Lauterbach Beni, Reisman Haim; Bar Ilan University; Technion - Israel Institute of Technology.

Keeping up with the Joneses and the Home Bias

Bellalah Makram, Aboura Sofiane; CEREG University of Paris Dauphine, ESSEC School of Management

The Effect of Asymmetric Information and Transaction Costs on Asset Pricing: Theory and Test

Bodnaruk Andriy; Stockholm School of Economics

Proximity always matters: evidence from Swedish data

Aussenegg Wolfgang, Jelic Ranko; Vienna University of Technology, The University of Birmingham

Operating Performance of Privatized Companies in Transition Economies - The Case of Poland, Hungary and the Czech Republic

Patev Plamen, Lyroudi Katerina, Kanaryan Nigokhos; D Tsenov Academy of Economics, University of Macedonia, D Tsenov Academy of Economics

Risk and Return on Bank Privatizations in Central and Eastern Europe

Dumontier Pascal, Laurin Claude; University of Geneva, Ècole des Hautes Ètudes Commerciales (Montreal)

The Financial Impact of the French Government's Nationalization/Privatization Strategy

Nivorozhkin Eugene; Gothenburg University

The Dynamics of Capital Structure in Transition Economies

Gonenc Halit; Hacettepe University

Capital Structure Decisions Under Micro Institutional Settings: The Case of Turkey

Pawlina Grzegorz; Tilburg University

Underinvestment, Capital Structure and Strategic Debt Restructuring

In Francis, Kim Sangbae; Monash University

Hedge Ratio and Correlation between the Stock and the Futures Markets: Evidence from the Wavelet Analysis.

De Losso da Silveira Bueno Rodrigo; University of Chicago

Dynamic Hedging with Stochastic Differential Utility

Korn Olaf; University of Mannheim

Liquidity Risk and Hedging Decisions

Geman Hélyette, Roncoroni Andrea; ESSEC Business School

A Class of Marked Point Processes for Modeling Electricity Prices

Ayayi Ayi; Ryerson University

The One Period Problem of a Monopoly Incentive Compatible Equity and Debt-linked Contracts

Chen An-Sing; National Chung Cheng University

Cointegration and Detectable Linear and Nonlinear Causality: Analysis using the London Metal Exchange Lead Contract

Kempf Alexander, Rünzi Stefan; University of Cologne

Tournaments in Mutual Fund Families

Hagelin Niclas, Pramborg Bengt; University of Michigan Business School

Evaluating Gains from Diversifying into Hedge Funds Using Dynamic Investment Strategies

Kacperczyk Marcin, Sialm Clemens, Zheng Lu; Stockholm University

On Industry Concentration of Actively Managed Equity Mutual Funds

Xavier Gerard, Cressy Robert, Citron David; Cass Business School

Do Venture Capitalists Add Credibility to Prospectus Earnings Forecasts? Evidence From French Initial Public Offerings

Rindermann Georg; University of Muenster

Venture Capitalist Participation and the Performance of IPO Firms: Empirical Evidence from France, Germany, and the UK

Chou Robin K., Lee Wan-Chen; National Central University

Decimalization and Market Quality

Harford Jarrad, Kaul Aditya; University of Washington, University of Alberta

Correleted Order Flow: Pervasiveness, Sources, and Pricing Effects

ap Gwilym Owain, McManus Ian, Thomas Stephen; University of Wales, University of Southampton, University of Southampton

Fractional versus decimal pricing: Evidence from the UK Long Gilt futures market

Kalev Petko S., Liu Wai-Man, Pham Peter K., Jarnecic Elvis; Monash University, Monash University, Monash University, University of New South Wales

Public Information Arrival and Volatility of Intraday Stock Returns

Raunig Burkhard; Oesterreichische Nationalbank

Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX

Balaban Ercan, Bayar Asli, Faff Robert; University of Edinburgh and Johann Wolfgang Goethe University, Cancaya University, Monash University

Forecasting Stock Market Volatility: Evidence from Fourteen Countries

Evans John, Simpson John, Mahate Ashraf A.; University of Wollongong – Dubai Campus, School of Economics and Finance, University of Wollongong – Dubai Campus

The Operating and Balance Sheet Performance of Japanese International Banks in Relation to Safety Levels: A Comparison with Western European Banks

Beccalli Elena, Casu Barbara, Girardone Claudia; London School of Economics, The University of Reading, Middlesex University Business School

Efficiency and Stock Performance in European Banking

Ford Guy, Weston Rae; Macquarie University

Risk-Adjusted Performance of European Banks under the Basel Accord

Danbolt Jo, Rees William; University of Glasgow, University of Amsterdam

Mark-to-Market Accounting and Valuation: Evidence from UK Real Estate and Investment Companies

Junttila Juha, Kallunki Juha-Pekka, Rahiala Markku, Sahlström Petri; University of Oulu, University of Vaasa

How Does the Financial Environment affect the Stock Market Valuation of R&D Spending?

