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New York University, Leonard N. Stern School of Business- New York University, Leonard N. Stern School Finance Department Working Paper Seires Contact information of
New York University, Leonard N. Stern School of Business-: http://w4.stern.nyu.edu/finance/ More information through EDIRC
For technical questions regarding this series, please contact
(Thomas Krichel) Series handle: repec:fth:nystfi
More pages of listings: 0 |1 2001
01-11 Financial Globalization and Real Regionalization by Heathcote, J. & Perri, F.
01-10 Estimating Econometric Models with Fixed Effects by Greene, W.
01-07 The Effects of Dynamic Change in Bank Competition on the Supply of Small Business Credit by Berger, A.N. & Goldberg, L.G. & White, L.J.
01-06 Optimal Brand Umbrella Size by Cabral, L.M.B.
01-04 Multiproduct Oligopoly and Bertrand Supertraps by Cabral, L.M.B.
01-01 Fixed and Random Effects in Nonlinear Models by Greene, W.
01-00 The Microsoft Antitrust Case by Economides, N.
2000 ec-00-04 Reducing the Barriers to International Trade in Accounting Services: Why it Matters, and the Road Ahead by White, L.J.
ec-00-03 The New Industrial Organization and Small Business by Kwoka Jr., J.E. & White, L.J.
ec-00-01 The Emergence of Concentrated Ownership and the Rebalacing of Portfolios due to Shareholder Activism in a Financial Market Equilibrium by Katz, B.G. & Owen, J.
99-084 An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings by Edward Altman & Anthony Saunders [Downloadable!]
99-073 Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability by Anthony W. Lynch [Downloadable!]
99-054 The IPO Lock-Up Period: Implications for Market Efficiency And Downward Sloping Demand Curves by Eli Ofek & Matthew Richardson [Downloadable!]
99-048 Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt by V. Acharya & J. Huang & Marti G. Subrahmanyam & R. Sundaram [Downloadable!]
99-025 Asset Pricing Puzzles: Evidence from Options Markets by Joshua Rosenberg [Downloadable!]
99-014 Empirical Pricing Kernels by Joshua Rosenberg & Robert F. Engle [Downloadable!]
99-004 Market Size and Investment Performance of Defaulted Bonds & Bank Loans: 1987-1998 by Edward I. Altman & Luis Beltran [Downloadable!]
98-069 Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps by Marti G. Subrahmanyam & Young Ho Eom & Jun Uno [Downloadable!]
00-07 Stretching Firm and Brand Reputation by Cabral, L.M.B.
00-06 Increasing Dominance with No Efficiency Effect by Cabral, L.
00-05 Simulated Likelihood Estimation of the Normal-Gamma Stochastic Frontier Function by Greene, W.H.
1999 99-16 The Role of Fiscal Policy in Japan: a Quantitative Study by Perri, F.
99-017 Forecasting Multifractal Volatility by Laurent Calvet & Adlai Fisher [Downloadable!]
99-087 On the Optimality of Resetting Executive Stock Options by Viral Acharya & Kose John & Rangarajan K. Sundaram
99-086 The Price of Options Illiquidity by Menachem Brenner & Rafi Eldor & Shmuel Hauser [Downloadable!]
99-085 Fee Speech: Signalling and the Regulation of Mutual Fund Fees by Sanjiv Ranjan Das & Rangarajan K. Sundaram [Downloadable!]
99-083 Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses by Paul Bennett & Kenneth Garbade & John Kambhu [Downloadable!]
99-082 Explaining the Rate Spread on Corporate Bonds by Edward J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann [Downloadable!]
99-081 Evaluating Stock Price Volatility by Jarl G. Kallberg & Crocker H. Liu & Anand Srinivasan
99-080 The Value Added from Investment Managers: an Examination of Funds of REITs by Jarl G. Kallberg & Crocker H. Liu & Charlese Trzcinka
99-079 What Motivates Managers? Evidence from Organizational Form Changes by Aswath Damodaran & Kose John & Crocker H. Liu
99-078 The Valuation of American-Style Swaptions in a Two-factor Spot-Futures Model by Sandra Peterson & Richard C. Stapleton & Marti G. Subrahmanyam [Downloadable!]
99-077 Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs by Stephen Brown [Downloadable!]
99-076 Does Option Compensation Increase Managerial Risk Appetite? by Jennifer Carpenter [Downloadable!]
99-075 Underpricing of New Equity Offerings by Privatized Firms: An International Test by Qi Huang & Richard M. Levich [Downloadable!]
