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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: http://finance.wharton.upenn.edu/~rlwctr/ More information through EDIRC
For technical questions regarding this series, please contact
(Thomas Krichel) Series handle: repec:fth:pennfi
More pages of listings: 0 |1 |2 |3 |4 Undated
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
m2-84 Risk and Return Characteristics of Lower-Grade Bonds by Marshall Blume & Donald B. Keim
m1-88 Return Indexes for Lower Grade Bonds: 1977-1987 by M.E Blume & D. B. Keim
m1-86 M.E. Blume and Irwin Friend by Recent & Prospective Trends in Institutional Ownership & Trading of Exchange & OTC Stocks
m1-75 The Role of Financial Structure in Economic Development by Randolph Westerfield & Irwin Friend
m1-74 The Role and Viability of Mutual Banks by Lawrence D. Jones & Richardson R. Pettit
m1-73 An Analysis of Spending Rules for the University's Endowment by Marshall E. Blume
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
9-99 Organizational Design Choices in Retail Banking by Venky Nagar [Downloadable!]
9-97 Going Public with Asymmetric Information, Agency Costs and Dynamic Trading by Armando Gomes
9-95 Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94) by Donald B. Keim & Ananth Madhavan
9-93 Futures and Forward Prices with Markovian Interest Rate Processes by Simon Benninga & Aris Protopapadakis
9-92 Exact Solutions for Expected Rates of Return Under Markov Regime Switching: Implications for the Equity Premium Puzzle by Andrew B. Abel
9-90 Endogenous Government Spending and Ricardian Equivalence (Revision of 13-88) by Henning Bohn
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
9-86 Financial Intermediation: Delegated Monitoring and Long-Term Relationships by J. G. Haubrich
9-85 Serial Correlation of Asset Returns and Optimal Portfolios for the Short and Long Term by Stanley Fischer & George G. Pennacchi
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
9-75 Taxation and Financial Management: Theory vs. Fact by James E. Walter
9-74 Differential Effects of Inflation by James E. Walter
9-73 Uncertainty Resolution and Multi-Period Investment Decisions by Randolph Westerfield & John R. Percival
8-99 The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings by Gabriel Hawawini & Donald B. Keim [Downloadable!]
8-98 The Cost of Institutional Equity Trades by Donald B. Keim & Ananth Madhavan
8-92 A Test of the Cox, Ingersoll, and Ross Model of the Term Structure by Michael R. Gibbons & Krishna Ramaswamy
8-91 Bayesian Inference and Portfolio Efficiency (Revised: 4-93) by Shmuel Kandel & Robert McCulloch & Robert H. Stambaugh
8-89 Risk and Return Characteristics of Lower-Grade Bonds 1977-1987 by Marshall E. Blume & Donald B. Keim
8-87 Asset Pricing in a Macroeconomic Context by Henning Bohn
8-86 Bank Deregulation, Credit Markets and the Control of Capital by G. B. Gorton & J. G. Haubrich
8-83 An Empitical Analysis of the Determinants of Intrajurisdictional Property Tax Payment Inequities by Dong Hoon Chun & Peter Linneman
8-79 The Role of Price Level Uncertainty in Determining the Opportunity Cost of Holding Money by Jeremy J. Siegel
8-78 Bank Regulation and Macroeconomic Stability by Anthony M. Santomero & Jeremy J. Siegel
8-75 Inflation and the Holding Period Returns on Bonds by Jeffrey F. Jaffe & Gershon Mandelker
8-74 Working Capital, Risk, Growth and Diversification by John S. Bildersee
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 [Downloadable!]
7-99 Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices by Suleyman Basak & Benjamin Croitoru [Downloadable!]
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
7-94 Whose Market Is It Anyway? Intermediaries' or Investors' (Reprint 044) by Morris Mendelson & Junius W. Peake
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
7-86 Determinants of Capital Structure (Revision of 13-85) by I. Friend & J. Hasbrouck
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
7-80 Corporate Hedging in Future Markets when Short Sales are Restricted by Simon Benninga
7-79 The Financial Markets in the United Kingdom by Marshall E. Blume
7-76 Indexation, Expectations, and Stability by Bulent Gultekin & Anthony M. Santomero
7-72 Some Contributions of the Institutional Investor Study (with "Discussion" by Marshall E. Blume) by Lawrence D. Jones
6-96 The Pre-Acquisition Performance of Target Firms: A Re-examination of the Inefficient Management Hypothesis (Revision of 23-95) by Anup Agrawal & Jeffrey F. Jaffe
6-95 Banks and Derivatives by Gary Gorton & Richard Rosen
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
6-91 Effects of Bid-Ask Spreads and Price Discreteness on Stock Returns by Ajay R. Dravid
6-90 The Sustainability of Budget Deficits in a Stochastic Economy (Revised: 17-91) by Henning Bohn
6-84 Choice of Inventory Accounting Methods: A Ricardian Model by Chi-Wen Jevons Lee & David Hsieh
6-82 Optimal Survey Aggregation Application to Inflation, Stock Returns and Economic Activity by Joel Hasbrouck
6-78 Asset Management for Regulated Enterprise Under Conditions of Uncertain Price Change: The Case of the Property-Casualty Company by James E. Walter
6-76 Price-Quantity Adjustments in a Macro-Disequilibrium Model by Henry R. Lorie
6-75 The Demand for Risky Assets Under Uncertain Inflation by Irwin Friend & Yoram Landskroner
6-72 The Value of Information for Investment Decisions by Jim Morris
6-00 Nested Information and Manipulation in Financial Markets by Archishman Chakraborty & Bilge Yilmaz [Downloadable!]
