SSRN Paris December 2012 Finance Meeting EUROFIDAI

1.

Does Academic Research Destroy Stock Return Predictability?

Journal of Finance, Forthcoming

Number of pages: 48 Posted: 04 Oct 2012 Last Revised: 24 Feb 2016

Accepted Paper Series

R. David McLean and Jeffrey Pontiff

Georgetown University - Department of Finance and Boston College - Department of Finance

Downloads 8,080

2.

Momentum Strategies in Futures Markets and Trend-following Funds

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 60 Posted: 06 Dec 2011 Last Revised: 12 Oct 2015

Working Paper Series

Nick Baltas and Robert Kosowski

Imperial College Business School and Imperial College Business School

Downloads 6,180

3.

Can Internet Search Queries Help to Predict Stock Market Volatility?

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, European Financial Management, Forthcoming

Number of pages: 34 Posted: 10 Oct 2011 Last Revised: 07 Jan 2016

Accepted Paper Series

Thomas Dimpfl and Stephan Jank

University of Tuebingen - Department of Statistics and Econometrics and Deutsche Bundesbank

There are 2 versions of this paper

Downloads 1,049

4.

The Fine Structure of Variance: Pricing VIX Derivatives in Consistent and Log-VIX Models

Number of pages: 63 Posted: 25 Mar 2012 Last Revised: 18 Aug 2016

Working Paper Series

Nicole Branger, Alexander Kraftschik and Clemens Völkert

University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster

Downloads 577

5.

Middlemen Interaction and Market Quality

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 40 Posted: 23 Oct 2012 Last Revised: 06 Oct 2013

Working Paper Series

Albert J. Menkveld and Bart Z. Yueshen

VU University Amsterdam and INSEAD - Finance

Downloads 511

6.

Bank Risk Exposure, Bank Failure and Off Balance Sheet Activities: An Empirical Analysis for U.S. Commercial Banks

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 36 Posted: 11 Jun 2012 Last Revised: 14 Oct 2012

Working Paper Series

Noma Ziadeh

University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE)

Downloads 374

7.

Money for Nothing? Understanding Variation in Reported Hedge Fund Fees

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 49 Posted: 31 Mar 2011 Last Revised: 17 Oct 2012

Working Paper Series

Tarun Ramadorai and Michael Streatfield

Imperial College London and University of Oxford - Said Business School

Downloads 252

8.

The Corporate Governance Endgame – An Economic Analysis of Minority Squeeze-Out Regulation in Germany

Number of pages: 47 Posted: 10 Jun 2012 Last Revised: 31 Jan 2014

Working Paper Series

Ettore Croci, Olaf Ehrhardt and Eric Nowak

Catholic University of the Sacred Heart of Milan, University of Applied Sciences Stralsund and University of Lugano

Downloads 234

9.

Improving Asset Pricing Models By Expanding the Set of Test Portfolios

Number of pages: 47 Posted: 12 Jun 2012 Last Revised: 05 Apr 2017

Working Paper Series

Laurent Barras

McGill University - Desautels Faculty of Management

Downloads 218

10.

On the Empirical Saddlepoint Approximation with Application to Asset Pricing

Number of pages: 39 Posted: 12 Jun 2012 Last Revised: 20 Oct 2015

Working Paper Series

Benjamin Holcblat

University of Luxembourg

Downloads 208

11.

An Anatomy of Fundamental Indexing

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 40 Posted: 14 Mar 2012 Last Revised: 11 Jun 2012

Working Paper Series

Lieven De Moor, Fang Liu, Piet Sercu and Tom Vinaimont

Vrije Universiteit Brussel, Central University of Finance and Economics, Beijing, FEB at KU Leuven and Hong Kong Baptist University (HKBU) - Department of Finance and Decision Sciences

There are 2 versions of this paper

Downloads 131

12.

The Risk-Based Capital Credit Crunch Hypothesis, a Dual Perspective

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 43 Posted: 12 Jun 2012 Last Revised: 27 Apr 2013

Working Paper Series

Lara Cathcart, Lina El-Jahel and Ravel Jabbour

Imperial College Business School, University of Auckland - Business School and Imperial College Business School

Downloads 129

13.

Explaining the Volatility Surface: A Closed-Form Solution to Option Pricing in a Fractional Jump-Diffusion Market

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 23 Posted: 06 Mar 2012 Last Revised: 26 Oct 2012

Working Paper Series

Stefan Rostek

University of Tuebingen - Faculty of Economics and Business Administration

Downloads 120

14.

Target Financial Independence and Takeover Pricing

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper, Journal of Financial Research, Forthcoming

Number of pages: 63 Posted: 26 May 2012 Last Revised: 28 May 2015

Accepted Paper Series

Jan Jindra and Thomas Moeller

U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis and Texas Christian University - Neeley School of Business

Downloads 118

15.

