------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Papers received as of Sun May 1 00:01:30 CDT 2005. (To retrieve abstracts without full papers, use e.g. get 0505001.abs ) get 9404003 95011002.abs 9303001 , e.g., returns multiple papers. ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505001 From: j.teixeira@lancaster.ac.uk Date: Sun, 1 May 2005 08:23:23 -0500 ( 0kb + 250kb ) Title: An empirical analysis of structural models of corporate debt pricing Author: Joao C. A. Teixeira (Lancaster University Management School) Contact: j.teixeira@lancaster.ac.uk Comments: Type of Document - pdf; pages: 41 Keywords: structural models, corporate debt valuation, empirical credit spreads JEL: G12, G13 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505002 From: fioretti@cs.unibo.it Date: Tue, 3 May 2005 07:35:41 -0500 ( 0kb + 374kb ) Title: Credit Rationing in a Basic Agent-Based Model Author: Guido Fioretti (University of Bologna) Contact: fioretti@cs.unibo.it Comments: Type of Document - pdf; pages: 15 Keywords: Financial Fragility, Avalanches of Bankruptcies, Agent-Based Models JEL: G000 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505003 From: clos500@cs.com Date: Tue, 3 May 2005 09:25:57 -0500 ( 0kb + 516kb ) Title: Long Memory Options: LM Evidence and Simulations Author: Sutthisit Jamdee (Kent State University) and Cornelis A. Los (Kent State University) Contact: clos500@cs.com Comments: Type of Document - pdf; pages: 34. This paper has been presented at the International Conference on Risk Management and Quantitative Approaches in Finance, Gainesville, FL, April 6 - 8, 2005 Keywords: Options, Long Memory, Persistence, Hurst Exponent, Identification, Simulation, Executive Remuneration JEL: G14, G15, G33, C14 EWPA-references: ewp-ms/20050430 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505004 From: sbudria@uma.pt Date: Tue, 3 May 2005 09:36:08 -0500 ( 0kb + 245kb ) Title: An Exploration of Asset Returns in a Production Economy with Relative Habits Author: Santiago Budria (University of Madeira & CEEAplA) Contact: sbudria@uma.pt Comments: Type of Document - pdf; pages: 30 Keywords: Equity premium, Business cycles, Habit persistence. JEL: G12, E22 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505005 From: christos.papahristodoulou.mdh.se@wueconb.wustl.edu Date: Wed, 4 May 2005 03:21:07 -0500 ( 0kb + 212kb ) Title: Option Strategies with linear programming Author: Christos Papahristodoulou (Mälardalen University, School of Business) Contact: christos.papahristodoulou@mdh.se Comments: Type of Document - pdf. Published in European Journal of Operational research 157 (2004) 246-256 Keywords: Finance, option portfolios, Linear programming JEL: Operations research EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505006 From: christos.papahristodoulou.mdh.se@wueconb.wustl.edu Date: Wed, 4 May 2005 03:26:35 -0500 ( 0kb + 329kb ) Title: Optimal portfolios using linear programming models Author: Christos Papahristodoulou (Mälardalen University, School of Business) and Erik Dotzauer (Mälardalen University, Department of Mathematics) Contact: christos.papahristodoulou@mdh.se Comments: Type of Document - pdf. Published in Journal of the Operational research Society (2004) 55, 1169-1177 Keywords: Finance, linear programming, investment analysis, risk analysis JEL: Operations research EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505007 From: email@sergiodasilva.com Date: Wed, 4 May 2005 08:39:49 -0500 ( 0kb + 119kb ) Title: On Log-Periodic Crashes Author: Raul Matsushita (University of Brasilia) and Iram Gleria (Federal University of Alagoas) and Annibal Figueiredo (University of Brasilia) and Sergio Da Silva (Federal University of Santa Catarina) Contact: email@sergiodasilva.com Comments: Type of Document - pdf Keywords: JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505008 From: giuseppe.vulpes@unicredit.it Date: Fri, 6 May 2005 08:48:14 -0500 ( 0kb + 73kb ) Title: Multiple bank lending relationships in Italy: their determinants and the role of firms’ governance features Author: Giuseppe Vulpes (UniCredit Banca d'Impresa) Contact: giuseppe.vulpes@unicredit.it Comments: Type of