Wharton School Rodney L. White Center for Financial Research
Rodney L. White Center for Financial Research Working Papers
Contact information of Wharton School Rodney L. White Center for Financial Research:
Postal: 3254 Steinberg Hall-Dietrich Hall, Philadelphia, PA 19104-6367
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Web page: http://finance.wharton.upenn.edu/~rlwctr/
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- m5-73 An Empirical Analysis of Risk Measurement in Corporate Bonds
by Jane C. Tripp - m4-73 Immediate, Short and Longer Run Performance of New Issues
by Craig A. Simmons - m3-73 Financing the Needs of the Farm Credit System: Part I: Summary and Recommendations
by Paul F. Smith - m2-84 Risk and Return Characteristics of Lower-Grade Bonds
by Marshall Blume & Donald B. Keim - m2-73 Performance of Bank Managers of Trust Funds
by William G. Burns & Richard H. Klemm - m1-89 Return Indexes for Lower Grade Bonds
by Marshall E. Blume & Donald B. Keim - m1-86 M.E. Blume and Irwin Friend
by Recent & Prospective Trends in Institutional Ownership & Trading of Exchange & OTC Stocks - m1-83 A Survey Study of the Leveraged Buyout Market: Entrepreneur-Senior Lender Relationships
by Bulent N. Gultekin & Joel Hasbrouck - m1-72 The Consequences of Competitive Commissions on the New York Stock Exchange
by Marshall E. Blume & Irwin Friend - m01-80 Impediments to Capital Formation
by Marshall E. Blume & Irwin Friend & Randolph Westerfield - 9-98 Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium
by Süleyman Basak & Mike Gallmeyer - 9-97 Going Public with Asymmetric Information, Agency Costs and Dynamic Trading
by Armando Gomes - 9-96 Managerial Compensation and the Threat of Takeover (Revision of 28-94) (Revised: 6-97)
by Anup Agrawal Charles R. Knoeber - 9-95 Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94)
by Donald B. Keim & Ananth Madhavan - 9-94 An Index-Contingent Trading Mechanism: Economic Implications
by Avi Wohl & Shmuel Kandel - 9-93 Futures and Forward Prices with Markovian Interest Rate Processes
by Simon Benninga & Aris Protopapadakis - 9-89 Asset Prices Under Heterogenous Beliefs: Implications for the Equity Premium
by Andrew B. Abel - 9-88 Seasonality, Size Premium and the Relationship Between the Risk and the Return of French Common Stocks
by Gabriel Hawawini & Claude Viallet - 9-87 Operative Gift and Bequest Motives
by Andrew B. Abel - 9-84 Inflation, Inventory Accounting Methods and Stock Returns
by Chi-Wen Jevons Lee - 9-83 Resource Distribution Effects of New York City Rent Control Programs
by Peter Linneman - 9-82 Non-Linear Pricing Systems in Finance
by Simon Benninga - 9-81 The Lender of Last Resort Function in an International Context
by Jack Guttentag & Richard Herring - 9-80 Expectations, Exchange Rates and Monetary Theory - The Case of the German Hyperinflation
by Aris Protopapadakis - 9-74 Differential Effects of Inflation
by James E. Walter - 9-72 Price, Beta and Exchange Listing
by Marshall E. Blume & Frank Husic - 9-00 The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks
by Andrew B. Abel - 8-95 An Intertemporal Model of Segmentation (Reprint 056)
by Süleyman Basak - 8-94 Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revised: 7-95)
by Süleyman Basak - 8-92 A Test of the Cox, Ingersoll, and Ross Model of the Term Structure
by Michael R. Gibbons & Krishna Ramaswamy - 8-88 Market Efficiency and Equity Pricing: International Evidence and Implications for Global Investing
by Gabriel Hawawini - 8-87 Asset Pricing in a Macroeconomic Context
