 30 Nov 2002
Working Paper Series
Santa Clara University - Leavey School of Business and EDHEC Business School
There are 2 versions of this paper
Systemic Risk and International Portfolio Choice
AFA 2003 Washington, DC Meetings
Number of pages: 55
Posted: 30 Nov 2002
Downloads
864
Systemic Risk and International Portfolio Choice
CEPR Discussion Paper No. 3305
Number of pages: 59
Posted: 14 May 2002
Downloads
29
Downloads
864
28.
Transfer Activity in 401(K) Plans
AFA 2003 Washington, DC Meetings
Posted: 26 Nov 2002
Working Paper Series
College of William and Mary - Mason School of Business and Boston College - Carroll School of Management
29.
Defaultable Bonds and Default Correlation
AFA 2003 Washington, DC Meetings
Number of pages: 41
Posted: 25 Nov 2002
Working Paper Series
Imperial College Business School and University of Auckland
Downloads
625
30.
Numeraire Portfolio Tests of the Size and Source of Gains from International Diversification
AFA 2003 Washington, DC Meetings
Number of pages: 38
Posted: 25 Nov 2002
Working Paper Series
Alternative Risk Premia Investments and Simon Graduate School of Business, University of Rochester
Downloads
386
31.
Market Valuation and Merger Waves
Journal of Finance, Forthcoming
Posted: 22 Nov 2002
Accepted Paper Series
Harvard Business School - Entrepreneurial Management Unit and Duke University - Fuqua School of Business
32.
Who Moves the Market? A Study of Stock Prices and Investment Cashflows
AFA 2003 Washington, DC Meetings
Number of pages: 36
Posted: 21 Nov 2002
Working Paper Series
Brigham Young University - J. Willard and Alice S. Marriott School of Management and University of California, Irvine - Paul Merage School of Business
Downloads
1,113
33.
Is Dividend Policy Related to Information Asymmetry: Evidence from Insider Trading Gains
AFA 2003 Washington, DC Meetings
Number of pages: 46
Posted: 15 Nov 2002
Working Paper Series
University of Wisconsin - Milwaukee and University of Wisconsin - Milwaukee - Sheldon B. Lubar School of Business
Downloads
2,159
34.
Venture Capitalists Versus Angels: The Dynamics of Private Firm Financing Contracts
AFA 2003 Washington, DC Meetings
Number of pages: 55
Posted: 15 Nov 2002
Working Paper Series
Boston College - Carroll School of Management and University of Pennsylvania - The Wharton School
Downloads
1,744
35.
Book Values, Earnings, and Market Valuations
AFA 2003 Washington, DC Meetings
Number of pages: 50
Posted: 15 Nov 2002
Working Paper Series
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Fox School of Business
Downloads
782
36.
A Catering Theory of Dividends
Number of pages: 61
Posted: 15 Nov 2002
Last Revised: 12 Aug 2008
Working Paper Series
Harvard Business School and NYU Stern School of Business
There are 4 versions of this paper
A Catering Theory of Dividends
Number of pages: 61
Posted: 15 Nov 2002
Last Revised: 12 Aug 2008
Downloads
1,182
A Catering Theory of Dividends
NYU Working Paper No. FIN-02-012
Number of pages: 63
Posted: 03 Nov 2008
Downloads
195
A Catering Theory of Dividends
NBER Working Paper No. w9542
Number of pages: 63
Posted: 13 Mar 2003
Last Revised: 01 Nov 2010
Downloads
86
A Catering Theory of Dividends
Journal of Finance, Vol. 59, No. 3, pp. 1125-1165, June 2004
Posted: 15 Jul 2003
Last Revised: 13 Aug 2008
Downloads
1,182
37.
The Ownership and Financing of Innovation in R&D Races
AFA 2003 Washington, DC Meetings
Number of pages: 59
Posted: 11 Nov 2002
Working Paper Series
University of North Carolina Kenan-Flagler Business School and Indiana University - Kelley School of Business - Department of Finance
There are 2 versions of this paper
The Ownership and Financing of Innovation in R&D Races
ECGI - Finance Working Paper No. 18/2003
Number of pages: 54
Posted: 23 Apr 2003
Downloads
1,010
The Ownership and Financing of Innovation in R&D Races
AFA 2003 Washington, DC Meetings
Number of pages: 59
Posted: 11 Nov 2002
Downloads
345
Downloads
345
38.
Bayesian Alphas and Mutual Fund Persistence
AFA 2003 Washington, DC Meetings
Number of pages: 64
Posted: 11 Nov 2002
Working Paper Series
Emory University - Department of Finance and Neeley School of Business
Downloads
572
39.
Information and Trading on Electronic Communications Networks
AFA 2003 Washington, DC Meetings
Number of pages: 42
Posted: 11 Nov 2002
Working Paper Series
University of Rochester - Simon School (Deceased), University of California, Berkeley - Haas School of Business and U.S. Securities and Exchange Commission
Downloads
1,338
40.
