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EFA 2003 Glasgow Meetings Presentation Papers (Archive)

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Viewing: 1 - 50 of 178 papers

1.

Financial Innovation in Segmented Markets

EFA 2003 Annual Conference Paper No. 781
Posted: 12 Oct 2007
Working Paper Series
London School of Economics - Department of Finance and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group

Multiple version iconThere are 2 versions of this paper

2.

The Cost of Barriers to Entry: Evidence from the Market for Corporate Euro Bond Underwriting

BIS Working Paper No. 134, EFA 2003 Annual Conference Paper
Number of pages: 33 Posted: 20 Sep 2007
Working Paper Series
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 688
3.

Trading European Sovereign Bonds: The Microstructure of the Mts Trading Platforms

ECB Working Paper No. 432; EFA 2003 Annual Conference Paper No. 245
Number of pages: 50 Posted: 27 Apr 2005
Working Paper Series
Tinbergen Institute - Tinbergen Institute Amsterdam (TIA), Bocconi University and IGIER and Baffi Carefin and Tilburg University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 524
4.

Estimating the Dynamics of Mutual Fund Alphas and Betas

Yale ICF Working Paper No. 03-03; EFA 2003 Annual Conference Paper No. 803; AFA 2004 San Diego Meetings
Number of pages: 40 Posted: 10 Mar 2005
Working Paper Series
Yale University - Yale School of Management, International Center for Finance, Columbia University - Columbia Business School and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,260
5.

Executive Compensation and Analyst Guidance: The Link Between CEO Compensation and Expectations Management

EFA 2003 Annual Conference Paper No. 861
Number of pages: 60 Posted: 04 Feb 2005
Working Paper Series
University of Neuchatel - Institute of Financial Analysis and International Center FAME
Downloads 660
6.

Does it Pay to Be Loyal? An Empirical Analysis of Underwriting Relationships and Fees

AFA 2005 Philadelphia Meetings; EFA 2003 Annual Conference Paper No. 550
Number of pages: 37 Posted: 18 Jan 2005
Working Paper Series
University of Miami - Department of Finance, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and Compass Lexecon

Multiple version iconThere are 2 versions of this paper

Downloads 323
7.

An International Comparison of Capital Structure and Debt Maturity Choices

AFA 2005 Philadelphia Meetings
Number of pages: 55 Posted: 27 Dec 2004 Last Revised: 04 Oct 2011
Working Paper Series
The Chinese University of Hong Kong (CUHK) - School of Accountancy, University of Melbourne - Department of Finance and University of Texas at Austin - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 6,247
8.

Which Investors Fear Expropriation? Evidence from Investors' Portfolio Choices

ECGI - Finance Working Paper No. 54/2004; EFA 2003 Annual Conference Paper No. 715
Number of pages: 53 Posted: 27 Oct 2004
Working Paper Series
Stockholm School of Economics and Michigan State University - Eli Broad Graduate School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,247
9.

Efficiency and the Bear: Short Sales and Markets Around the World

Yale ICF Working Paper No. 02-45; EFA 2003 Annual Conference; AFA 2004 San Diego Meetings; 14th Annual Conference on Financial Economics & Accounting
Number of pages: 69 Posted: 06 Oct 2004
Working Paper Series
IMD International, Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)

Multiple version iconThere are 3 versions of this paper

Downloads 4,247
10.

Risk Assessment for Banking Systems

14th Annual Utah Winter Finance Conference Paper; EFA 2003 Annual Conference Paper No. 437
Number of pages: 37 Posted: 25 Aug 2004
Working Paper Series
Austrian National Bank - Economic Studies Division, University of Calgary - Haskayne School of Business and Oesterreichische Nationalbank (OeNB)
Downloads 3,209
11.

Closed-Form Transformations from Risk-Neutral to Real-World Distributions

EFA 2003 Annual Conference Paper No. 144
Number of pages: 48 Posted: 03 Jun 2004
Working Paper Series
Essex Business School, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management
Downloads 1,302
12.

Alternative Market Structures for Derivatives

EFA 2003 Glasgow
Number of pages: 49 Posted: 26 Apr 2004
Working Paper Series
Warwick Business School - Department of Finance and BlueCrest Capital
Downloads 665
13.

