## Content

### September 1980, Volume 15, Issue 03

### June 1980, Volume 15, Issue 02

**253-266 Capital Asset Pricing with Proportional Transaction Costs***by*Milne, Frank & Smith, Clifford W.**267-287 Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis***by*Larcker, David F. & Gordon, Lawrence A. & Pinches, George E.**289-297 Total Risk, Diversifiable Risk and Nondiversifiable Risk: A Pedagogic Note***by*Ben-Horim, Moshe & Levy, Haim**299-322 Additional Evidence of Heteroscedasticity in the Market Model***by*Bey, Roger P. & Pinches, George E.**323-330 Stochastic Dominance and the Performance of U.K. Unit Trusts***by*Saunders, Anthony & Ward, Charles & Woodward, Richard**331-339 Evidence of Intertemporal Systematic Risks in the Dailty Price Movements of NYSE and AMEX Common Stocks***by*Hawawini, Gabriel A. & Vora, Ashok**341-355 The Day Trader: Some Additional Evidence***by*Van Landingham, M. H.**357-377 Portfolio Selection: An Analytic Approach for Selecting Securities from a Large Universe***by*Frankfurter, George M. & Phillips, Herbert E.**379-389 On the Social Optimality of the Value Maximization Criterion***by*Lee, Wayne Y. & Senchack, Andrew J.**391-406 The AB Procedure and Capital Budgeting***by*Beranek, William**407-419 Asset Growth, Abandonment Value and the Replacement Decision of Like-for-Like Capital Assets***by*Gaumnitz, Jack E. & Emery, Douglas R.**421-423 A Further Note on Unrecovered Investment, Uniqueness of the Internal Rate, and the Question of Project Acceptability***by*Bernhard, Richard H. & Norstrøm, Carl J.**425-434 A Note on Capital Asset Pricing Model under Uncertain Inflation***by*Pyun, C. S.**435-447 An Analysis of the Relationship between Underwriter Spread and the Pricing of Municipal Bonds***by*Sorensen, Eric H.**449-456 Comment on: “A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates”***by*Fogler, H. Russell & Ganapathy, S.**457-468 The Allocation of Risk: Some Implications of Fixed versus Index-Linked Mortgages***by*Baesel, Jerome B. & Biger, Nahum**469-480 Bank Dividend Policy and Holding Company Affiliation***by*Mayne, Lucille S.

### March 1980, Volume 15, Issue 01

**1-9 Spanning the State Space with Options***by*Arditti, Fred D. & John, Kose**11-24 The Pricing of Options on Debt Securities***by*Rendleman, Richard J. & Bartter, Brit J.**25-40 The Price Effects of Rights Offerings***by*White, R. W. & Lusztig, P. A.**41-52 The Term of a Risk-Free Security***by*Haugen, Robert A. & Wichern, Dean W.**53-83 Nonspeculative Behavior and the Term Structure***by*Lee, Wayne Y. & Maness, Terry S. & Tuttle, Donald L.**85-97 Market Structure versus Information Costs as Determinants of Underwriters' Spreads on Municipal Bonds***by*Higgins, W. W. & Moore, B. J.**99-122 A General Equilibrium Analysis of the Capital Asset Pricing Model***by*Harris, Richard G.**123-137 On the Estimation and Stability of Beta***by*Alexander, Gordon J. & Chervany, Norman L.**139-149 Intertemporal Cross-Dependence in Securities Daily Returns and the Short-Run Intervaling Effect on Systematic Risk***by*Hawawini, Gabriel A.**151-174 Time Aggregation, Autocorrelation, and Systematic Risk Estimates–Additive versus Multiplicative Assumptions***by*Chen, Son-Nan**175-189 Price Effects of Stock Repurchasing: A Random Coefficient Regression Approach***by*Dielman, Terry & Nantell, Timothy J. & Wright, Roger L.**191-200 A Note on Debt, Assets and Lending under Default Risk***by*Feder, Gershon**201-209 A Simplification and an Extension of the Bernhard-deFaro Sufficient Condition for a Unique Non-Negative Internal Rate of Return***by*Bernhard, Richard H.**211-217 On the Interpretation of Individual Variables in Multiple Discriminant Analysis***by*Karson, Marvin J. & Martell, Terrence F.**219-236 Potential Insolvency, Market Efficiency, and Bank Regulation of Large Commercial Banks***by*Pettway, Richard H.

