# University of California at Berkeley

# Research Program in Finance Working Papers

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### 1979

**90 On the Use of Risk-Adjusted Discount Rates***by*Hayne E. Leland.**89 Financial Intermediation and the Economics of Information***by*Dennis W. Draper and James W. Hoag.**88 Minimum Quality Standards and Licensing in Markets with Asymmetric Information***by*Hayne E. Leland.**87 Retractable and Extendable Bonds: The Canadian Experience***by*A. L. Anathanaranyanan and Eduardo S. Schwartz.**86 A Dynamic Equilibrium for the Ross Arbitrage Model***by*James A. Ohlson and Mark B. Garman.**85 A Continuous-Time Approach to the Pricing of Bonds***by*Michael J. Brennan and Eduardo S. Schwartz.**84 Optimal Duration of Growth Investments and Search***by*Itzhak Venezia and Menachem Brenner.

### 1978

**83 Variance Prediction: An Empirical Study***by*Stan Beckers.**82 Estimating the Diffusion-Jump Model of Stock Price Returns and Its Implications for Option Pricing***by*Stan Beckers.**81 The Constant Elasticity of Variance Model and Its Implications for Option Pricing***by*Stan Beckers.**80 The Sensitivity of the Efficient Market Hypothesis to Alternative Specifications of the Market Model***by*Menachem Brenner.**79 Option Pricing: A Simplified Approach***by*John C. Cox Stephen Ross and Mark Rubinstein.**76 A New Classification of Option Positions***by*Mark Rubinstein.**75 Performance Measurement and Performance Attribution***by*Barr Rosenberg.**74 Uncertain Price Changes and the Uncertainty of Inflation***by*Richard C. Grinold.**72 The Pricing of Supershares***by*Mark B. Garman.**71 Systematic Risk of the CRSP Equal- Weighted Common Stock Index: A History Estimated by Stochastic- Parameter Regression***by*James Ohlson and Barr Rosenberg.**70 The Fundamental Determinants of Risk in Banking***by*Barr Rosenberg and Philip R. Perry.**69 The Ratio of Currency to Demand Deposits in the United States***by*Gillian Garcia and Simon Pak.**68 Welfare Aspects of Options and Supershares***by*Nils H. Hakansson.**66 The Yield/Beta/Residual Risk Tradeoff***by*Barr Rosenberg and Andrew Rudd.**110 An Introduction to the Valuation of Commodity Option***by*James W. Hoag.

### 1977

**65 Institutional Investment with Multiple Portfolio Managers***by*Barr Rosenberg.**64 On the Estimation of Security Price Volatilities from Historical Data***by*Mark B. Garman and Michael J. Klass.**63 A Characterization of Optimal Multiperiod Portfolio Policies***by*Nils H. Hakansson.**61 The Limits of Price Information in Market Processes***by*Avraham Beja.**59 The Valuation of Dependent Securities in a Diffusion Process***by*Richard C. Grinold.**58 Security Appraisal and Unsystematic Risk in Institutional Investment***by*Barr Rosenberg.**57 Interest Rate Ceilings and Net Worth Losses by Savers***by*David H. Pyle.**56 From Orders to Trades: Some Alternative Market Mechanisms***by*Avraham Beja and Nils H. Hakansson.

### 1976

**55 Information, Managerial Choice, and Stockholder Unanimity***by*Hayne E. Leland.**53 Inflation and Optimal Portfolio Choices***by*Bruno H. Solnik.**52 Testing International Asset Pricing: Some Pessimistic Views***by*Bruno H. Solnik.**51 Dynamic Market Processes and the Rewards to Up-to-Date Information***by*Avraham Beja and Nils H. Hakansson.**50 A General Theory of Asset Valuation under Diffusion State Processes***by*Mark. B. Garman.**49 Beta as a Measure of Risk in Linear Risk Tolerance Economies***by*Robert R. Grauer.**48 Nonrate Competition for Savings Deposits***by*Lewis J. Spellman.**47 The German Stock Exchange***by*James R. F. Guy.**46 Direct Evaluation and Corporate Financial Theory***by*Avraham Beja and Hayne E. Leland.**45 The International Capital Asset Pricing Model in Discrete Time***by*James R. F. Guy.**44 Common Factors in Security Returns: Microeconomic Determinants and Macroeconomic Correlates***by*Barr Rosenberg and Vinay Marathe.**43 The Limited Information Efficiency of Market Processes***by*Avraham Beja.**42 Portfolio Optimization Algorithms: A Progress Report***by*Barr Rosenberg and Andrew Rudd.**41 Informational Asymmetries, Financial Structure, and Financial Intermediation***by*Hayne E. Leland and David H. Pyle.**40 Purchasing Power Funds: A New Technology for Channeling the Public's Investment Capital***by*Nils H. Hakansson.

