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China Academy of Financial Research (CAFR) Research Paper Series

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Viewing: 1 - 50 of 374 papers

1.

Accounting Conservatism, the Quality of Earnings, and Stock Returns

Number of pages: 39 Posted: 23 Jan 2000
Working Paper Series
Columbia Business School - Department of Accounting and University of California, Berkeley
Downloads 10,340
2.

Modeling Sustainable Earnings and P/E Ratios with Financial Statement Analysis

Forthcoming
Number of pages: 57 Posted: 31 Jul 2002 Last Revised: 17 Aug 2011
Working Paper Series
Columbia Business School - Department of Accounting and University of California, Berkeley
Downloads 8,642
3.

On the Performance of Hedge Funds

Number of pages: 41 Posted: 17 Jun 1998
Working Paper Series
University of Massachusetts Amherst - Department of Finance
Downloads 4,789
4.

The Eyeballs Have It: Searching for the Value in Internet Stocks

Number of pages: 38 Posted: 15 Feb 2000
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Toronto - Rotman School of Management and University of California, Berkeley
Downloads 4,520
5.

Fees on Fees in Funds of Funds

Yale ICF Working Paper No. 02-33
Number of pages: 40 Posted: 01 Oct 2002
Working Paper Series
New York University - Stern School of Business, Yale School of Management - International Center for Finance and University of Massachusetts Amherst - Department of Finance

Multiple version iconThere are 6 versions of this paper

Downloads 4,193
6.

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 4,151
7.

Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy

Number of pages: 21 Posted: 30 Sep 2007 Last Revised: 11 Sep 2009
Working Paper Series
New York University - Stern School of Business, Attorney in New York City and University of Massachusetts Amherst - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,980
8.

Unobserved Actions of Mutual Funds

Review of Financial Studies, Forthcoming, Sixteenth Annual Utah Winter Finance Conference, EFA 2005 Moscow Meetings Paper, Sauder School of Business Working Paper
Number of pages: 58 Posted: 28 Feb 2005
Accepted Paper Series
Imperial College London - Accounting, Finance, and Macroeconomics, University of Texas at Austin - McCombs School of Business and University of California, Irvine - Paul Merage School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 3,788
9.

China's Financial System: Past, Present, and Future

Number of pages: 63 Posted: 05 Aug 2005
Working Paper Series
Imperial College London, Fanhai International School of Finance, Fudan University and Australian National University (ANU) - College of Business and Economics
Downloads 3,764
10.

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 22 Mar 2009 Last Revised: 24 Jun 2012
Accepted Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,542
11.

Stock Market Manipulation - Theory and Evidence

AFA 2004 San Diego Meetings
Number of pages: 49 Posted: 08 Dec 2003
Working Paper Series
Northeastern University and University of Houston
Downloads 3,286
12.

Self-Selection Models in Corporate Finance

Robert H. Smith School Research Paper No. RHS 06-020
Number of pages: 66 Posted: 08 Nov 2005
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 3,204
13.

Up Close and Personal: An Individual Level Analysis of the Disposition Effect

Yale ICF Working Paper No. 02-20
Number of pages: 39 Posted: 11 Mar 2002
Working Paper Series
Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)
Downloads 2,932
14.

Trust and Delegation

Number of pages: 43 Posted: 17 Aug 2009 Last Revised: 20 May 2011
Working Paper Series
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine

Multiple version iconThere are 3 versions of this paper

Downloads 2,899
15.

Estimating Operational Risk for Hedge Funds: The ω-Score

Yale ICF Working Paper No. 08-08
Number of pages: 23 Posted: 25 Jan 2008 Last Revised: 11 Sep 2009
Working Paper Series
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine
Downloads 2,884
16.

Are Investors Moonstruck? - Lunar Phases and Stock Returns

Number of pages: 44 Posted: 18 Sep 2001
Working Paper Series
University of California, Irvine - Paul Merage School of Business, London School of Economics & Political Science (LSE) - Department of Finance and Australian National University (ANU) - College of Business and Economics
Downloads 2,866
17.

Does Asymmetric Information Drive Capital Structure Decisions?

EFA 2006 Zurich Meetings, AFA 2008 New Orleans Meetings Paper
Number of pages: 55 Posted: 06 Mar 2006 Last Revised: 22 Dec 2016
Working Paper Series
Arizona State University - W.P. Carey School of Business, University of Michigan, Stephen M. Ross School of Business and University of Houston

Multiple version iconThere are 2 versions of this paper

Downloads 2,829
18.