by Henning Bohn - 8-84 Stochastic Properties of Cross-Sectional Financial Data
by Chi-Wen Jevons Lee - 8-82 The Aggregation of Consumer Preferences Over Firm Investment and Financial Decisions in Imperfect Markets
by Simon Benninga & Meir I. Schneller - 8-79 The Role of Price Level Uncertainty in Determining the Opportunity Cost of Holding Money
by Jeremy J. Siegel - 8-75 Inflation and the Holding Period Returns on Bonds
by Jeffrey F. Jaffe & Gershon Mandelker - 8-73 The Association Between a Market-Determined Measure of Risk and Alternative Measures or Risk
by John S. Bildersee - 8-72 Deposit Mix at Commercial Banks and Monetary Policy
by Paul F. Smith & Robert C. Jones - 8-00 Predictable Changes in NAV: The wildcard option in transacting mutual fund shares
by John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec - 7-97 The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
by Gabriel Hawawini & Donald B. Keim - 7-96 Model Error in Contingent Claim Models (Dynamic Evaluation)
by Eric Jacquier & Robert Jarrow - 7-93 Backwardation in Oil Futures Markets: Theory and Empirical Evidence
by Robert H. Litzenberger & Nir Rabinowitz - 7-92 Flexible (S,s) Bands, Uncertainty, and Aggregate Consumer Durables
by Janice C. Eberly - 7-91 Rational Expectations and Stock Market Bubbles
by Franklin Allen & Andrew Postlewaite - 7-88 Two-Person Dynamic Equilibrium: Trading in the Capital Market
by Bernard Dumas - 7-87 Loan Sales and the Cost of Bank Capital
by George Pennacchi - 7-85 Effects of Non-Assumable Mortgage Finance on Housing Demand and Relocation Decisions
by George G. Pennacchi - 7-84 The Information Content of Financial Columns
by Chi-Wen Jevons Lee & Alfredo Moreno - 7-82 Economic and Equity Aspects of Securities Regulation
by Irwin Friend - 7-77 The Growth-Optimal General Equilibrium Market Model: A Reduced Form Expression for the Capital Market Line
by David A. Umstead - 7-74 The Monetary Sector in an Open Economy: An Empirical Analysis for Canada and Germany
by Richard J. Herring - 7-00 Informed Manipulation
by Archishman Chakraborty & Bilge Yilmaz - 6-98 Capital Market Equilibrium with Mispricing and Arbitrage Activity
by Süleyman Basak & Benjamin Croitoru - 6-97 Managerial Compensation and the Threat of Takeover (Revision of 9-96)
by Anup Agrawal & Charles R. Knoeber - 6-93 Arbitrage Chains
by James Dow & Gary Gorton - 6-92 The Theory of Security Pricing and Market Structure (Revision of 20-91). Forward by Paul A. Samuelson
by Marshall E. Blume & Jeremy J. Siegel - 6-88 The Implications of Insurance for the Efficacy of Fiscal Policy
by Andrew B. Abel - 6-81 Toward Efficiency Analysis of Diversifiable Assets
by Yoram Kroll - 6-80 The Allocational Role of Takeover Bids in Situations of Asymmetric Information
by Sanford J. Grossman & Oliver D. Hart - 6-79 Accounting Techniques and Firms' Equilibrium Values: Tax Methods and the Lifo/Fifo Choice
by Nicholas J. Gonedes - 6-78 Asset Management for Regulated Enterprise Under Conditions of Uncertain Price Change: The Case of the Property-Casualty Company
by James E. Walter - 6-77 Expectations, Commercial Bank Adjustment, and the Performance of Monetary Aggregates
by John Mason & Richard Rogalski & Joseph D. Vinso - 6-76 Price-Quantity Adjustments in a Macro-Disequilibrium Model
by Henry R. Lorie - 6-73 The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models
by Randolph Westerfield - 6-00 Nested Information and Manipulation in Financial Markets
