SSRN AFA 2003 Washington, DC Meetings (Archive)

1.

Market Liquidity as a Sentiment Indicator

Number of pages: 48 Posted: 02 Jul 2008 Last Revised: 13 Jan 2009

Working Paper Series

Malcolm P. Baker and Jeremy C. Stein

Harvard Business School and Harvard University - Department of Economics

There are 3 versions of this paper

Downloads 1,523

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

Benjamin H. Cohen and Hyun Song Shin

Bank for International Settlements (BIS) and Bank for International Settlements (BIS)

Downloads 412

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

Viral V. Acharya, Anthony Saunders and Iftekhar Hasan

New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business and Fordham University

There are 2 versions of this paper

Downloads 1,713

4.

Equilibrium Asset Pricing Under Heterogeneous Information

Number of pages: 36 Posted: 09 Jun 2004

Working Paper Series

Bruno Biais, Peter Bossaerts and Chester S. Spatt

Centre for Economic Policy Research (CEPR), University of Melbourne - Department of Finance and Carnegie Mellon University - David A. Tepper School of Business

Downloads 870

5.

Bidding and Performance in Repo Auctions - Evidence from ECB Open Market Operations

Number of pages: 46 Posted: 26 May 2004

Working Paper Series

Ulrich Bindseil, Kjell G. Nyborg and Ilya A. Strebulaev

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

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

Julian R. Franks, Colin Mayer and Stefano Rossi

London Business School - Institute of Finance and Accounting, University of Oxford - Said Business School and Bocconi University

There are 2 versions of this paper

Downloads 6,695

7.

Limited Attention, Information Disclosure, and Financial Reporting

Number of pages: 63 Posted: 06 Jan 2004

Working Paper Series

David A. Hirshleifer and Siew Hong Teoh

University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Accounting Area

Downloads 3,399

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

John M. Griffin, Susan Ji and J. Spencer Martin

University of Texas at Austin - Department of Finance, Luter School of Business, Christopher Newport University and University of Melbourne - Faculty of Business and Economics

9.

News Spillovers in the Sovereign Debt Market

Number of pages: 42 Posted: 23 Nov 2003

Working Paper Series

Amar Gande and David C. Parsley

Southern Methodist University (SMU) - Finance Department and Vanderbilt University – Finance and Economics

There are 2 versions of this paper

Downloads 232

10.

Overconfidence and Speculative Bubbles

Number of pages: 46 Posted: 31 Jul 2003

Working Paper Series

José Scheinkman and Wei Xiong

Columbia University and Princeton University - Department of Economics

There are 2 versions of this paper

Downloads 2,460

11.

Liquidity and Financial Market Runs

Number of pages: 35 Posted: 15 Jul 2003

Working Paper Series

Antonio E. Bernardo and Ivo Welch

University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA)

Downloads 2,814

12.

Bidding and Performance in Repo Auctions - Evidence from ECB Open Market Operations

Number of pages: 57 Posted: 29 May 2003

Working Paper Series

Kjell G. Nyborg, Ulrich Bindseil and Ilya A. Strebulaev

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

Downloads 380

13.

Market Timing and Managerial Portfolio Decisions

Number of pages: 61 Posted: 21 May 2003

Working Paper Series

Dirk Jenter

London School of Economics & Political Science (LSE) - Department of Finance

Downloads 1,872

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

Patrick de Fontnouvelle, Raymond P.H. Fishe and Jeffrey H. Harris

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 270

15.

A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium

Number of pages: 36 Posted: 21 Dec 2002

Working Paper Series

Bernard Dumas and Pascal J. Maenhout

INSEAD and INSEAD - Finance

Downloads 275

16.

Can Ownership Restrictions Enhance Security Value? Evidence from a Natural Experiment

Number of pages: 40 Posted: 17 Dec 2002

Working Paper Series

Amar Gande and Manju Puri

Southern Methodist University (SMU) - Finance Department and Duke University - Fuqua School of Business

Downloads 164

17.

