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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
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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 [Downloadable!]
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
24-85 Consumption and Liquidity Constraints: An Empirical Investigation by Stephen Zeldes
24-84 Capital Structure and Imperfect Competition in Product Markets (Revised: 20-85 and 11-87) by Franklin Allen
24-79 Multiperiod Stochastic Dominance with Riskless Assets by Haim Levy & Azriel Levy
24-73 The Comparative Performance and Yields of Seasoned U.S. Government and Government Agency Securities by John S. Bildersee
23-99 Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence by Alon Brav & George M. Constantinides & Christopher C. Geczy [Downloadable!]
23-95 The Pre-Acquisition Performance of Target Firms: A Re-Examination of the Inefficient Management Hypothesis (Revised: 6-96) by Anup Agrawal & Jeffrey F. Jaffe
23-94 On the Use of Implied Stock Volatilities in the Prediction of Successful Corporate Takeovers by Giovanni Barone-Adesi & Keith C. Brown & W. V. Harlow
23-92 On the Predictability of Common Stock Returns: World-Wide Evidence (Revised: 22-94) by Gabriel Hawawini & Donald B. Keim
23-91 Generalized Put-Call Parity (Reprint 040) by David F. Babbel & Laurence K. Eisenberg
23-90 The Consumption of Stockholders and Non-Stockholders (Reprint 015) by Gregory N. Mankiw & Stephen P. Zeldes
23-89 Takeover Attempts, Economic Welfare, and the Role of Outside Directors by Jean A. Crockett
23-88 Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings by Mark Grinblatt & Sheridan Titman
23-87 Managerial Incentives and Capital Structure: A Geometric Note by Larry Lang
23-86 Aggregate Savings in the Presence of Private and Social Insurance by Andrew Abel
23-85 Government Spending and the Real Exchange Rate by Alessandro Penati
23-84 The Social Value of Asymmetric Information by Franklin Allen
23-79 Disclosure Laws and Takeover Bids by Sanford Grossman & Oliver Hart
23-73 Rates of Return on Bonds and Stocks, the Market Price of Risk and the Cost of Capital by Irwin Friend
22-99 On the Formation and Structure of International Exchanges by Matthew J. Clayton & Bjorn N. Jorgensen & Kenneth A. Kavajecz [Downloadable!]
22-98 Ex-Ante Real Rates and Inflation Risk Premiums: A Consumption-Based Approach by Ayelet Balsam & Shmuel Kandel & Ori Levy [Downloadable!]
22-95 Capital Structure, Call Policies and Flotation Costs: A Dog Chasing Its Tail (Revision of 12-95) by Francisco A. Delgado & Giovanni Barone-Adesi
22-94 On the Predictability of Common Stock Returns: World-Wide Evidence (Revision of 23-92) (Reprint 054) by Gabriel Hawawini & Donald B. Keim
22-92 An Analysis of Daily Changes in Specialist Inventories and Quotations by Ananth Madhavan & Seymour Smidt
22-91 Adjustment of Consumers' Durables Stocks: Evidence from Automobile Purchases by Janice C. Eberly
22-90 The Informational Role of Upstairs and Downstairs Trading by Sanford J. Grossman
22-89 Trading Patterns, Bid-Ask Spreads and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points (Reprint 008) by Donald B. Keim
22-88 Portfolio Performance Evaluation: Old Issues and New Insights by Mark Grinblatt & Sheridan Titman
22-87 The Optimal Non-Linear Bank by Joseph G. Haubrich
22-86 The Failure of Ricardian Equivalence Under Progressive Wealth Taxation by Andrew Abel
22-85 Games of Survival in the Newspaper Industry by Randolph Bucklin & Richard Caves & Andrew Lo
22-84 On the Quality of Accounting Services Under Alternative Market Structures by Nicholas Gonedes & Richard Kihlstorm
22-83 General Equilibrium Properties of the Term Structure of Interest Rates by Simon Benninga & Aris Protopapadakis
22-79 Rational Expectations and the Allocation of Resources Under Asymmetric Information: A Survey by Sanford Grossman
22-73 Consumption and Saving in Economic Development by Jean Crockett & Irwin Friend
21-99 A Theory of Negotiations and Formation of Coalitions by Armando Gomes [Downloadable!]
21-98 The Equity Premium and Structural Breaks by Lubos Pástor & Robert F. Stambaugh [Downloadable!]
21-95 The Effects of Irreversibility and Uncertainty on Capital Accumulation by Andrew B. Abel & Janice B. Eberly
21-94 Multifactor Models Do Not Explain Deviations from the CAPM (Revision of 15-93) by Craig A. MacKinlay
21-92 The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revised: 10-94) by Donald B. Keim & Ananth Madhavan
21-91 Stock Price Manipulation, Market Microstructure and Asymmetric Information (Reprint 024) by Franklin Allen & Gary Gorton
21-90 How Rational is the Market? Testing Alternative Hypotheses on Financial Market Equilibrium by Larry H.P. Lang & Robert H. Litzenberger & Vicente Madrigal
21-89 Data Snooping Biases in Tests of Financial Asset Pricing Models (Reprint 002) by Andrew W. Lo & Craig A. MacKinlay
21-88 Adverse Risk Incentives and the Design of Performance-Based Contracts by Mark Grinblatt & Sheridan Titman
21-87 Capital Controls and International Capital markets Segmentation: The Evidence from the Japanese and American Stock markets by Mustafa N. Gultekin & Bulent N. Gultekin & Alessandro Penati
21-86 Risk Aversion in the Not-So-Small: Beyond Mean and Variance by George Szpiro
21-85 The Valuation of Floating Rate Instruments - Theory and Evidence by Krishna Ramaswamy & Suresh Sundaresan
21-84 Value Maximization and Earnings Management Via Accounting Techniques by Nicholas Gonedes & Meier Schneller
21-82 The CAPM and Mean-Variance Efficient Portfolios Ex Ante and Ex Post Data by Irwin Friend & Randolph Westerfield & Joao Ferreira
21-80 The Interpretation of One-Parameter Performance Measures by Marshall E. Blume
21-79 Corporate Financial Structure and Managerial Incentives by Sanford Grossman & Oliver Hart
21-77 New Evidence on the Capital Asset Pricing Model by Irwin Friend & Randolph Westerfield & Michael Granito
21-73 Use of Survey Data to Check Behavioral Parameters in Econometric Models by Irwin Friend
21-72 Competitive Commissions on the New York Stock Exchange by Marshall E. Blume & Irwin Friend
20-99 Institutional Investors and Equity Prices by Paul A. Gompers & Andrew Metrick [Downloadable!]
20-98 Optimal Consumption of a Divisible Durable Good by Domenico Cuoco & Hong Liu [Downloadable!]
20-95 Using Genetic Algorithms to Find Technical Trading Rules (Revision of 20-93) by Franklin Allen & Risto Karjalainen
20-94 Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks by Ananth Madhavan & Matthew Richardson & Mark Roomans
20-93 Using Genetic Algorithms to Find Technical Trading Rules (Revised: 20-95) by Franklin Allen & Risto Karjalainen
20-92 Price Experimentation and Security Market Structure by Chris J. Leach & Ananth N. Madhavan
20-91 The Theory of Security Pricing and Market Structure (Revision of 39-89, Revised: 6-92) by Marshall E. Blume & Jeremy J. Spiegel
20-90 Monetary Contracting between Central Banks and the Design of Sustainable Exchange-Rate Zones (Reprint 035) by Francisco Delgado & Bernard Dumas
20-89 Consumption and Fractional Differencing: Old and New Anomalies by Joseph G. Haubrich
20-88 Order Imbalances and Stock Price Movements on October 19 and 20 (Revised: 39-88) by Marshall E. Blume & Craig A. MacKinlay & Bruce Terker
20-87 Production, Sales and the Change in Inventories: An Identity that Doesn't Add Up by Jeffrey A. Miron & Stephen P. Zeldes
20-86 Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence by Stephen Zeldes
20-85 Capital Structure and Imperfect Competition in Product Markets (Revision of 24-84; Revised: 11-87) by Franklin Allen
20-84 Monetary Targets, Real Exchange Rates and Macroeconomic Stability by Alessandro Penati
20-83 The Speed of Adjustment of Financial Ratios: An Error-in-Variable Problem by Chi-Wen Jevons Lee
20-82 An Economic Analysis of the Homeownership Decision by Peter Linneman
20-80 Aftermarket Price Performance of 1978 New Issues by J. Mackowski
20-79 A Model of the Parallel Team Strategy in Product Development by Fred D. Arditti & Levy Haim
20-77 Financial Planning for the Multinational Corporation with Multiple Goals by Joseph D. Vinso
20-74 Required Disclosure and the Stock Market: Comment by Irwin Friend & Randolph Westerfield
20-73 Portfolio Turnpike Theorems for Constant Policies by Stephen A. Ross
20-72 Investment for the Long Run by Harry M. Markowitz
19-99 Estimating the Returns to Insider Trading by Leslie A. Jeng & Andrew Metrick & Richard Zeckhauser [Downloadable!]
19-98 Asset Pricing Models: Implications for Expected Returns and Portfolio Selection by A. Craig MacKinlay & Lubos Pástor
19-95 Stochastic Volatility: Univariate and Multivariate Extensions by Eric Jacquier & Nicholas G. Polson & Peter Rossi
19-94 Noise Trading, Delegated Portfolio Management, and Economic Welfare by James Dow & Gary Gorton
19-93 Direct Evidence of Non-Trading of NYSE and AMEX Stocks by Stephen R. Foerster & Donald B. Keim
19-92 The Dynamics of Information Incorporation into Asset Prices: An Empirical Analysis by Shmuel Kandel & Aharon R. Ofer & Oded Sarig
19-91 On Testing Sustainability of Government Deficits in a Stochastic Environment by Henning Bohn
19-90 The Enforceability of Private Money Contracts, Market Efficiency, and Technological Change by Gary Gorton
19-89 An Econometric Analysis of Nonsyschronous-Trading by Andrew W. Lo & Craig A. MacKinlay
19-88 A Positive Theory of Foreign Currency Debt by Henning Bohn
19-87 The Social Value of Asymmetric Information by Franklin Allen
19-86 The Effect of Implicit Deposit Insurance on Banks Portfolio Choices with an Application to International 'Overexposure' by George Penati & Aris Protopapadakis
19-85 A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage by Andrew W. Lo
19-84 Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85) by Andrew W. Lo
19-83 Market Model Stationarity and Timing of Structural Change by Chi-Wen Jevons Lee
19-82 Some Indirect Evidence on Effective Capital Gains Tax Rates by Aris Protopapadakis
19-81 Private Discrimination and Social Intervention in Competitive Labor Markets by Richard Startz & Lundberg
19-80 The Endogeneity of Money During the German Hyperinflation: A Reappraisal by Aris Protopapadakis
19-79 Indexation Dynamics: A Walrasian View by Bulent Gultekin & Anthony M. Santomero
19-77 Sterilization Policy: The Trade-Off Between Monetary Autonomy and International Reserve Stability by Richard Herring & Richard Marston
19-76 Comparison of Forecasting Models for Interest Rates by Jean Crockett
19-74 Optimal Speculation Against a Market-Maker by Jeffrey Jaffe & Robert Winkler
19-73 Creating a New Financial Instrument: The Case of Reverse Mortgages by Jack M. Guttentag
19-72 Unbiased Estimators of Long-Run Expected Rates of Return by Marshall E. Blume
18-99 Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation by Klaas Baks & Andrew Metrick & Jessica Wachter [Downloadable!]
18-98 Revenue Efficiency and Change of Control: The Case of Bankruptcy by Francesca Cornelli & Leonardo Felli
18-95 Quotes, Order Flow, and Price Discovery (Revision of 1-95) (Revised: 3-96) by Marshall E. Blume & Michael A. Goldstein
18-94 How Far Apart Can Two Riskless Interest Rates (One Moves, the Other One Does Not) by Francisco Delgado & Bernard Dumas
18-93 Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revised: 12-94) by Donald B. Keim & Ananth Madhavan
18-92 A Test of Multivariate Normality in Stock Returns (Reprint 033) by Mathew Richardson & Tom Smith
18-91 What Does the Stock Market Tell Us About Real Estate Returns? (Revised: 11-92) by Joseph Gyourko & Donald B. Keim
18-90 Evaluating the Performance of Foreign Exchange Hedges by Jack D. Glen
18-89 Saving in the Twenty First Century by Jean Crockett
18-88 Are Loan Sales Really Off-Balance Sheet by Gary Gorton & George Pennacchi
18-87 Performance of Currency Portfolios Chosen by a Bayesian Technique: 1967-1985 by Bernard Dumas & Betrand Jacquillat
18-86 Rational Ponzi Games by Stephen A. O'Connell & Stephen P. Zeldes
18-85 Valuation of Currency Denomination in Long-Term Debt Financing and Debt Refinancing: A Portfolio Model by Laurent Jacque & Pascal Lang
18-84 Optimal Financial Structure in Exchange Economies by Joseph Haubrich
18-83 A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory by Phoebus Dhrymes & Irwin Friend & Bulent Gultekin
18-82 The Neutrality of the Real Equilibrium Alternative Financing of Government Expenditures by Simon Benninga & Aris Protopapadakis
18-81 Aggregate Versus Disaggregate Models or Account Numbers: Empirical Results by Nicholas J. Gonedes & John Twombly
18-80 The Determinants of the Variability of Stock Market Price by S. Grossman & R. Shiller
18-79 Bank Reserves and Macroeconomic Stability by Jeremy J. Siegel
18-77 Diversification and Asset Valuation in an International Capital Market by Etienne Losq
18-76 A Determination of the Risk of Ruin by Joseph D. Vinso
18-74 The Micro Foundations of Equilibrium in a Monetary Economy: a Transactions Cost Approach by Anthony Santomero
18-73 Security Analysis in Efficiency Markets by Daniel Rie
18-72 Risk, Investment Strategy and the Long-Run Rates of Return by Marshall E. Blume & Irwin Friend
17-99 Equilibrium Mispricing in a Capital Market with Portfolio Constraints by Suleyman Basak & Benjamin Croitoru [Downloadable!]
17-98 Risk Arbitrage in Takeovers by Francesca Cornelli & David D. Li [Downloadable!]
17-95 Bank Capital Regulation in General Equilibrium by Gary Gorton & Andrew Winton
17-94 Limiting Differences Between Forward and Futures Prices in a Lucas Consumption Model by Zvi Wiener & Simon Benninga & Aris Protopapadakis
17-93 Estimating Conditional Expectations When Volatility Fluctuates by Robert F. Stambaugh
17-92 A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Information Flow Throughout the Day by Mathew Richardson & Tom Smith
17-91 The Sustainability of Budget Deficits in a Stochastic Economy (Revision of 6-90) (Reprint 014) by Henning Bohn
17-90 The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation by Henning Bohn
17-89 Trading Technology and Financial Market Stability by Sanford J. Grossman
17-88 An Empirical Investigation of Bond Prices and Inflation by George G. Pennacchi
17-87 Risk and Return Characteristics of Lower Grade Bonds by Marshall E. Blume & Donald B. Keim
17-86 Risk and Return Characteristics of Lower-Grade Bonds by Marshall E. Blume & Donald B. Keim
17-85 Budget Deficit, External Official Borrowing, and Sterilized Intervention Policy in Foreign Exchange Markets by Alessandro Penati
17-84 Partial Deposit, Bank Runs and Private Deposit Insurance by George Pennacchi
17-83 Stock Market Seasonality: Internal Evidence by Mustafa Gultekin & Bulent Gultekin
17-82 Spot and Futures Prices and the Law of One Price by Aris Protopapadakis & Hans R. Stoll
17-81 The Insolvency of Financial Institutions: Assessment and Regulatory Disposition by Jack Guttentag & Richard Herring
17-80 Corporate Financial Policy in Markets with Short Sale Restrictions by Simon Benninga
17-79 Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium by Hans R. Stoll
17-77 General Equilibrium with Financial Markets: Existence, Uniqueness and the Implications for for Corporate Finance by Simon Benninga
17-76 Transactions and Costs in the Agency Bond Market by John S. Bildersee
17-74 The Forward Market and Interest Rates in the Eurocurrency and National Money Markets by Richard J. Herring & Richard C. Marston
17-73 Return, Risk and Arbitrage by Stephen A. Ross
17-72 Improving the Selection of Credit Risks: An Analysis of a Commercial Bank Minority Lending Program by Robert H. Edelstein
16-99 Comparing Asset Pricing Models: An Investment Perspective by Lubos Pastor & Robert F. Stambaugh [Downloadable!]
16-98 Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process? by Ron Kaniel & Hong Liu [Downloadable!]
16-95 Stock Market Efficiency and Economic Efficiency: Is There a Connection? by James Dow & Gary Gorton
16-94 Are Target Managers Afraid of Section 16b? (Revised: 13-95) by Anup Agrawal & Jeffrey F. Jaffe
16-93 A Tale of Two Cities: Racial and Ethnic Geographic Disparities in Home Mortgage Lending in Boston and Philadelphia by Michael H. Schill & Susan M. Wachter
16-92 Finite Bubbles with Short Sale Constraints and Asymmetric Information (Reprint 042) by Franklin Allen & Stephen Morris & Andrew Postlewaite
16-91 Optimal State-Contingent Capital Taxation: When is there and Indeterminancy? by Henning Bohn
16-90 Trading Mechanisms in Securities Markets by Ananth N. Madhavan
16-89 On Cash-In-Advance Models of Money Demand and Asset Pricing (Reprint 007) by Henning Bohn
16-88 Consumption and Liquidity Constraints: An Empirical Investigation by Stephen P. Zeldes
16-87 Incomplete and the Endogeneity of Central Banking by Gary Gorton
16-86 Optimal Contracts for Security Analysts and Portfolio Managers by Richard Kihlstom
16-85 Deposit Deregulation and Monetary Policy by Anthony M. Santomero & Jeremy J. Siegel
16-84 On the Optimality of Portfolio Insurance by Simon Benninga & Marshall Blume
16-82 Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests by Wayne Ferson
16-81 Some Indirect Evidence on Effective Capital Gains Tax Rates by Aris Protopapadakis
16-80 Heterogeneous Information and the Theory of the Business Cycle by S. Grossman & L. Weiss
16-79 The Capital Asset Pricing Model and Inflation and the Investment Horizon: The Israeli Experience by Haim Levy
16-77 Implicit Consumer Valuations, Bankruptcy, the Value of the Firm and Dividend Policy by Simon Benninga
16-76 Capital Budgeting and Portfolio Theory by John S. Bildersee
16-75 The Value of Information in Impersonal and Personal Markets by Jeffrey F. Jaffe & Mark Rubinstein
16-74 The Inflationary Impact of Excess Demand in Agriculture by Susan M. Wachter
16-73 A Generalized Theory of Velocity by John M. Mason
16-72 Dividend Policy Under Imperfect Capital Markets: Revised and Extended Results by Jean Crockett
15-99 Imperfect Market Monitoring and SOES Trading by Thierry Foucalt & Ailsa Roell & Patrik Sandas
15-98 A Theory of Dividends Based on Tax Clienteles by Franklin Allen & Antonio Bernardo & Ivo Welch [Downloadable!]
15-96 Executive Compensation and the Optimality of Managerial Entrenchment by Gary Gorton & Bruce D. Grundy
15-95 Options, the Value of Capital, and Investment by Andrew B. Abel & Avinash K. Dixit & Janice B. Eberly & Robert S. Pindyck
15-94 Corporate Financial Structure, Incentives and Optimal Contracting (Reprint 049) by Franklin Allen & Andrew Winton
15-93 Multifactor Models Do Not Explain Deviations From the CAPM (Revised: 21-94) by Craig A. MacKinlay
15-92 Stock Markets and Resource Allocation (Reprint 036) by Franklin Allen
15-91 Risks and Returns of Low-Grade Bonds: An Update (Reprint 027) by Marshall E. Blume & Donald B. Keim
15-90 Intertemporal Price Discovery by Market Makers: Active versus Passive Learning by Chris J. Leach & Ananth N. Madhavan
15-89 Volatility Patterns of Fixed Income Securities by Marshall E. Blume & Donald B. Keim
15-88 Stock Prices Under Time-Varying Dividend Risk: An Exact Solution in an Infinite-Horizon General Equilibrium Model by Andrew Abel
15-87 Announcement Effects of New Equity Issues and the use of Intraday Price Data by Michael J. Barclay & Robert Litzenberger
15-86 Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data by Andrew W. Lo
15-85 Predicting Returns in the Stock and Bond Markets by Donald B. Keim & Robert F. Stambaugh
15-84 Government Debt, the Money Supply, and Inflation; Theory and Evidence for Seven Industrialized Economies by Aris Protopapadakis & Jeremy Siegel
15-83 A Note on 'Why do Companies Pay Dividends?' by Isik Inselbag
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