by Archishman Chakraborty & Bilge Yilmaz - 5-98 An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks
by Donald B. Keim - 5-97 Learning To Be Overconfident
by Simon Gervais & Terrance Odean - 5-96 Analyzing Investments Whose Histories Differ in Length
by Robert F. Stambaugh - 5-90 The Risk and Return Characteristics of Stock Market-Based Real Estate Indexes and Their Relation to Appraisal-Based Returns
by Joseph Gyourko & Donald B. Keim - 5-88 Tax Clienteles and the Miller Model with Incomplete Markets (Revision of 4-87)
by Franklin Allen & Jeffrey Jaffe - 5-86 Monopolistic Competition and the Theory of Private Money
by J. G. Haubrich - 5-80 Optimal Claims in Automobile Insurance
by Itzahk Venezia & Haim Levy - 5-75 An Empirical Investigation of the Corporate Debt Maturity Structure
by James R. Morris - 5-00 Strategic Voting and Proxy Contests
by Bilge Yilmaz - 4-99 Going Public with Asymmetric Information, Agency Costs, and Dynamic Trading
by Armando Gomes - 4-98 Costs of Equity Capital and Model Mispricing
by Lubos Pástor & Robert F. Stambaugh - 4-97 A Specialist's Quoted Depth and the Limit Order Book
by Kenneth A. Kavajecz - 4-96 Optimal Consumption Choices for a "Large" Investor
by Domenico Cuoco & Jaksa Cvitanic - 4-93 Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046)
by Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh - 4-90 Equity Risk Premia and Corporate Profit Forecasts Around the Stock Crash of October 1987
by Jeremy J. Siegel - 4-89 When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001)
by Andrew Lo & Craig A. Mackinlay - 4-88 Dividend Policy in Perspective: Can Theory Explain Behavior? (Revision of 30-86)
by Jean Crockett & Irwin Friend - 4-86 A Game Theoretic Approach to the Capital Structure and Investment Decision Problems of a Levered Firm
by S. Ryu - 4-84 Risk and the Optimal Debt Level
by Jeffrey Jaffe & Randolph Westerfield - 4-83 Can Money Matter ?
by Richard Startz - 4-81 Testing Rational Expectations by the Use of Overidentifying Restrictions
by Richard Startz - 4-79 Implicit Interest on Demand Deposits
by Richard Startz - 4-78 Financial Consequences of Natural Disasters
by Joseph Vinso - 4-74 On Corporate Debt Maturity Strategies
by James A. Morris - 4-71 Efficiency of Corporate Investment
by Irwin Friend & Frank Husic - 3-98 The Declining Credit Quality of US Corporate Debt: Myth or Reality?
by Marshall E. Blume & Felix Lim & A. Craig MacKinlay - 3-97 Free Cash Flow, Optimal Contracting, and Takeovers
by Eitan Goldman & Christopher S. Jones & Ron Kaniel - 3-95 Precautionary Saving and Social Insurance
by Glenn R. Hubbard & Jonathan Skinner & Stephen P. Zeldes - 3-94 Consumer Behavior and the Stickiness of CreditCard Interest Rates
by Paul S. Calem & Loretta J. Mester - 3-93 Portfolio Inefficiency and the Cross-Section of Mean Returns (Revised: 6-94)
by Shmuel Kandel & Robert F. Stambaugh - 3-91 Budget Balance Through Revenue or Spending Adjustments ? Some Historical Evidence for the United States (Reprint 013)
by Henning Bohn - 3-88 Devaluations in an Overlapping Generations Economy
by Jack D. Glen - 3-87 Specification of the Joy of Giving: Insights from Altruism
by Andrew B. Abel & Mark Warshawsky - 3-85 The Week-End Effect in Common Stock Returns: The International Evidence
by Jeffrey Jaffe & R. Westerfield - 3-82 Saving and After-Tax Rates of Return
by Irwin Friend & Joel Hasbrouck - 3-81 Effect of Inflation on the Profitability and Valuation of U.S. Corporations
by Irwin Friend & Joel Hasbrouck - 3-80 Evidence on the 'Tax Effects' of Inflation Under Historical Cost Accounting Methods