Bley Jorg, Olson Dennis; American University of Sharjah

An Analysis of Relative Return Behavior: REITs vs Stocks

Mollemans Michael; Macquarie University

The Convertible Bond Announcement Effect in Japan

Bancel Franck, Mittoo Usha R.; European School of Management, University of Manitoba

Why European Firms issue Convertible Debt?

Karjalainen Pasi; University of Oulu

Firm-Specific Characteristics of R&D Capital: International Evidence

Urošević Branko; Universitat Pompeu Fabra

Moral Hazard and Dynamics of Insider Ownership Stakes

Menoncin Francesco; IRES, Université catholique du Louvain

Optimal Real Investment with Stochastic Income: An Exact Characterization of the Solution

Fryndenberg Stein; Trondheim Business School

A Dynamic Model of Corporate Capital Structure

Koutmos Gregory, Knif Johan; Fairfield University, Swedish School of Economics and Business

Exchange Rate Exposure: Evidence from Finnish Stock Returns

Muller A., Verschoor Willem F.C.; Maastricht University

The Latin-American Exchange Exposure of U.S. Multinationals

Murtagh James P., Bessler Wolfgang; Rensselaer Polytechnic Institute, Justus-Liebig-University Giessen

Interest Rate and Exchange Rate Risk in Financial and Non-Financial Iindustries: An International Study

Fernandes Nuno; IESE Business School

Market Liberalization: Spillovers from ADRs and Implications for Local Markets

Liu Jiang, Peng Ke, Wang Shiyun; University of Manchester, University of Strathclyde and University of Bradford, University of Manchester

Time Varying Prediction of UK Asset Returns

Knif Johan, Kolari James, Pynnonen Seppo; Swedish School of Economics and Business, Texas A&M University, University of Vaasa

Inflation News and the Stock Market: Macroefficiency or Overreaction

Dupré Denis; ESA, Université Grenoble

Adding an ethical dimension to portfolio management

Rigoni Ugo; University of Venice

Investor Profile and Asset Allocation Advice

Petrella Giovanni; Universitá Cattolica del Sacro Cuore

Are Euro Area Small Cap an Asset Class? Evidence From Mean-Variance Spanning Tests

Esty Benjamin C.; Harward Business School

Structure Matters: Study and Teaching Project Finance

Lai Hung Neng; National Central University

Price Discovery in Hybrid Markets: Further Evidence from the London Stock Exchange

Esser Angelika; Goethe University

Derivatives Written on a Power of the Stock Price: General Valuation. Principles and Application to Stochastic Volatility Models

Aboura Sofiane; ESSEC Business School

Pricing CAC 40 Index with Stochastic Volatility

Ryan Peter J., Hoontrakul Pongsak; University of Ottawa and SASIN of Chulalongkorn and JMSB at Concordia, SASIN of Chulalongkorn

Balance Sheet Effects on Option Pricing

Doukas John A., Milonas Nikolaos T.; Stern School of Business NYU, University of Athens

Investor Sentiment and the Closed-end Fund Puzzle: Out-of-Sample Evidence

Lee Yul W., Moore Keith M.; University of Rhode Island, St. Johns University

The Premium-Discount Puzzle of Closed-end Bond Funds: An empirical Examination of the Dividend Yield Preference Hypothesis

Wei Li, Shi Donghui; New York Stock Exchange, Shanghai Stock Exchange

Is Penny Trading Optimal for Closed-end Funds in China

Giouvris Evangelos; University of Durham

Systematic Liquidity: Evidence from the London Stock Exchange

Cauchie Severine, Hoesli Martin, Isakov Dusan; HEC University of Geneva and FAME

The Determinants of Stock Returns in a Small Open Economy

Zhang Jianhua, Wihlborg Clas; Göteborg University, Copenhagen Business School

The Polish Stock Market: Risk and Risk Premia

Berk Ales; University of Ljubljana

Effects of Legislation about Financial Management of Enterprises: Evidence of the Restructuring in the Slovene Economy

Hayden Evelyn; University of Vienna

Models of Default Prediction for the Austrian Market

Franks Julian R., Sanzhar Sergey V.; London Business School

How do firms overcome the debt overhang problem?

Balboa Ramón Marina, Martí Pellón José; Universidad Complutense de Madrid, Universidad de Alicante

Characterization of the reputation of private equity managers: evidence in Spain

Beuselinck Christof, Deloof Marc, Manigart Sophie; Ghent University, University of Antwerp, Ghent University and Vlerick Leuven Ghent Management School

The Impact of Venture Capital Financing on Earnings Management and Earnings Quality

Charitou Andreas, Lambertides Neophitos; University of Cyprus

Earnings management prior to bankruptcy

Galil Koresh; Tel-Aviv University

The Quality of Corporate Credit Rating: an Empirical Investigation

Lehmann Bina; University of Konstanz

Is It Worth the While? The Relevance of Qualitative Information in Credit Rating

Mukhopadhyay Bappaditya; Mamagement Development Institute

Policy Implications for Ratings Industry

Kallberg Jarl, Pasquariello Paolo; New York University

Time-Series and Cross-Sectional Excess Comovement in Stock Indexes

Choudhry Taufiq; University of Bradford

September 11 and Time-Varying Beta of United States Companies

Karathanassis George, Diamandis Panayiotis, Volis Argyrios; Athens University of Economics and Business

