Proceedings from Conference “Frontiers of Finance 2012 ” | E-Axes

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Proceedings from Conference “Frontiers of Finance 2012 ”

  •  "Liquidity Commonality and Risk Management" (with Hendrick Supper, TU Dortmund) (PDF)

           Gregor Weiss (TU Dortmund)

  • "Capturing Order Book Dynamics in the interbank EUR/PLN Spot Market" (PDF)

         Katarzyna Bien-Barkowska (National Bank of Poland and Institute of Econometrics, Warsaw School of Economics)

  • "Diversified Risk Parity Strategies for Equity Portfolio Selection" (with Ulrich Neugebauer, Deka Investment GmbH and Carsten Zimmer, Deka Investment GmbH) (PDF)

           Harald Lohre (Deka Investment GmbH)


  • "The Value of the Non-anonymity on the NASDAQ" (PDF)

          Arze Karam (Queen's University Belfast)


  • "Liquidity: What You See Is What You Get?" (PDF)

         Vincent van Kervel (Tilburg University)

  • "Pre-Trade Transparency and Informed Trading: An Experimental Approach to Hidden Liquidity" (PDF)

          Arie Gozluklu (University of Warwick)


  • "Testing for Jump Spillovers Without Testing for Jumps" (PDF)

           Marcelo Fernandes (Queen Mary, University of London)


  • "Econometric Analysis of Multivariate Realised QML: Efficient Positive Semi-definite Estimators of the Covariation of Equity Prices" (link)

           Neil Shephard (University of Oxford)


  • "Up and Down Volatilties and Their Dynamics" (with Matteo Sandri, University of Warwick) (PDF)

          Alessandro Palandri (University of Warwick)

  • "The Identification of Price Jumps: Stock Market Indices During the Crisis" (with Jan Hanousek, Charles University and the Academy of Sciences and Evzen Kocenda, Charles University and the Academy of Sciences) (PDF)

         Jan Novotný (City University London)


  • "Front-running and post-trade transparency" (PDF)

          Corey Garriott (Bank of Canada)

  • "Dynamic Inventory Control with Endogenous Information Acquisition" 

         Sunny X Li (VU University Amsterdam)


  • "A Tick of Haven: Stylized Facts and Dynamic Modelling of Nano-frequency Data on Precious Metals" (with Massimiliano Caporin, University of Padova and Angelo Ranaldo, St Gallen University) (PDF)

          Gabriel G Velo (University of Padova)


  • "Buy Low Sell High: A High Frequency Trading Perspective" (with Sebastian Jaimungal, University of Toronto and Jason Ricci, University of Toronto) (PDF)

           Alvaro Cartea (University College London)

  • "Can Internet Search Queries Help to Predict Stock Market Volatility?" (with Stephan Jank, University of Tübingen and Centre for Financial Research) (PDF)

          Thomas Dimpfl (University of Tübingen)


  • "The Contribution of Multilateral Trading Facilities to Price Discovery" (with Robert Jung, University of Hohenheim) (PDF)

          Thomas Katzschner (University of Jena)


  • "Dark Pool Exclusivity Matters" (with Leslie Boni, University of New Mexico and J Chris Leach, University of Colorado at Boulder) (PDF)

          David Brown (University of Colorado at Boulder)


  • "Illiquidity Commonality Across Equity and Credit Markets" (PDF)

          Miriam Marra (University of Warwick)


           Nikolaus Hautsch (Humboldt-Universität zu Berlin)


  • "Microstructure Noise and Price Discovery in Options Markets: Theory and Empirical Evidence"(with Michal Czerwonko, McGill University, Nabil Khoury, University of Quebec in Montreal and Marko Savor, University of Quebec in Montreal) (PDF)

         Stylianos Perrakis (Concordia University)


  •  "The Fine Structure of Variance: Consistent Pricing of VIX Derivatives" (with Nicole Branger, Westfälische Wilhelms-Universität Münster) (PDF)

            Clemens Volkert (Westfälische Wilhelms-Universität Münster)


  • "Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility" (PDF)

         Martin Wallmeier (University of Fribourg)


  • "Limited Attention and News Arrival in Limit Order Markets" (PDF)

          Jerome Dugast (HEC Paris)


  • "Market Order Flows, Limit Order Flows and Exchange Rate Dynamics" (with Roman Kozhan, University of Warwick and Michael Moore, Queens University Belfast) (PDF)

        Richard Payne (City University Lonodon)

  • "Components of the Bid-Ask Spread and Variance: A Unified Approach" (with Bjorn Hagstromer and Richard Henricsson, Stockholm University School of Business) (PDF)

         Lars Norden (Stockholm University School of Business)


  • "Sugar and Spice and Everything Nice: What Are Good Directors Made Of?" (with Quoc-Anh Do, Singapore Management University and P Raghavendra Rau, University of Cambridge) (PDF)

         Bang Dang Nguyen (University of Cambridge)


  • "Orders of Merit and CEO Compensation: Evidence form a Natural Experiment" (PDF)