### December 1979, Volume 14, Issue 05

**913-924 Optimal Investment Financing Decisions and the Value of Confidentiality***by*Campbell, Tim S.**925-938 Efficient Portfolios and Superfluous Diversification***by*Frankfurter, George M. & Frecka, Thomas J.**939-958 Capital Market Seasonality: The Case of Bond Returns***by*Schneeweis, Thomas & Woolridge, J. Randall**959-979 Inflation and the Holding Period Returns on Bonds***by*Jaffe, Jeffrey F. & Mandelker, Gershon**981-997 Statistical Analysis of Risk Surrogates for Nyse Stocks***by*Francis, Jack Clark**999-1013 Diversification, Financial Leverage and Conglomerate Systematic Risk***by*Gahlon, James M. & Stover, Roger D.**1015-1025 An Analysis of Risk in Bull and Bear Markets***by*Kim, Moon K. & Zumwalt, J. Kenton**1027-1034 Autocorrelation, Market Imperfections, and the CAPM***by*Brown, Stewart L.**1035-1048 The Cross-Sectional Stability of Financial Ratio Patterns***by*Johnson, W. Bruce**1049-1058 On Costs of Capital in Programming Approaches to Capital Budgeting***by*Ederington, Louis H. & Henry, William R.**1059-1070 Estimating the Optimal Stochastic Dominance Efficient Set with a Mean-Semivariance Algorithm***by*Bey, Roger P.**1071-1083 Portfolio Management and the Shrinking Knapsack Algorithm***by*Stone, Bernell K. & Hill, Ned C.**1085-1090 Bond Immunization When Short-Term Interest Rates Fluctuate More Than Long-Term Rates***by*Khang, Chulsoon**1091-1094 Comment: The Unique, Real Internal Rate of Return***by*Capettini, Robert & Grimlund, Richard A. & Toole, Howard R.**1095-1099 Comment: Evaluating Negative Benefits***by*Miles, James & Choi, Dosoung

### November 1979, Volume 14, Issue 04

**667-668 Abstract: An Exploration of Nondissipative Dividend-Signaling Structures***by*Bhattacharya, Sudipto**669-669 Abstract: Optimal Investment Financing Decisions and the Value of Confidentiality***by*Campbell, Tim S.**671-694 New Perspectives on Informational Asymmetry and Agency Relationships***by*Haugen, Robert A. & Senbet, Lemma W.**695-703 Communication of Aggregate Preferences through Market Prices***by*Kraus, Alan & Sick, Gordon A.**705-710 Comment: Bhattacharya Paper***by*Castanias, Richard P.**711-714 Comment: Haugen and Senbet Paper***by*Kalay, Avner**715-716 Comment: Kraus and Sick Paper***by*Feiger, George**717-734 The Fantastic World of Finance: Progress and the Free Lunch***by*Hakansson, Nils H.**735-751 Housing Choice and Relative Tenure Prices***by*Brueggeman, William B. & Peiser, Richard B.**753-768 An Appraisal of Residential Property Tax Regressivity***by*Edelstein, Robert H.**769-782 A Study of the Demand for Housing by Low Versus High Income Households***by*Follain, James R.**783-800 Assessing Hedonic Indexes for Housing***by*Noland, Charles W.**801-803 Comment: Brueggeman-Peiser and Noland Papers***by*Smith, Lawrence B.**805-806 Comment: Edelstein and Follain Papers***by*Kaufman, George G.**807-811 Abstract: Stock Returns over Open and Closed Trading Periods***by*Oldfield, George S. & Rogalski, Richard J.**813-835 Market Makers and the Market Spread: A Review of Recent Literature***by*Cohen, Kalman J. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K.**837-866 Continuous Versus Intermittent Trading on Auction Markets***by*Smidt, Seymour**867-868 Comment: Cohen, Maier, Schwartz and Whitcomb Paper***by*Kraus, Alan**869-872 Comment: Smidt Paper***by*Copeland, Thomas E.**873-894 Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium***by*Stoll, Hans R.**895-899 A New Role for Options***by*Murray, Roger F.