Document - pdf; pages: 20 Keywords: bank firm relationships, multiple-bank lending, corporate governance JEL: G21, G34 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505009 From: m.koubouros@uop.gr Date: Sun, 8 May 2005 10:34:03 -0500 ( 0kb + 222kb ) Title: Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns Author: Michail Koubouros (University of Peloponnese) and Dimitrios Malliaropulos (University of Piraeus & National Bank of Greece) and Ekaterini Panopoulou (National University of Ireland, Maynooth) Contact: m.koubouros@uop.gr Comments: Type of Document - pdf; pages: 32 Keywords: CAPM, cash-flow risk, discount-rate risk, VAR-GARCH, BEKK, asset pricing JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505010 From: sarmistha.pal@brunel.ac.uk Date: Mon, 9 May 2005 06:53:31 -0500 ( 0kb + 388kb ) Title: How Ownership Structure Affects Capital Structure and Firm Performance? Recent Evidence from East Asia Author: Nigel Driffield (Aston Business School) and Vidya Mahambare (Cardiff Business School) and Sarmistha Pal (Brunel University) Contact: sarmistha.pal@brunel.ac.uk Comments: Type of Document - pdf; pages: 45 Keywords: Asian Crisis, Corporate Governance, Capital structure, Firm performance, Expropriation of minority shareholders, Moral hazard, 3SLS estimates, Simultaneity bias, Non-linearity. JEL: G32, L25 EWPA-references: ewp-fin/09052005 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505011 From: sarmistha.pal@brunel.ac.uk Date: Mon, 9 May 2005 06:59:18 -0500 ( 0kb + 282kb ) Title: Dynamic Adjustment of Corporate Leverage: Is there a lesson to learn from the Recent Asian Crisis? Author: Nigel Driffield (Aston Business School, Birmingham, UK) and Vidya Mahambare (Cardiff Business School, Cardiff UK) and Sarmistha Pal ( Department of Economics & Finance, Brunel University, UK) Contact: sarmistha.pal@brunel.ac.uk Comments: Type of Document - pdf; pages: 36 Keywords: Moral hazard, Over-lending and over-investment, Speed of adjustment, Inertia, Generalised Methods of Moments JEL: G32 EWPA-references: ewp-fin/21022005 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505012 From: mahambarev@cardiff.ac.uk Date: Mon, 9 May 2005 09:39:33 -0500 ( 0kb + 373kb ) Title: How Ownership Structure Affects Capital Structure and Firm Performance? Recent Evidence from East Asia Author: Nigel Driffield (Aston Business School) and Vidya Mahambare (Cardiff Business School) and Sarmistha Pal (Brunel University) Contact: Sarmistha.Pal@brunel.ac.uk Comments: Type of Document - pdf; pages: 44 Keywords: JEL: G32, L25 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505013 From: joao.eduardo.fernandes@gmail.com Date: Fri, 13 May 2005 05:09:00 -0500 ( 0kb + 593kb ) Title: CORPORATE CREDIT RISK MODELING: QUANTITATIVE RATING SYSTEM AND PROBABILITY OF DEFAULT ESTIMATION Author: João Fernandes (Banco BPI) Contact: joao.eduardo.fernandes@gmail.com Comments: Type of Document - pdf; pages: 70 Keywords: Credit Scoring, Credit Rating, Private Firms, Discriminatory Power, Basel Capital Accord, Capital Requirements JEL: C13, C14, G21, G28 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505014 From: mmagalhaes@ipca.pt Date: Tue, 17 May 2005 10:21:34 -0500 ( 0kb + 231kb ) Title: Modelo Cost-Of-Carry: Mispricing, Retornos e Volatilidades do Índice PSI-20 e dos Futuros PSI-20 Author: Manuela Magalhaes and Carlos carvalhosa Contact: mmagalhaes@ipca.pt Comments: Type of Document - pdf; pages: 19 Keywords: Contracto Futuro, Mispricing, Cost-of-carry JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505015 From: deepak@icfaipress.org Date: Wed, 18 May 2005 02:47:12 -0500 ( 0kb + 152kb ) Title: The Financing of Higher Education – A Broader View Author: P Nair (ICFAI University) and Deepak Kumar (ICFAI University Press) Contact: deepak@icfaipress.org Comments: Type of Document - pdf; pages: 14. Higher education ,India Keywords: Higher education ,India JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505016 From: deepak@icfaipress.org Date: Wed, 18 May 2005 03:06:19 -0500 ( 0kb + 78kb ) Title: Roles of the Banking Sector in Indian Agriculture -A Paradigm Shift Author: Deepak Kumar (ICFAI University Press) Contact: deepak@icfaipress.org Comments: Type of Document - pdf; pages: 4. Banking Sector,Indian Agriculture Keywords: Banking Sector ,Indian Agriculture JEL: Banking Sector , Indian Agriculture EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505018 From: kaestner@kwsit.com Date: Sun, 22 May 2005 08:37:21 -0500 ( 0kb + 186kb ) Title: Anomalous Price Behavior Following Earnings Surprises: Does Representativeness Cause Overreaction? Author: Michael Kaestner (GESEM, Center for Research in Finance, Montpellier University, France) Contact: kaestner@kwsit.com Comments: Type of Document - pdf; pages: 17 Keywords: Behavioral finance, overreaction, representativeness bias, earnings announcements JEL: G14, D84 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505019 From: floragovori@yahoo.com Date: Mon, 23 May 2005 16:04:28 -0500 ( 0kb + 46kb ) Title: Menaxhmenti i politikes fiskale ne ekonomite e hapura Author: Florije Govori Contact: floragovori@yahoo.com Comments: Type of Document - pdf; pages: 2 Keywords: Politika Fiskale ne kushtet e ekonomise se hapur JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505020 From: papanast@uop.gr Date: Fri, 27 May 2005 04:37:11 -0500 ( 0kb + 259kb ) Date (revised): Fri, 3 Jun 2005 04:08:50 -0500 Date (revised): Tue, 14 Jun 2005 11:21:06 -0500 Title: Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality Author: Alexxandros Benos (University of Piraeus) and George Papanastasopoulos (University of Peloponnese) Contact: papanast@uop.gr Comments: Type of Document - pdf; pages: 40 Keywords: credit risk, distance to default, financial ratios, accounting variables JEL: EWPA-references: Report-no: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505021 From: dhafer.saidane@univ-lille3.fr Date: Sat, 28 May 2005 04:40:33 -0500 ( 0kb + 246kb ) Title: Concurrence spatiale, différenciation verticale et comportement bancaire Author: dhafer saidane (gremars - University Lille 3) Contact: dhafer.saidane@univ-lille3.fr Comments: Type of Document - pdf; pages: 22 Keywords: Banking, spatial competition JEL: G 210 - L 130 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505022 From: dhafer.saidane@univ-lille3.fr Date: Sat, 28 May 2005 04:50:05 -0500 ( 0kb + 94kb ) Title: 'Raison d'être et spécificités de la firme bancaire : pourquoi la banque n'est-elle pas une entreprise comme les autres ?' Author: dhafer saidane (gremars - University of Lille 3) Contact: dhafer.saidane@univ-lille3.fr Comments: Type of Document - pdf; pages: 21 Keywords: banking firm, microecomic of banking JEL: G 220 - D 210 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505023 From: marc.henrard@advalvas.be Date: Mon, 30 May 2005 07:17:43 -0500 ( 0kb + 251kb ) Title: Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches Author: Marc Henrard (Bank for International Settlements) Contact: marc.henrard@bis.org Comments: Type of Document - pdf; pages: 9. Draft version, comments welcome. Math Subject Classification MSC2000: 91B28, 91B24, 91B70 Keywords: Bermudan option, swaption, Hull-White model, one-factor model, numerical integration. JEL: G13, E43 EWPA-references: ewp-fin/0310008 ewp-fin/0310009 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505024 From: pposch@uni-ulm.de Date: Tue, 31 May 2005 08:06:39 -0500 ( 0kb + 221kb ) Title: Bayesian Methods for Improving Credit Scoring Models Author: Posch Peter N. (University of Ulm) and Loeffler Gunter (University of Ulm) and Schoene Christiane (University of Ulm) Contact: pposch@uni-ulm.de Comments: Type of Document - pdf; pages: 27 Keywords: Credit Scoring, Bayesian Inference, Bankruptcy Prediction JEL: C11, G21, G33 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0505025 From: mishra@iiml.ac.in Date: Tue, 31 May 2005 22:59:09 -0500 ( 0kb + 359kb ) Title: An Empirical Analasis of Market reaction Around the Bonus Issues in India Author: Asim Mishra (Indian Institute of Management) Contact: mishra@iiml.ac.in Comments: Type of Document - pdf; pages: 29 Keywords: Bonus Issues, India, stock market, abnormal returns, semi strong efficient, event study, cumulative abnormal return, Cowan Test, Standardized abnormal return, JEL: EWPA-references: working paper series-IIML-2005-10 \\