------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Papers received as of Thu Sep 1 00:01:10 CDT 2005. (To retrieve abstracts without full papers, use e.g. get 0509001.abs ) get 9404003 95011002.abs 9303001 , e.g., returns multiple papers. ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509001 From: doris.neuberger@uni-rostock.de Date: Fri, 2 Sep 2005 02:07:52 -0500 ( 0kb + 373kb ) Title: The Number of Bank Relationships of SMEs: A Disaggregated Analysis for the Swiss Loan Market Author: Doris Neuberger (University of Rostock) and Christoph Schacht (IFZ Institute for Financial Services Zug) Contact: doris.neuberger@uni-rostock.de Comments: Type of Document - pdf; pages: 28 Keywords: relationship lending, housebank, loan market structure, multiple banks JEL: G21, G32 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509002 From: Lakshmib@psu.edu Date: Sun, 4 Sep 2005 00:36:37 -0500 ( 0kb + 461kb ) Title: Do Time-Varying Covariances, Volatility Comovement and Spillover Matter? Author: Lakshmi Balasubramanyan (Penn State University) Contact: Lakshmib@psu.edu Comments: Type of Document - pdf; pages: 28 Keywords: JEL: C32, F3, G15 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509003 From: georg.mosburger@univie.ac.at Date: Sun, 4 Sep 2005 14:41:10 -0500 ( 0kb + 620kb ) Title: Modelling International Bond Markets with Affine Term Structure Models Author: Georg Mosburger (University of Vienna) and Paul Schneider (Vienna University of Economics & Business Administration) Contact: georg.mosburger@univie.ac.at Comments: Type of Document - pdf; pages: 51 Keywords: International affine term structure models, Estimation, Exchange rate, Model Selection JEL: C33, E43, F31, G12 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509004 From: rlai@hbs.edu Date: Sun, 4 Sep 2005 14:46:47 -0500 ( 0kb + 398kb ) Title: A Catering Theory of Analyst Bias Author: Richard Kum-yew Lai (Harvard Business School) Contact: rlai@hbs.edu Comments: Type of Document - pdf; pages: 99 Keywords: Analyst bias, behavioral finance, media bias JEL: G10, G20, G39 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509005 From: rlai@hbs.edu Date: Sun, 4 Sep 2005 14:48:52 -0500 ( 0kb + 777kb ) Title: Why Funds of Funds? Author: Richard Kum-yew Lai (Harvard Business School) Contact: rlai@hbs.edu Comments: Type of Document - pdf; pages: 30 Keywords: Venture capital, private equity, agency, economies of scale, outsourcing JEL: G24 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509006 From: rlai@hbs.edu Date: Sun, 4 Sep 2005 14:56:35 -0500 ( 0kb + 374kb ) Title: Inventory and the Stock Market Author: Richard Kum-yew Lai (Harvard Business School) Contact: rlai@hbs.edu Comments: Type of Document - pdf; pages: 30 Keywords: inventory, stock market, sentiment, operations management JEL: G3, L23, M11 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509007 From: shino@econ.umn.edu Date: Mon, 5 Sep 2005 17:55:03 -0500 ( 0kb + 345kb ) Title: A Dynamic Analysis of Bid-Ask Spreads with Multiple Trade Sizes Author: Shino Takayama (The University of Sydney) and Han Ozsoylev (University of Oxford) Contact: shino@econ.umn.edu Comments: Type of Document - pdf; pages: 54 Keywords: Market microstructure; insider trading; Glosten-Milgrom Model; asymmetric information; bid-ask spreads JEL: D82 G12 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509008 From: fuerst@gp.tu-berlin.de Date: Wed, 7 Sep 2005 12:10:22 -0500 ( 0kb + 504kb ) Title: Exogenous shocks and real estate rental markets: An event study of the 9/11 attacks and their impact on the New York office market Author: Franz Fuerst (Graduate Center, City University of New York) Contact: fuerst@gp.tu-berlin.de Comments: Type of Document - pdf; pages: 23 Keywords: office rental market, real estate, 9/11, terrorist attacks, impact, World Trade Center, New York, event study, abnormal returns, vacancy rates JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509009 From: chenj@unbc.ca Date: Thu, 8 Sep 2005 13:43:15 -0500 ( 0kb + 77kb ) Title: Imperfect Market or Imperfect Theory: A Unified Analytical Theory of Production and Capital Structure of Firms Author: Jing Chen (University of Northern British Columbia) Contact: chenj@unbc.ca Comments: Type