On the Wealth and Risk Effects of the Glass-Steagall Overhaul: Evidence from the Stock Market

Posted: 16 Dec 2002

Working Paper Series

Lei Yu

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

William M. Gentry and Christopher J. Mayer

Williams College - Department of Economics and Columbia Business School - Finance and Economics

Downloads 566

19.

CEO Overconfidence and Corporate Investment

Number of pages: 76 Posted: 14 Dec 2002

Working Paper Series

Ulrike Malmendier and Geoffrey A. Tate

University of California, Berkeley - Department of Economics and University of Maryland - Robert H. Smith School of Business

There are 2 versions of this paper

Downloads 2,157

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

Ming Huang and Harrison G. Hong

Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University, Graduate School of Arts and Sciences, Department of Economics

Downloads 660

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

Michael Ewens, Charles M. Jones and Matthew Rhodes-Kropf

California Institute of Technology - Division of the Humanities and Social Sciences, Columbia Business School and Harvard Business School - Entrepreneurial Management Unit

Downloads 2,603

22.

Optimal Diversification

Number of pages: 31 Posted: 30 Nov 2002

Working Paper Series

Joao F. Gomes and Dmitry Livdan

The Wharton School and University of California, Berkeley

There are 2 versions of this paper

Downloads 633

23.

Monitoring Financial Intermediaries with Subordinated Debt: A Dynamic Signal Model for Bank Risk

Number of pages: 32 Posted: 30 Nov 2002

Working Paper Series

Gloria González-Rivera and David B. Nickerson

University of California, Riverside (UCR) - Department of Economics and Ryerson University, TGSM

Downloads 310

24.

The Real Effects of Investor Sentiment

Number of pages: 69 Posted: 30 Nov 2002

Working Paper Series

Christopher Polk and Paola Sapienza

London School of Economics and Northwestern University - Kellogg School of Management - Department of Finance

There are 4 versions of this paper

Downloads 987

25.

Outside Directors and Corporate Board Decisions: A Natural Experiment

Number of pages: 41 Posted: 30 Nov 2002

Working Paper Series

Jay Dahya and John J. McConnell

Zicklin School of Business, Baruch College - The City University of New York and Purdue University

Downloads 826

26.

Signaling, Free Cash Flow, and 'Nonmonotonic' Dividends

Number of pages: 37 Posted: 30 Nov 2002

Working Paper Series

Kathleen P. Fuller and Anjan V. Thakor

University of Mississippi - School of Business Administration and Washington University, Saint Louis - John M. Olin School of Business

Downloads 1,285

27.

Systemic Risk and International Portfolio Choice

AFA 2003 Washington, DC Meetings

Number of pages: 55 Posted: 30 Nov 2002

Working Paper Series

Sanjiv Ranjan Das and Raman Uppal

Santa Clara University - Leavey School of Business and EDHEC Business School

There are 2 versions of this paper

Downloads 910

28.

Transfer Activity in 401(K) Plans

AFA 2003 Washington, DC Meetings

Posted: 26 Nov 2002

Working Paper Series

Julie R. Agnew and Pierluigi Balduzzi

College of William and Mary - Mason School of Business and Boston College - Carroll School of Management

29.

Defaultable Bonds and Default Correlation

Number of pages: 41 Posted: 25 Nov 2002

Working Paper Series

Lara Cathcart and Lina El-Jahel

Imperial College Business School and University of Auckland

Downloads 640

30.

Numeraire Portfolio Tests of the Size and Source of Gains from International Diversification

Number of pages: 38 Posted: 25 Nov 2002

Working Paper Series

Ludger Hentschel and John B. Long

Alternative Risk Premia Investments and Simon Graduate School of Business, University of Rochester

Downloads 391

31.

Market Valuation and Merger Waves

Posted: 22 Nov 2002

Accepted Paper Series

Matthew Rhodes-Kropf and S. Viswanathan

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

Brian H. Boyer and Lu Zheng

Brigham Young University - J. Willard and Alice S. Marriott School of Management and University of California, Irvine - Paul Merage School of Business

Downloads 1,148

33.

