SSRN EFA 2002 Berlin Meetings Presentation Papers (Archive)

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

Christian Leuz, Dhananjay Nanda and Peter D. Wysocki

University of Chicago - Booth School of Business, University of Miami - School of Business Administration and Boston University Questrom School of Business

There 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

William N. Goetzmann, Jonathan E. Ingersoll Jr., Matthew I. Spiegel and Ivo Welch

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)

There 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

Klaus Peter Gugler, Dennis C. Mueller and B. Burcin Yurtoglu

Vienna University of Economics and Business, University of Vienna - Center for Business Studies - Department of Economics and WHU - Otto Beisheim School of Management

There 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

Andrea Gamba

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

Patrick Houweling and Ton Vorst

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

Ronald E. Shrieves and Pengjie Gao

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

Suman Banerjee and Thomas H. H. Noe

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

Maureen O'Hara and David Easley

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

Andrew Ang, Joseph Chen and Yuhang Xing

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

Young Ho Eom, Jing-Zhi Huang and Jean Helwege

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

Natalia Abrosimova, Gishan Dissanaike and Dirk Linowski

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

Paolo F. Volpin and Marco Pagano

City University London - Faculty of Finance and University of Naples Federico II - Department of Economics and Statistics

There 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

Stephen J. Brown, William N. Goetzmann, Takato Hiraki, Noriyoshi Shiraishi and Masahiro Watanabe

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

There 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

Utpal Bhattacharya, Hazem Daouk and Michael Welker

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

There 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

Mihir A. Desai, C. Fritz Foley and James R. Hines Jr.

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

Aydin Ozkan and Neslihan Ozkan

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

Zhiwu Chen, Werner Stanzl and Masahiro Watanabe

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

Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor

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

Söhnke M. Bartram and George Andrew Karolyi

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

John M. Griffin, J. Spencer Martin and Susan Ji

University of Texas at Austin - Department of Finance, University of Melbourne - Faculty of Business and Economics and College of Business, Governors State University

There 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

Elena Carletti, Philipp Hartmann and Giancarlo Spagnolo

Bocconi University - Department of Finance, European Central Bank (ECB) and Stockholm School of Economics (SITE)

There 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

Álvaro Escribano, Juan Ignacio Peña and Pablo Villaplana

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

Frans de Roon, Esther Eiling, Pierre Hillion and Bruno Gerard

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

Viral V. Acharya, Anthony Saunders and Iftekhar Hasan

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

There 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

Kathleen M. Kahle and Kuldeep Shastri

University of Arizona - Department of Finance and University of Pittsburgh - Finance Group

There 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

Charlotte Christiansen and Jesper Lund

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

Jaime Casassus and Pierre Collin-Dufresne

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

Shiu-yan Eddie Pong, Mark B. Shackleton, Stephen J. Taylor and Xinzhong Xu

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

There 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

Martin Christian Richter and Carsten Sørensen

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

Bruno Biais, Christophe Bisiere and Chester S. Spatt

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

Craig Pirrong and Martin Jermakyan

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

Belen Villalonga

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

Zhangkai Huang

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

Geert Bekaert, Campbell R. Harvey and Angela Ng

Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and Hong Kong University of Science & Technology (HKUST) - Department of Finance

There 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

Anup Agrawal, Mark A. Chen and Sahiba Chadha

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

There 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

Randolph B. Cohen, Christopher Polk and Tuomo Vuolteenaho

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

Rüdiger Frey and Pierre Patie

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

Fang Cai

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

Pierre Collin-Dufresne and Robert S. Goldstein

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

Suleiman R. Mohammed and Pradeep K. Yadav

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

Geert Bekaert, Campbell R. Harvey and Christian T. Lundblad

Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business and University of North Carolina Kenan-Flagler Business School

There 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

Holger M. Mueller and Roman Inderst

New York University (NYU) - Department of Finance and Goethe University Frankfurt

There 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

Steven R. Grenadier and Geert Bekaert

Stanford Graduate School of Business and Columbia Business School - Finance and Economics

There 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

Petri Juhani Kyrolainen and Jukka Perttunen

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

Ivo Welch and Arturo Bris

University of California, Los Angeles (UCLA) and IMD International

There 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

Olesya V. Grishchenko, Lubomir P. Litov and Jianping Mei

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

There 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

Larry Dann, Diane Del Guercio and M. Megan Partch

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

Natalia Utrero González

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

Theo Nijman, Marno Verbeek and Laurens Swinkels

Tilburg University - Center and Faculty of Economics and Business Administration, Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR)

There 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

Philip R. Brown, Nick Chappel, Raymond da Silva Rosa and Terry S. Walter

UWA Business School, M250, University of Sydney Business School, University of Western Australia - Department of Accounting and Finance and University of Sydney

There are 2 versions of this paper

Downloads 838

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