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23rd Australasian Finance & Banking Conference 2010 (Archive)

23rd Australasian Finance & Banking Conference 2010 Logo 23rd Australasian Finance & Banking Conference 2010 Never Stand Still Australian School of Business Banking and Finance

ISBN Number: 978-0-9873127-2-3

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Viewing: 1 - 50 of 111 papers

1.

Market Dynamics & Systemic Risk

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 36 Posted: 04 Jun 2010 Last Revised: 25 Apr 2016
Working Paper Series
Cambridge University
Downloads 1,678
2.

CEO Ownership and Stock Market Performance, and Managerial Discretion

Journal of Finance, Forthcoming
Number of pages: 102 Posted: 16 Feb 2009 Last Revised: 08 May 2013
Accepted Paper Series
Luxembourg School of Finance and University of Mannheim - Department of International Finance
Downloads 1,528
3.

Portfolio Returns and Manager Activity: How to Decompose Tracking Error into Security Selection and Market Timing

Journal of Empirical Finance, Vol. 19, No. 3, 2012, 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 25 Posted: 18 Nov 2008 Last Revised: 12 Sep 2013
Accepted Paper Series
Lappeenranta University of Technology (LUT)
Downloads 1,509
4.

On the Capital Structure of Real Estate Firms

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 32 Posted: 23 Aug 2010 Last Revised: 05 Apr 2011
Working Paper Series
The University of Sydney Business School, School of Hotel Administration, Cornell University and University of Queensland - Business School
Downloads 912
5.

Analytical Pairs Trading Under Different Assumptions on the Spread and Ratio Dynamics

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 40 Posted: 25 Aug 2010 Last Revised: 05 Apr 2011
Working Paper Series
The University of Sydney - School of Mathematics and Statistics, University of Glasgow and affiliation not provided to SSRN
Downloads 774
6.

Stock Market Predictability and Industrial Metal Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 50 Posted: 19 Aug 2010 Last Revised: 12 Jul 2016
Working Paper Series
Tilburg University - TIAS School for Business and Society, Massey University - School of Economics and Finance and Massey University - Department of Economics and Finance
Downloads 690
7.

IPO's: The Impact of Venture Capital Links?

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 26 Posted: 30 Aug 2010
Working Paper Series
The University of Sydney
Downloads 656
8.

Constant vs. Time-Varying Beta Models: Further Forecast Evaluation

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 30 Posted: 16 Aug 2010 Last Revised: 09 Apr 2011
Working Paper Series
UNSW Business School, University of New South Wales and UNSW Australia Business School, School of Banking and Finance
Downloads 648
9.

Investor Sentiment and Market Anomalies

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 24 Posted: 12 Nov 2010 Last Revised: 16 Nov 2010
Working Paper Series
Pusan National University and Pusan National University
Downloads 565
10.

Rumors of Mergers and Acquisitions: Market Efficiency and Markup Pricing

23rd Australasian Finance and Banking Conference 2010 Paper, Finance and Corporate Governance Conference 2011 Paper
Number of pages: 48 Posted: 25 Aug 2010 Last Revised: 02 Mar 2011
Working Paper Series
La Trobe University - Department of Finance, La Trobe Business School, University of Lethbridge Calgary Campus and La Trobe University - La Trobe Business School

Multiple version iconThere are 2 versions of this paper

Downloads 513
11.

Streaks in Earnings Surprises and the Cross-section of Stock Returns

Management Science, Forthcoming
Number of pages: 34 Posted: 16 Feb 2009 Last Revised: 14 Nov 2013
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business and University of San Diego
Downloads 512
12.

Systemic Risk: What Defaults are Telling Us

Management Science, Vol. 57, No. 8, pp. 1387-1405, 2011
Number of pages: 34 Posted: 15 Sep 2009 Last Revised: 18 Mar 2012
Accepted Paper Series
Stanford University - Management Science & Engineering and Korea University Business School (KUBS)
Downloads 503
13.

Public Opinion and Executive Compensation

Management Science, 58 (7): 1249-1272, July 2012
Number of pages: 33 Posted: 20 May 2010 Last Revised: 24 Apr 2014
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School and University of Mannheim - Department of Finance
Downloads 486
14.

Stock Market Reaction to the Global Financial Crisis: The Role of Corporate Governance and Product Quality Ratings in the Lehman Brothers' Event

Sustainable Investment and Corporate Governance Working Papers, 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 42 Posted: 26 Jul 2010
Working Paper Series
University of Rome, Tor Vergata - Faculty of Economics, University of Leicester - School of Management and University of Rome II - Department of Economics and Finance
Downloads 469
15.

Risky Lending: Does Bank Corporate Governance Matter?

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 50 Posted: 20 Aug 2010 Last Revised: 20 Aug 2015
Working Paper Series
Northeastern University - Finance Group and Northeastern University
Downloads 460
16.