99-074 1998 Survey of Derivatives and Risk Management Practices by U.S. Institutional Investors by Richard M. Levich & Gregory S. Hayt & Beth A. Ripston [Downloadable!]
99-072 A Multifractal Model of Assets Returns by Laurent Calvet & Adlai Fisher & Benoit Mandelbrot [Downloadable!]
99-071 Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash by Adlai Fisher [Downloadable!]
99-070 Contingent Control Rights and Managerial Incentives: The Design of Long-term Debt by Zsuzsanna Fluck [Downloadable!]
99-069 Capital Structure Decisions in Small and Large Firms: A Life-cycle Theory of Financing by Zsuzsanna Fluck [Downloadable!]
99-068 Organizational Form and Expense Preference: Spanish Experience by Iftekhar Hasan & Ana Lozano [Downloadable!]
99-067 A Rational Explanation For Home Country Bias by Iftekhar Hasan & Yusif Simaan [Downloadable!]
99-066 The Determinants of De Novo Bank Survival by Robert DeYoung & Iftekhar Hasan & William C. Hunter [Downloadable!]
99-065 Underpricing of Venture and Non Venture Capital IPOs: An Empirical Investigation by Bill B. Francis & Iftekhar Hasan [Downloadable!]
99-064 The Effects of Deregulation on the Performance of Financial Institutions: The Case of Spanish Savings Banks by Subal C. Kumbhakar & Ana Lozano-Vivas & C. A. Knox Lovell & Iftekhar Hasan [Downloadable!]
99-063 Unit Root Tests are Useful for Selecting Forecasting Models by Francis X. Diebold & Lutz Kilian [Downloadable!]
99-061 (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys [Downloadable!]
99-060 Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys [Downloadable!]
99-059 The Distribution of Exchange Rate Volatility by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys [Downloadable!]
99-058 Cross Holding and Imperfect Product Markets by Matthew J. Clayton & Bjorn N. Jorgensen [Downloadable!]
99-057 On the Formation and Structure of International Exchanges by Matthew J. Clayton & Bjorn N. Jorgensen & Kenneth A. Kavajecz [Downloadable!]
99-056 Debt, Investment, and Product Market Competition by Matthew J. Clayton [Downloadable!]
99-055 The Effect of Leverage on Bidding Behavior: Theory and Evidence from the FCC Auctions by Matthew J. Clayton & S. Abraham Ravid [Downloadable!]
99-053 Optimal Compensation Contracts with Pay-For-Performance and Termination Incentives by Greg Hallman & Jay C. Hartzell [Downloadable!]
99-052 Crisis Dynamics of Implied Default Recovery Ratios: Evidence From Russia and Argentina by John J. Merrick Jr. [Downloadable!]
99-051 Major League Baseball Player Contracts: An Investigation of the Empirical Properties of Real Options by Matthew Clayton & David Yermack [Downloadable!]
99-050 Wealth Creation and Destruction from Brooke Group's Tobacco Litigation Strategy by Sandeep Dahiya & David Yermack [Downloadable!]
99-049 Political Risk, Financial Crisis, and Market Volatility by Jianping Mei [Downloadable!]
99-046 Portfolio Performance and Agency by Philip H. Dybvig & Heber K. Farnsworth & Jennifer Carpenter [Downloadable!]
99-045 The Term Structure of Interest Rate-Futures Prices by R.C. Stapleton & Marti G. Subrahmanyam [Downloadable!]
99-044 Temporal Resolution of Uncertainty, the Investment Policy of Levered Firms and Corporate Debt Yields by Alexander Reisz [Downloadable!]
99-043 Temporal Resolution of Uncertainty and Corporate Debt Yields: an Empirical Investigation by Alexander Reisz [Downloadable!]
99-042 A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility by Jacob Boudoukh & Matthew Richardson & Richard Stanton & Robert Whitelaw [Downloadable!]
99-041 Dividend Policy and Clientele Rationality by Lee Nelson [Downloadable!]
99-040 Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns by Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert Whitelaw [Downloadable!]
99-039 The Impact of the Rule of Law on the Structure and Function of Securities Markets by Larry Alan Bear & Rita Maldonado-Bear [Downloadable!]
99-038 Price Functionals with Bid-Ask Spreads: An Axiomatic Approach by Elyès Jouini [Downloadable!]
99-037 Optimal Investment with Taxes: An Existence Result by Elyès Jouini & Pierre-Francois Koehl & Nizar Touzi [Downloadable!]