         Linus Siming (Bocconi University) 


  • "A Least Squares Regression Realised Covariation Estimation: A Comprehensive Simulation Study" (with Ingmar Nolte, Univeristy of Warwick and Valeri Voev, Aarhus University) (PDF)

          Michalis Vasios (University of Warwick)


  • "Exploratory Graphics for Financial Time Series Volatility" (PDF)

          Tony Lawrance (University of Warwick)

  • "A Dynamic Limit Order Market with Fast and Slow Traders" (PDF)

         Peter Hoffmann

  •   "Computer-based Trading in the Cross-Section" (with Richard Payne and Torben Latza, City University London)(PDF)

         Ian Marsh (City University London)

  •   "Circuit Breakers and Market Runs" (with Mark Van Achter, Erasmus University) (PDF)

          Sarah Draus (University of Naples Federico II) 


  • "Impact of Split Share Structure Reform in China on CEO Accountability to Corporate Fraud" (With Douglas Cumming, York University and Wenxuan Hou University of Durham) (PDF)

         Edward Lee (University of Manchester)


  • "Does Family Control Matter? International Evidence from the 2009-2009 Financial Crisis" (with Karl V Lins, University of Utah and Paolo Volpin, London Business School) (PDF)

         Hannes F Wagner (Bocconi University) 


  • "Managing of Treasury in the Banking System Within a Multi Currency Economy" (with Nidal Rashid Sabri and Dima W Hanyia, Birzeit University Palestine) (PDF)

         Diama K Abulabn (Birzeit University Palestine)


  • "External Monitoring, Managerial Entrenchment and Corporate Cash Holdings" (with Shantanu Banerjee and Grzegorz Pawlina, Lancaster University) (PDF)

           Panagiotis Couzoff (Lancaster University)


  • "European Banking Efficiency: A Panel Cost Frontier Approach" (PDF)

        Cândida Ferreira (Technical University of Lisbon)  


  • "Basel III and CEO Compensation in Banks: A New Regulatory Approach After the Crisis" (with Christian Eufinger, Goethe University (PDF)

           Andrej Gill (Goethe University Frankfurt)


  • "Trading Aggressiveness and Its Implications for Market Efficiency" (PDF)

          Olga Lebedeva (University of Mannheim)


  • "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble" (with Otavia Ribeiro de Medeiros, Universidad de Brasilia) (PDF)

         Vitor Leone (Nottingham Trent University)


  • "Tick-by-Tick Analysis and the Return Efficiency Theory for Financial Markets" (PDF)

          Vladimir Prelov (Russian Academy of Sciences)


  • "Liquidity and Trading Activity of Equity Options: Time Series and Hedging Cost Effects" (With Owain ap Gwilym, Bangor University) (PDF)

        Thanos Verousis (Bangor University)


  • "Systemic Risk and Bank Consolidation: International Evidence" (with Sascha Neumann and Denefa Bostandzic, Ruhr-Universität Bochum) (PDF)

          Gregor Weiss (TU Dortmund)


  • "In Search of a Risk-free Asset" (PDF)

         Vladimir Yankov (Boston University and the Federal Reserve Bank of Boston)  


  • "High-Frequency Trading and Price Discovery" (link)

         Terrence Hendershott (University of California, Berkeley)


  • "Aggregate Stock Market Illiquidity and Bond Risk Premia" (wth Elvira Sojli and Wing Wah Tham, Erasmuc University) (PDF)

         Kees E Bouwman (Erasmus University)


  • "Local Business Cycles and Local Liquidity" (with George Korniotis and Alok Kumar, University of Miami, and Qin Wang, University of Michigan at Dearborn)

        Gennaro Bernile (University of Miami)


  • "Commonality in Market Efficiency" (with Dominik M Rösch, Erasmus University and Avanidhar Subrahmanyam, UCLA Anderson School) (PDF)

         Mathijs A van Dijk (Erasmus University)


  • "Single Stock Circuit Breakers - Issues in Fragmented Markets" (with Peter Gomber, Marco Lutat and Kai Zimmermann, Goethe-University Frankfurt) (PDF)

         Martin Haferkorn (Goethe-University Frankfurt)


  • "Too Many Middlemen? Impaired Learning from Trades" (with Albert J Menkveld, VU University Amsterdam) (link)

        Bart Zhou Yueshen (VU University Amsterdam)


  • "Illiquidity Contagion and Liquidity Crashes" (with Thierry Foucault, HEC Paris) (PDF)

        Giovanni Cespa (City University London) 


  • "In- and Out-of-Court Debt Restructuring in the Presence of Credit Default Swaps" (with Lara Cathcart and Lina El-Jahel, Imperial College Business School) (PDF)

        Mascia Bedendo (Bocconi University)

  • "The Causal Effect of Bankruptcy Law on the Cost of Finance" (with Giacomo Rodano, Bank of Italy and Nicolas Serrano-Velarde, University of Oxford) (PDF)

        Emanuele Tarantino (University of Bologna and TILEC)