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 2,705
19.

Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration

Journal of Finance, Forthcoming, Yale ICF Working Paper No. 06-15
Number of pages: 55 Posted: 21 Jul 2006 Last Revised: 11 Sep 2009
Accepted Paper Series
New York University - Stern School of Business, Yale School of Management - International Center for Finance, University of Massachusetts Amherst - Department of Finance and University of California at Irvine

Multiple version iconThere are 2 versions of this paper

Downloads 2,665
20.

On the Industry Concentration of Actively Managed Equity Mutual Funds

AFA 2005 Philadelphia Meetings, Journal of Finance, Forthcoming, Sauder School of Business Working Paper
Number of pages: 50 Posted: 10 Feb 2003
Accepted Paper Series
Imperial College London - Accounting, Finance, and Macroeconomics, University of Texas at Austin - McCombs School of Business and University of California, Irvine - Paul Merage School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,547
21.

On the Performance of Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds

Number of pages: 59 Posted: 23 Apr 2003
Working Paper Series
University of Massachusetts Amherst - Department of Finance
Downloads 2,505
22.

The Price of Sin: The Effects of Social Norms on Markets

Sauder School of Business Working Paper, AFA 2008 New Orleans Meetings Paper, EFA 2006 Zurich Meetings
Number of pages: 50 Posted: 05 Aug 2005
Working Paper Series
Imperial College London - Accounting, Finance, and Macroeconomics and Columbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads 2,411
23.

Comparing China's Financial System

China Journal of Finance, Vol. 1, pp. 1-28, June 2003
Number of pages: 48 Posted: 18 Sep 2003
Accepted Paper Series
Imperial College London, Fanhai International School of Finance, Fudan University and Australian National University (ANU) - College of Business and Economics
Downloads 2,295
24.

The Local Bias of Individual Investors

Yale ICF Working Paper No. 02-30
Number of pages: 59 Posted: 13 Mar 2002
Working Paper Series
China Academy of Financial Research (CAFR)
Downloads 2,239
25.

Back to Basics: Forecasting the Revenues of Internet Firms

Number of pages: 37 Posted: 29 May 2000
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Toronto - Rotman School of Management and University of California, Berkeley
Downloads 2,161
26.

The Impact of Clientele Changes: Evidence from Stock Splits

Yale ICF Working Paper No. 03-14, EFA 2005 Moscow Meetings Paper, AFA 2005 Philadelphia Meetings
Number of pages: 60 Posted: 28 Dec 2004
Accepted Paper Series
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)
Downloads 2,147
27.

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

Yale ICF Working Paper No. 00-62
Number of pages: 60 Posted: 31 Oct 2001
Working Paper Series
Yale School of Management - International Center for Finance, Cornell University and China Academy of Financial Research (CAFR)
Downloads 2,136
28.

Hedge Funds: The Living and the Dead

Number of pages: 39 Posted: 13 Apr 2000
Working Paper Series
University of Massachusetts Amherst - Department of Finance
Downloads 1,936
29.

Law, Finance, and Economic Growth in China

U of Penn, Inst for Law & Econ Research Paper No. 03-21
Number of pages: 60 Posted: 04 Feb 2003
Working Paper Series
Imperial College London, Fanhai International School of Finance, Fudan University and Australian National University (ANU) - College of Business and Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,925
30.

Rain or Shine: Where is the Weather Effect?

Yale ICF Working Paper No. 02-27; EFA 2003 Annual Conference Paper No. 304
Number of pages: 32 Posted: 27 Aug 2002
Working Paper Series
China Academy of Financial Research (CAFR) and Yale School of Management - International Center for Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,903
31.

Out of Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows

Number of pages: 36 Posted: 03 May 2004
Working Paper Series
University of California, Davis, University of California, Berkeley - Haas School of Business and University of California, Irvine - Paul Merage School of Business
Downloads 1,889
32.

Transform Analysis and Asset Pricing for Affine Jump-Diffusions

Number of pages: 43 Posted: 03 Apr 1999
Working Paper Series
Stanford University - Graduate School of Business, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Stanford University - Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,859
33.

Predicting Hedge Fund Failure: A Comparison of Risk Measures

Number of pages: 46 Posted: 30 Apr 2007 Last Revised: 11 Sep 2009
Working Paper Series
University of Massachusetts Amherst - Department of Finance and Brooklyn College - CUNY
Downloads 1,825
34.

Asset Prices and Trading Volume Under Fixed Transactions Costs

EFA 2001 Barcelona Meetings; Yale ICF Working Paper No. 00-35
Number of pages: 78 Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Columbia University - Columbia Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 1,773
35.

Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Number of pages: 47 Posted: 03 Jan 2000
Working Paper Series
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Harvard University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,767
36.

Earnings Management and Delisting Risk of Initial Public Offerings

Simon School, University of Rochester, Research Paper Series, AAA 2008 Financial Accounting and Reporting Section (FARS) Paper
Number of pages: 56 Posted: 02 Oct 2005 Last Revised: 22 Nov 2010
Working Paper Series
Tsinghua University - School of Economics & Management and University of Hawaii at Manoa
Downloads 1,743
37.

Systematic Noise

AFA 2004 San Diego Meetings, EFA 2005 Moscow Meetings Paper
Number of pages: 33 Posted: 14 Aug 2005
Working Paper Series
University of California, Davis, University of California, Berkeley - Haas School of Business and China Academy of Financial Research (CAFR)
Downloads 1,724
38.

Do Market Timing Hedge Funds Time the Market?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 42, No. 4, 2007, EFA 2005 Moscow Meetings
Number of pages: 47 Posted: 18 Mar 2005 Last Revised: 19 Apr 2010
Accepted Paper Series
Texas A&M University - Department of Finance and University of Massachusetts Amherst - Department of Finance
Downloads 1,716
39.

The Price Impact and Survival of Irrational Traders

MIT Sloan Working Paper No. 4293-03, AFA 2004 San Diego Meetings, 14th Conference on Financial Economics & Acctg. (FEA), 5th Ann. Texas Finance Festival
Number of pages: 42 Posted: 20 Jan 2004
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Washington

Multiple version iconThere are 3 versions of this paper

Downloads 1,677
40.

Is Value Riskier Than Growth?

Simon School of Business Working Paper No. FR02-17; AFA 2004 San Diego Meetings
Number of pages: 35 Posted: 23 Nov 2003
Working Paper Series
Case Western Reserve University - Department of Banking & Finance and Ohio State University - Fisher College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,641
41.

Corporate Lobbying and Fraud Detection

Journal of Financial and Quantitative Analysis (JFQA), 2011
Number of pages: 60 Posted: 02 Jan 2007 Last Revised: 12 Sep 2016
Accepted Paper Series
China Europe International Business School and Indiana University - Kelley School of Business - Department of Finance
Downloads 1,582
42.

Optimal Trading Strategy and Supply/Demand Dynamics

AFA 2006 Boston Meetings Paper
Number of pages: 42 Posted: 20 Mar 2005
Working Paper Series
New Economic School (NES) and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 1,566
43.

Liquidity of Corporate Bonds

Number of pages: 40 Posted: 25 Mar 2008 Last Revised: 11 Sep 2009
Working Paper Series
Board of Governors of the Federal Reserve System, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,545
44.

Conservative Accounting and Equity Valuation

Number of pages: 34 Posted: 10 Nov 2000
Working Paper Series
University of California, Berkeley

Multiple version iconThere are 2 versions of this paper

Downloads 1,511
45.

Short-Sales in Global Perspective

Yale ICF Working Paper No. 04-01
Number of pages: 30 Posted: 27 Jan 2004
Working Paper Series
IMD International, Yale School of Management - International Center for Finance and China Academy of Financial Research (CAFR)
Downloads 1,495
46.

Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization

American Economic Review, Vol. 94, No. 5, 2004
Number of pages: 51 Posted: 27 Feb 2003 Last Revised: 12 Feb 2010
Accepted Paper Series
University of California, Davis - Graduate School of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics, Cornell University - Samuel Curtis Johnson Graduate School of Management and Syracuse University - Department of Economics
Downloads 1,427
47.

Institutional Trading and Stock Returns

EFMA 2001 Lugano Meetings, EFA 2001 Barcelona Meetings
Number of pages: 19 Posted: 15 Jan 2001
Working Paper Series
Federal Reserve Board and University of California, Irvine - Paul Merage School of Business
Downloads 1,408
49.

The Chinese Bond Market: Historical Lessons, Present Challenges and Future Perspectives

Yale ICF Working Paper No. 07-04
Number of pages: 35 Posted: 11 Jun 2007
Working Paper Series
International Monetary Fund (IMF) and China Academy of Financial Research (CAFR)
Downloads 1,325
50.

The Value Premium

Simon School of Business Working Paper No. FR 02-19
Number of pages: 73 Posted: 03 Dec 2002
Working Paper Series
Ohio State University - Fisher College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,324