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EFA 2002 Berlin Meetings Presentation Papers (Archive)

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Viewing: 1 - 50 of 143 papers

1.

Earnings Management and Investor Protection: An International Comparison

MIT Sloan Working Paper No. 4225-01; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 32 Posted: 18 Sep 2001 Last Revised: 17 Mar 2008
Working Paper Series
University of Chicago - Booth School of Business, University of Miami - School of Business Administration and Boston University Questrom School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 8,346
2.

Portfolio Performance Manipulation and Manipulation-Proof Performance Measures

Yale ICF Working Paper No. 02-08, AFA 2003 Washington, DC Meetings
Number of pages: 48 Posted: 22 Mar 2002
Working Paper Series
Yale School of Management - International Center for Finance, Yale School of Management - International Center for Finance, Yale University - Yale School of Management, International Center for Finance and University of California, Los Angeles (UCLA)

Multiple version iconThere are 2 versions of this paper

Downloads 7,307
3.

Corporate Governance and the Returns on Investment

EFA 2002 Berlin Meetings Presented Paper; and ECGI - Finance Working Paper No. 06/2003
Number of pages: 59 Posted: 23 Apr 2003
Working Paper Series
Vienna University of Economics and Business, University of Vienna - Center for Business Studies - Department of Economics and WHU - Otto Beisheim School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 6,995
4.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 71 Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads 4,903
5.

Pricing Default Swaps: Empirical Evidence

Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Number of pages: 49 Posted: 24 Dec 2001
Accepted Paper Series
Robeco Investment Research and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 4,776
6.

Earnings Management and Executive Compensation: A Case of Overdose of Option and Underdose of Salary?

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 48 Posted: 22 Mar 2002
Working Paper Series
University of Tennessee, Knoxville - Department of Finance and University of Notre Dame - Mendoza College of Business
Downloads 3,651
7.

Exotics and Electrons: Electric Power Crises and Financial Risk Management

EFA 2002 Berlin Meetings Presented Paper; Tulane University Working Paper
Number of pages: 56 Posted: 15 Jan 2002
Working Paper Series
Stevens Institute of Technology and University of Oxford - Said Business School
Downloads 3,097
8.

Information and the Cost of Capital

EFA 2002 Berlin Meetings Presented Paper; Cornell University Johnson Graduate School of Management Working Paper
Number of pages: 44 Posted: 17 Feb 2002
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management and Cornell University - Department of Economics
Downloads 3,056
9.

Downside Correlation and Expected Stock Returns

EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47 Posted: 09 Nov 2001
Working Paper Series
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads 2,951
10.

Structural Models of Corporate Bond Pricing: An Empirical Analysis

EFA 2002 Berlin Meetings
Number of pages: 68 Posted: 21 Mar 2002
Working Paper Series
Yonsei University, Pennsylvania State University - University Park - Department of Finance and UC Riverside
Downloads 2,939
11.

Testing Weak-Form Efficiency of the Russian Stock Market

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 27 Posted: 11 Mar 2002
Working Paper Series
Deloitte & Touche, LLP, University of Cambridge - Judge Business School and University of Nijmegen, Nijmegen School of Management
Downloads 2,851
12.

Managers, Workers, and Corporate Control

EFA 2002 Berlin Meetings Presented Paper; ECGI - Finance Working Paper No. 01/2002
Number of pages: 40 Posted: 11 Apr 2003
Working Paper Series
City University London - Faculty of Finance and University of Naples Federico II - Department of Economics and Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 2,512
13.

Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows

Yale ICF Working Paper No. 02-09; AFA 2003 Washington, DC Meetings, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 46 Posted: 11 Mar 2002
Working Paper Series
New York University - Stern School of Business, Yale School of Management - International Center for Finance, Tokyo University of Science - School of Management, Rikkyo University - School of Social Relations and University of Alberta - School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 2,436
14.

The World Price of Earnings Opacity

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 52 Posted: 05 Sep 2001
Working Paper Series
Hong Kong University of Science & Technology (HKUST) - HKUST School of Business and Management, Cornell University - School of Applied Economics and Management and Queen's University - Queen's School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,252
15.

Dividend Policy Inside the Multinational Firm

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 32 Posted: 24 Jun 2002
Working Paper Series
Harvard Business School - Finance Unit, Harvard Business School and University of Michigan
Downloads 2,056
16.

Corporate Cash Holdings: An Empirical Investigation of UK Companies

EFA 2002 Berlin Meetings Presented Paper; Liverpool University Economics and Accounting Working Paper No. 2002-1
Number of pages: 41 Posted: 13 Mar 2002
Working Paper Series
Hull University Business School (HUBS) and University of Bristol - School of Economics, Finance and Management, UK
Downloads 1,998
17.

