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Paris December 2012 Finance Meeting EUROFIDAI - AFFI (Archive)

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10th INTERNATIONAL PARIS FINANCE MEETING
PARIS December 20th 2012

For more information on this conference,
please visit: http://www.eurofidai.org/december2012.html

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Viewing: 1 - 31 of 31 papers

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
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 8,263
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
Imperial College Business School and Imperial College Business School
Downloads 6,336
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
University of Tuebingen - Department of Statistics and Econometrics and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 1,068
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
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 586
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
VU University Amsterdam and INSEAD - Finance
Downloads 516
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
University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE)
Downloads 392
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
Imperial College London and University of Oxford - Said Business School
Downloads 254
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
Catholic University of the Sacred Heart of Milan, University of Applied Sciences Stralsund and University of Lugano
Downloads 239
9.

A Large-Scale Approach for Evaluating Asset Pricing Models

Number of pages: 49 Posted: 12 Jun 2012 Last Revised: 15 Oct 2017
Working Paper Series
McGill University - Desautels Faculty of Management
Downloads 235
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
University of Luxembourg
Downloads 211
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
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

Multiple version iconThere are 2 versions of this paper

Downloads 132
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
Imperial College Business School, University of Auckland - Business School and Imperial College Business School
Downloads 130
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
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
U.S. Securities and Exchange Commission - Division of Economic and Risk Analysis and Texas Christian University - Neeley School of Business
Downloads 120
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
Goethe University Frankfurt - House of Finance and University of Muenster - Finance Center Muenster

Multiple version iconThere are 2 versions of this paper

Downloads 103
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
New Economic School (NES)
Downloads 102
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
University of Essex and Cass Business School, City University, London
Downloads 98
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
University of Liege - HEC Management School, HEC Management School - University of Liège and HEC Montreal - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 92
19.

Circuit Breakers and Market Runs

Number of pages: 50 Posted: 12 Jun 2012 Last Revised: 21 Sep 2016
Working Paper Series
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Finance
Downloads 80
20.

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
Stockholm University - Department of Economics
Downloads 73
21.

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
Arizona State University - Department of Finance and Drexel University

Multiple version iconThere are 2 versions of this paper

Downloads 72
22.

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
EMLYON Business School

Multiple version iconThere are 2 versions of this paper

Downloads 72
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
McGill University - Desautels Faculty of Management, Queen's University and McGill University - Desautels Faculty of Management

Multiple version iconThere 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
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
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 58
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
Bank of Canada and Universitat Pompeu Fabra
Downloads 53
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
Université Catholique de Louvain
Downloads 50
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
Cornell University and Indiana University - Kelley School of Business - Department of Finance

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

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

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