Time Varying Beta Risk for the Stocks of the Athens Stock Exchange: A Multivariate Approach

Ahn Hee-Joon, Cai Jun, Hamao Yasushi; Sookmyung Women’s University, City University of Hong Kong, University of Southern California

Minimum Trading Unit and Investor Base, Liquidity, Noise Trading, and Brokerage Promotion

Otten Rogér, Bams Dennis; Maastricht University, ING Re and Maastricht University

The Performance of Local Versus Foreign Mutual Fund Managers

Malhotra D.K., Martin Rand, Russel Philip S.; Philadelphia University, Bloomsburg University of Pennsylvania, Philadelphia University

Economies of Scale in the Management of Mutual Funds

Pukthuanthong Kuntara; University of California

IPO Mispricing, Flipping and Long-Term Performance

Gounopoulos Dimitrios; Manchester School of Management

The Initial and aftermarket performance of IPOs: evidence from Athens Stock Exchange

Kraus Tilo, Burghof Hans-Peter; UBS Warburg Ltd, University of Munich

Post-IPO Performance and the Exit of Venture Capitalists

Henry Olan T., McKenzie Michael; University of Melbourne, RMIT University

The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong

Merrick John J.Jr., Naik Narayan Y., Yadav Pradeep K.; City University of New York, London Business School, University of Strathclyde and UCLA

StrategicTrading Behavior and Price Distortion in a Manipulated Market: Anatomy of a Squeeze

Kim Yong H., Yagüe-Guirao José , Yang J. Jimmy; University of Cincinnati, University of Murcia, University of Cincinnati

The relative performance between trading halts and price limits: Spanish evidence

Aktas Nihat, Bodt Eric de, Cousin Jean-Gabriel; Université Catholique de Louvain, Université de Lille2, Université de Lille2

Event Study under Disturbed Estimation Period

Li Minqiang, Pearson Neil D., Poteshman Allen M.; University of Illinois

Conditional Estimation of Diffusion Processes

Stéphan Clémencon, Skander Slim; Université Paris X Nanterre

Statistical Analysis of Financial Time Series under the Assumption of Local Stationarity

Peura Samu, Keppo Jussi; Sampo plc, University of Michigan

Optimal bank capital with costly recapitalization

Martins Nuno C., Pinho Paulo S.; Banco de Portugal and Universidade Nova de Lisboa, Universidade Nova de Lisboa

The Identification of Banks Provisioning Policy: Structural Approach and Empirical Evidence

Peura Samu, Jokivuolle Esa; Sampo plc, Helsinki School of Economics

Simulation Based Stress Tests of Banks' Regulatory Capital Adequacy

Hsu Chih-Chiang, Chou Robin K.; National Central University

Robust Measurement of Size and Book-to-Market Premia

Kelly Patrick J.; Arizona State University

Real and Inflationary Macroeconomic Risk in the Momentum and Fama and French Size and Book-to-Market Portfolios

Phalippou Ludovic; INSEAD

Limited Arbitrage and the Value Premium

Antoniou Antonios, Guney Yilmaz, Paudyal Krishna; University of Durham, University of Surrey, University of Durham

The Determinants of Corporate Debt Maturity Structure

Realdon Marco; University of York

About Debt and the Option to Extend Debt Maturity

Heyman Dries, Deloof Marc, Ooghe Hubert; Ghent University, Antwerp University, Ghent University and Vlerick Leuven Ghent Management School

The dept maturity structure of very small firms in a banking oriented system

Hagelin Niclas, Holmén Martin, Pramborg Bengt; Stockholm University, Uppsala University, Stockholm University

Dual Class Shares and Risk Management

Linciano Nadia; Commissione Nazionale per le Società e la Borsa (Consob)

Non-Voting Shares and the Value of Control: The Impact of Corporate Regulation in Italy

Pajuste Anete; Stockholm School of Economics

What Drives the Unification of Multiple Class Shares?

Papageorgiou Nicolas; HEC Montreal

The Term Structure of Defaultable Bonds

Onorato Mario, Altman Edward I.; City University, Stern School of Business NYU

An Integrated Pricing Model for Defaultable Loans and Bonds

Gottesman Aron A., Roberts Gordon S.; Pace University, York University

Maturity and Corporate Loan Pricing

Galy Sébastien; Konstanz University

Endogenous Illiquidity Trading Costs from Risk Sharing

Mazouz Khelifa; University of Manchester Institute of Science and Technology

The impact of options listing on systematic and specific risk of the underlying stocks: A time varying risk approach

Batchelor Roy, Kavussanos Manolis G., Visvikis Ilidias D.; City University Business School, Athens University of Economics and Business, University of Piraeus

