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Wharton School - Weiss Center for International Financial Research

Weiss Center Working Papers

Contact information of Wharton School - Weiss Center for International Financial Research:
Postal: 3404 Steinberg Hall-Dietrich Hall, 3620 Locust Walk, Philadelphia, PA 19104-6367
Phone: (215)898-7626
Fax: (215)573-2242
Email:
Web page: http://finance.wharton.upenn.edu/weiss/
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Series handle: repec:fth:pennif
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2000

00-1 Using Asset Prices to Measure the Cost of Business Cycles
by Alvarez, F. & Jermann, U.J.

1999

99-1 Optimal Forward Contracts
by Ghosh, S.

1998

98-06 International Portfolio Diversification and Endogenous Labour Supply Choice
by Jermann, U.J.
98-05 Explaining Home Bias in Equities and Consumption
by Lewis, K.K.
98-04 Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium
by Basak, S. & Gallmeyer, M.
98-03 Derivatives Usage in Risk Management by US and German Non-Financial Firms: A Comparative Survey
by Bodnar, G.M. & Gebhart, G.
98-02 Both Sides of Corporate Diversification: The Value Impacts of Geographic and Industrial Diversification
by Bodnar, G.M. & Tang, C. & Weintrop, J.
98-01 Pass-Through and Exposure
by Bodnar, G.M. & Dumas, B. & Marston, R.C.

1996

96-4 Consumption, Stock Returns, and the Gains from International Risk-Sharing
by Lewis, K.K.
96-3 The Effects of Industry Structure on Economic Exposure
by Marston, R.C.
96-2 Price Convergence of Periphical European Countries on the Way to the EMU: A Time Series Approach
by Camarero, M. & Esteve, V. & Tamarit, C.
96-1 The Peseta Real Exchange Rate: Which Are Its Determinants?
by Camarero, M. & Esteve, V. & Tamarit, C.

1994

94-7 Puzzles in international Financial Markets
by Lewis, K.K.
94-6 Exchange Rate Variability and the Riskiness of U.S. Multinational Firms: Evidence from the Breakdown of the Bretton Woods System
by Bartov, E. & Bodmar, G.M. & Kaul, A.

1993

93-13 Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in PHLX Deutschemark Options
by Bates, D.S.
93-12 Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?
by Lewis, K. & Evans, M.D.D.
93-11 Are Foreign Exchange Intervention and Monetary Policy Related and Does it Really Matter
by Lewis, K.
93-10 Innovations to Enhance Liquidity: Implications for Systemic Risk
by Herrig, R.J.
93-9 The World Price of Foreign Exchange Risk
by Dumas, B. & Solnik, B.
93-8 Siegel's Paradox and Pricing of Currency Options
by Dumas, B. & Jennergren, L.P. & Naslund, B.
93-7 Currency Option Pricing in Credible Target Zones
by Dumas, B. & Jennergren, L.P. & Naslund, B.
93-6 Realignment Bank and Currency Option Pricing in Target Zones
by Dumas, B. & Jennergren, L.P. & Naslund, B.
93-5 Explaining Overnight Variation in Japanese Stock Returns: The Information Content of Derivative Securities
by Dravid, A. & Richardson, M. & Craig, A.
93-4 Trends in Expected Returns in Currency and Bond Markets
by Evans, M.D.D. & Lewis, K.K.

1992

93-3 Does Foreign Exchange Intervention Signal Future Monetary Policy?
by Kaminsky, G.L. & Lewis, K.K.
93-2 Determinants of Short-Term Real Interest Differentials Between Japan and the United States
by Marston, R.C.
93-1 Partial-Equilibrium vs General-Equilibrium Models of International Capital Market Equilibrium
by Dumas, B.

