SSRN EFMA 2003 Helsinki Meetings (Archive)

1.

Stock Market Liquidity and Firm Dividend Policy

EFMA 2003 Helsinki Meetings

Number of pages: 47 Posted: 18 Apr 2003

Working Paper Series

Suman Banerjee, Vladimir A. Gatchev and Paul A. Spindt

Stevens Institute of Technology, University of Central Florida - Department of Finance and Tulane University - A.B. Freeman School of Business

There are 2 versions of this paper

Downloads 4,082

2.

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

MIT Sloan Working Paper No. 4288-03; MIT Laboratory for Financial Engineering Working Paper No. LFE-1041A-03; EFMA 2003 Helsinki Meetings

Number of pages: 92 Posted: 07 Mar 2003

Working Paper Series

Mila Getmansky, Andrew W. Lo and Igor Makarov

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and London Business School

There are 2 versions of this paper

Downloads 3,048

3.

The Initial Performance of IPOs: Evidence from Athens Stock Exchange

EFMA 2003 Helsinki Meetings

Number of pages: 50 Posted: 19 Jun 2003

Working Paper Series

Dimitrios Gounopoulos

University of Newcastle, Newcastle University Business School

Downloads 2,658

4.

When do Value Stocks Outperform Growth Stocks? Investor Sentiment and Equity Style Rotation Strategies

EFMA 2003 Helinski Meetings

Number of pages: 31 Posted: 27 Jun 2003

Working Paper Series

Yul W. Lee and Zhiyi Song

University of Rhode Island - College of Business Administration and Bear, Stearns & Co., Inc.

Downloads 2,522

5.

Stock Market Sensitivity to Interest Rates and Inflation

EFMA 2003 Helsinki Meetings

Number of pages: 39 Posted: 26 May 2003

Working Paper Series

Nikolaos Tessaromatis

EDHEC Business School

Downloads 2,182

6.

The Value of Tax Shields is Not Equal to the Present Value of Tax Shields

EFMA 2003 Helsinki Meetings

Number of pages: 22 Posted: 05 May 2003 Last Revised: 05 Aug 2008

Working Paper Series

Pablo Fernandez

University of Navarra - IESE Business School

Downloads 2,174

7.

Ownership Structure and Firm Value: New Evidence from the Spanish Corporate Governance System

EFMA 2003 Helsinki Meetings

Number of pages: 38 Posted: 08 Jun 2003

Working Paper Series

Alberto de Miguel, Julio Pindado and Chabela de la Torre

University of Salamanca - Administration and Business Economics, University of Salamanca - Administration and Business Economics and University of Salamanca - Administration and Business Economics

Downloads 1,908

8.

Learning About Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM

Federal Reserve Bank of New York Staff Report No. 193

Number of pages: 48 Posted: 09 Apr 2003 Last Revised: 14 Oct 2008

Working Paper Series

Tobias Adrian and Francesco A. Franzoni

International Monetary Fund and USI Lugano

There are 2 versions of this paper

Downloads 1,879

9.

Is It Worth the While? The Relevance of Qualitative Information in Credit Rating

EFMA 2003 Helinski Meetings

Number of pages: 25 Posted: 24 Jun 2003

Working Paper Series

Bina Lehmann

Universitaet Konstanz - Center of Finance & Econometrics (CoFE)

Downloads 1,820

10.

A Dynamic Model of Corporate Capital Structure

EFMA 2003 Helsinki Meetings

Number of pages: 58 Posted: 14 Jun 2003

Working Paper Series

Stein Frydenberg

NTNU Business School - Norwegian University of Science and Technology (NTNU)

Downloads 1,711

11.

The Quality of Corporate Credit Rating: An Empirical Investigation

EFMA 2003 Helsinki Meetings

Number of pages: 78 Posted: 14 Jun 2003

Working Paper Series

Koresh Galil

Ben-Gurion University of the Negev - Department of Economics

Downloads 1,630

12.

Debt and Taxes: Evidence from Bank-financed Small and Medium-sized Firms

EFMA 2003 Helsinki Meetings

Number of pages: 55 Posted: 26 Apr 2003

Working Paper Series

Jan Bartholdy and Cesario Mateus

University of Aarhus - Aarhus School of Business - Department of Business Studies and University of Greenwich Business School

There are 2 versions of this paper

Downloads 1,626

13.