99-036 Viability and Equilibrium in Securities Markets with Frictions by Elyès Jouini & Hédi Kallal [Downloadable!]
99-035 Efficient Trading Strategies in the Presence of Market Frictions by Elyès Jouini & Hédi Kallal [Downloadable!]
99-034 Arbitrage and Investment Opportunities by Elyès Jouini & Clotilde Napp [Downloadable!]
99-033 Arbitrage and Viability in Securities Markets with Fixed Trading Costs by Elyès Jouini & Hédi Kallal & Clotilde Napp [Downloadable!]
99-032 Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices by Suleyman Basak & Alexander Shapiro [Downloadable!]
99-031 The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence by Alexander Shapiro [Downloadable!]
99-030 Price Impact Asymmetry of Block Trades: An Institutional Trading by Gideon Saar [Downloadable!]
99-029 Optimal Compensation for Fund Managers of Uncertain Type: The Information Advantages of Bonus Schemes by Alexander Stremme [Downloadable!]
99-028 Semiparametric Pricing of Multivariate Contingent Claims by Joshua Rosenberg [Downloadable!]
99-027 Implied Volatility Functions: A Reprise by Joshua Rosenberg [Downloadable!]
99-026 Option-Based Tests of Interest Rate Diffusion Functions by Joshua Rosenberg [Downloadable!]
99-024 Research and Development Expense: Implications for Profitability Measurement and Valuation by Aswath Damodaran [Downloadable!]
99-023 Dealing with Operating Leases in Valuation by Aswath Damodaran [Downloadable!]
99-022 The Dark Side of Valuation: Firms with No Earnings, No History and No Comparables by Aswath Damodaran [Downloadable!]
99-021 Estimating Equity Risk Premiums by Aswath Damodaran [Downloadable!]
99-020 Financing Innovations and Capital Structure Choices by Aswath Damodaran [Downloadable!]
99-019 Estimating Risk Parameters by Aswath Damodaran [Downloadable!]
99-018 Value Creation and Enhancement: Back to the Future by Aswath Damodaran [Downloadable!]
99-17 Durable Goods Monopoly with Network Externalities with Application to the PC Operating Systems Market by Economides, N.
99-016 Financial Services Strategies in the Euro-Zone by Ingo Walter [Downloadable!]
99-015 Empirical Tests of Interest Rate Model Pricing Kernels by Joshua Rosenberg [Downloadable!]
99-012 Trading Fast and Slow: Security Market Events in Real Time by Joel Hasbrouck [Downloadable!]
99-010 Regime Shifts and Bond Returns by Jacob Boudoukh & Matthew Richardson & Tom Smith & Robert Whitelaw [Downloadable!]
99-008 Continuous Time Equilibrium Pricing of Nonredundant Assets by Elyes Jouini & Clotilde Napp [Downloadable!]
99-007 Executive Stock Option Exercises and Inside Information by Jennifer N. Carpenter & Barbara Remmers
99-006 Privatization with Political Constraints: Auctions versus Private Negotiations by Zsuzsanna Fluck & Kose John & S. Abraham Ravid [Downloadable!]
99-005 Defaults & Returns on High Yield Bonds: Analysis Through 1998 and Default Outlook for 1999-2001 by Edward I. Altman & Diane Cooke & Vellore Kishore [Downloadable!]
99-003 When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel by Guntar Franke & Richard C. Stapleton & Marti G. Subrahmanyam [Downloadable!]
99-001 An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps by Anurag Gupta & Marti G. Subrahmanyam [Downloadable!]
1998 1997 98-075 Mexico's Banking Crisis: Devaluation and Asset Concentration Effects by Berry Wilson & Anthony Saunders & Gerard Caprio Jr.