of Document - pdf; pages: 18 Keywords: capital structure, analytical theory, fixed cost, variable cost, imperfection JEL: G32, G31 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509010 From: jlondono@math.ucr.edu Date: Thu, 8 Sep 2005 22:15:59 -0500 ( 0kb + 263kb ) Date (revised): Tue, 20 Sep 2005 23:27:52 -0500 Title: Dynamic State Tameness Author: Jaime Londoño (Universidad Nacional de Colombia, Facultad de Ciencias, Departamento de Matemáticas.) Contact: jlondono@math.ucr.edu Comments: Type of Document - pdf; pages: 19 Keywords: arbitrage; pricing of contingent claims; continuous-time financial markets; tameness; stochastic flows. JEL: G12, G13 EWPA-references: Report-no: JAL-2005-1 \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509011 From: anna.omarini@unibocconi.it Date: Fri, 9 Sep 2005 06:21:12 -0500 ( 0kb + 202kb ) Title: PRIVATE BANKING IN EUROPE - Getting Clients & Keeping Them! Author: Anna Omarini (Università Luigi Bocconi - Milan - Italy) and Philip Molineux (SBARD, University of Wales Bangor) Contact: anna.omarini@unibocconi.it Comments: Type of Document - pdf; pages: 26 Keywords: Private banking, wealth management, segmentation JEL: G200, G210, G290, EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509012 From: pvroy@ulb.ac.be Date: Sun, 11 Sep 2005 11:16:00 -0500 ( 0kb + 344kb ) Title: Is there a difference in treatment between solicited and unsolicited bank ratings and, if so, why? Author: Patrick Van Roy (National Bank of Belgium, Brussels) Contact: pvroy@ulb.ac.be Comments: Type of Document - pdf; pages: 46 Keywords: unsolicited ratings, treatment effect, switching regression, public disclosure JEL: G15; G18; G21 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509013 From: pvroy@ulb.ac.be Date: Sun, 11 Sep 2005 11:24:00 -0500 ( 0kb + 263kb ) Title: The impact of the 1988 Basel Accord on banks' capital ratios and credit risk-taking: an international study Author: Patrick Van Roy (National Bank of Belgium, Brussels) Contact: pvroy@ulb.ac.be Comments: Type of Document - pdf; pages: 42 Keywords: 1988 Basel Accord, capital requirements, credit risk JEL: G21, G28 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509014 From: pvroy@ulb.ac.be Date: Sun, 11 Sep 2005 11:34:42 -0500 ( 0kb + 231kb ) Title: Credit ratings and the standardised approach to credit risk in Basel II Author: Patrick Van Roy (National Bank of Belgium, Brussels) Contact: pvroy@ulb.ac.be Comments: Type of Document - pdf; pages: 45 Keywords: New Basel Accord, capital requirements, credit rating agencies JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509015 From: bana@math.upenn.edu Date: Sun, 11 Sep 2005 23:49:01 -0500 ( 0kb + 163kb ) Title: RISK-FREE INTERNAL GAINS – BLACK AND SCHOLES RE-EXAMINED Author: Gergei Bana (University of Pennsylvania) Contact: bana@math.upenn.edu Comments: Type of Document - pdf; pages: 11 Keywords: mathematical finance, Black-Scholes formula, internal gains, Wiener process, self-financing portfolio JEL: G120 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509016 From: natalia.utrero@uab.es Date: Mon, 12 Sep 2005 10:07:01 -0500 ( 0kb + 305kb ) Title: Financial Development, Labor and Market Regulations and Growth Author: Raquel FONSECA (CSEF, University of Salerno) and Natalia UTRERO- GONZALEZ (University Autonoma de Barcelona) Contact: natalia.utrero@uab.es Comments: Type of Document - pdf; pages: 30 Keywords: Financial development, labor and product market institutions, growth. JEL: G2, G32, J32, L10 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509017 From: deagle@ewu.edu Date: Mon, 12 Sep 2005 15:04:41 -0500 ( 0kb + 182kb ) Title: Quasi-Real Indexing-- The Pareto-Efficient Solution to Inflation Indexing Author: David Eagle (Eastern Washington University) and Dale Domian (York University) Contact: deagle@ewu.edu Comments: Type of Document - pdf; pages: 35 Keywords: inflation indexing, quasi-real indexing JEL: E310, D110, D600 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509018 From: vlazen@svs.cl Date: Tue, 13 Sep 2005 14:16:49 -0500 ( 0kb + 193kb ) Title: Introducción a la Supervisión Basada en Riesgos Author: Vicente Lazen (Superintendencia de Valores y Seguros) Contact: vlazen@svs.cl Comments: Type of Document - pdf; pages: 24 Keywords: JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509019 From: vlazen@svs.cl Date: Tue, 13 Sep 2005 14:23:15 -0500 ( 0kb + 163kb ) Title: DESARROLLO DE LAS TOMAS DE Desarrollo de las Tomas de Control Corporativo después de la Ley de Opas Author: Vicente Lazen (Superintendencia de Valores y Seguros) and Ana Cristina Sepulveda (Superintendencia de Valores y Seguros) Contact: vlazen@svs.cl Comments: Type of Document - pdf; pages: 37 Keywords: toma de control JEL: G180 - General Financial Markets: Government Policy and Regulation EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509020 From: pascucci@dm.unibo.it Date: Fri, 16 Sep 2005 09:13:50 -0500 ( 0kb + 2422kb ) Title: Calibration of the Hobson&Rogers model: empirical tests Author: Andrea Pascucci (Università di Bologna, Italy) and Paolo Foschi (Università di Bologna, Italy) Contact: pascucci@dm.unibo.it Comments: Type of Document - pdf; pages: 26 Keywords: JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509021 From: todd-walker@uiowa.edu Date: Sun, 18 Sep 2005 23:04:31 -0500 ( 0kb + 302kb ) Title: How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders Author: Todd B. Walker (University of Iowa) Contact: todd-walker@uiowa.edu Comments: Type of Document - pdf; pages: 33 Keywords: Asymmetric Information, Asset Pricing, Frequency Domain JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509022 From: professorsergiodasilva@gmail.com Date: Mon, 19 Sep 2005 16:52:49 -0500 ( 0kb + 183kb ) Title: Stock Selection Based on Cluster Analysis Author: Newton Da Costa Jr (Department of Economics, Federal University of Santa Catarina) and Jefferson Cunha (Department of Economics, Federal University of Santa Catarina) and Sergio Da Silva (Department of Economics, Federal University of Santa Catarina) Contact: professorsergiodasilva@gmail.com Comments: Type of Document - pdf Keywords: JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509023 From: hewadwolasmal@yahoo.no Date: Wed, 21 Sep 2005 09:34:56 -0500 ( 0kb + 581kb ) Title: Performance Evaluation of Mutual Funds, using Sharpe, Treynor and Jensen Author: Hewad Wolasmal (American University in Dubai, Nordic Consultancy Services) Contact: hewadwolasmal@yahoo.no Comments: Type of Document - doc; pages: 15. In this paper I test the following hypothesis: Are there funds which are fully diversified? For a completely diversified portfolio Treynor and Sharpe indices would give identical rankings. Keywords: Sharpe, Treynor, Jensen JEL: EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509024 From: sascha.mergner@amgam.de Date: Wed, 21 Sep 2005 10:50:09 -0500 ( 0kb + 687kb ) Title: Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques Author: Sascha Mergner (AMB Generali Asset Managers) Contact: sascha.mergner@amgam.de Comments: Type of Document - pdf; pages: 38. 38 pages, pdf-file Keywords: Time-varying beta risk; Kalman filter; bivariate t-GARCH; stochastic volatility; efficient Monte Carlo likelihood; European industry portfolios JEL: C22 C32 G10 G12 G15 EWPA-references: \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509027 From: marc.henrard@advalvas.be Date: Tue, 27 Sep 2005 04:56:35 -0500 ( 0kb + 168kb ) Title: Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures Author: Marc Henrard (Bank for International Settlements) Contact: marc.henrard@advalvas.be Comments: Type of Document - pdf; pages: 6. Draft version, comments welcome Keywords: Australian dollar bills futures, convexity adjustment, delivery option, HJM one-factor model. JEL: G13, E43 EWPA-references: ewp-fin/0310008.abs ewp-fin/0310009.abs \\ ------------------------------------------------------------------------------ \\ Paper: ewp-fin/0509028 From: sarmistha.pal@brunel.ac.uk Date: Tue, 27 Sep 2005 09:08:53 -0500 ( 0kb + 390kb ) 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 (Department of Economics & Finance, Brunel University) Contact: sarmistha.pal@brunel.ac.uk Comments: Type of Document - pdf; pages: 44. Revised version Keywords: Asian Crisis, Corporate Governance, Capital structure, Firm performance, Expropriation of minority shareholders, 3SLS estimates, Simultaneity bias, Non-linearity. JEL: G32, L25 EWPA-references: ewp-fin/270905 \\