Trading European Sovereign Bonds: The Microstructure of the Mts Trading Platforms

CEPR Discussion Paper No. 4285
Number of pages: 50 Posted: 06 Apr 2004
Working Paper Series
Tinbergen Institute - Tinbergen Institute Amsterdam (TIA), Bocconi University and IGIER and Baffi Carefin and Tilburg University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 30
14.

Accounting Discretion, Corporate Governance and Firm Performance

14th Annual Conference on Financial Economics and Accounting (FEA); EFA 2003 Annual Conference Paper No. 127
Number of pages: 65 Posted: 20 Jan 2004
Working Paper Series
Univeristy of San Diego - School of Business, Columbia Business School and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 6,344
15.

Valuation Waves and Merger Activity: The Empirical Evidence

14th Conf. on Financial Economics & Accounting (FEA); AFA 2004 San Diego Meetings; EFA 2003 Meetings Paper No. 904; 5th Annual Texas Finance Festival
Number of pages: 63 Posted: 15 Jan 2004
Working Paper Series
Harvard Business School - Entrepreneurial Management Unit, Duke University - Fuqua School of Business and Fuqua School of Business, Duke University
Downloads 2,522
16.

Marginal Stockholder Tax Effects and Ex-Dividend Day Behavior - Thirty-Two Years Later

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper
Number of pages: 30 Posted: 23 Nov 2003
Working Paper Series
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,173
17.

Flows, Performance, and Managerial Incentives in Hedge Funds

EFA 2003 Annual Conference Paper No. 501
Number of pages: 44 Posted: 03 Nov 2003
Working Paper Series
Georgia State University, Drexel University - Department of Finance and London Business School - Institute of Finance and Accounting
Downloads 2,495
18.

Governance Mechanisms and Equity Prices

Yale ICF Working Paper No. 03-15; NYU, Ctr for Law and Business Research Paper No. 03-09; AFA 2004 San Diego Meetings
Number of pages: 62 Posted: 18 Sep 2003
Working Paper Series
University of Notre Dame and University of Pennsylvania - Finance Department

Multiple version iconThere are 2 versions of this paper

Downloads 6,333
19.

Tournaments in Mutual Fund Families

EFA 2003 Annual Conference Paper; CFR Working Paper No. 04-02
Number of pages: 36 Posted: 01 Sep 2003
Working Paper Series
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and University of Mannheim - Department of International Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,180
20.

Order Dynamics: Recent Evidence from the NYSE

Journal of Empirical Finance, Vol. 14, No. 636-661, 2007
Number of pages: 40 Posted: 07 Aug 2003 Last Revised: 02 Sep 2017
Accepted Paper Series
Indiana University - Kelley School of Business - Department of Finance, University of Memphis - Fogelman College of Business and Economics, Indiana University - Kelley School of Business - Department of Finance and Indiana University - Kelley School of Business - Department of Finance
Downloads 701
21.

Trading Costs of Public Investors with Obligatory and Voluntary Market-Making: Evidence from Market Reforms

EFA 2003 Annual Conference Paper No. 408
Number of pages: 50 Posted: 07 Aug 2003
Working Paper Series
London Business School - Institute of Finance and Accounting and University of Oklahoma Price College of Business
Downloads 248
22.

Margin Rules, Informed Trading in Derivatives, and Price Dynamics

EFA 2003 Annual Conference Paper No. 508
Number of pages: 33 Posted: 07 Aug 2003
Working Paper Series
New York University (NYU) - Department of Finance, New York University (NYU), New York University (NYU) - Department of Finance and Case Western Reserve University - Weatherhead School of Management

Multiple version iconThere are 4 versions of this paper

Downloads 659
23.

Upstairs, Downstairs: Electronic vs. Open Outcry Exchanges

EFA 2003 Annual Conference Paper No. 203
Number of pages: 41 Posted: 07 Aug 2003
Working Paper Series
University of Houston - Department of Finance
Downloads 346
24.

Information, Trading and Product Market Interactions: Cross-Sectional Implications of Informed Trading

AFA 2004 San Diego Meetings, Journal of Finance, Vol. 63, No. 1, 2008, EFA 2003 Annual Conference Paper No. 68
Number of pages: 53 Posted: 07 Aug 2003 Last Revised: 23 Oct 2008
Working Paper Series
Yale University - Yale School of Management
Downloads 475
25.

Measuring Stock Illiquidity: An Investigation of the Demand and Supply Schedules at the Tase

EFA 2003 Annual Conference Paper No. 231
Number of pages: 49 Posted: 07 Aug 2003
Working Paper Series
Tel Aviv University - Faculty of Management, Hebrew University of Jerusalem - Department of Finance and Tel Aviv University - Coller School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 453
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 777
27.

Return-Volume Dependence and Extremes in International Equity Markets

EFA 2003 Annual Conference Paper No. 284; Research Program in Finance RPF No. 293
Number of pages: 50 Posted: 06 Aug 2003
Working Paper Series
Quantal International Inc. and Passau University
Downloads 944
28.

Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis

EFA 2003 Annual Conference Paper No. 965
Number of pages: 35 Posted: 06 Aug 2003
Working Paper Series
London School of Economics - Systemic Risk Centre and Marmara University
Downloads 408
29.

Order Submission Strategies and Information: Empirical Evidence from the NYSE

EFA 2003 Annual Conference Paper No. 875, FAME Research Paper No. 146
Number of pages: 57 Posted: 06 Aug 2003
Working Paper Series
Cass Business School and Board of Governors of the Federal Reserve System
Downloads 434
30.

Should the World Market Portfolio Contain Just the Free Float? - Why U.S. Investors are Different

EFA 2003 Annual Conference Paper No. 969
Number of pages: 24 Posted: 06 Aug 2003
Working Paper Series
Swedish School of Economics and Business Administration and Hanken School of Economics - Department of Economics
Downloads 275
31.

The Neglected Effect of Fiscal Policy on Stock and Bond Returns

EFA 2003 Annual Conference Paper No. 201; UCLA, Anderson School of Management Working Paper, FEUNL Working Paper No. 413
Number of pages: 48 Posted: 06 Aug 2003
Working Paper Series
Nova School of Business and Economics - Universidade Nova de Lisboa and University of California, San Diego (UCSD) - Rady School of Management
Downloads 579
32.

The Informativeness of Domestic and Foreign Investors' Stock Trades: Evidence from the Perfectly Segmented Chinese Market

Journal of Financial Markets, Vol. 10, No. 4, 2007
Number of pages: 36 Posted: 06 Aug 2003 Last Revised: 14 Jun 2008
Accepted Paper Series
CUHK Business School, VU Amsterdam and Tsinghua University - School of Economics & Management
Downloads 547
33.

Modeling Round-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods

Journal of Business and Economic Statistics, Vol. 25, 2007
Number of pages: 33 Posted: 06 Aug 2003 Last Revised: 18 Jan 2012
Accepted Paper Series
VU Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 544
34.

Correlation Dynamics in European Equity Markets

Research in International Business and Finance, Vol. 20, No. 3, pp. 305-321, 2006, EFA 2003 Annual Conference Paper No. 744
Number of pages: 25 Posted: 06 Aug 2003 Last Revised: 05 Jan 2011
Accepted Paper Series
Monash University - Monash Business School and University College Dublin
Downloads 513
35.

Price Discovery in a Market Under Stress: The U.S. Treasury Market in Fall 1998

EFA 2003 Annual Conference Paper No. 558, FRB Chicago Working Paper No. 2005-06
Number of pages: 49 Posted: 06 Aug 2003
Working Paper Series
Kellogg School of Management - Department of Finance and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 260
36.

The Importance of the Loss Function in Option Valuation

EFA 2003 Annual Conference Paper No. 604
Number of pages: 38 Posted: 03 Aug 2003
Working Paper Series
University of Toronto - Rotman School of Management and University of Houston - C.T. Bauer College of Business
Downloads 556
37.

