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University of California at Berkeley

Research Program in Finance Working Papers

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Description: University of California at Berkeley Research Program in Finance Working Papers
Series handle: RePEc:ucb:calbrf

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Content

1979

91 Welfare Comparisons of Financial Markets and the Basic Theorems of Value Conservation
by Nils H. Hakansson.
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

110 An Introduction to the Valuation of Commodity Option
by James W. Hoag.
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.

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

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.
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.

1971

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

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