GSIA Working Papers

From Carnegie Mellon University, Tepper School of Business
Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890.
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31: Asset Returns and Volume in a Financial Market with Frictions: A Dynamic Analysis

Harold Zhang

308: Why do Biased Heuristics Approximate Bayes Rule in Double Auctions?

Shyam Sunder and Karim Jamal

304: the Hunt for Party Discipline in Congress

Nolan M. McCarty, Keith T. Poole and Howard Rosenthal

303: Congress and the Territorial Expansion of the United States

Nolan M. McCarty, Keith T. Poole and Howard Rosenthal

30: Asymmetric Information, Short Sale Constraints, and Asset Prices

Harold Zhang

3: Training Expectations with Least Squares Learning in Non-linear Self-referential Models

David Kelly

299: The Spark Spread: An equilibrium model of the Cross-Commodity Price Relationships in Electricity

Chester Spatt, Bryan Routledge and Duane Seppi

298: Optimal Consumption and Investment with Capital Gains Taxes

Chester Spatt, Robert Dammon and Harold Zhang

297: Market Rules and Order Strategies During the Preopening, Opening and Trading Day

Chester Spatt

296: Role of the minimal state variable criterion in rational expectations models

Bennett McCallum

295397195: Macroeconomic Dynamics in a Model of Goods, Labor and Credit Market Frictions

Nicolas Petrosky-Nadeau and Etienne Wasmer

295: Recent Developments in monetary policy analysis: The roles of theory and evidence

Bennett McCallum

291: On the term structure of default premia in the swap and LIBOR Markets

Pierre Collin-Dufresne and Bruno Solnik

29: Changing Minds? Not In Congress!

Keith Poole

284: Liquidity Supply and Demand: Empirical Evidence from the Vancouver Stock Exchange

Burton Hollifield, Robert Miller, Patrik Sandas and Joshua Slive

280: Throwing Good Money After Bad

Dan Bernhardt, Burton Hollifield and Eric Hughson

28: Fixed Costs and Asset Market Participation

Amir Yaron and Harold Zhang

277024966: Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues

Richard Green, Burton Hollifield and Norman Schurhoff

277: Partial Adjustment without Apology

Robert King and Julia Thomas

274394073: Margin Requirements and Equilibrium Asset Prices

Daniele Coen-Pirani

27: Asset Pricing and The Liquidity Effect: A Theoretical and Empirical Investigation

Amir Yaron

263: Risk-Sharing Partners with Bilateral Moral Hazard and Balanced Budgets

Sonia DiGiannatale, Stephen Spear and Cheng Wang

260: Capital Market Equilibrium with Differential Taxation

Suleyman Basak and Michael Gallmeyer

26: Liquidity Shocks and International Asset Pricing

Amir Yaron

258: Granularity, Time, and Control of Economic Resources

Ramji Balakrishnan, K. Sivaramakrishnan and Shyam Sunder

253807397: Diversification and Capital Gains Taxes with Multiple Risky Assets

Robert Dammon, Chester Spatt and Harold Zhang

252: The risk sharing implications of alternative social security arrangements

Kjetil Storesletten, Chris Telmer and Amir Yaron

251: Discrete time models of bond pricing

David Backus, Silverio Foresi and Chris Telmer

25: Small Sample Properties of Alternative GMM Estimators

Lars Hansen, John Heaton and Amir Yaron

249: Existence and Regularity of Partially Revealing Rational Expectations Equilibrium with Finite Signal Spaces

Alessandro Citanna and Antonio Villanacci

248: Liquidity Based Competition for Order Flow

Christine A. Parlour and Duane J. Seppi

243: On the Welfare Effects of Eliminating Business Cycles

Per Krusell and Anthony Smith

242: Near-Rational Behavior and the Real Business Cycle

Anthony Smith

24: Persistent Idiosyncratic Shocks and Incomplete Markets

Kjetil Storesletten, Chris Telmer and Amir Yaron

239: Near-Rational Alternatives and the Empirical Evaluation of Real Business Cycle Models

Anthony Smith

231: The yield curve: terms of endearment or terms of endowment?

Chris Telmer and Stanley Zin

230: International price dispersion in the G7

David Backus, Mario Crucini and Chris Telmer

229: What can we learn from deviations from the law of one price?

Mario Crucini, Chris Telmer and Marios Zachariadis

228: Consumption and risk sharing over the life cycle

Kjetil Storesletten, Chris Telmer and Amir Yaron

227: Understanding European Real Exchange Rates

Mario Crucini, Chris Telmer and Marios Zachariadis

226: Asset pricing with idiosyncratic risk and overlapping generations

Kjetil Storesletten, Chris Telmer and Amir Yaron

225: Occupational choice, incentives and wealth distribution

Archishman Chakraborty and Alessandro Citanna

224: Moral hazard and nominal, linear contracts

Archishman Chakraborty and Alessandro Citanna

222365889: Relative Prices in a Frictional Labor Market

Michael Lim

22: Fractional integration with Drift: Estimation in Small Samples

Anthony Smith, Fallaw Sowell and Stanley Zin

217: Rationing in IPOs

Christine Parlour and Uday Rajan

2145807827: Asset Pricing with Home Capital

Michal Pakos

2142915788: Securities Auctions under Moral Hazard: An Experimental Study

Shimon Kogan and John Morgan

2109140846: External Financing and the Role of Financial Frictions over the Business Cycle: Measurement and Theory

Ali Shourideh and Ariel Zetlin-Jones

210: A Survey of Stochastic Processes and Methods for Energy and Commodity - Linked Contingent Claim Valuation

Duane J. Seppi