by Nicholas J. Gonedes - 3-77 Stimulating Indexation
by Nariman Behavesh & Athony M. Santomero - 3-76 The Pricing of Capital Assets in a Multi-Period World
by Marshall E. Blume - 3-74 Options and Efficiency
by Stephen A. Ross - 3-72 Some Aspects of the Performance of Non-Convertible Preferred Stocks
by John Bildersee - 3-00 A Theory of Takeover Bidding
by Bilge Yilmaz - 44-88 Perishable Investment and Hysteresis in Capital Formation
by Bernard Dumas - 43-88 Super Contact and Related Optimality Conditions: A Supplement to Avinash Dixit's: "A Simplified Exposition of Some Results Concerning Regulated Brownian Motion" (Reprint 020)
by Bernard Dumas - 42-88 Modeling Expected Stock Returns for Long and Short Horizons
by Shmuel Kandel & Robert F. Stambaugh - 41-89 An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019)
by Bernard Dumas & Elisa Luciano - 41-88 Rational Finite Bubbles
by Franklin Allen & Gary B. Gorton - 40-89 Self-Generating Trade and Rational Fads: The Response of Price to New Information
by James Dow & Gary Gorton - 40-88 Risky Business: The Clearance and Settlement of Financial Transactions
by Ananth Madhavan & Morris Mendelson & Junius W. Peake - 39-89 Developments in the Theory of Security Pricing and Market Structure (Revised: 20-91, 6-92)
by Marshall E. Blume & Jeremy J. Siegel - 39-88 Order Imbalances and Stock Price Movements on October 19 and 20 (Revision of 20-88)
by Marshall E. Blume & Craig A. MacKinlay & Bruce Terker - 38-89 Returns and Volatility of Low-Grade Bonds 1977-1988
by Marshall E. Blume & Donald B. Keim & Sandeep A. Patel - 38-88 Private Information, Trading Volume, and Stock Return Variances
by Michael J. Barclay & Robert H. Litzenberger & Jerold B. Warner - 37-89 Exchange Rate Uncertainty, Forward Contracts and the Performance of Global Equity Portfolios
by Jack D. Glen - 37-88 Pricing Options Under Jump-Diffusion Processes
by David S. Bates - 36-89 Optimal Dynamic Trading with Leverage Constraints
by Sanford J. Grossman & Jean-Juc Vila - 36-88 The Cash Premium: Option Pricing Under Asymmetric Processes, with Applications to Options on Deutschemark Futures
by David S. Bates - 35-89 The Changing Nature of Debt and Equity: A Financial Perspective
by Franklin Allen - 35-88 The Loan Sales Market
by Gary B. Gorton & Joseph G. Haubrich - 34-89 The Money and Bond Markets in France: Segmentation vs. Integration
by Bernard Dumas & Bertrand Jacquillat - 34-88 Transaction Contracts
by Gary B. Gorton & George Pennacchi - 33-89 An Economic Analysis of Dual Trading
by Sanford J. Grossman - 33-88 Time Consistency of Monetary Policy in the Open Economy (Revised: 8-90)
by Henning Bohn - 32-89 The Valuation of Corporate Fixed Income Securities
by In Joon Kim & Krishna Ramaswamy & Suresh Sundaresan - 32-88 Real Exchange Rates: Heteroscedasticity and Reversion Toward PPP
by Jack D. Glen - 31-89 Realized Returns and Defaults on Lower-Grade Bonds: The Cohort of 1977 and 1978 (Reprint 006)
by Marshall E. Blume & Donald B. Keim - 31-88 Linear Transformation of Asset Returns and the APT
by Jevons C. Lee & Taychang Wang - 31-87 Mechanisms, Multi-Lateral Incentive Compatibility, and the Core
by Joseph G. Haubrich - 30-91 Estimating Divisional Cost of Capital for Insurance Companies (Reprint 037)
by Franklin Allen - 30-89 Simple Binomial Processes as Diffusion Approximations in Financial Models (Reprint 003)
by Daniel B. Nelson & Krishna Ramaswamy - 30-88 Asymptotic Arbitrage Opportunities in Various Modes of Convergence and the Approximate Linear Pricing Relation in Asset Market