High Order Smooth Ambiguity Preferences and Asset Prices

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 41 Posted: 25 Jan 2012 Last Revised: 21 Feb 2013

Working Paper Series

Julian Thimme and Clemens Völkert

Goethe University Frankfurt - House of Finance and University of Muenster - Finance Center Muenster

There are 2 versions of this paper

Downloads 102

16.

Capital Structure and Employment Flexibility

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 37 Posted: 10 Jun 2012

Working Paper Series

Olga Kuzmina

New Economic School (NES)

Downloads 100

17.

FX Market Liquidity, Funding Constraints and Capital Flows

Number of pages: 46 Posted: 11 Jun 2012 Last Revised: 17 Oct 2014

Working Paper Series

Chiara Banti and Kate Phylaktis

University of Essex and Cass Business School, City University, London

Downloads 95

18.

Higher-Moment Risk Exposures in Hedge Funds

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 45 Posted: 05 Jun 2012

Working Paper Series

Marie Lambert, Georges Hubner and Nicolas A. Papageorgiou

University of Liege - HEC Management School, HEC Management School - University of Liège and HEC Montreal - Department of Finance

There are 3 versions of this paper

Downloads 90

19.

Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 29 Posted: 09 Jun 2012 Last Revised: 09 Nov 2016

Working Paper Series

Bertrand Tavin

EMLYON Business School

There are 2 versions of this paper

Downloads 72

20.

Bid Resistance by Takeover Targets: Managerial Bargaining or Bad Faith?

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 47 Posted: 05 Jun 2012 Last Revised: 04 Sep 2015

Working Paper Series

Thomas W. Bates and David A. Becher

Arizona State University - Department of Finance and Drexel University

There are 2 versions of this paper

Downloads 71

21.

Circuit Breakers and Market Runs

Number of pages: 50 Posted: 12 Jun 2012 Last Revised: 21 Sep 2016

Working Paper Series

Sarah Draus and Mark Van Achter

Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Finance

Downloads 69

22.

Limited Stock Market Participation Among Renters and Home Owners

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 57 Posted: 12 Jun 2012

Working Paper Series

Roine Vestman

Stockholm University - Department of Economics

Downloads 66

23.

Transparency in the Financial System: Rollover Risk and Crises

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 42 Posted: 12 Jun 2012

Working Paper Series

Matthieu Bouvard, Pierre Chaigneau and Adolfo De Motta

McGill University - Desautels Faculty of Management, Queen's University and McGill University - Desautels Faculty of Management

There are 2 versions of this paper

Downloads 60

24.

Feedback Trading and International Portfolio Allocation

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 34 Posted: 11 Jun 2012 Last Revised: 18 Oct 2012

Working Paper Series

Jyri Kinnunen

Swedish School of Economics and Business Administration

Downloads 59

25.

The Social Dynamics of Performance

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 80 Posted: 12 Jun 2012 Last Revised: 26 Oct 2012

Working Paper Series

Julien Cujean

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

Downloads 56

26.

Frequency of Consumption Adjustment and the Equity Premium

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 30 Posted: 09 Feb 2012 Last Revised: 10 Oct 2012

Working Paper Series

Narayan Bulusu and Javier Gómez Biscarri

Bank of Canada and Universitat Pompeu Fabra

Downloads 52

27.

A Fractal Version of the Hull-White Interest Rate Model

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 19 Posted: 03 Jun 2012

Working Paper Series

Donatien Hainaut

Université Catholique de Louvain

Downloads 49

28.

Financial Globalization and Risk Sharing: Welfare Effects and the Optimality of Open Markets

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Number of pages: 62 Posted: 03 Jun 2012

Working Paper Series

Andrey Ukhov and Charles Trzcinka

Cornell University and Indiana University - Kelley School of Business - Department of Finance

There are 2 versions of this paper

Downloads 28

29.

A Model of the Euro-Area Yield Curve with Discrete Policy Rates

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Posted: 09 Jun 2012

Working Paper Series

Jean-Paul Renne

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

There are 3 versions of this paper

30.

Habit Formation Heterogeneity: Implications for Aggregate Asset Pricing

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper

Posted: 12 Jun 2012 Last Revised: 07 Dec 2013

Working Paper Series

Eduard Dubin, Olesya V. Grishchenko and Vasily Kartashov

Goethe University Frankfurt - Department of Finance, Board of Governors of the Federal Reserve System and Goethe University Frankfurt

There are 4 versions of this paper

31.

Production Flexibility, Product Markets, and Capital Structure Decisions

Review of Financial Studies, Forthcoming

Posted: 12 Jun 2012 Last Revised: 09 Dec 2015

Accepted Paper Series

Sebastian J. Reinartz and Thomas Schmid

Technische Universität München (TUM) - Department of Financial Management and Capital Markets and The University of Hong Kong - Faculty of Business and Economics

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