Forecasting Stock Market Volatility: Evidence From Fourteen Countries

U of Edinburgh, Center for Financial Markets Research Working Paper No. 02.04; EFMA 2003 Helsinki Meetings

Number of pages: 29 Posted: 03 Dec 2002

Working Paper Series

Ercan Balaban, Asli Bayar and Robert W. Faff

University of Aberdeen, Cankaya University - Department of Management and University of Queensland

Downloads 1,564

14.

Financial Regulation and Supervision in EU Countries

EFMA 2003 Helsinki Meetings

Number of pages: 64 Posted: 06 May 2003

Working Paper Series

Enrico Maria Cervellati

University of Bologna - Department of Management

Downloads 1,559

15.

The Determinants of Corporate Debt Maturity Structure

EFA 2003 Annual Conference Paper No. 802; EFMA 2003 Helsinki Meetings

Number of pages: 47 Posted: 19 Apr 2003

Working Paper Series

Antonios Antoniou, Yilmaz Guney and Krishna Paudyal

Wealth Associates, University of Hull and affiliation not provided to SSRN

There are 2 versions of this paper

Downloads 1,558

16.

Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy

ISMA Centre Finance Discussion Paper No. 2003-02; EFMA 2003 Helsinki

Number of pages: 30 Posted: 02 Apr 2003

Working Paper Series

Carol Alexander and Anca Dimitriu

University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre

Downloads 1,447

17.

Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface

EFMA 2003 Helsinki Meetings

Number of pages: 42 Posted: 16 Jun 2003

Working Paper Series

Sílvia Gonçalves and Massimo Guidolin

University of Montreal - Department of Economics and Bocconi University - Department of Finance

There are 2 versions of this paper

Downloads 1,398

18.

Additional International Evidence on Corporate Cash Holdings

EFMA 2003 Helsinki Meetings

Number of pages: 30 Posted: 21 Jun 2003

Working Paper Series

Yilmaz Guney, Aydin Ozkan and Neslihan Ozkan

University of Hull, Hull University Business School (HUBS) and University of Bristol - School of Economics, Finance and Management, UK

Downloads 1,345

19.

The Enron-Andersen Debacle: Do Equity Markets React to Auditor Reputation?

EFMA 2003 Helsinki Meetings

Number of pages: 29 Posted: 05 Dec 2002

Working Paper Series

Jeffrey L. Callen and Mindy Morel

University of Toronto - Rotman School of Management and University of Toronto - Joseph L. Rotman School of Management

There are 2 versions of this paper

Downloads 1,301

20.

Bid-Ask Spread, Asymmetric Information and Ultimate Ownership

EFMA 2003 Helsinki

Number of pages: 32 Posted: 10 Oct 2002

Working Paper Series

Najah Attig, Yoser Gadhoum and Larry H.P. Lang

Saint Mary's University - Department of Finance & Management Science, University of Quebec at Montreal (UQAM) - Department of Business Strategy and The Chinese University of Hong Kong (CUHK) - Department of Finance

Downloads 1,274

21.

Direct Evidence on the Market-Driven Acquisitions Theory

EFMA 2003 Helsinki Meetings

Number of pages: 57 Posted: 16 Apr 2003

Working Paper Series

James S. Ang and Yingmei Cheng

Florida State University and Florida State University - College of Business

Downloads 1,263

22.

An Event Study of Reverse Stock Splits in Hong Kong Market

EFMA 2003 Helsinki Meetings

Number of pages: 32 Posted: 04 Jun 2003

Working Paper Series

Lihua Jing

affiliation not provided to SSRN

Downloads 1,217

23.

Venture Capitalist Participation and the Performance of IPO Firms: Empirical Evidence from France, Germany, and the UK

EFMA 2003 Helsinki Meetings

Number of pages: 65 Posted: 17 Jul 2003

Working Paper Series

Georg Rindermann

Allianz SE - Reinsurance Department

Downloads 1,151

24.

Analysts' Conflict of Interest and Biases in Earnings Forecasts

AFA 2004 San Diego Meetings; EFMA 2003 Helsinki Meetings

Number of pages: 58 Posted: 11 May 2003

Working Paper Series

Louis K.C. Chan, Jason J. Karceski and Josef Lakonishok

University of Illinois at Urbana-Champaign - Department of Finance, LSV Asset Management and University of Illinois at Urbana-Champaign

There are 2 versions of this paper

Downloads 1,129

25.

Leverage and Corporate Performance: A Frontier Efficiency Analysis on European Countries

EFMA 2003 Helsinki Meetings

Number of pages: 22 Posted: 28 May 2003

Working Paper Series

Laurent Weill

University of Strasbourg - LaRGE Research Center (Laboratoire de Recherche en Gestion et Economie)

Downloads 1,128

26.