What Uip Tests on Extreme Samples Reveal About the Missing Variable

EFA 2003 Annual Conference Paper No. 289
Number of pages: 31 Posted: 03 Aug 2003
Working Paper Series
FEB at KU Leuven and Katholieke Universiteit Leuven - Faculty of Business and Economics
Downloads 77
38.

Banks' Participation in the Eurosystem Auctions and Money Market Integration

Bank of Italy Discussion Paper Series No. 562, EFA 2003 Annual Conference Paper No. 783
Number of pages: 56 Posted: 03 Aug 2003
Working Paper Series
Bank of Italy, Bank of Italy - Monetary and Exchange Rate Policy Department and Bank of Italy
Downloads 116
39.

Can the Random Walk Model Be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates

EFA 2003 Annual Conference Paper No. 843
Number of pages: 34 Posted: 03 Aug 2003
Working Paper Series
Cornell University - Department of Economics, University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management
Downloads 572
40.

Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

New York University, Stern School of Business Finance Paper No. 03-016; EFA 2003 Annual Conference Paper No. 915
Number of pages: 47 Posted: 03 Aug 2003
Working Paper Series
Pennsylvania State University - University Park - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 313
41.

Hedge Fund Payoffs and Loss Aversion

EFA 2003 Annual Conference Paper No. 116
Number of pages: 22 Posted: 03 Aug 2003
Working Paper Series
VU University Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 500
42.

Liquidity and Expected Returns: Lessons from Emerging Markets

AFA 2004 San Diego Meetings; EFA 2003 Annual Conference Paper No. 690
Number of pages: 56 Posted: 03 Aug 2003
Working Paper Series
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 4 versions of this paper

Downloads 3,285
43.

Do Hedge Funds Have Enough Capital? A Value-at-Risk Approach

EFA 2003 Annual Conference Paper No. 376
Number of pages: 40 Posted: 03 Aug 2003
Working Paper Series
Case Western Reserve University - Department of Banking & Finance and University of Massachusetts Amherst - Department of Finance
Downloads 2,755
44.

Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount

Journal of Finance, Vol. 63, 2008
Number of pages: 54 Posted: 03 Aug 2003 Last Revised: 26 Jun 2008
Accepted Paper Series
CUHK Business School, VU Amsterdam and Tsinghua University - School of Economics & Management
Downloads 897
45.

Transparency and International Investor Behavior

EFA 2003 Annual Conference Paper No. 325
Number of pages: 37 Posted: 03 Aug 2003
Working Paper Series
International Monetary Fund and Columbia Business School - Finance and Economics

Multiple version iconThere are 3 versions of this paper

Downloads 489
46.

The Breadth of Ownership and the Production of Information

EFA 2003 Annual Conference Paper No. 261
Number of pages: 43 Posted: 01 Aug 2003
Working Paper Series
INSEAD - Finance
Downloads 196
47.

Interest Rate, Learning and the Asset Allocation Puzzle

EFA 2003 Annual Conference Paper No. 389
Number of pages: 52 Posted: 01 Aug 2003
Working Paper Series
Schroder Salomon Smith Barney (UK)
Downloads 305
48.

Real Estate and its Role in Household Portfolio Choice

EFA 2003 Annual Conference Paper No. 918, Sauder School of Business Working Paper
Number of pages: 39 Posted: 01 Aug 2003 Last Revised: 23 Oct 2012
Working Paper Series
University of British Columbia - Faculty of Commerce and University of Washington - Michael G. Foster School of Business
Downloads 976
49.

Market Informational Inefficiency, Risk Aversion and Quantity Grid

EFA 2003 Annual Conference Paper No. 89
Number of pages: 29 Posted: 01 Aug 2003
Working Paper Series
University of Toulouse 1 - Groupe de Recherche en Economie Mathématique et Quantitative (GREMAQ) and HEC Paris - Finance Department
Downloads 100
50.

Valuation of Bond Illiquidity: An Option-Theoretical Approach

EFA 2003 Annual Conference Paper No. 354
Number of pages: 38 Posted: 01 Aug 2003
Working Paper Series
University of Mannheim - Department of Business Administration and Finance and affiliation not provided to SSRN
Downloads 744