### September 1979, Volume 14, Issue 03

**455-480 International Capital Market Equilibrium and the Multinational Firm Financing and Investment Policies***by*Senbet, Lemma W.**481-500 Graph Theoretic Approaches to Foreign Exchange Operations***by*Christofides, N. & Hewins, R. D. & Salkin, G. R.**501-515 Bankruptcy Avoidance as a Motive For Merger***by*Shrieves, Ronald E. & Stevens, Donald L.**517-527 The Pricing of Premium Bonds***by*Livingston, Miles**529-535 A State Preference Model of Capital Gains Taxation***by*Dyl, Edward A.**537-545 A Capital Asset Pricing Model with Investors Taxes and Three Categories of Investment Income***by*Trauring, Mitchell**547-552 An Effective Algorithm for Estimating Stochastic Dominance Efficient Sets***by*Kearns, Richard B. & Burgess, Richard C.**553-571 The Value of Information: Inferences from the Profitability of Insider Trading***by*Baesel, Jerome B. & Stein, Garry R.**573-593 Security–Relative Information Market Efficiency: Some Empirical Evidence***by*Groth, John C.**595-614 Dynamic Estimation of Portfolio Betas***by*Umstead, David A. & Bergstrom, Gary L.**615-628 The Effects Of Sample Size And Correlation On The Accuracy Of The Ev Efficiency Criterion***by*Saniga, Erwin & Gressis, Nicolas & Hayya, Jack**629-639 Comment: A Test of Stone's Two-Index Model of Returns***by*Gultekin, N. Bulent & Rogalski, Richard J.**641-644 Comment: A Test of Stone's Two-Index Model of Returns***by*Chance, Don M.**645-647 Comment: The Optimal Price to Trade***by*Miller, Edward M.**649-651 Reply: The Optimal Price to Trade***by*Branch, Ben**653-660 On the Asymmetry of Market Returns***by*Beedles, William L.

### June 1979, Volume 14, Issue 02

**167-177 On the Portfolio Effects of Nonmarketable Assets: Government Transfers and Human Capital Payments***by*Rorke, C. Harvey**179-204 Stochastic Dominance With a Riskless Asset: An Imperfect Market***by*Kroll, Yoram & Levy, Haim**205-214 Relative Risk Aversion: Increasing or Decreasing?***by*Graves, Philip E.**215-220 The Effect of Estimation Risk on Capital Market Equilibrium***by*Brown, S.**221-242 An Analytical Comparison of Variance and Semivariance Capital Market Theories***by*Nantell, Timothy J. & Price, Barbara**243-254 Effects of Purchasing Power Risk on Portfolio Demand for Money***by*Chen, Andrew H.**255-273 Borrowing, Short-Sales, Consumer Default, and the Creation of New Assets***by*Milne, Frank**275-291 A Formal Dynamic Model of Market Making***by*Bradfield, James**293-315 A Comparison of Relative Predictive Power for Financial Models of Rates of Return***by*Udinsky, Jerald H. & Kirshner, Daniel**317-336 Risk, Return, Security-Valuation and the Stochastic Behavior of Accounting Numbers***by*Ohlson, James A.**337-341 A More General Sufficient Condition for A Unique Nonnegative Internal Rate of Return***by*Bernhard, Richard H.**343-349 Measuring Bond Price Volatility***by*Livingston, Miles**351-360 The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model***by*Francis, Jack Clark & Fabozzi, Frank J.**361-384 Composite Measures for the Evaluation of Investment Performance***by*Ang, James S. & Chua, Jess H.**385-394 A General Test of a Filter Effect***by*Praetz, P. D.**395-419 A Reexamination of the Ex Post Risk-Return Tradeoff on Common Stocks***by*McEnally, Richard W. & Upton, David E.**421-441 The Risk-Return Relationship and Stock Prices***by*Bachrach, Benjamin & Galai, Dan**443-450 A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy***by*Constantinides, George M.

