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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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m1-84 Factors Affecting Capital Formation by Marshall Blume & Irwin Friend & Randolph Westerfield
m1-83 A Survey Study of the Leveraged Buyout Market: Entrepreneur-Senior Lender Relationships by Bulent N. Gultekin & Joel Hasbrouck
01-82 Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency by Robert F. Stambaugh
1-81 Comment on Inflation and the Stock Market by Irwin Friend & Joel Hasbrouck
01-80 On Dealer Markets Under Competition by Thomas Ho & Hans Stoll
01-79 Stock Returns and Dividend Yields: Some More Evidence by Marshall E. Blume
m01-78 Financial Effects of Capital Tax Reforms by Marshall E. Blume & Jean Crockett & Irwin Friend
01-77 Implications of Growing Institutionalization of the Stock Market by Irwin Friend
01-76 Mutual Fund Separation in Financial Theory - The Separating Distributions by Stephen A. Ross
01-75 The Incorporation of Inventory Expectations into Econometric Models by Marshall E. Blume & Irwin Friend
01-74 The Demand for Risky Assets by Irwin Friend & Marshall E. Blume
01-73 Mythodology in Finance by Irwin Friend
1-72 The Pricing of Underwritten Offerings and the Compensation of Underwriters (Revised) by Hans R. Stoll
01-71 A New Look at the Capital Asset Pricing Model by Marshall E. Blume & Irwin Friend
1-00 Liquidity Provision during Circuit Breakers and Extreme Market Movements by Michael A. Goldstein & Kenneth A. Kavajecz [Downloadable!]
2-97 A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk by Süleyman Basak
2-95 Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis by Shmuel Kandel & Aharon R. Ofer & Oded Sarig
2-94 Efficiency of Banks in the Third Federal Reserve District by Loretta J. Mester
2-93 Corporate Control, Portfolio Choice, and the Decline of Banking by Gary Gorton & Richard Rosen
2-91 A Bayesian Model of Intraday Specialist Pricing by Ananth Madhavan & Seymour Smidt
2-90 Financing Losers in Competitive Markets by Andrew Abel & George J. Mailath
2-89 Welfare Improving Nominal Contracts by Henning Bohn & Gary Gorton
2-88 Black-Markets for Foreign Currency by Jack D. Glen
2-87 Optimal Monetary Growth by Andrew B. Abel
2-84 Capital Budgeting Under Uncertainty: The Issue of Optimal Timing by Chi-Wen Jevons Lee & Christopher R. Petruzzi
2-80 A Competitive Entrepreneurial Model of a Stock Market by Richard E. Kihlstrom & Jean-Jacques Laffont
2-76 Alternative Investment Performance Fee Arrangements and Implication for SEC Regulatory Policy: A Comment by William Margrabe
2-73 The Arbitrage Theory of Capital Asset Pricing by Stephen A. Ross
2-71 Dividend Announcements, Security Performance, and Capital Market Efficiency by Richardson R. Pettit
1-98 Executive Compensation & the Boundary of the Firm: The Case of Short-Lived Projects by Gary Gorton & Bruce D. Grundy [Downloadable!]
1-97 An Equilibrium Model with Restricted Stock Market Participation (Reprint 066) by Süleyman Basak & Domenico Cuoco
1-95 On the Integration of the US Equity Markets (Revised: 18-95) by Marshall E. Blume & Michael A. Goldstein
1-94 A General Equilibrium Model of Portfolio Insurance (Reprint 053) by Süleyman Basak
1-93 The Design of Bank Loan Contracts, Collateral, and Renegotiation (Revised: 2-96) by Gary Gorton & James Kahn
1-89 Signalling and the Pricing of Unseasoned New Issues by Mark Grinblatt & Chuan Yang Hwang
1-88 Investment Earnings and the Initial Dividend Decision by Douglas P. McCann
1-86 Stock Return Anomalies and the Asset Pricing Tests: The Case of the Arbitrage Pricing Theory by M. Gultekin & B. Gultekin
1-83 Bond Indexation and Exhaustible Resources and Depletion by Howard Kaufold
1-82 Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency by Robert F. Stambaugh
1-80 On Dealer Markets Under Competition by Thomas Ho & Hans Stoll
1-79 Stock Returns and Dividend Yields: Some More Evidence by Marshall E. Blume
1-78 Advantages and Limitations of International Portfolio Diversification by Irwin Friend & Etienne Losq
1-77 Implications of Growing Institutionalization of the Stock Market by Irwin Friend
1-76 Mutual Fund Separation in Financial Theory - The Separating Distributions by Stephen A. Ross