Using Yield Spreads to Estimate Expected Returns on Debt and Equity

London Business School IFA Working Paper; EFA 2003 Annual Conference Paper No. 901

Number of pages: 34 Posted: 04 Apr 2003

Working Paper Series

Ian A. Cooper and Sergei A. Davydenko

London Business School and University of Toronto - Finance Area

Downloads 1,122

27.

The Good and the Bad of Value Investing: Applying a Bayesian Approach to Develop Enhancement Models

EFMA 2003 Helsinki Meetings

Number of pages: 33 Posted: 26 Apr 2003

Working Paper Series

Ronald Geoffrey Bird and Richard H. Gerlach

University of Technology Sydney (UTS) - School of Finance and Economics and University of Sydney

Downloads 1,119

28.

Efficiency and Stock Performance in European Banking

EFMA 2003 Helsinki Meetings

Number of pages: 17 Posted: 24 Apr 2003

Working Paper Series

Elena Beccalli, Barbara Casu and Claudia Girardone

Catholic University of the Sacred Heart of Milan - Institute of Economy and Finance, City University London - Sir John Cass Business School and University of Essex - Essex Business School

There are 2 versions of this paper

Downloads 1,074

29.

Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market

EFMA 2003 Helsinki Meetings

Number of pages: 44 Posted: 25 Jun 2003

Working Paper Series

Evelyn Hayden

Raiffeisen Bank International

Downloads 1,067

30.

The Relationship Between the Equity Risk Premium, Duration, and Dividend Yield

EFMA 2003 Helsinki Meetings

Number of pages: 18 Posted: 09 May 2003

Working Paper Series

Ruben D. Cohen

Independent

Downloads 1,036

31.

Hedge Ratio and Correlation between the Stock and the Futures Markets: Evidence from the Wavelet Analysis

EFMA 2003 Helsinki Meetings

Number of pages: 36 Posted: 30 May 2003

Working Paper Series

Sangbae Kim and Francis Haeuck In

Kyungpook National University - School of Business Administartion and Monash University - Department of Accounting

Downloads 1,023

32.

An Analysis of Relative Return Behavior: REITs vs Stocks

EFMA 2003 Helsinki Meetings

Number of pages: 19 Posted: 26 Apr 2003

Working Paper Series

Jorg Bley and Dennis O. Olson

American University of Sharjah and Sultan Qaboos University

Downloads 1,005

33.

Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach

EFMA 2003, Helsinki, Finland

Number of pages: 30 Posted: 02 May 2003

Working Paper Series

Lorenzo Cappiello, Olli Castren and Jarkko P. Jääskelä

European Central Bank (ECB), European Central Bank (ECB) and Reserve Bank of Australia

Downloads 988

34.

Are Contrarian Investment Strategies Profitable in the London Stock Exchange? Where do These Profits Come From?

EFMA 2003 Helsinki Meetings

Number of pages: 57 Posted: 19 Apr 2003

Working Paper Series

Antonios Antoniou, Emilios C. Galariotis and Spyros I. Spyrou

Wealth Associates, Audencia Business School and Athens University of Economics and Business - Department of Accounting and Finance

Downloads 987

35.

Independent Directors, Executive Pay, and Firm Performance

EFMA 2003 Helsinki Meetings

Number of pages: 43 Posted: 21 May 2003

Working Paper Series

Kam-Ming Wan

Hong Kong Polytechnic University

Downloads 983

36.

Post-IPO Performance and the Exit of Venture Capitalists

EFMA 2003 Helsinki Meetings

Number of pages: 55 Posted: 27 Jun 2003

Working Paper Series

Tilo Kraus and Hans-Peter Burghof

Ludwig Maximilian University of Munich - Faculty of Business Administration (Munich School of Management) and University of Hohenheim

Downloads 982

37.

An Integrated Pricing Model for Defaultable Loans and Bonds

Data Not Availalbe, Cass Business School Research Paper

Number of pages: 21 Posted: 23 May 2003

Working Paper Series

Edward I. Altman and Mario Onorato

New York University (NYU) - Salomon Center and Algorithmics

There are 3 versions of this paper

Downloads 972

38.

Mark-to-Market Accounting and Valuation: Evidence from UK Real Estate and Investment Companies

EFA 2003 Annual Conference Paper No. 120; EFMA 2003 Helsinki Meetings

Number of pages: 35 Posted: 30 May 2003

Working Paper Series

Jo Danbolt and Bill Rees

University of Edinburgh Business School and The University of Edinburgh Business School

Downloads 960

39.