### March 1979, Volume 14, Issue 01

**1-10 Marketability of Assets and the Price of Risk***by*Stapleton, R. C. & Subrahmanyam, M. G.**11-27 Taxation and Bond Market Equilibrium in a World of Uncertain Future Interest Rates***by*Livingston, Miles**29-57 Investment Performance and Investor Behavior***by*Lewellen, Wilbur G. & Lease, Ronald C. & Schlarbaum, Gary G.**59-76 The Implications of Recursiveness in Capital Markets–Theory and Empirical Tests***by*Singleton, J. Clay & Lauer, Joseph R.**77-100 A Determination of the Risk of Ruin***by*Vinso, Joseph D.**101-118 Equivalent Risk Classes: A Multidimensional Examination***by*Martin, John D. & Scott, David F. & Vandell, Robert F.**119-135 The Empirical Relationship Between Investment and Financing: A New Look***by*McCabe, George M.**137-152 Implementation of Large-Scale Financial Planning Models: Solution Efficient Transformations***by*Crum, Roy L. & Klingman, Darwin D. & Tavis, Lee A.**153-160 Branch Banking and the Availability of Banking Services in Metropolitan Areas***by*Seaver, William L. & Fraser, Donald R.

### December 1978, Volume 13, Issue 05

**809-823 Some New Capital Budgeting Theorems***by*Beranek, William**825-829 Some New Capital Budgeting Theorems: Comment***by*Bernhard, Richard H.**831-846 The Economic Life of an Investment and the Appropriate Discount Rate***by*Brick, John R. & Thompson, Howard E.**847-870 Problems with the Concept of the Cost of Capital***by*Haley, Charles W. & Schall, Lawrence D.**871-883 Sale-and-Leaseback Agreements and Enterprise Valuation***by*Kim, E. Han & Lewellen, Wilbur G. & McConnell, John J.**885-902 Competitive Bidding in the Underwriting of Public Utility Securities***by*Parker, George G. C. & Cooperman, Daniel**903-925 Inflation and Optimal Portfolio Choices***by*Solnik, Bruno H.**927-941 Diversification in a Three-Moment World***by*Simkowitz, Michael A. & Beedles, William L.**943-946 Sample Size Bias and Sharpe's Performance Measure: A Note***by*Miller, Robert E. & Gehr, Adam K.**947-963 Multiplicative Risk Premiums***by*Gregory, Douglas D.**965-985 Short Interest: Its Influence as a Stabilizer of Stock Returns***by*Hurtado-Sanchez, Luis**987-1002 The Expected Return to Equity and International Asset Prices***by*Elliott, J. W.**1003-1017 Multivariate Time Series Analysis of Bank Financial Behavior***by*Cramer, Robert H. & Miller, Robert B.