Over-the-Counter Forward Contracts and Spot Price Volatility

Hansson Björn, Asgharian Hossein; Lund University

Investment Strategies using Orthogonal Portfolios

Alexander Carol, Dimitriu Anca; The University of Reading

Regimes of Index Out-Performance: A Markov Switching Model of Index Dispersion

Kempf Alexander, Kreuzberg Klaus; University of Cologne

Market Timing and Security Market Line Analysis

Rosenfeld James; Emory University

An Examination of the Stock Return and Operating Performance of Sponsored Spin-offs

van Frederikslust Ruud, Leermakers Werner T.J., Soedito S. Noraly, van Dalen Jan; Erasmus University Rotterdam, Ernst & Young, Bank Artesia N.V., Erasmus University Rotterdam

Corporate Restructuring of Dutch Companies: An Empirical Analysis

Powell Ronan G.; School of Banking and Finance at UNSW, The Manchester Business School

Does Operating Performance increase Post-Takeover ? A Comparison of Performance Measures and Benchmarks

Kyröläinen Petri, Perttunen Jukka; University of Oulu

Investor's Activity and Trading Behavior

Jackson Andrew; London Business School

Noise Trader Risk Exists… but the Noise Traders are not who you think they are

Keiber Karl L.; WHU Otto Beisheim Graduate School of Management

Price Discovery in the Presence of Boundedly Rational Traders

Arshanapalli Bala, Switzer Lorne N., Arbesfeld Jonathan; Indiana University Northwest, Concordia University, Concordia University

Index Participation Units and the Structure of Equity Market Demand: Evidence from New Issues and Redemptions of SPDRs

Horst Jenke ter, Veld Chris; Tilburg University

Behavioral Preferences for Individual Securities: the Case for Call Warrants and Call Options

Perrakis Stylianos, Czerwonko Michal; Concordia University

Transaction Costs, Stochastic Dominance and Risky Arbitrage in the Index Options Market

Panigirtzoglou Nikolaos; Bank of England

Implied Foreign Exchange Risk Premia

Carrieri Francesca, Errunza Vihang, Majerbi Basma; McGill University

Global Price of Foreign Exchange Risk

Cappiello Lorenzo, Castrén Olli, Jääskelä Jarkko; ECB Directorate General Economics, ECB Directorate General Economics, Bank of England

Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach

Li Hongzhu, Wilhelmsson Anders; Swedish School of Economics and Business Administration

The Mean/Variance Relation and the Conditional Distribution

Cuthbertson Keith, Hyde Stuart; Imperial College, Manchester School of Accounting and Finance

Resurrecting the C-CAPM: Empirical Evidence from France and Germany

Petäjistö Antti; Massachusetts Institute of Technology

What Makes Demand Curves for Stocks Slope Down?

Ferreira Miguel A., Vilela António; ISCTE School of Business

Why do Firms Hold Cash? Evidence from EMU Countries

Cánovas Ginés Hernández, Solano Pedro Martínez; Politechnic University of Cartagena, University of Murcia

Bank Relationships: Effects on the Debt Terms of the Small Spanish Firms

Guney Yilmaz, Ozkan Aydin, Ozkan Neslihan; University of Surrey, University of York, University of Liverpool

Additional International Evidence on Corporate Cash Holdings

Krishnamurti Chandrasekhar, Sevic Alexandar, Sevic Zeljko; Nanyang Technological University, Nanyang Technological University, The University of Greenwich

Legal Environment, Firm-level Corporate Governance and Expropriation of Minority Shareholders in Asia

Guedes José, Brito José; Universidade Católica Portuguesa - FCEE

Implicit Contracts and Dominant Shareholders

Mallin Chris, Dunne Theresa, Helliar Christine, Ow-Yong Kean; The University of Birmingham, University of Dundee, University of Dundee, The University of Birmingham

Derivatives Disclosures and Corporate Governance: A Fund Management Perspective

Hunter Delroy M., Simon David P.; University of South Florida, Bentley College

Are TIPS the Real Deal?: A Conditional Assessment of their Role in a Nominal Portfolio

Diaz Diana, Gemmill Gordon; Cass Business School

Can Structural Models Explain Prices of Sovereign Bonds ?

Díaz Perez Antonio, Navarro Eliseo; Universidad de Castilla-La Mancha

Liquidity premiums between Treasury Asset Markets

Mayes David G.; South Bank University

Contracts and Competition in the Regulation of European Stock Exchanges

Cervellati Enrico Maria; University of Bologna

Financial regulation and supervision in EU countries

Kasch-Haroutounian Maria, Theissen Erik; University of Bonn

Competition Between Exchanges: Euronext versus Xetra

Pelizzon Loriana, Weber Guglielmo; University of Padua

Are Italian Household Portfolios Efficient? An Analysis Conditional on Housing

Ehling Paul; HEC Lausanne and FAME

Explaining the persistence of portfolio flows

de La Bruslerie Hubert; University Paris I Sorbonne

Active bond strategies : What link between forecasting ability, excess return and performance?

Bagchee Deepika; University of Washington

Investor response to sell-side analyst revisions in IPO recommendations: Do they correct expectations?

Roosenboom Peter, Schramade Willem; Erasmus University Rotterdam

The Controlling Position of Owner-Managers in IPO Firms: Incentive or Entrenchment?