CAPM, Higher Co-moment and Factor Models of UK Stock Returns

EFMA 2003 Helsinki Meetings

Number of pages: 31 Posted: 23 Jun 2003

Working Paper Series

Chi-Hsiou Daniel Hung, Mark B. Shackleton and Xinzhong Xu

University of Glasgow - Adam Smith Business School, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

There are 2 versions of this paper

Downloads 954

40.

Hedging and the Use of Derivatives: Evidence from UK Non-Financial Firms

EFMA 2003 Helsinki Meetings

Number of pages: 58 Posted: 08 Jun 2003

Working Paper Series

Amrit Judge

Middlesex University - Business School

Downloads 950

41.

Corporate Governance and Expected Stock Returns: Evidence from Germany

EFMA 2003 Helsinki Meetings

Number of pages: 46 Posted: 05 May 2003

Working Paper Series

Wolfgang Drobetz, Andreas Schillhofer and Heinz Zimmermann

University of Hamburg, Greenhill & Co. and University of Basel - Center for Economic Science (WWZ) - Department of Finance

There are 3 versions of this paper

Downloads 946

42.

Investors' Activity and Trading Behavior

EFA 2002 Berlin Meetings Presented Paper, EFMA Helinski Meetings 2003

Number of pages: 46 Posted: 11 Jun 2003

Working Paper Series

Petri Juhani Kyrolainen and Jukka Perttunen

University of Oulu and University of Oulu - Department of Accounting & Finance

Downloads 930

43.

Adjusting P/E Ratios by Growth and Risk: The PERG Ratio

EFMA 2003 Helsinki Meetings

Number of pages: 17 Posted: 06 May 2003

Working Paper Series

Javier Estrada

IESE Business School

Downloads 909

44.

Legal Environment, Firm-level Corporate Governance and Expropriation of Minority Shareholders in Asia

EFMA 2003 Helsinki Meetings

Number of pages: 33 Posted: 23 Jun 2003

Working Paper Series

Chandrasekhar Krishnamurti, Aleksandar Sevic and Zeljko Sevic

Nanyang Business School, Nanyang Technological University (NTU) - Division of Banking & Finance and University of Greenwich - The Business School

Downloads 887

45.

Adding an Ethical Dimension to Portfolio Management

EFMA 2003 Helsinki Meetings

Number of pages: 15 Posted: 09 Jun 2003

Working Paper Series

Denis Dupre, Isabelle Girerd-Potin and Raghid Kassoua

University of Grenoble, Université Grenoble Alpes and affiliation not provided to SSRN

Downloads 860

46.

Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences

EFMA 2003 Helsinki Meetings

Number of pages: 34 Posted: 15 Jun 2003

Working Paper Series

Allan G. Timmermann and Massimo Guidolin

University of California, San Diego (UCSD) - Department of Economics and Bocconi University - Department of Finance

Downloads 811

47.

Financial Leverage Interaction with Firm's Strategic Behavior: An Empirical Analysis

EFMA 2003 Helsinki Meetings

Number of pages: 40 Posted: 04 Jun 2003

Working Paper Series

Abdulaziz Istaitieh and José Miguel Rodríguez Fernández

University of Valladolid - Department of Economics and Business Administration and University of Valladolid - Department of Finance and Accounting

Downloads 779

48.

Optimal Bank Capital with Costly Recapitalization

AFA 2005 Philadelphia Meetings; EFMA 2003 Helsinki Meetings

Number of pages: 49 Posted: 21 Dec 2004

Working Paper Series

Samu Peura and Jussi Keppo

Sampo Bank and National University of Singapore - NUS Business School

There are 2 versions of this paper

Downloads 778

49.

Event Study Under Noisy Estimation Period

EFMA 2003 Helsinki Meetings

Number of pages: 54 Posted: 11 Apr 2003

Working Paper Series

Nihat Aktas, Eric de Bodt and Jean-Gabriel Cousin

WHU - Otto Beisheim School of Management, Université de Lille and Université Lille Nord de France - SKEMA Business School

There are 2 versions of this paper

Downloads 723

50.

Market Segmentation and Information Diffusion in China's Stock Markets: Panel Data Unit Root and Cointegration Tests on A and B Share Prices

EFMA 2003 Helsinki Meetings

Number of pages: 28 Posted: 10 Apr 2003

Working Paper Series

Niklas Ahlgren, Boo Sjöö and Jianhua Zhang

Hanken School of Economics - Department of Finance and Statistics, University of Skovde and Göteborg University - School of Business, Economics and Law

Downloads 708

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