1-75 The Incorporation of Inventory Expectations into Econometric Models by Marshall E. Blume & Irwin Friend
1-74 The Demand for Risky Assets by Irwin Friend & Marshall E. Blume
1-73 Mythodology in Finance by Irwin Friend
1-71 A New Look at the Capital Asset Pricing Model by Marshall E. Blume & Irwin Friend
09-98 Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium by Süleyman Basak & Mike Gallmeyer
09-96 Managerial Compensation and the Threat of Takeover (Revision of 28-94) (Revised: 6-97) by Anup Agrawal Charles R. Knoeber
09-94 An Index-Contingent Trading Mechanism: Economic Implications by Avi Wohl & Shmuel Kandel
09-91 The Real Rate of Interest from 1800-1990: A Study of the U.S. and U.K. (Reprint 028) by Jeremy J. Siegel
09-89 Asset Prices Under Heterogenous Beliefs: Implications for the Equity Premium by Andrew B. Abel
09-84 Inflation, Inventory Accounting Methods and Stock Returns by Chi-Wen Jevons Lee
09-79 Regulation of Bank Capital and Portfolio Risk by Michae Koehen & Anthony M. Santomero
09-78 Betas and Their Regression Tendencies: Some Further Evidence by Marshall E. Blume
09-77 Recent Developments in Finance by Irwin Friend
09-76 The Equity of the Real Estate Property Tax: An Empirical Examination of the City of Philadelphia by Robert H. Edelstein
09-72 Price, Beta and Exchange Listing by Marshall E. Blume & Frank Husic
09-00 The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks by Andrew B. Abel [Downloadable!]
08-97 Costs of Equity from Factor-Based Models (Revised 4-98) by Lubos Pastor & Robert F. Stambaugh
08-96 Firm Performance and Mechanisms to Control Agency Problems between Managers and Shareholders (Revision of 29-94) by Anup Agrawal & Charles R. Knoeber
08-95 An Intertemporal Model of Segmentation (Reprint 056) by Süleyman Basak
08-94 Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revised: 7-95) by Süleyman Basak
08-93 Dynamic Wealth Redistribution, Trade, and Asset Pricing by Simon Benninga & Joram Mayshar
08-90 Time Consistency of Monetary Policy in the Open Economy (Revision of 33-88) (Reprint 010) by Henning Bohn
08-88 Market Efficiency and Equity Pricing: International Evidence and Implications for Global Investing by Gabriel Hawawini
08-85 The Policy Options for Stimulating National Saving by Irwin Friend
08-84 Stochastic Properties of Cross-Sectional Financial Data by Chi-Wen Jevons Lee
08-82 The Aggregation of Consumer Preferences Over Firm Investment and Financial Decisions in Imperfect Markets by Simon Benninga & Meir I. Schneller
08-81 Do Forecast Errors or Term Premia Really Make the Difference Between Long and Short Rates? by Richard Startz
08-80 Financial Management in an Inflation Economy by Moshe Ben-Horim & Haim Levy
08-77 Dynamic Estimation of Portfolio Betas by David A. Umstead & Gary L. Bergstrom
08-76 Stability and Separability: The Role of the Stable Distributions in Portfolio Theory and Some Implications by Stephen A. Ross
07-98 The Information Contained in Stock Exchange Seat Prices by Donald B. Keim & Ananth Madhavan [Downloadable!]
07-95 Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revision of 8-94) (Reprint 062) by Süleyman Basak
07-90 Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009) by Shmuel Kandel & Robert F. Stambaugh
07-89 Empirical Tests of the Consumption-Oriented CAPM by Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger
07-88 Two-Person Dynamic Equilibrium: Trading in the Capital Market by Bernard Dumas
07-87 Loan Sales and the Cost of Bank Capital by George Pennacchi
07-83 Why do Companies Pay Dividends?: Comment by Joel Hasbrouck & Irwin Friend
07-81 A Framework for the Analysis of Financial Disorder (discontinued from series - contact authors for copies) by Jack Guttentag & Richard Herring
07-78 Majority Choice and the Objective Function of the Firm Under Uncertainty by Simon Benninga & Eitan Muller
07-77 The Growth-Optimal General Equilibrium Market Model: A Reduced Form Expression for the Capital Market Line by David A. Umstead
07-75 Stock Returns, Money Supply and the Direction of Causality by Richard J. Rogalski & Joseph D. Vinso
07-74 The Monetary Sector in an Open Economy: An Empirical Analysis for Canada and Germany by Richard J. Herring
07-73 Some New Bond Indexes by John S. Bildersee
07-00 Informed Manipulation by Archishman Chakraborty & Bilge Yilmaz [Downloadable!]