Cross-Region, Cross-Sector Asset Allocation with Regimes

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 52 Posted: 09 Aug 2010 Last Revised: 27 Jan 2013
Working Paper Series
Macquarie University, Capital Markets CRC Limited, UniSuper Management Limited and University of Sydney
Downloads 422
17.

Why is IPO Underpricing a Global Phenomenon?

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 42 Posted: 24 Aug 2010
Working Paper Series
DePaul University - Department of Finance and Thunderbird, School of Global Management
Downloads 415
18.

State Ownership, Soft-Budget Constraint and Cash Holdings: Evidence from China’s Privatized Firms

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 48 Posted: 03 Aug 2010 Last Revised: 14 Nov 2012
Working Paper Series
University of Oklahoma and University of Texas at El Paso
Downloads 414
19.

R&D Expenditure and Firm Valuation: Evidence from Europe

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 28 Posted: 22 Aug 2010
Working Paper Series
University of Sharjah and University of Bologna - Department of Management
Downloads 412
20.

Takeover Defenses, Innovation, and Value-Creation: Evidence from Acquisition Decisions

Strategic Management Journal, 2014, Vol. 35, No. 5, pp. 668-690, DOI: 10.1002/smj.2121
Number of pages: 34 Posted: 29 Mar 2010 Last Revised: 29 Jul 2014
Accepted Paper Series
UNSW Business School
Downloads 378
21.

Asset Price Dynamics with Limited Attention

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 56 Posted: 01 Aug 2010 Last Revised: 10 Jan 2014
Working Paper Series
University of California, Berkeley - Haas School of Business, VU University Amsterdam, VU University Amsterdam and Hong Kong University of Science & Technology (HKUST)
Downloads 373
22.

Are You Smarter than a CFA'er? Manager Qualifications and Portfolio Performance

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 24 Posted: 21 Aug 2010
Working Paper Series
Illinois State University - Department of Economics, Massey University - Department of Commerce and State University of New York at Albany - School of Business and Center for Institutional Investment Management
Downloads 370
23.

Liquidity Commonality in Commodities

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 30 Posted: 12 May 2010 Last Revised: 27 Jul 2011
Working Paper Series
Massey University - School of Economics and Finance, Massey University and Massey University - Department of Economics and Finance
Downloads 367
24.

Risk Capital Allocation for RORAC Optimization

Journal of Banking and Finance, Vol. 35, pp. 3001-3009, 2011
Number of pages: 23 Posted: 06 Jul 2010 Last Revised: 31 Aug 2011
Accepted Paper Series
affiliation not provided to SSRN, Universität Regensburg and University of Regensburg
Downloads 358
25.

Selective Publicity and Stock Prices

Journal of Finance, 67 (2), 599-637, April 2012., 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 58 Posted: 24 Jan 2010 Last Revised: 28 Jun 2014
Accepted Paper Series
Boston College - Carroll School of Management
Downloads 355
26.

Shareholders in the Boardroom: Wealth Effects of the SEC’s Rule to Facilitate Director Nominations

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 50 Posted: 22 Dec 2009 Last Revised: 30 Jun 2011
Working Paper Series
University of Melbourne - Department of Finance, University of Melbourne and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 349
27.

National Culture and Corporate Governance

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 65 Posted: 18 Aug 2010 Last Revised: 07 Jan 2011
Working Paper Series
RWTH Aachen University and RWTH Aachen University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 345
28.

Idiosyncratic Volatility, Return Reversals and Momentum: Australian Evidence

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 41 Posted: 24 Aug 2010
Working Paper Series
University of Sydney - Discipline of Finance, Faculty of Economics and Business and University of Sydney - Discipline of Finance
Downloads 334
29.

Does Bonus Deferral Reduce Risk Taking?

Number of pages: 28 Posted: 22 Aug 2010 Last Revised: 23 Jul 2014
Working Paper Series
University of Mainz - Department of Banking

Multiple version iconThere are 2 versions of this paper

Downloads 319
30.

Momentum, Contrarian, and the January Seasonality

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 23 Aug 2010 Last Revised: 30 Apr 2012
Working Paper Series
Lancaster University - Management School
Downloads 308
31.

Board Expertise: Do Directors from Related Industries Help Bridge the Information Gap?

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 57 Posted: 25 Aug 2010 Last Revised: 26 Oct 2015
Working Paper Series
Georgia State University, Georgia Institute of Technology - Scheller College of Business, Aalto University, City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance and University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Downloads 302
32.

The Impact of Investor Relations Disclosure on Analysts’ Forecasts

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 27 Posted: 23 Aug 2010
Working Paper Series
University of Western Australia, ANU CBE Research School of Accounting and University of Western Australia
Downloads 301
33.

A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 56 Posted: 24 Aug 2010 Last Revised: 19 Jul 2012
Working Paper Series
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 293
34.