Earnings and Price Momentum
AFA 2003 Washington, DC Meetings
Number of pages: 46
Posted: 10 Nov 2002
Working Paper Series
Emory University - Department of Finance and London Business School
There are 2 versions of this paper
Earnings and Price Momentum
AFA 2003 Washington, DC Meetings
Number of pages: 46
Posted: 10 Nov 2002
Downloads
2,237
Downloads
2,237
41.
How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices
AFA 2003 Washington, DC Meetings
Number of pages: 58
Posted: 30 Oct 2002
Working Paper Series
Brigham Young University - J. Willard and Alice S. Marriott School of Management, London School of Economics & Political Science (LSE) - Department of Finance and Wayne State University - Department of Economics
Downloads
363
42.
The Long-Run Underperformance of Post-Listing Stock Returns: The Evidence of Earnings Management
AFA 2003 Washington, DC Meetings
Number of pages: 60
Posted: 30 Oct 2002
Working Paper Series
National Chiao-Tung University - Graduate Institute of Finance
Downloads
331
43.
External Habit Formation and the Home Bias Puzzle
AFA 2003 Washington, DC Meetings
Number of pages: 47
Posted: 30 Oct 2002
Working Paper Series
Georgia State University and University of Illinois at Urbana-Champaign - Department of Finance
Downloads
425
44.
The Value of Corporate Diversification: Evidence from Post-Merger Performance in Japan
AFA 2003 Washington, DC Meetings
Number of pages: 33
Posted: 28 Oct 2002
Working Paper Series
Xavier University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance, KAIST (Korea Advanced Institute of Science and Technology) - College of Business and Waseda University, Graduate School of Business and Finance
Downloads
874
45.
Reputation-Based Pricing and Price Improvements in Dealership Markets
AFA 2003 Washington, DC Meetings
Number of pages: 52
Posted: 23 Oct 2002
Working Paper Series
HEC Paris - Finance Department and University of Cergy-Pontoise - THEMA
There are 2 versions of this paper
Reputation-Based Pricing and Price Improvements in Dealership Markets
AFA 2003 Washington, DC Meetings
Number of pages: 52
Posted: 23 Oct 2002
Downloads
128
Reputation-Based Pricing and Price Improvements in Dealership Markets
CEPR Discussion Paper No. 3359
Number of pages: 52
Posted: 11 Jun 2002
Downloads
22
Downloads
128
46.
The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity
13th Annual Utah Winter Finance Conference; NYU Stern School of Business Working Paper No. FIN-02-029; AFA 2003 Washington, DC Meetings
Number of pages: 56
Posted: 23 Oct 2002
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
840
47.
An Equilibrium Model of Asset Pricing and Moral Hazard
AFA 2003 Washington, DC Meetings
Number of pages: 49
Posted: 23 Oct 2002
Working Paper Series
Cheung Kong Graduate School of Business
There are 3 versions of this paper
An Equilibrium Model of Asset Pricing and Moral Hazard
AFA 2003 Washington, DC Meetings
Number of pages: 49
Posted: 23 Oct 2002
Downloads
313
An Equilibrium Model of Asset Pricing and Moral Hazard
Review of Financial Studies, Forthcoming
Number of pages: 54
Posted: 08 Nov 2004
Downloads
148
An Equilibrium Model of Asset Pricing and Moral Hazard
The Review of Financial Studies, Vol. 18, Issue 4, pp. 1253-1303, 2005
Posted: 29 Feb 2008
Downloads
313
48.
Investor Behavior and the Purchase of Company Stock in 401(K) Plans - the Importance of Plan Design
FEDS Working Paper No. FEDS2002-36; AFA 2003 Washington, DC Meetings
Number of pages: 47
Posted: 20 Oct 2002
Working Paper Series
Federal Reserve Board and University of Illinois at Urbana-Champaign - Department of Finance
There are 2 versions of this paper
Investor Behavior and the Purchase of Company Stock in 401(K) Plans - the Importance of Plan Design
FEDS Working Paper No. FEDS2002-36; AFA 2003 Washington, DC Meetings
Number of pages: 47
Posted: 20 Oct 2002
Downloads
317
Investor Behavior and the Purchase of Company Stock in 401(K) Plans - the Importance of Plan Design
NBER Working Paper No. w9131
Number of pages: 64
Posted: 30 Aug 2002
Last Revised: 11 Sep 2002
Downloads
72
Downloads
317
49.
Debt Capacity and Tests of Capital Structure Theories
AFA 2003 Washington, DC Meetings
Number of pages: 44
Posted: 17 Oct 2002
Working Paper Series
University of Colorado at Boulder - Department of Finance and University of Utah - Department of Finance
Downloads
2,974
50.
Idiosyncratic Risk Matters!
AFA 2003 Washington, DC Meetings
Number of pages: 43
Posted: 17 Oct 2002
Working Paper Series
University of Lausanne and New University of Lisbon - Nova School of Business and Economics
There are 2 versions of this paper
Idiosyncratic Risk Matters!
AFA 2003 Washington, DC Meetings
Number of pages: 43
Posted: 17 Oct 2002
Downloads
975
Idiosyncratic Risk Matters!
The Journal of Finance, Vol. 58, pp. 975-1008, June 2003
Posted: 04 Aug 2003
Downloads
975
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