### 1975

**39 Corporate Decision Making in Incomplete Markets***by*Hayne E. Leland.**38 Optimal Risk Sharing and the Leasing of Natural Resources, with Application to Oil and Gas Leasing on the OCS***by*Hayne E. Leland.**37 The Valuation of Uncertain Income Streams and the Pricing of Options***by*Mark Rubinstein.**36 The Effect of International Diversification on the Historical Performance of British Mutual Funds***by*James R. F. Guy.**35 A Critical Evaluation of the Measurement of Conglomerate Performance, Using the Capital Asset Pricing Model***by*Menachem Brenner and David H. Downes.**34 The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets***by*Mark Rubinstein.**33 The Prediction of Systematic Risk***by*Barr Rosenberg and James Guy.**32 Tests of Capital Asset Pricing Hypotheses***by*Barr Rosenberg and Vinay Marathe.**31 The Use of the Discount Rate and Open Market Operations Under Alternative Exchange Rate Regimes***by*Steven W. Kohlhagen.**30 Exchange Rate Expectations and International Capital Flows***by*Steven W. Kohlhagen.

### 1974

**29 Quality Choice and Competition***by*Hayne E. Leland.**28 Risk-Return Relationship and Stock Prices***by*Benjamin Bachrach and Dan Galai.**27 The Dynamics of Government Policy in an Inflationary Economy" An `Intermediate-Run' Analysis***by*David H. Pyle and Stephen J. Turnovsky.**26 A Discrete-Time Synthesis of Financial Theory, Part III. Extensions and Prospective***by*Mark Rubinstein.**25 The Superfund: Efficient Paths Toward a Complete Financial Market***by*Nils H. Hakansson.**24 Ordering Markets and the Capital Structure of Firms, with Illustrations***by*Nils H. Hakansson.**23 A Note on the Value of Information in Personal and Impersonal Markets***by*Mark Rubinstein.**22 The Capital Asset Pricing Model: Some Open and Closed Ends***by*Nils H. Hakansson.**21 A Discrete-Time Synthesis of Financial Theory, Part II. Valuation and Efficiency***by*Mark Rubinstein.**20 A Discrete-Time Synthesis of Financial Theory, Part I. Optimal Decision and Sharing Rules***by*Mark Rubinstein.**19 The Effects of Purchasing Power Risk on Liquidity Preference***by*Andrew H. Chen.

### 1973

**18 The Losses on Savings Deposits from Interest Rate Regulation***by*David H. Pyle.**17 An Aggregation Theorem for Securities Markets***by*Mark Rubinstein.**15 A Simple Market Equilibrium Model of a Random Walk***by*Mark Rubinstein.**14 Securities Market Efficiency in an Arrow-Debre Economy***by*Mark Rubinstein.**12 Error Rates in CRSP and Compustat Data Bases and Their Implications***by*Barr Rosenberg and Michel Houglet.

### 1972

**9 Descriptive Theories of Financial Institutions Under Uncertainty***by*David H. Pyle.**8 Compound-Return-Mean-Variance Efficient Portfolios Never Risk Ruin***by*Nils H. Hakansson and Bruce L. Miller.**7 Trading Floor/1: A Prototype of an Automated Securities Exchange***by*Mark B. Garman.**6 Gauging the Risk Premium for Bonds Subject to Default***by*Gordon Pye.**5 Lifetime Portfolio Selection in Continuous Time for a Multiplicative Class of Utility Functions***by*Gordon Pye.**4 A Note on Diversification***by*Gordon Pye.**3 Sequential Investment-Consumption Strategies for Individuals and Endowment Funds with Lexicographic Preferences***by*Nils H. Hakansson.**11 The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices***by*Barr Rosenberg.**10 Optimal Foreclosure Policies***by*Gordon Pye and Ahmet Tezel.

### 1971

**2 Asset Substitution, Inflation, and Interest Rates***by*David H. Pyle.