Working Papers

From University of Pennsylvania, Wharton School, Weiss Center
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10-06: In Defense of Much, but Not All, Financial Innovation

Robert Litan

10-5: Do Macro-economic Fundamentals Price Sovereign CDS Spreads of Emerging Economies?

Thomas J. Plank

10-4: Diversifying Credit Risk with International Corporate Bonds

Edith Liu

10-3: Pass-Through, Exposure, and the Currency Composition of Debt

Michael Michaux

10-2: Investment and Financing under Reverse Asset Substitution

Indraneel Chakraborty

10-1: Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-Listed Stocks

Choong Tze Chua, Sandy Lai and Karen Lewis

09-3: Transparency, Liquidity, and Valuation: International Evidence

Mark Lang, Karl Lins and Mark Maffett

09-2: Sovereign CDS and Bond Pricing Dynamics in Emerging Markets: Does the Cheapest-to-Deliver Option Matter?

John Ammer and Fang Cai

09-1: Securitization, Transparency and Liquidity

Marco Pagano and Paolo Volpin

08-3: Corporate Governance and Performance: the REIT Effect

Piet Eichholtz, Rob Bauer and Nils Kok

08-2: Is There Hedge Fund Contagion?

Nicole Boyson, Christof Stahel and René Stulz

08-1: Leverage and Pricing in Buyouts: An Empirical Analysis

Michael Weisbach, Ulf Axelson, Tim Jenkinson and Per Stromberg

07-3: Law and the Market: The Impact of Enforcement

John C. Coffee, Jr.

07-2: Do Foreigners Invest Less in Poorly Governed Firms?

Christian Leuz, Karl Lins and Francis Warnock

07-1: The Corporate Governance Role of the Media: Evidence from Russia

Alexander Dyck, Natalya Volchkova and Luigi Zingales

06-6: Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US

Karen Lewis

06-4: The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?

Francesca Carrieri, Vihang Errunza and Sergei Sarkissian

06-3: International Stock Return Comovements

Geert Bekaert, Robert Hodrick and Xiaoyan Zhang

06-2: International Diversification in the Euro-Zone: The Increasing Riskiness of Industry Portfolios

Esther Eiling, Bruno Gerard and Frans de Roon

06-1: Mean-Variance Convergence around the World

Cheol S. Eun and Jinsoo Lee

05-5: An International Examination of Affine Term Structure Models and the Expectations Hypothesis

Huarong Tang and Yihong Xia

05-4: Are There Permanent Valuation Gains to Overseas Listing? Evidence from Market Sequencing and Selection

Sergei Sarkissian and Michael J. Schill

05-3: Earnings Management and Cross Listing: Are Reconciled Earnings Comparable to US Earnings?

Mark Lang, Jana Smith Raedy and Wendy Wilson

05-2: Cost of Capital and Cash Flow Effects of U.S. Cross Listings

Luzi Hail and Christian Leuz

05-1: Private Benefits of Control, Ownership, and the Cross-Listing Decision

Craig Doidge, G. Karolyi, Karl Lins, Darius Miller and René Stulz

04-3: Illiquidity and Closed-End Country Fund Discounts

Ravi Jain, Yihong Xia and Matthew Qianli Wu

04-2: Extracting Inflation from Stock Returns to Test Purchasing Power Parity

Bhagwan Chowdhry, Richard Roll and Yihong Xia

04-1: Nonlinear Adjustment in Real Exchange Rates and Long Run Purchasing Power Parity--Further Evidence

Gangadhar Darbha and Urjit R. Patel

03-3: Cross-Border Valuation: The International Cost of Equity Capital

Gordon Bodnar, Bernard Dumas and Richard Marston

03-2: The Limits to Dividend Arbitrage: Implications for Cross-Border Investment

Susan Christoffersen, Christopher Geczy, David K. Musto and Adam Reed

03-1: Extracting Inflation from Stock Returns to Test Purchasing Power Parity

Bhagwan Chowdhry, Richard Roll and Yihong Xia

02-1: Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Torben G. Anderson, Tim Bollerslev, Francis Diebold and Clara Vega

01-4: The Size of the Permanent Component of Asset Pricing Kernels

Fernando Alvarez and Urban Jermann

01-3: The Value Relevance of Foreign Income: An Australian, Canadian, and British Comparison

Gordon Bodnar, Lee Seok Hwang and Joseph Weintrop

01-2: International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)

Michael W. Brandt, John Cochrane and Pedro Santa-Clara

01-1: The Foreign Exchange Risk Premium: Real and Nominal Factors

Burton Hollifield and Amir Yaron

00-4: Pass-through and Exposure

Gordon Bodnar, Bernard Dumas and Richard C. Marston

00-3: A Simple Model of Foreign Exchange Exposure

Gordon Bodnar and Richard C. Marston

00-2: Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?

Bernard Dumas, Campbell Harvey and Pierre Ruiz

00-1: Using Asset Prices to Measure the Cost of Business Cycles

Fernando Alvarez and Urban Jermann