Is Dividend Policy Related to Information Asymmetry: Evidence from Insider Trading Gains

Number of pages: 46 Posted: 15 Nov 2002

Working Paper Series

Kenneth Khang and Dolly King

University of Wisconsin - Milwaukee and University of Wisconsin - Milwaukee - Sheldon B. Lubar School of Business

Downloads 2,247

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

Thomas J. Chemmanur and Zhaohui Chen

Boston College - Carroll School of Management and University of Pennsylvania - The Wharton School

Downloads 1,791

35.

Book Values, Earnings, and Market Valuations

Number of pages: 50 Posted: 15 Nov 2002

Working Paper Series

Nengjiu Ju and Gurdip Bakshi

Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Temple University - Fox School of Business and Management

Downloads 797

36.

A Catering Theory of Dividends

Number of pages: 61 Posted: 15 Nov 2002 Last Revised: 12 Aug 2008

Working Paper Series

Malcolm P. Baker and Jeffrey Wurgler

Harvard Business School and NYU Stern School of Business

There are 4 versions of this paper

Downloads 1,227

37.

The Ownership and Financing of Innovation in R&D Races

Number of pages: 59 Posted: 11 Nov 2002

Working Paper Series

Paolo Fulghieri and Merih Sevilir

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

Downloads 363

38.

Bayesian Alphas and Mutual Fund Persistence

Number of pages: 64 Posted: 11 Nov 2002

Working Paper Series

Jeffrey A. Busse and Paul J. Irvine

Emory University - Department of Finance and Neeley School of Business

Downloads 586

39.

Information and Trading on Electronic Communications Networks

Number of pages: 42 Posted: 11 Nov 2002

Working Paper Series

Michael J. Barclay, Terrence Hendershott and Tim McCormick

University of Rochester - Simon School (Deceased), University of California, Berkeley - Haas School of Business and U.S. Securities and Exchange Commission

Downloads 1,352

40.

Earnings and Price Momentum

AFA 2003 Washington, DC Meetings

Number of pages: 46 Posted: 10 Nov 2002

Working Paper Series

Tarun Chordia and Lakshmanan Shivakumar

Emory University - Department of Finance and London Business School

There are 2 versions of this paper

Downloads 2,406

41.

How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices

Number of pages: 58 Posted: 30 Oct 2002

Working Paper Series

Brian H. Boyer, Kathy Yuan and Tomomi Kumagai

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 369

42.

The Long-Run Underperformance of Post-Listing Stock Returns: The Evidence of Earnings Management

Number of pages: 60 Posted: 30 Oct 2002

Working Paper Series

Jane-Raung Philip Lin

National Chiao-Tung University - Graduate Institute of Finance

Downloads 335

43.

External Habit Formation and the Home Bias Puzzle

Number of pages: 47 Posted: 30 Oct 2002

Working Paper Series

Stephen H. Shore and Joshua S. White

Georgia State University and University of Illinois at Urbana-Champaign - Department of Finance

Downloads 447

44.

The Value of Corporate Diversification: Evidence from Post-Merger Performance in Japan

Number of pages: 33 Posted: 28 Oct 2002

Working Paper Series

Timothy A. Kruse, Hun Y. Park, Kwangwoo Park and Kazunori Suzuki

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 920

45.

Reputation-Based Pricing and Price Improvements in Dealership Markets

Number of pages: 52 Posted: 23 Oct 2002

Working Paper Series

Thierry Foucault and Gabriel Desgranges

HEC Paris - Finance Department and University of Cergy-Pontoise - THEMA

There are 2 versions of this paper

Downloads 133

46.

The 'Make or Take' Decision in an Electronic Market: Evidence on the Evolution of Liquidity

Number of pages: 56 Posted: 23 Oct 2002

Working Paper Series

Robert J. Bloomfield, Maureen O'Hara and Gideon Saar

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 863

47.