  • "Understanding the Investment Behaviour of Distressed Firms" (with Oksana Pryshchepa, Lancaster University and Kevin Aretz, University of Manchester) (PDF)

        Shantanu Banerjee (Lancaster University) 


  • "Identifying Cross-sided Liquidity Externalities" (with Wing Wah Tham, Erasmus University and Elvira Sojli, Erasmus University and Duisenberg School of Finance) (PDF)

        Johannes A Skjeltorp (Norges Bank)


  • "Transaction Taxes in a Price Maker/Taker Market" (with Nordia Thomas, University of Wisconsin - La Crosse) (PDF)

        Dale Rosenthal (University of Illinois at Chicago)

  • "Order Characteristics, Uncertainty and Price Formation in the Foreign Exchange Market" (with Blake Phillips, University of Waterloo and Stephen Sapp, University of Western Ontario) (PDF)

        Aditya Kaul (University of Alberta)


  • "Dividends: Relevance, Rigidity and Signaling" (PDF)

         Sigitas Karpavicius (Flinders University)

  • "The Value of Financial Flexibility and Payout Policy" (with Marc Steffen Rapp, Philipps-Universität marburg and Thomas Schmid, Technische Universität München) (PDF)

         Daniel Ludwig Urban (Technische Universität München)

  •   "Beyond the Q: Estimating Invesment Without Asset Prices" (with Joao Gomes, University of Pennsylvania) (PDF)

         Vito Gala (London Business School)


  • "The Valuation of M&A Targets by Relative Indifference Prices" (with Carolin Mauch, University of Tuebingen) (PDF)

          Stefan Rostek (University of Tuebingen)


  •    "The Perverse Effects of Investment Bank Rankings: Evidence from M&A League Tables" (with Olivier Dessaint, HEC Paris) (PDF)

          François Derrien (HEC Paris)


  • "Do Hedge Funds Supply or Demand Immediacy?" (with Kalle Rinne and Matti Suomin, Aalto University) (PDF)

          Petri Jylha (Aalto University)


  • "An Empirical Study of corporate Liquidity Dynamics, with Conditioning on Earnings" (PDF)

          Andrew Carverhill (University of Hong Kong)


  • "Do Firms Issue More Equity when Markets are More Liquid?" (with René M Stulz, Ohio State University and Dimitrios Vagias, Erasmus University) (PDF)

          Mathijs A van Dijk (Erasmus University)


  • "The Simple Economics of Capital Structure, Corporate Structure and Project Selection" (with Marco Ottaviani, Northwestern University) (PDF)

         Albert Banal-Estañol (Universitat Pompeu Fabra and City University London) 


  • "Corporate Social Responsibility and Asset Pricing in Industry Equilibrium" (PDF)

         Rui Albuquerque (Boston University)


  • "Put Your Money Where Your Mouth Is: An Equilibrium Model Relating Bank Scale to Bank Quality" (PDF)

         Tianxi Wang (University of Essex)

  • "TAF Effect on Liquidity Risk Exposures" (with Andreas Wälchli, University of Lausanne and Study Center Gerzensee) (PDF)

           Stefano Puddu (University of Lausanne and Université de Neuchatel)


  • "Insurer Information, Insiders and Initial Public Offering" (PDF)

         M Martin Boyer (HEC Montreal)

  • "Leaders and Followers in Hot IPO Markets" (with Shantanu Banerjee, Lancaster University Management School and Ismail Ufuk Güçbilmez, University of Edinburgh Business School) (PDF)

          Grzegorz Pawlina (Lancaster University Mananagement School)         


  • "Do Firms that go Public Quickly Perform Better?" (with Shantaram P Hegde, University of Connecticut) (PDF)

         Hugh M J Colaco (Aston University) 


  • "Blockholders and Leverage: When Debt Leads to Higher Dividends" (PDF)

        Ulrich Hege (HEC Paris)


  • "Banking on Regulations?" (with Hans Wijkander, Stockholm University) (PDF)

         Bo Larsson (Stockholm University)


  • "Dynamic Debt Runs and Financial Fragility: Evidence from the 2007 ABCP Crisis" (with Gustavo Suarez, Federal Reserve Board and Lucian A Taylor, University of Pennsylvania) (PDF)

        Enrique Schroth (University of Amsterdam) 


  • "Private Equity Fundraising, Fund Performance and Firm Specialization" (with Pierre Giot, University of Namur, CeReFiM and CORE, and Armin Schwienbacher, Univ. Lille Nord de France) (PDF)

         Maia Gejadze (Université catholique de Louvain)

  •   "Going Public - Going Private. The Case of VC-backed Firms" (with Uwe Walz, Goethe-University Frankfurt and Center for Financial Studies) (PDF)

         Andrej Gill (Goethe-University Frankfurt)


  • "Does Syndication with Local Venture Capitalists Moderate the Effects of Geographical and Institutional Distances and Experience?" (with Andrea Schertler) (PDF)

        Tereza Tykvová (Universität Hohenheim) 

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