Price Impact Costs and the Limit of Arbitrage

EFA 2002 Berlin Meetings Presented Paper; Yale ICF Working Paper No. 00-66
Number of pages: 60 Posted: 10 Jul 2002
Working Paper Series
University of Hong Kong, Yale University - International Center for Finance and University of Alberta - School of Business
Downloads 1,920
18.

Stochastic Volatility for Levy Processes

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 35 Posted: 04 Jun 2002
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 1,890
19.

The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures

Journal of Empirical Finance, Vol. 13, Nos.4-5, pp. 519-549, October 2006, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 51 Posted: 16 Mar 2002 Last Revised: 11 Mar 2014
Accepted Paper Series
Warwick Business School - Department of Finance and Cornell University - Johnson Graduate School of Management
Downloads 1,823
20.

Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole

AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 46 Posted: 22 Nov 2001
Working Paper Series
University of Texas at Austin - Department of Finance, University of Melbourne - Faculty of Business and Economics and College of Business, Governors State University

Multiple version iconThere are 2 versions of this paper

Downloads 1,798
21.

Bank Mergers, Competition and Liquidity

ECB Working Paper No. 292
Number of pages: 51 Posted: 27 Apr 2004
Working Paper Series
Bocconi University - Department of Finance, European Central Bank (ECB) and Stockholm School of Economics (SITE)

Multiple version iconThere are 2 versions of this paper

Downloads 1,762
22.

Modeling Electricity Prices: International Evidence

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 32 Posted: 06 Feb 2002
Working Paper Series
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid - Department of Business Administration and Comisión Nacional de Energía
Downloads 1,711
23.

International Portfolio Diversification: Currency, Industry and Country Effects Revisited

EFA 2002 Berlin
Number of pages: 44 Posted: 31 Mar 2002 Last Revised: 07 Jan 2010
Working Paper Series
Tilburg University - Department of Finance, University of Amsterdam - Amsterdam Business School, INSEAD - Finance and Norwegian School of Management (BI) - Department of Financial Economics
Downloads 1,680
24.

Should Banks be Diversified? Evidence from Individual Bank Loan Portfolios

BIS Working Paper No. 118, AFA 2003 Washington, DC Meetings; London Business School, NYU Stern School of Business Working Paper
Number of pages: 61 Posted: 13 Dec 2005
Working Paper Series
New York University - Leonard N. Stern School of Business, New York University - Leonard N. Stern School of Business and Gabelli School of Business, Fordham University

Multiple version iconThere are 2 versions of this paper

Downloads 1,638
25.

Firm Performance, Capital Structure and the Tax Benefits of Employee Stock Options

EFA 2002 Berlin Meetings Presented Paper; EFMA 2002 London Meetings
Number of pages: 39 Posted: 22 Feb 2002
Working Paper Series
University of Arizona - Department of Finance and University of Pittsburgh - Finance Group

Multiple version iconThere are 2 versions of this paper

Downloads 1,597
26.

Revisiting the Shape of the Yield Curve: The Effect of Interest Rate Volatility

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 30 Posted: 21 Mar 2001
Working Paper Series
Aarhus University - CREATES and affiliation not provided to SSRN
Downloads 1,565
27.

'Maximal' Convenience Yield Model Implied by Commodity Futures

EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Number of pages: 36 Posted: 27 Feb 2002
Working Paper Series
Pontificia Universidad Catolica de Chile and Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 1,497
28.

Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

Lancaster University Working Paper; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 40 Posted: 16 Mar 2002
Working Paper Series
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,306
29.

Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 45 Posted: 27 Feb 2002
Working Paper Series
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Copenhagen Business School - Department of Finance
Downloads 1,296
30.

Imperfect Competition in Financial Markets: Island vs Nasdaq

14th Annual Utah Winter Finance Conference Paper; AFA 2004 San Diego Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 40 Posted: 23 Nov 2003
Working Paper Series
Centre for Economic Policy Research (CEPR), Universite de Toulouse - (IDEI - CRG) and Carnegie Mellon University - David A. Tepper School of Business
Downloads 1,269
31.

The Price of Power - The Valuation of Power and Weather Derivatives

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 43 Posted: 03 Mar 2002
Working Paper Series
University of Houston - Department of Finance and ElectraPartners
Downloads 1,259
32.

Diversification Discount or Premium? New evidence from BITS Establishment-Level Data

AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 40 Posted: 19 Dec 2000
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business
Downloads 1,236
33.

Financial Constraints and Investment-Cash Flow Sensitivity

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 32 Posted: 23 Feb 2002
Working Paper Series
affiliation not provided to SSRN
Downloads 1,116
34.

Market Integration and Contagion

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 39 Posted: 22 Mar 2002
Working Paper Series
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,094
35.