1991

1991-3 Strategic Consideration for Privitizing Central-Eastern Europe
by Mendelson, M.
1991-2 How Long do Unilateral Target Zones last?
by Dumas, B. & Svensson, L.E.O.
1991-1 Options on two Risky Assets: Nikkei Index Warrants
by Dravid, A. & Richardson, M. & Sun, T-S.
29-91 Quantity-Adjusting Options and Forward Contracts
by Babbel, D.F. & Eisenberg, L.K.
28-91 Budget Deficits and Government Accounting
by Bohn, H.
27-91 The Myths and Reality of Low-Grade Bonds
by Blume, M.E. & Keim, D.B.
26-91 An Ordered Probit Analysis of Transaction Stock Prices
by Hausman, J.A. & Lo, A.W. & MacKinlay, A.C.
25-91 Equity Risk Premia, Corporate Profit Forcasts, and Investor Sentiment Around the Stock Crash of October 1987
by Siegel, J.J.
24-91 Quantity-adjusting Options and Forward Contracts
by Babbel, D.F. & Eisenberg, L.K.
23-91 Generalized put-Call parity
by Babbel, D.F. & Eisenberg, L.K.
21-91 Stock Price Manipulation, Market Microstructure and Asymetric Information
by Allen, F. & Gorton, G.
20-91 The Theory of Security Pricing and Market Structure
by Blume, M.E. & Siegel, J.J.
19-91 On Testing Sustainability of Government Deficits in a Stochastic Environment
by Bohn, H.
17-91 The Sustainnability of Budget Deficit in a Stochastic Economy
by Henning, B.
15-91 Risk and Returns of low-Grade Bonds: An Update
by Kein, D.B. & Blume, M.E.
14-91 Limited Market Participation and Volatility of Asset Prices
by Gale, D. & Allen, F.
13-91 The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview
by Siegel, J.J.
12-91 Robust Power Calculations With tests for Serial Correlation in stock Returns
by Smith, T. & Richardson, M.
11-91 Option Prices and the Underlying Asset's Return Distribution
by Grundy, R.D.
10-91 Historical Returns: The Case for Equity
by siegel , J.J.
9-91 the real rate of Interest from 1800-1990: A Study of the U.S. and U.K
by siegel , J.J.
8-91 Bayesian Inference and Portfolio Efficiency
by Kandel, S. & McCulloch, R. & Stambaugh, R.F.
7-91 Rational Expectations and Stock Market Bubbles
by Allen, F. & Postlewaite, A.
6-91 Effects of Bid-Ask Spreads and Prices Discreteness on Stock Returns
by Dravid, A.R.
5-91 The Behavior of Stock Returns Around N.B.E.R. Turning Points : An Overview
by Siegel, J.J.
4-92 Differences in execution Prices among the Nyse, the Regionals and the NASD
by Blume, M.E. & Goldstein, M.A.
3-91 Budget Balance Through Revenue or Spending Adjustments? Some Historical Evidence for the United States
by Bohn, H.
2-92 Limited Market Participation and Volatility of Asset Prices
by Allen, F. & Gale, D.
2-91 A Baysian Model of Intraday Specialist Pricing
by Madhavan, A. & Smidt, S.
1-92 Security Prices and Market Transparency
by Madhavan, A.
1-91 Test of Asset Pricing Models With Changing Expectations
by Ferson, W.E. & Foester, S.R. & Kein, D.B.

1990

28-90 The Crash Of '87: Was It Expected? The Evidence From Options Markets
by Bates, D.S.
26-90 Measurement Distortion And Missing Contingencies In Optimal Contracts
by Allen, F. & Gale, D.
24-90 Returns And Volatility Of Low-Grade Bounds 1977-1989
by Blume, M.E. & Kein, D.B. & Patel, S.A.
23-90 The Consumption Of Stockholders And Non-Stockholders
by Mankiw, N.G. & Zeldes, S.P.
22-91 Adjustment of Consumers'durables Stocks: Evidence from Automobile Purchases
by Eberly, J.C.
22-90 The Information Role Of Upstairs And Downstairs Trading
by Grossman, S.J.
21-90 How Rational Is The Market? Testing Alternative Hypotheses On Financial Market Equilibrium
by Lang, L.H.P. & Litzenberger, R.H. & Madrigal, V.
20-90 Monetary Contracting Between Central Banks And The Design Of Sustainable Exchange-Rate Zones
by Delgado, F. & Dumas, B.
17-90 The Substainability Of Budget Deficits With Lump-Sum And With Income-Based Taxation
by Bohn, H.
15-90 Intertemporal Price Discovery By Market Makers: Active Versus Passive Learning
by Leach, J.C. & Madhavan, A.N.
8-90 The Consistence Of Monetary Policy In The Open Economy
by Bohn, H.
7-90 Asset Returns, Investment Horizons, And Intertemporal Preferences
by Kandel, S. & Stambaugh, R.F.
6-90 The Sutainability Of Budget Deficits In A Stochastic Economy
by Bohn, H.
5-90 The Risk And Return Characteristics Of Stock Market-Based Real Estate Indexes And Their Relation To Appraisal- Based Returns
by Gyourko, J. & Keim, D.B.
2-90 Financing Losers In Competitive Markets
by Abel, A.B. & Mailath, G.J.
1-90 Asset Prices Under Habit Formation And Catching Up With The Joneses
by Abel, A.B.

1989

25-90 Some Issues Associated With Business Debt
by Klein, L.R. & Gultekin, N.B. & Gultekin, M.N. & Mohuiddin, Q.
4-90 Equity Risk Premia And Corporate Profit Forecasts Around The Stock Crash Of October 1987
by Siegel, J.J.
3-90 Self-Generating Trade And Rational Fads: The Response Of Price To New Information
by Dow, J. & Gorton, G.