Bessler Wolfgang, Murtagh James P., Siregar Dona; Justus-Liebig-University Giessen, Rensselaer Polytechnic Institute, Rensselaer Polytechnic Institute

Dividend Policy of Bank Initial Public Offerings

Eberhart Allan, Maxwell William F., Siddique Akhtar R.; Georgetown University, University of Arizona, Georgetown University

An Examination of Long-Term Abnormal Stock Returns and Operating Performance Following R&D Increases¨

Carpenter Andrew, Wang Jianxin; UBS Warburg – Sydney, University of New South Wales

Sources of Information in FX Trading

Barabanov Sergey S., McNamara Michael J.; University of St. Thomas, Washington State University

Market perception of information asymmetry; Concentration of ownership by different types of institutions and bid-ask spread

Lobez Fréderic, Statnik Jean-Christophe; University of Lille2

The Informative Contents of Bank Debt Concentration

González Francisco; University of Oviedo

Bank Regulation and Risk-Taking Incentives: An International Comparison of Bank Risk

Mittoo Usha R.; University of Manitoba

Globalization and the Value of U.S. Listings: Revisiting Canadian Evidence

Phylaktis Kate, Manalis Gikas; Sir John Cass Business School, Athens Stock Exchange

Price Transmission Dynamics Between Informationally Linked Securities

Charitou Andreas, Louca Christodoulos; University of Cyprus

Earnings Management by Foreign Firms Preceding Their Listing in US Stock Exchanges

Barnes Edel,Hardie-Brown Gael; University College Cork

Revisiting the Diversification Value Impact for UK Firms: A Resolution of the Puzzle?

Kinkki Seppo; Helsinki Business Polytechnic

Minority Protection, Controlling Shareholders, Agency Problems and Dividend Policy in Finland

Banerjee Suman, Gatchev Vladimir A., Spindt Paul A.; Tulane University

To pay or not to pay dividend ? The dividend dilemma of the liquid firm

Raaballe Johannes, Bechmann Ken L.; University of Aarhus, Copenhagen Business School

Taxable Cash Dividends - A Useful Waste of Money

Kaserer Christoph, Roos Stephanie, Wenger Ekkehard; Technische Universität München, Universität Würzburg, Universität Würzburg

Tax-Driven One-Time Dividends and the Mangerial Discretion Hypothesis - New Evidence from Germany

Adam-Mueller Axel; University of Konstanz

An alternative view on cross hedging

Valiani Shohreh; Goethe University

An Analysis of Currency Risk Controlling due to Different FX Derivatives. Comparing the Degree of Effectiveness of Foreign Currency Futures Versus Options

Kinnunen Heli; University of Oulu

Forecasting the economic state with financial market information and term structure of interest rates

Martínez-Serna Maria-Isabel, Navarro-Arribas Eliseo; University of Murcia, University of Castilla - La Manca

The Term Structure of Interest Rates and Expected Economic Growth

Tessaromatis Nicholas; Athens Laboratory of Business Administration (ALBA)

Stock market sensitivity to interest rates and inflation

Ehling Paul, Ramos Sofia Correia Brito; HEC Lausanne FAME, HEC Lausanne FAME and CEMAF / ISCTE

Geographical versus Industrial Diversification: Evidence from EMU and non-EMU Countries

Lin Wenling, Kopp Lisa, Hoffman Phillip, and Thurston Mark; Frank Russell Company

Rising Sector and Style Influences on Global Equity Portfolios

Goetzmann William N., Li Lingfeng, Rouwenhorst K. Geert; Yale School of Management, Yale University, Yale School of Management

Long-Term Global Market Correlations

Ang James S., Chen Yingmei; Florida State University

Direct Evidence on Market-Driven Acquisitions Theory

Yeh Yin-Hua, Shu Pei-Gi, Chiu Shean-Bii; Fu-Jen Catholic University, Fu-Jen Catholic University, National Taiwan University

Whose Control Matters? Evidence from the Target Firms of Acquisitions

Gioia Carmine; Copenhagen Business School

Characteristics and predictability of companies’ acquisitions; Empirical Evidence from Denmark 1993-1996

Antoniou Antonios, Galariotis Emilios C., Spyrou Spyros I.; University of Durham, University of Durham, Athens University of Economics and Business

Are contrarian investment strategies profitable in the London Stock Exchange? Where do these profits come from?

Doukas John A., McKnight Phillip J.; Stern School of Business NYU, Cardiff School of Business

European Momentum Strategies, Information Diffusion, and Investor Conservatism

Calvo Eva Gonzáles, Lasfer Meziane; Universidad Autonoma de Madrid, City University

Why do Corporate Insiders Trade? The UK Evidence

Heaney Richard, Swieringa John; Australian National University

European Currency Volatility After Economic and Monetary Union

Sjaastad Larry A., Manzur Meher; University of Chicago and University of Western Australia, Curtin University of Technology

Import Protection, Capital Flows, and Real Exchange Rate Dynamics

Han Bing, Hammond Peter; University of Calgary, Stanford University

Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates

Cohen Ruben D.; Corporate Finance - Structured Products, Citigroup

The Relationship between the Equity Risk Premium, Duration, and Dividend Yield

Arshanapalli Bala, Switzer Lorne N., Vezina Alexandre; Indiana University Northwest, Concordia University, Concordia University