98-074 Time-Varying Sharpe Ratios and Market Timing by Robert F. Whitelaw
98-073 Stock Market Risk and Return: An Equilibrium Approach by Robert F. Whitelaw
98-061 Risks and Rewards in Emerging Market Investment by Roy C. Smith & Ingo Walter
98-058 The Determinants of Bank Interest Rate Margins: An International Study by Anthony Saunders & Liliana Schumacher
98-057 Pricing Multivariate Contingent Claims using Estimated Risk-neutral Density Functions by Joshua Rosenberg
98-056 Information, Blockbusters and Stars? A Study of the Film Industry by S. Abraham Ravid
98-055 Leverage Changes and Product Pricing Incentives -- A Tax Induced Analysis by S. Abraham Ravid
98-053 Toehold Strategies and Rival Bidders by S. Abraham Ravid & Matthew Spiegel
98-052 Does Equity-Based Compensation Increase Managers' Ownership? by Eli Ofek & David Yermack
98-051 Compensation and Top Management Turnover by Hamid Mehran & David Yermack
98-050 Understanding Fee Structures in the Asset Management Business by Anthony W. Lynch & David K. Musto
98-048 Evaluating Stock Price Volatility: The Case of REITs by Jarl Kallberg & Crocker H. Liu
98-045 Corporate Governance and Board Effectiveness by Kose John & Lemma W. Senbet
98-041 The Dynamics of Discrete Bid and Ask Quotes by Joel Hasbrouck
98-040 Has International Financial Integration Increased? by Lawrence G. Goldberg & James R. Lothian & John Okunev
98-039 De Novo Banks and Lending to Small Businesses: An Empirical Analysis by Lawrence G. Goldberg & Lawrence J. White
98-035 Control Rights and Maturity: The Design of Debt, Equity, and Convertible Securities by Zsuzsanna Fluck
98-034 Privatization with Political Constraint: Auctions versus Private Negotiations by Zsuzsanna Fluck & Kose John & S. Abraham Ravid
98-033 Derivatives Risks, Old and New by Stephen Figlewski
98-029 Tax and Liquidity Effects in Pricing Government Bonds by Edwin J. Elton & T. Clifton Green
98-025 Youth, Adolescence, and Maturity of Banks: Credit Availability to Small Business in an Era of Banking Consolidation by Robert DeYoung & Lawrence G. Goldberg & Lawrence J. White
98-022 Cookie-Cutter versus Character: The Micro Structure of Small Business Lending by Large and Small Banks by Rebel A. Cole & Lawrence G. Goldberg & Lawrence J. White
98-021 Debt, Investment, and Product Market Competition by Matthew J. Clayton
98-018 Asymmetric Information, Corporate Myopia and Implications for Capital Gain Tax Rates by Thomas J. Chemmanur & S. Abraham Ravid
98-017 The Exercise and Valuation of Executive Stock Options by Jennifer N. Carpenter
98-009 No-Arbitrage Option Pricing: New Evidence on the Validity of the Martingale Property by Menachem Brenner & Young Ho Eom
98-008 Causes and Effects of Corporate Refocusing Programs by Philip G. Berger & Eli Ofek
98-005 Economic News and the Yield Curve: Evidence from the U.S. Treasury Market by Pierluigi Balduzzi & Edwin J. Elton & T. Clifton Green
98-004 Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange by Yakov Amihud & Haim Mendelson & Beni Lauterbach
98-002 Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives by George Allayannis & Eli Ofek
98-001 Optimal Risk Management Using Options by Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw
97-11 The Optimal Dynamic Investment Policy for a Fund Manager Compensated with an Incentive Fee by Jennifer Carpenter
97-10 The Exercise and Valuation of Executive Stock Options by Jennifer Carpenter
97-9 State-Contingent Bank Regulation by S. Nagarajan & C. W. Sealey
97-8 Can Delegating Bank Regulation to Market Forces Really Work? by S. Nagarajan & C. W. Sealey
97-7 Design of Efficient Bankruptcy Mechanisms by S. Nagarajan
97-6 Efficient Security Design: Theory and Application by S. Nagarajan
97-5 Are Financial Corners and Short Squeezes Inefficient? by S. Nagarajan
97-4 Common Factors in Mutual Fund Returns by Edwin J. Elton & Martin J. Gruber & Christopher R. Blake
97-3 Modern Portfolio Theory, 1950 to Date by Edwin J. Elton & Martin J. Gruber
97-2 Tax and Liquidity Effects in Pricing Government Bonds by Edwin J. Elton & T. Clifton Green
97-1 The Effects of Bank Mergers and Acquisitions on Small Business Lending by Allen N. Berger & Anthony Saunders & Joseph M. Scalise & Gregory F. Udell
96-40 Universal Banking: A Shareholder Value Perspective by Ingo Walter
96-38 Rethinking Emerging Market Equities by Roy C. Smith & Ingo Walter
96-37 The Pricing of Marked-to-Market Contingent Claims in a No-Arbitrage Economy by Stephen E. Satchell & Richard C. Stapleton & Marti G. Subrahmanyam
96-32 A New Measure of Transaction Costs by David Lesmond & Charles Trzcinka & Joseph Ogden
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