### November 1978, Volume 13, Issue 04

**595-611 Financial Intermediation and the Theory of Agency***by*Draper, Dennis W. & Hoag, James W.**613-624 Capital Asset Pricing in a General Equilibrium Framework***by*Cootner, Paul H. & Pyle, David H.**625-626 Comments: Capital Asset Pricing in a General Equilibrium Framework***by*Ross, Stephen A.**627-650 Duration Forty Years Later***by*Ingersoll, Jonathan E. & Skelton, Jeffrey & Weil, Roman L.**651-652 Discussion: Duration and Portfolio Strategy***by*Kane, Edward J.**653-668 Duration and Security Risk***by*Lanstein, Ronald & Sharpe, William F.**669-670 Discussion; Duration and Security Risk***by*Carleton, Willard T.**671-681 Duration and Bond Portfolio Analysis: An Overview***by*Bierwag, G. O. & Kaufman, George G. & Khang, Chulsoon**683-685 Comment: Duration and Bond Portfolio Analysis***by*Babcock, Guilford C.**687-700 Interest Rate Changes and Commercial Bank Revenues and Costs***by*Maisel, Sherman J. & Jacobson, Robert**701-718 Bank Capital Adequacy, Deposit Insurance and Security Values***by*Sharpe, William F.**719-732 Interest Rate Risk***by*Craine, Roger N. & Pierce, James L.**735-735 Abstract: The Fundamental Determinants of Risk in Banking***by*Rosenberg, Barr & Perry, Philip R.**737-743 Opec Surpluses and World Financial Stability***by*MacLaury, Bruce K.**745-757 The Impact of a Fuel Adjustment Clause on the Regulated Firm's Value and Cost of Capital***by*Clarke, Roger G.**759-777 Financial Planning in a Regulated Environment***by*Machado, Ezequiel L. & Carleton, Willard T.**779-781 Abstract: Corporate Financial Strategies under Uncertainty: Valuation and Policies in Dynamic Disequilibrium***by*Hamilton, Carl W.**783-784 Abstract: Optimal Financial Policies under Threat of Bankruptcy***by*Lee, Wayne Y. & Boisjoly, Russell P.**785-794 The Geographic Distribution of Papers at the Seven Academic Finance Associations in the United States***by*Petry, Glenn H. & Fuller, Russell J.**800-801 Managing Editor's Report***by*Haley, Charles W.

### September 1978, Volume 13, Issue 03

**385-406 An Assessment of the Performance of Mutual Fund Management: 1969–1975***by*Kim, Tye**407-418 Necessary Conditions for Aggregation in Securities Markets***by*Brennan, M. J. & Kraus, Alan**419-433 Effects of Uncertain and Nonstationary Parameters upon Capital Market Equilibrium Conditions***by*Barry, Christopher B.**435-459 Bivariate Spectral Analysis of the Capital Asset Pricing Model***by*Goldberg, Michael A. & Vora, Ashok**461-474 Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis***by*Brennan, Michael J. & Schwartz, Eduardo S.**475-485 Risk Premia on Municipal Bonds***by*Yawitz, Jess B.**487-505 Optimal Equity and Financing Model of Krouse and Lee: Corrections and Extensions***by*Sethi, Suresh P.**507-518 The Impact of Option Expirations on Stock Prices***by*Klemkosky, Robert C.**519-525 Bond Portfolio Strategy Simulations: A Critique***by*Bierwag, G. O. & Kaufman, George**527-532 Large Bank Failures and Investor Risk Perceptions: Evidence from the Debt Market***by*Fraser, Donald R. & McCormack, J. Patrick**533-547 Minority Savings and Loan Associations: Hypotheses and Tests***by*Bradford, William D.**549-557 Effect of State Usury Laws on Housing Starts: Comments***by*Yandle, Bruce & Proctor, Jim**559-566 The Price Elasticity of Discounted Bonds: Some Empirical Evidence***by*Joehnk, Michael D. & Fogler, H. Russell & Bradley, Charles E.**567-571 A Note on the Leverage Effect on Portfolio Performance Measures***by*Ang, James S.**573-575 A Note on Bond Risk Differential***by*Tezel, Ahmet**577-584 A Sufficient Condition for a unique Nonnegative Internal Rate of Return: Further Comments***by*de Faro, Clovis**585-586 A Note on Modeling Simple Dynamic Cash Balance Problem: Errata***by*Sethi, Suresh P.

### June 1978, Volume 13, Issue 02

**211-226 Financial Structure and Cost of Capital in the Multinational Corporation***by*Shapiro, Alan C.**227-244 On the Financing and Investment Decisions of Multinational Firms in the Presence of Exchange Risk***by*Mehra, Rajnish**245-254 Optimal Foreign Borrowing Strategies with Operations in Forward Exchange Markets***by*Folks, William R.**255-271 Safety-First, Stochastic Dominance, and Optimal Portfolio Choice***by*Bawa, Vijay S.**273-297 The Inference of Tastes and Beliefs from Bond and Stock Market Data***by*Grauer, Robert R.**299-312 Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio***by*Lee, Cheng F. & Jen, Frank C.**313-332 The Effect of Intervaling on Estimating Parameters of the Capital Asset Pricing Model***by*Smith, Keith V.**333-344 Some Problems in Applying the Continuous Portfolio Selection Model to the Discrete Capital Budgeting Problem***by*Baum, Sanford & Carlson, Robert C. & Jucker, James V.**345-361 Equivalent Mathematical Programming Models of Pure Capital Rationing***by*Bradley, Stephen P. & Frey, Sherwood C.**363-370 The Unique, Real Internal Rate of Return: Caveat Emptor!***by*Herbst, Anthony**371-377 An Analytical Model of Bond Risk Differentials: A Comment***by*Cohan, Avery B.**379-381 An Analytical Model of Bond Risk Differentials: A Reply***by*Bierman, Harold & Hass, Jerome E.