Corporate Risk Management: The Hedging Footprint

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 38 Posted: 08 Aug 2010
Working Paper Series
Hong Kong University of Science & Technology (HKUST) - Department of Finance and University of Pittsburgh - Finance Group
Downloads 278
35.

Risk-Shifting and the Regulation of Bank CEOs' Compensation

Journal of Financial Stability, Vol. 9, No. 4, 2013, 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 30 Posted: 24 Aug 2010 Last Revised: 03 Aug 2016
Accepted Paper Series
Queen's University
Downloads 271
36.

Internal Corporate Governance Mechanisms and Foreign Investors: Evidence from Japanese IPOs

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 52 Posted: 24 Aug 2010
Working Paper Series
The University of Kitakyushu and Kyushu University
Downloads 270
37.

Unconstrained Estimates of the Equity Risk Premium

Forthcoming in Review of Accounting Studies, 2013, 18 (2), June, Accepted 26 March 2012.
Number of pages: 62 Posted: 13 Feb 2010 Last Revised: 13 Mar 2013
Accepted Paper Series
University of Queensland - Business School, University of Queensland - Business School, University of Michigan, Stephen M. Ross School of Business and University of Queensland - Business School
Downloads 249
38.

Determinants of Corporate Default: Systematic Distress, Sectoral Distress and Credit Contagion

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 37 Posted: 24 Jul 2010 Last Revised: 29 Nov 2010
Working Paper Series
National University of Singapore (NUS) - Department of Finance
Downloads 237
39.

On the Optimal Allocation of Power between Shareholders and Managers

USC CLEO Research Paper No. C10-12, USC Law Legal Studies Paper No. 10-13, 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 46 Posted: 06 Aug 2010 Last Revised: 09 Dec 2014
Working Paper Series
University of Southern California
Downloads 227
40.

Individualism, Uncertainty Avoidance, and Earnings Momentum in International Markets

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 47 Posted: 10 Oct 2010
Working Paper Series
Macquarie University, Bentley University - Department of Accountancy, Monash University and T.A. PAI Management Institute, Finance Area

Multiple version iconThere are 2 versions of this paper

Downloads 206
41.

On Clearing Coupled Day-Ahead Electricity Markets

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 15 Posted: 18 Aug 2010 Last Revised: 03 Nov 2010
Working Paper Series
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and Georgia Institute of Technology
Downloads 206
42.

Survivorship Bias and Alternative Explanations of Momentum Effect

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 38 Posted: 25 Aug 2010 Last Revised: 04 Dec 2014
Working Paper Series
Bond University and Bond University
Downloads 206
43.

Stock Repurchases and TARP in the Financial Industry

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 41 Posted: 21 Aug 2010 Last Revised: 06 Nov 2010
Working Paper Series
University of Idaho - Department of Accounting, University of Virginia - McIntire School of Commerce and University of Virginia - McIntire School of Commerce
Downloads 202
44.

Board Monitoring and the Wall Street Rule

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 48 Posted: 15 Aug 2010 Last Revised: 27 Sep 2010
Working Paper Series
Victoria University of Wellington
Downloads 194
45.

Funding Liquidity and Equity Liquidity in the Subprime Crisis Period: Evidence from the Financial ETFs Market

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 38 Posted: 21 Aug 2010
Working Paper Series
National Chiao-Tung University, National Chiao-Tung University - Graduate Institute of Finance and National Taiwan University - Department of Finance
Downloads 194
46.

A Revised Trade-to-Trade Model for All Levels of Trading Thinness in Event Studies

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 33 Posted: 25 Aug 2010
Working Paper Series
University of Canterbury
Downloads 193
47.

Non-Dividend Paying Stocks and the Negative Value Premium

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 26 Posted: 09 Aug 2010 Last Revised: 17 May 2014
Working Paper Series
Simon Fraser University (SFU) - Finance Area and Tunghai University
Downloads 192
48.

The Equity Fear Premium and Daily Comovements of the S&P 500 E/P Ratio and Treasury Yields Before and During the 2007 Financial Crisis

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 50 Posted: 24 Aug 2010 Last Revised: 02 Jul 2011
Working Paper Series
Kedge Business School Bordeaux
Downloads 191
49.

Are Two Heads Better Than One? Evidence from the Thrift Crisis

Journal of Banking and Finance, 36, April 2012, 957-967., Mays Business School Research Paper No. 2011-11
Number of pages: 34 Posted: 06 Sep 2010 Last Revised: 28 Sep 2012
Accepted Paper Series
University of Colorado at Denver, Texas A&M University - Department of Finance, University of Nevada, Las Vegas - Lee Business School and Wichita State University
Downloads 185
50.

Competition in Financial Services: Evidence from British Mutual Funds

Empirical Legal Studies Conferences, 6th Annual Conference on Empirical Legal Studies, November 4-5, 2011
Number of pages: 44 Posted: 17 Jan 2010 Last Revised: 23 Nov 2012
Working Paper Series
Syracuse University - College of Law
Downloads 177