Sources of Time Varying Risk and Risk Premia in U.S. Stock and Bond Markets

Cooper Ian A., Davydenko Sergei A.; London Business School

Using Yield Spreads to Estimate Expected Returns on Debt and Equity

Frühwirth Manfred; Vienna University of Economics and Business Administration

The Optimal Timing of the Transfer of Hidden Reserves in the German and Austrian Tax Systems

Bartholdy Jan, Mateus Cesario; Aarhus School of Business

Debt and Taxes: Evidence from a Bank based System

Previtero Alessandro; Bocconi University

Taxes and Capital Structure: Evidence from the Italian Tax Reform of 1997

de Miguel Alberto, Pindado Julio, de la Torre Chabela; Universidad de Salamanca

Ownership Structure and Firm Value: New Evidence from the Spanish Corporate Governace System

Wan Kam-Ming; University of Texas at Dallas

Independent Directors, Executive Pay, and Firm Performance

Loss Frédéric, Renucci Antoine; Ecole Supérieure de Commerce de Toulouse

When Promotion Induce Good Managers to Take Too Much Risk

Leippold Markus, Trojani Fabio, Vanini Paolo; University of Zürich, University of Southern Switzerland,

Equilibrium Impact of Value-At-Risk

Neumann Robert, Åkesson Aron; Danske Bank

Do Realistic Distribution Assumptions Improve Risk Estimates? A Long-Term Out-of-Sample Perspective on Risk Management

Schaller Peter; Bank Austria

Incorporating the uncertainty of parameter estimates into value at risk: An alternative approach

Kang Tony; Singapore Management University

Level of Economic Development of a Firm’s Country of Domicile and the Patterns in Stock Market Reaction Surrounding U.S. Earnings Announcements: A Test of the Global Market Segmentation Hypothesis

Melle Hernandez Mónica; Universidad Complutense de Madrid

The Euro Effect on the Integration of the European Stock Markets

Ahlgren Niklas, Sjöö Bo, Zhang Jianhua; Swedish School of Economics and Business Administration, University of Skövde, University of Göteborg

Market Segmentation and Information Diffusion in China's Stock Markets: Panel Data Unit Root and Cointegration Tests on A and B Share Prices

Estrada Javier; IESE Business School

Adjusting P/E Ratios by Growth and Risk: The PERG Ratio

Bird Ron, Gerlach Richard; University of Technology Sydney, University of Newcastle

The Good and the Bad of Value Investing: Applying a Bayesian Approach to Develop Enhancement Models

Lee Yul W., Song Zhiyi; University of Rhode Island; Bear, Stearns & Co. Inc.

When do Value Stocks Outperform Growth Stocks? Investor Sentiment and Equity Style Rotation Strategies

Espenlaub Susanne, Goergen Marc, Khurshed Arif, Remenar Marko; University of Manchester, University of Manchester Institute of Science and Technology, University of Manchester

The expiry of lock-in agreements of UK IPOs: A look at the Directors’ Trading Activity

Krishnan C.N.V., Singh Ajai K., Zebedee Allan; Case Western Reserve University, San Diego State University

Crystal Balls or Collusion? An Examination of Large Sell Orders in Cold IPO Aftermarkets

Liu Stella, Swan Peter L., Westerholm Joakim; University of New South Wales, University of New South Wales, University of Sydney

The Impact of Market Design and Institutional Features on World Equity Market Performance

Hansch Oliver; Pennsylvania State University

Island Tides: Exploring ECN Liquidity

Gajewski Jean-Francois, Gresse Carole; Université de Paris-12, IRG; Université de Paris-Nanterre & CEREG

Trading Costs Analysis: A Comparison of Euronext Paris and the London Stock Exchange

Clark Ephraim, Lakshmi Greeta; Middlesex University Business School

Sovereign Debt and the Cost of Migration: India 1990-1992

Jorgensen Jan J., Terra Paulo Renato Soares; McGill University, Universidade do Vale do Rio dos Sinos

The Fisher hypothesis in a VAR framework: Evidence from advanced and emerging markets

Bowman Chakriya; Australian National University

Yen Bloc or Koala Bloc? Evidence of the Relevance of Australia to East Asian Economies

Lee Edward, Strong Norman, Liu Weimin; University of Manchester

Characteristics or Covariance: Further Evidence

Ajili Souad; CEREG - Universite Paris Dauphine

Explaining the Cross-Section Returns in France: Charasteristics or Covariances?

Istaitieh Abdulaziz, Rodríguez José Miguel; Univelladolid

Financial Leverage interaction with Firm's Strategic Behavior: An Empirical Evidence

Weill Laurent; Université Robert Schuman

Leverage and Corporate Performance: A Frontier Efficiency Analysis on European Countries

Steijvers Tensie, Voordeckers Wim; Limburgs Universitair Centrum

Business Collateral and Personal Commitments in Small Business Lending

Drobetz Wolfgang, Schillhofer Andreas, Zimmermann Heinz; University of Basel, Otto Beisheim Graduate School of Management (WHU), University of Basel

Corporate Governance and Expected Stock Returns: Evidence from Germany

Martín-Ugedo Juan Francisco, Mínguez-Vera Antonio; Universidad Politécnica de Cartagena, Universidad de Murcia

Does Ownership Structure affect Value? Evidence from the Spanish Capital Market

Attig Najah, Voser Gadhoum, Lang L.; Laval University, University of Quebec in Montreal, Chinese University of Hong Kong

Bid-Ask Spread, Asymmetric Information and Ultimate Ownership

Lu Hongze; Université de Lausanne

Market Value of Loan Commitment with Material Adverse Change (MAC) Covenant

Pérignon Christophe, Villa Christophe; UCLA; ENSAI, CREST-LSM and CREREG

Permanent Factors Affecting the Dynamics of the Term Structure of Interest Rates

Hördahl Peter, Vestin David; European Central Bank

Interpreting Implied Risk-Neural Densities: The Role of Risk Premia

Belcredi Massimo, Bozzi Stefano, Rigamonti Silvia; Universitá Cattolica del S. Cuore

The Impact of Research Reports on Stock Prices in Italy

Chan Louis K. C., Karceski Jason, Lakonishok Josef; University of Illinois at Urbana-Campaign, University of Florida, University of Illinois at Urbana-Campaign and NBER

Analysts’ Conflict of Interest and Biases in Earnings Forecasts

Lobao Júlio, Serra Ana Paula; Instituto de Estudos Superiores Financeiros e Fiscais, Universidade do Porto

Herding Behavior: Evidence from Portuguese Mutual Funds

Siegmann Arjen, Lucas André; De Nederlandsche Bank, Vrije Universiteit Amsterdam

Explaining Hedge Fund Investment Strategies by Management Reward Structures

Getmansky Mila, Lo Andrew W., Makarov Igor; MIT Sloan School of Management

An econometric model of serial correlation in hedge fund returns

Dubois Michel, Bacmann J.F.; Université de Neuchâtel

Long-Run Abnormal Stock Performance: Some Additional Evidence

Taffler Richard, Agarwal Vineet; Cranfield School of Management

The Distress Factor Effect in Equity Returns: Market Mispricing or Omitted Variable?

Dai Qinglei; Norwegian School of Management

Tax-loss Selling and the Turn-of-the-Year Effect

Aktas Nihat, Bodt Eric de, Declerck Fany, Van Oppens Hervé; Université Catholique de Louvain, Université de Lille, Université de Lille, Université Catholique de Louvain

PIN? Some evidences around corporate event announcements

De Winne Rudy, D´Hondt Catherine; Catholic University of Mons

Rebuilding the Limit Order Book on Euronext or How to Improve Market Liquidity Assessment

Grammig Joachim, Theissen Erik; University of St. Gallen, University of Bonn

Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?

Branger Nicole, Schlag Christian; Goethe University

Why is the Index Smile so Steep?

Chang Chuang-Chang, Tsao Chueh-Yung; National Central University

An Accurate and Efficient Method for Pricing Asian Options

Guo Hui; Federal Reserve Bank of St. Louis

Limited Stock Market Participation and Asset Prices in a Dynamic Economy

Esser Angelica, Burkart Moench; Goethe University

Modeling feedback effects with stochastic liquidity

Greenwood Robin; Harvard Business School

Evidence for a debt financing channel in corporate investment

Mishra Birenda, Vaysman Igor; University of Texas at Dallas, INSEAD

Delegating Investment Decisions

Utrero González Natalia; CSEF, Universitá di Salerno

Investment and institutional variables: Evidence from international industry data

Rosenberg Matts; Swedish School of Economics and Business Administration

Systematic Patterns in Stock Option Contracting and the Determinants of Vesting Schedules and Contract Maturity

Rosser Bruce A., Canil Jean; University of Adelaide

CEO Stock Option Awards: Evidence of Pre-effort Bargaining

Stathopoulos Konstantinos, Espenlaub Susanne, Walter Martin; University of Manchester

UK Executive Compensation Practices: New Economy vs. Old Economy

Alexakis Panayotis, Visvikis Ilias; University of Athens, City University Cass Business School

The Hedging Performance of Stock Index Futures: The Case of the Athens Derivatives Exchange

McDonald Brien, Moosa Imad; La Trobe University

The Effectiveness of Risk Sharing Arrangements and Currency Collars as Hedging Devices

Judge Amrit; Middlesex University

Hedging And The Use Of Derivatives: Evidence From UK Non-Financial Firms

Capelle-Blancard Gunther, Raymond Hélène; Université Paris I Panthéon-Sorbonne, Université Lille 2

What is behind international stock market linkages ? Testing for linear and non-linear causality between fundamental and non-fundamental components

Kim Chan-Wung, Kim In-Moo; Winona State University and Sungkyunkwan University, Sungkyunkwan University

Information versus Contagion: International Transmissions of the NASDAQ, JASDAQ and KOSDAQ Market returns

Hsin Chin-Wen, Liao Yuehtzu; Yuan Tse University (Taiwan)

Stock Price Synchronicities in Emerging Markets

Kempf Alexander, Memmel Christoph; University of Cologne

On the Estimation of the Global Minimum Variance Portfolio

Shalit Haim, Yitzhaki Shlomo; Ben Gurion University of the Negev; Hebrev University of Jerusalem

Derivation of the Mean-Gini Efficient Portfolio Frontier

Chang Kuo-Ping , Tang Yu-Min; National Tsing Hua University

Pricing Taiwan’s Initial Public Offerings

Chahine Salim; Audencia-Nantes School of Management

Ex-ante Uncertainty and Gross Spreads for Small and Medium Sized IPOs

Lee Yi-Tsung, Lin Ji-Chai, Liu Yu-Jane; National Chengchi University, Louisiana State University

Why have auctions been losing market shares to bookbuilding in IPO markets?

Frino Alex, Mollica Vito, Walter Terry; University of Sydney, University of Sydney, University of New South Wales

Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask Bias

Mengoli Stefano; University of Bologna

On the sources of contrarian and momentum strategies in the Italian equity market

Yang Li, Leuthold Raymond M.; University of New South Wales, University of Illinois at Urbana-Champaign

Information, Trading Volume, and Returns of Large Traders in the Frozen Bellies Futures Market

Sabri Nidal Rashid; Birzeit University, Palestine

Treasury "Repurchase" Shares as a Stabilizing Instrument In the World Stock Markets

Sander Harald, Kleimeier Stefanie; University of Applied Sciences Cologne, Maastricht University

Convergence in Eurozone retail banking? What interest rate pass-through tell us about monetary policy transmission, competition, and integration

Callado Muñoz Francisco José; Carlos III de Madrid University

Collateral use in payment systems

Bedendo Mascia, Hodges Stewart D.; University of Warwick

A Parsimonious Continuous Time Model for Equity Returns

Hung Daniel Chi-Hsiou, Shackleton Mark, Xu Xinzhong; Lancaster University

CAPM, higher co-moment and factor models of UK stock returns

Fernández Pablo; IESE Business School (University of Navarra)

The value of tax shields is NOT equal to the present value of tax shields

Lee Chi-Wen Jevons, Xiao Xing; Tulane University and Tsinghua University, Tsinghua University

Cash Dividends and Large Shareholder Expropriation in China

Lasfer M. Ameziane, Zenonos Maria; Cass Business School

The Tax Impact on the Ex-dividend dates: Evidence from European firms

Maury Benjamin; Swedish School of Economics and Business Administration

Corporate Performance, Controlling Shareholders, and top Management Restructurings in Finland

Faleye Olubunmi; Northeastern University, Boston

Does One Hat fit All? The Case of Corporate Leadership Structure

Richardson Scott, Tuna A. Irem, Wysocki Peter D.; The Wharton School of the University of Pennsylvania, The Wharton School of the University of Pennsylvania, MIT Sloan School of Management

Accounting for Taste: Board Member Preferences and Corporate Policy Choices

Poon Winnie P. H.; Lingnan University

Are unsolicited bank ratings biased downward?

Schmit Mathias; Université Libre de Bruxelles

Credit Risk in the Leasing Industry

Frerichs Hergen, Wahrenburg Mark; University of Frankfurt (Main)

Evaluating internal credit rating systems depending on bank size

Bortoli Luke Gareth, Frino Alex, Jarnecic Elvis; University of Sydney, University of Sydney, University of New South Wales

The Cost of Trade Execution Services in Futures Markets

Chung Huimin, Liu Mei-Ying, Wu Soushan,Yang Fu-Ju; National Chiao-Tung University, Chang Gung University, Chinese Culture University

Transaction Costs and Trading Activity in the Index Futures Market: the Case of the Transaction Tax Reduction in Taiwan

Nordén Lars; Stockholm University

Option Exchange Design: Concentration of Trading and Open Interest at the Swedish Index Options Market

Bulmash Samuel, Samel Prachi, Chen Savil, Polania Monica, Kunori Sachi; University of South Florida

Behavioral Factors Affecting The Retirement Decision

Lundtofte Frederik; Lund University

Optimal Investment Strategies for Asymmetrically Informed Agents

Zhang Hua; The Chinese University of Hong Kong

Share Price Performance Following Actual Share Repurchases

Dai Jie; Saint Mary's University

The Informativeness of Bank Financing Announcements - A Theory and Some Tests

Jing Lihua; City University of Hong Kong

An event study of reverse stock splits in Hong Kong Market

Yagüe-Guirao José , Gòmez-Sala J. Carlos; Universidad de Murcia, Universidad de Alicante

Transaction size, order submission and price preferences around stock splits

Boussema Meriam, Lardic Sandrine; Sinopia AM, Sinopia AM et MODEM

Market behavior around stock index revisions

Brunel Vivien, Soupe Francois; Société Générale

Pricing of Equities with Embedded Optional Clausis: Study of PPR's Proposal on Cucci

Branger Nicole; Goethe University

Pricing Derivative Securities Using Cross-Entropy - An Economic Analysis

Ikäheimo Seppo, Kuosa Nuutti, Puttonen Vesa; Helsinki School of Economics

Valuation of Executive Stock Options