5-96 Analyzing Investments Whose Histories Differ in Length by Robert F. Stambaugh
5-95 Financial Markets, Intermediaries, and Intertemporal Smoothing (Revised 14-96) by Franklin Allen & Douglas Gale
5-94 A Transaction Cost Theory of Corporate Finance, with Applications to Security, Bankruptcy, and the Nature of Economic Organization by Bruce D. Johnsen
5-93 Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing (Reprint 052) by James Dow & Gary Gorton
5-91 The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview (Revised: 13-91) by Jeremy J. Siegel
5-89 The Sources and Nature of Long-Term Memory in the Business Cycle by Joseph G. Haubrich & Andrew W. Lo
5-88 Tax Clienteles and the Miller Model with Incomplete Markets (Revision of 4-87) by Franklin Allen & Jeffrey Jaffe
5-85 On the Optimality of Portfolio Insurance by Simon Benninga & Marshall Blume
5-83 Market Evidence on the Effective Maturity of Bank Assets and Liabilities by Mark Flannery & Christopher James
5-82 Are Forward Exchange Rates Really Useful Predictors of Future Spot Rates? Some Evidence from Daily Dollar-DM Data by Orlin J. Grabbe
5-81 Real Versus Nominal Forecast Errors in the Prediction of Foreign Exchange Rates by Stephen Meyer & Richard Startz
5-80 Optimal Claims in Automobile Insurance by Itzahk Venezia & Haim Levy
5-79 Risk and Capital Asset Pricing by Irwin Friend & Randolph Westerfield
5-77 The Cost of Equity Capital: A Reconsideration by M. J. Gordon & L. I. Gould
5-76 Further Evidence on the Capitalization of Property Taxes: A Case Study of Upper Dublin Township by Moshe Cohen
5-75 An Empirical Investigation of the Corporate Debt Maturity Structure by James R. Morris
5-72 The Simultaneity of Systematic Stock Price Movements (Revised) by Jack Clark Francis
5-71 The Economic Consequences of the Stock Market by Irwin Friend
5-00 Strategic Voting and Proxy Contests by Bilge Yilmaz [Downloadable!]
4-99 Going Public with Asymmetric Information, Agency Costs, and Dynamic Trading by Armando Gomes [Downloadable!]
4-98 Costs of Equity Capital and Model Mispricing by Lubos Pástor & Robert F. Stambaugh
4-96 Optimal Consumption Choices for a "Large" Investor by Domenico Cuoco & Jaksa Cvitanic
4-95 Optimal Consumption and Equilibrium Prices with Portfolio Cone Constraints and Stochastic Labor Income by Domenico Cuoco
4-94 Evidence on the Objectives of Bank Managers by Joseph P. Hughes & Loretta J. Mester
4-93 Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046) by Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh
4-92 Differences in Execution Prices Among the NYSE, the Regionals and the NASD (Revised: 27-92) by Marshall E. Blume & Michael A. Goldstein
4-91 The Evolution of Mortgage Yield Concepts by Jack M. Guttentag
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
4-87 A Note on Clienteles and the Miller Model (Revised: 5-88) by Franklin Allen & Jeffrey A. Jaffe
4-86 A Game Theoretic Approach to the Capital Structure and Investment Decision Problems of a Levered Firm by S. Ryu
4-85 Effects of Taxation on Financial Markets by Irwin Friend
4-83 Can Money Matter ? by Richard Startz
4-82 Effect of Inflation on the Profitability and Valuation of U.S. Corporations by Irwin Friend & Joel Hasbrouck
4-77 Inflation-Induced Distortions in Government and Private Saving Statistics by Jeremy J. Siegel
4-76 The Preferences of Financial Institutions for Construction and Permanent Mortgage by John M. Mason & Frederick H. Leaffer
3-99 The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation by Andrew B. Abel [Downloadable!]
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
3-89 Market Discipline and the Valuation of Bank Subordinated Debt by Gary Gorton & Anthony Santomero
3-88 Devaluations in an Overlapping Generations Economy by Jack D. Glen
3-86 Decision Intervals and Portfolio Strategy by S. Benninga & M. E. Blume
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
3-79 Optimal Stabilization in a General Equilibrium Financial Model by Jeremy J. Siegel
3-73 The Error Learning Hypothesis and the Term Structure of Interest Rates in Eurodollars by Anthony M. Santomero
3-72 Some Aspects of the Performance of Non-Convertible Preferred Stocks by John Bildersee
3-71 Price Impacts of Block Trading on the NYSE by Alan Kraus & Hans R. Stoll
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 [Downloadable!]
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 [Downloadable!]
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 [Downloadable!]
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 [Downloadable!]
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 [Downloadable!]
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
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