### March 1978, Volume 13, Issue 01

**1-13 On Multiperiod Stochastic Dominance***by*Huang, C. C. & Vertinsky, I. & Ziemba, W. T.**15-27 On the Boness and Black-Scholes Models for Valuation of Call Options***by*Galai, Dan**29-38 The Chicago Board Options Exchange and Market Efficiency***by*Finnerty, Joseph E.**39-53 Asset Pricing Models: Further Tests***by*Foster, George**55-64 Corporate Taxes, Inflation, the Rate of Interest, and the Return to Equity***by*Jaffe, Jeffrey F.**65-69 General Proof of Modigliani-Miller Propositions I and II Using Parameter-Preference Theory***by*Becker, Jack**71-78 A Reevaluation of Alternative Portfolio Selection Models Applied to Common Stocks***by*Alexander, Gordon J.**79-92 Common Stock Return Distributions during Homogeneous Activity Periods***by*Dowell, C. Dwayne & Grube, R. Corwin**93-100 An Empirical Examination of Index Efficiency: Implications for Index Funds***by*Burgess, Richard C. & O'Dell, Bruce T.**101-116 Beta as a Random Coefficient***by*Fabozzi, Frank J. & Francis, Jack Clark**117-121 Further Evidence on the Stationarity of Beta Coefficients***by*Roenfeldt, Rodney L. & Griepentrog, Gary L. & Pflaum, Christopher C.**123-131 Mean-Absolute-Deviation versus Least-Squares Regression Estimation of Beta Coefficients***by*Cornell, Bradford & Dietrich, J. Kimball**133-141 Further Evidence on Seasonal Adjustment of Time Series Data***by*Rochester, David P. & Hadaway, Samuel C.**143-156 Aspects of International Monetary Influences***by*Logue, Dennis E. & Sweeney, Richard James**157-166 Some Further Evidence on the Performance of Property-Liability Insurance Companies' Stock Portfolios***by*Shick, Richard A. & Trieschmann, James S.**167-171 Identifying the SSD Portion of the EV Frontier: A Note***by*Perrakis, Stylianos & Zerbinis, John**173-176 Evaluating Negative Benefits***by*Beedles, William L.**177-183 Multidimensional Security Pricing: A Correction***by*Schweser, C.**185-195 Financial Applications of Discriminant Analysis: A Clarification***by*Altman, Edward I. & Eisenbeis, Robert A.**197-200 Some Clarifying Comments on Discriminant Analysis***by*Joy, O. Maurice & Tollefson, John O.**201-205 On the Financial Application of Discriminant Analysis: Comment***by*Scott, Elton

### December 1977, Volume 12, Issue 05

**701-723 Asset Values, Interest-Rate Changes, and Duration***by*Cooper, I. A.**725-742 Immunization, Duration, and the Term Structure of Interest Rates***by*Bierwag, G. O.**743-765 The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models***by*Westerfield, Randolph**767-778 A Spectral Analysis of Aggregate Commercial Bank Liability Management and Its Relationship to Short-Run Earning Asset Behavior***by*Eatman, John L. & Sealey, Calvin W.**779-800 Identifying Large Problem/Failed Banks: The Case of Franklin National Bank of New York***by*Sinkey, Joseph F.**801-815 The Effect of Compensating Balance Requirements on the Profitability of Borrowers and Lenders***by*Kolodny, Richard & Seeley, Peter & Polakoff, Murray E.