06-99 Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices by Suleyman Basak & Alex Shapiro [Downloadable!]
06-98 Capital Market Equilibrium with Mispricing and Arbitrage Activity by Süleyman Basak & Benjamin Croitoru
06-97 Managerial Compensation and the Threat of Takeover (Revision of 9-96) by Anup Agrawal & Charles R. Knoeber
06-94 Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93) by Shmuel Kandel & Robert F. Stambaugh
06-89 Trading Volume and Changes in Heterogeneous Expectations by Larry H.P. Lang & Robert H. Litzenberger
06-88 The Implications of Insurance for the Efficacy of Fiscal Policy by Andrew B. Abel
06-87 Contracts to Sell Information (Revision of 12-85) by Franklin Allen
06-85 The Effects of Different Taxes on Risky and Riskfree Investment and on the Cost of Capital by Yu Zhu & Irwin Friend
06-83 The Pricing of Call and Put Options on Foreign Exchange by Orlin J. Grabbe
06-81 Toward Efficiency Analysis of Diversifiable Assets by Yoram Kroll
06-80 The Allocational Role of Takeover Bids in Situations of Asymmetric Information by Sanford J. Grossman & Oliver D. Hart
06-79 Accounting Techniques and Firms' Equilibrium Values: Tax Methods and the Lifo/Fifo Choice by Nicholas J. Gonedes
06-77 Expectations, Commercial Bank Adjustment, and the Performance of Monetary Aggregates by John Mason & Richard Rogalski & Joseph D. Vinso
06-74 Short-Run Asset Effects on Household Saying and Consumption by Irwin Friend & Charles Lieberman
06-73 The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models by Randolph Westerfield
05-99 Multiple Large Shareholders in Corporate Governance by Armando Gomes [Downloadable!]
05-98 An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks by Donald B. Keim
05-97 Learning To Be Overconfident by Simon Gervais & Terrance Odean
05-92 Reserve Requirements and the Indicator Properties of Monetary Aggregates by Jeremy J. Siegel
05-90 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
05-87 Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87) by Andrew W. Lo & Craig A. MacKinlay
05-86 Monopolistic Competition and the Theory of Private Money by J.G. Haubrich
05-84 Lifetime Portfolio Selection and Information by Jerome De Temple
05-74 The Behavior of Risk and Return: An Econometric Study by Marshall E. Blume
05-73 An Analysis of Devaluation by Wilfred & J. Ethier
04-97 A Specialist's Quoted Depth and the Limit Order Book by Kenneth A. Kavajecz
04-90 Equity Risk Premia and Corporate Profit Forecasts Around the Stock Crash of October 1987 by Jeremy J. Siegel
04-84 Risk and the Optimal Debt Level by Jeffrey Jaffe & Randolph Westerfield
04-81 Testing Rational Expectations by the Use of Overidentifying Restrictions by Richard Startz
04-80 Risk Aversion with Initial Wealth by Richard E. Kihlstom & David Romer & Steve Williams
04-79 Implicit Interest on Demand Deposits by Richard Startz
04-78 Financial Consequences of Natural Disasters by Joseph Vinso
04-75 Economic Foundations of Stock Market Regulation by Irwin Friend
04-74 On Corporate Debt Maturity Strategies by James A. Morris
04-73 Performance of New Mining Issues by James E. Walter
04-72 Should the Two Parameter Capital Market Theories be Extended to Higher Order Moments? (Revised) by Jack Clark Francis
04-71 Efficiency of Corporate Investment by Irwin Friend & Frank Husic
04-00 Two-Class Voting: A Mechanism for Conflict Resolution? by Ernst Maug & Bilge Yilmaz [Downloadable!]