by Jevons C. Lee & Taychang Wang - 30-87 Program Trading and the Behavior of Stock Index Futures Prices
by Craig A. MacKinlay & Krishna Ramaswamy - 30-86 Corporate Dividend Payout Policy (Revised: 4-88)
by Jean Crockett & Irwin Friend - 29-99 An Empirical Analysis of Limit Order Markets
by Burton Hollifield & Robert A. Miller & patrik Sandas - 29-94 Firm Performance and Mechanisms to Control Agency Problems between Managers and Shareholders
by Anup Agrawal & Charles R. Knoeber - 29-91 Quantity-Adjusting Options and Forward Contracts (Revision of 24-91) (Reprint 041)
by David F. Babbel & Laurence K. Eisenberg - 29-89 Security Baskets and Index-Linked Securities
by George Pennacchi & Gary Gorton - 29-88 A General Theory of Arbitrage Pricing: When the Idiosyncratic Risks are Dependent and their Second Moments Do Not Exist
by Jevons C. Lee & Taychang Wang - 29-87 Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87)
by Andrew W. Lo & Craig A. MacKinlay - 29-86 Determinants of Capital Structure for Closely-Held Versus Publicly-Held Corporations
by Irwin Friend & Larry Lang - 29-73 Security Valuation Formulae: Their Relationship to Estimates of the Risk-Return Trade-off
by Daniel Rie - 28-99 Choices Among Alternative Risk Management Strategies: Evidence from the Natural Gas Industry
by Christopher C. Geczy & Bernadette A. Minton & Catherine Schrand - 28-94 Managerial Compensation and the Threat of Takeover
by Anup Agrawal & Charles R. Knoeber - 28-92 Testing Inequality Restrictions Implied by Conditional Asset Pricing Models
by Jacob Boudoukh & Matthew Richardson & Tom Smith - 28-91 Budget Deficits and Government Accounting
by Henning Bohn - 28-90 The Crash of '87: Was it Expected? The Evidence from Options Markets
by David S. Bates - 28-89 Budget Balance Through Revenue or Spending Adjustments? Some Historical Evidence for the United States
by Henning Bohn - 28-88 Asymptotic Arbitrage Opportunities and Asset Market Equilibrium
by Jevons C. Lee & Taychang Wang - 28-87 The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
by Andrew W. Lo & Craig A. MacKinlay - 28-86 The Interaction of Corporate and Government Financing in General Equilibrium
by Simon Benninga & Eli Talmor - 28-73 How Diversification Reduces Risk: Some Empirical Evidence
by Randolph W. Westerfield - 27-99 Mutual fund trading costs
by John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec - 27-94 On the Predictability of Stock Returns: An Asset-Allocation Perspective (Reprint 057)
by Shmuel Kandel & Robert F. Stambaugh - 27-92 Displayed and Effective Spreads by Market (Revision of 4-92)
by Marshall E. Blume & Michael A. Goldstein - 27-91 The Myths and Reality of Low-Grade Bonds
by Marshall E. Blume & Donald B. Keim - 27-90 Banks and Loan Sales: Marketing Non-Marketable Assets (Reprint 051)
by Gary Gorton & George Pennacchi - 27-89 Variance Ratio Tests of a Random Walk in Real Exchange Rates
by Jack D. Glen - 27-88 Tax Smoothing with Financial Instruments (Reprint 004)
by Henning Bohn - 27-87 Tests of Asset Pricing Models with Changing Expectations
by Wayne Ferson & Stephen Foerster & Donald Keim - 27-86 Announcement Effects of New Equity Issues and the Use of Intraday Price Data
by Michael J. Barclay & Robert H. Litzenberger - 27-79 Optimal Dealer Pricing Under Transactions and Return Uncertainty
by Thomas Ho & Hans Stoll - 27-73 Rating Changes and Information in the Bond Market
by John R. Percival - 26-99 Aggregate Prixe Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns
by Roger M. Edelen & Jerold B. Warner - 26-94 Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revised: 9-95)
by Donald B. Keim & Ananth Madhavan - 26-92 Efficiency in the Savings and Loan Industry
by Loretta J. Mester - 26-91 An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029)
by Jerry A. Hausman & Andrew W. Lo & Craig A. MacKinlay - 26-90 Measurement Distortion and Missing Contingencies in Optimal Contracts (Reprint 018)
by Franklin Allen & Douglas Gale - 26-89 Consumption and Fractional Differencing: Old and New Anomalies
by Joseph G. Haubrich - 26-88 Changing Risk, Changing Risk Premiums, and Dividend Yield Effects
by Nai-Fu Chen & Bruce Grundy & Robert F Stambaugh - 26-87 Optimal Security Design
by Franklin Allen & Douglas Gale - 26-86 Financial Innovation in an Incomplete Market: An Empirical Study of Stripped Government Bonds
by Hiromitsu Kanemasu & Robert H. Litzenberger & Jacques Rolfo - 26-85 Monetary Versus Real Exchange Rate Targets when Capital Mobility is Limited
by Alessandro Penati - 26-79 The Relative Efficiency of Various Portfolios: Some Further Evidence
by Marshall E. Blume - 26-73 Managing the Corporate Financial Structure
by James E. Walter & Michael R. Milken - 25-99 The wildcard option in transaction mutual-fund shares
by John M.R. Chalmers & Roger M. Edelen & Gregory B. Kadlec - 25-94 Numerical Evaluation of the Critical Price and American Options
by Walter Allegretto & Giovanni Barone-Adesi & Robert J. Elliott - 25-92 A Quality and Risk-Adjusted Cost Function for Banks: Evidence on the "Too-Big-To-Fail" Doctrine
by Joseph P. Hughes & Loretta J. Mester - 25-91 Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment Around the Stock Crash of October 1987
by Jeremy J. Siegel - 25-90 Some Issues Associated with Business Debt
by L. R. Klein & N. B. Gultekin & M. N. Gultekin & Q. Mohiuddin - 25-89 Pricing Physical Assets Internationally: A Non Linear Heteroskedastic Process for Equilibrium Real Exchange Rates
by Bernard Dumas - 25-88 A Mean-Variance Framework for Tests for Asset Pricing Models
by Shumel Kandel & Robert F. Stambaugh - 25-87 Impact of Management and Non-Managerial Principal Stockholders on Capital Structure of Closely-Held and Publicly-Held Corporations?
by Irwin Friend & Larry Lang - 25-86 Optimal Portfolio Choice and the Collapse of a Fixed-Exchange Rate Regime
by Alessandro Penati & George Pennacchi - 25-85 On Multivariate Tests of the CAPM
by Craig A. MacKinlay - 25-79 Valuation of Loan Guarantees
by Philip E. Jones & Scott P. Mason - 25-73 Some Notes on the Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues
by Stephen A. Ross - 24-99 Household Securities Purchases, Transactions Costs, and Hedging Motives
by Nicholas S. Souleles - 24-94 ALM in Banks (Revised 8-96)
by Giovanni Barone-Adesi - 24-92 Churning Bubbles (Reprint 039)
by Franklin Allen & Gary Gorton - 24-91 Quantity-Adjusting Options and Forward Contracts (Revised: 29-91)
by David F. Babbel & Laurence K. Eisenberg - 24-90 Returns and Volatility of Low-Grade Bonds 1977-1989 (Reprint 005)
by Marshall E. Blume & Donald B. Keim & Sandeep A. Patel - 24-89 On the Econometrics of Predicting Inflation from the Nominal Interest Rate
by Jean A. Crockett - 24-88 The Stock Market Crash of 1987: A Macro-Finance Perspective
by Jeremy J. Siegel - 24-87 The Size Effect on Stock Returns: It is a Simply a Risk Effect not Adequately Reflected by the Usual Measures?
by Irwin Friend & Larry Lang - 24-86 Semiparametric Upper Bounds for Option Prices
by AndrewW. Lo