Who is Afraid of Reg FD? The Behavior and Performance of Sell-Side Analysts Following the SEC's Fair Disclosure Rules

AFA 2003 Washington, DC Meetings Paper, EFA 2002 Berlin Meetings Paper
Number of pages: 36 Posted: 02 Mar 2002 Last Revised: 13 Feb 2011
Working Paper Series
University of Alabama - Culverhouse College of Commerce & Business Administration, Georgia State University - Department of Finance and University of Alabama - Culverhouse College of Commerce & Business Administration

Multiple version iconThere are 2 versions of this paper

Downloads 1,034
36.

Does Risk or Mispricing Explain the Cross-Section of Stock Prices

AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper, HBS Finance Working Paper No. 03-107
Number of pages: 61 Posted: 02 Mar 2002
Working Paper Series
Harvard Business School - Finance Unit, London School of Economics and Arrowstreet Capital, LP
Downloads 1,020
37.

Risk Management For Derivatives In Illiquid Markets: A Simulation Study

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 20 Posted: 16 Feb 2002
Working Paper Series
ETH Zürich and Swiss Federal Institute of Technology Zurich (ETH) - Department of Mathematics, RiskLab
Downloads 1,019
38.

Does the Market Conspire Against the Weak? An Empirical Study of Front Running Behavior During the LTCM Crisis

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 54 Posted: 04 Dec 2001
Working Paper Series
Federal Reserve Board
Downloads 1,004
39.

Stochastic Correlation and the Relative Pricing of Caps and Swaptions in a Generalized-Affine Framework

EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Number of pages: 38 Posted: 09 Oct 2001
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 992
40.

Quality of Information and Volatility Around Earnings Announcements

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 61 Posted: 13 Mar 2002
Working Paper Series
University of Strathclyde - Department of Accounting and Finance and University of Oklahoma Price College of Business
Downloads 984
41.

Growth Volatility and Financial Liberalization

EFA 2002 Berlin, Forthcoming
Number of pages: 54 Posted: 12 Mar 2002
Working Paper Series
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 2 versions of this paper

Downloads 980
42.

The Effect of Capital Market Characteristics on the Value of Start-Up Firms

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 35 Posted: 23 Jan 2002
Working Paper Series
New York University (NYU) - Department of Finance and Goethe University Frankfurt

Multiple version iconThere are 2 versions of this paper

Downloads 959
43.

Stock and Bond Pricing in an Affine Economy

EFA 2002 Berlin Meetings
Number of pages: 54 Posted: 21 Feb 2002
Working Paper Series
Stanford Graduate School of Business and Columbia Business School - Finance and Economics

Multiple version iconThere are 2 versions of this paper

Downloads 949
44.

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
University of Oulu and University of Oulu - Department of Accounting & Finance
Downloads 930
45.

The Optimal Concentration of Creditors

EFA 2002 Berlin Meetings Presented Paper; Yale ICF Working Paper No. 00-65; Cowles Foundation Discussion Paper No. 1338
Number of pages: 33 Posted: 27 Nov 2001
Working Paper Series
University of California, Los Angeles (UCLA) and IMD International

Multiple version iconThere are 2 versions of this paper

Downloads 915
46.

Measuring Private Information Trading in Emerging Markets

NYU Department of Finance Working Paper; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 47 Posted: 23 Feb 2002
Working Paper Series
Board of Governors of the Federal Reserve System, University of Oklahoma - Michael F. Price College of Business and New York University (NYU) - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 914
47.

Governance and Boards of Directors in Closed-end Investment Companies

EFA 2002 Berlin Meetings Presented Paper; Presented at Tuck-JFE Contemporary Corporate Governance Conference
Number of pages: 45 Posted: 24 Jul 2000
Working Paper Series
University of Oregon - Department of Finance, University of Oregon, Lundquist College of Business and University of Oregon - Department of Finance
Downloads 896
48.

Legal Environment, Capital Structure and Firm Growth: International Evidence from Industry Data

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 56 Posted: 16 Mar 2002
Working Paper Series
Universidad Carlos III de Madrid - Department of Business Administration
Downloads 888
49.

Do Countries or Industries Explain Momentum in Europe?

ERIM Report Series Reference No. ERS-2002-91-F&A, EFA 2002 Berlin Meetings Presented Paper
Number of pages: 45 Posted: 01 Mar 2002
Working Paper Series
Tilburg University - Center and Faculty of Economics and Business Administration, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

Multiple version iconThere are 2 versions of this paper

Downloads 842
50.

The Reach of the Disposition Effect: Large Sample Evidence Across Investor Classes

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 33 Posted: 21 Mar 2002
Working Paper Series
UWA Business School, M250, University of Sydney Business School, University of Western Australia - Department of Accounting and Finance and University of Sydney

Multiple version iconThere are 2 versions of this paper

Downloads 838