03-98 The Declining Credit Quality of US Corporate Debt: Myth or Reality? by Marshall E. Blume & Felix Lim & A. Craig MacKinlay
03-97 Free Cash Flow, Optimal Contracting, and Takeovers by Eitan Goldman & Christopher S. Jones & Ron Kaniel
03-96 Quotes, Order Flow, and Price Discovery (Revision of 18-95) (Reprint 059) by Marshall E. Blume & Michale A. Goldstein
03-92 The Monotonicity of the Term Premium: Another Look (Reprint 026) by Matthew Richardson & Paul Richardson & Tom Smith
03-90 Self-Generating Trade and Rational Fads: The Response of Price to New Information by James Dow & Gary Gorton
03-87 Specification of the Joy of Giving: Insights from Altruism by Andrew B. Abel & Mark Warshawsky
03-85 The Week-End Effect in Common Stock Returns: The International Evidence by Jeffrey Jaffe & R. Westerfield
03-84 Blume, Marshall E./Friend, Irwin = The Effect of a Reduction in Corporate Taxes on Investments in Riskfree and Risky Assets by Riskfree & Risky Assets
03-83 An Information Theory of Asset Price Distributions by Orlin J. Grabbe
03-80 Evidence on the 'Tax Effects' of Inflation Under Historical Cost Accounting Methods by Nicholas J. Gonedes
03-78 Portfolio Diversification of NYSE Specialist Units by Hans R. Stoll
03-77 Stimulating Indexation by Nariman Behavesh & Athony M. Santomero
03-76 The Pricing of Capital Assets in a Multi-Period World by Marshall E. Blume
03-75 A Study of Credit Rationing in Japan by Yukio Rimbara & Anthony M. Santomero
03-74 Options and Efficiency by Stephen A. Ross
03-73 The Error Learning Hypothesis and the Term Structure of Interest Rates in Eurodollars by Anthony M. Santomero
03-00 A Theory of Takeover Bidding by Bilge Yilmaz [Downloadable!]
02-99 Is the Abnormal Return Following Equity Issuances Anomalous? by Alon Brav & Christopher Geczy & Paul A. Gompers [Downloadable!]
02-98 Customer-Controlled Firms: The Case of Stock-Exchanges by Carmine Di Noia [Downloadable!]
02-96 The Design of Bank Loan Contracts, Collateral, and Renegotiation (Revision of 1-93) by Gary Gorton & James Kahn
02-92 Limited Market Participation and Volatility of Asset Prices (Revision of 14-91) (Reprint 043) by Allen & Franklin & Douglas Gale
02-88 Black-Markets for Foreign Currency by Jack D. Glen
02-86 The Sources of the Movements in Interest Rates: An Empirical Investigation by A. Penati
02-85 Investment Banking, Reputation and the Underpricing of Initial Public Offerings by Randolph P. Beatty & Jay R. Ritter
02-82 Arbitrage Pricing with Heterogeneous Information by Robert F. Stambaugh
02-81 Stochastic Dominance with a Riskless Asset: The Continuous Case by Yoram Kroll & Haim Levy
02-79 Partial Adjustment in the Deman for Money Theory and Empirics by Anthony M. Santomero & John J. Seater
02-78 The Supply of Dealer Services in Securities Markets by Hans R. Stoll
02-77 Market Discrimination, Credit Rationing and the Customer Relationship at Commercial Banks by John M. Mason
02-75 The Pricing of Options for Jump Processes by John C. Cox & Stephen A. Ross
02-74 Some New Bond Indexes by John S. Bildersee
02-73 The Arbitrage Theory of Capital Asset Pricing by Stephen A. Ross
02-72 A Model of Capital Asset Risk (revised) by Richardson R. Pettit & Randolph Westerfield
02-00 Bookbuilding and Strategic Allocation by Francesca Cornelli & David Goldreich [Downloadable!]
01-99 The High Volume Return Premium by Simon Gervais & Ron Kaniel & Dan Mingelgrin [Downloadable!]
01-96 General Properties of Option Prices (Revision of 11-95) (Reprint 058) by Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener
01-92 Security Prices and Market Transparency (Revision of 12-90) by Ananth Madhavan
01-91 Tests of Asset Pricing Models with Changing Expectations by Wayne E. Ferson & Stephen R. Foerster & Donald B. Keim
01-90 Asset Prices Under Habit Formation and Catching Up With the Jones by Andrew B. Abel
01-89 Signalling and the Pricing of Unseasoned New Issues by Mark Grinblatt & Chuan Yang Hwang
01-87 Seasonality, Cost Shocks and the Production Smoothing Model of Inventories by Jeffrey A. Miron & Stephen P. Zeldes
01-85 A Residuals-Based Wald Test for the Linear Simultaneous Equation by Andrew W. Lo & Whitney K. Newey
01-83 Bond Indexation and Exhaustible Resources and Depletion by Howard Kaufold
01-81 Comment on Inflation and the Stock Market by Irwin Friend & Joel Hasbrouck
01-78 Advantages and Limitations of International Portfolio Diversification by Irwin Friend & Etienne Losq
01-72 The Pricing of Underwritten Offerings and the Compensation of Underwriters (Revised) by Hans R. Stoll
01-00 Liquidity Provision during Circuit Breakers and Extreme Market Movements by Michael A. Goldstein & Kenneth A. Kavajecz [Downloadable!]
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This page was last updated on 2009-12-16.
IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .