Working Papers

From Columbia - Graduate School of Business
U.S.A.; COLUMBIA UNIVERSITY, GRADUATE SCHOOL OF BUSINESS, PAINE WEBBER , New York, NY 10027 U.S.A.
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1992: Limited Arbitrage is Necessary and Sufficient for the Existence of a Competitive Equilibrium

Graciela Chichilnisky

1992: Traditional Comparative Advantages vs Economies of Scale: NAFTA and the GATT

Graciela Chichilnisky

1992: Markets, Arbitrage and Social Choice

Graciela Chichilnisky

1992: Existence and Optimality of a General Equilibrium with Endogenous Uncertainty

Graciela Chichilnisky

1992: The Existence of an Optimal Path in a Growth Model with Endogenous Technical Change

Graciela Chichilnisky and P.F. Gruenwald

1992: Contemporaneous Correlations Within Equity Trading of Institutional Investors

N. Peles

1992: Testing the Predictive Power of Dividend Yields

W.N. Goetzman and Philippe Jorion

1992: A Theory of Trading Intermediation Under Multilateral Asymmetric Information

Sabitha Nagarajan and R.T.S. Ramakrishnan

1992: Term Structure and the Non-Cash Values in Bonds

D.O. Beim

1992: Equilibrium in an Electronic Open Limit Order Book

L.R. Glosten

1992: The Valuation of Corporate Fixed Income Securities

S. Sundaresan, K. Rameswamy and I.J. Kim

1992: An Empirical Analysis of U.S. Treasury Auctions: Implications for Auction and Term Structure Theories

S. Sundaresan

1992: A Comparison of relations Between Security Market Prices, Returns and Accounting Measures in Japan and the Unites States

C. Hall, Yasushi Hamao and T.S. Harris

1992: Securities Trading in the Absence of Dealers: Trade and Quotes on the Tokyo Stock Exchange

Yasushi Hamao and J. Hasbrouck

1992: Bank Runs and Partial Suspension of Convertibility

J. Armaos

1992: Option and Non-Use of Environmental Assets

Graciela Chichilnisky, Geoffrey Heal and Andrea Beltratti

1992: Believing in Multiple Equilibria

Graciela Chichilnisky, Geoffrey Heal, Peter Streufert and Jeroen Swinkels

1992: Financial Markets for Unknown Risks

Graciela Chichilnisky and Geoffrey Heal

1992: Financial Innovation and Endogenous Uncertainty in Incomplete Asset Markets

Graciela Chichilnisky and Ho-Mou Wu

1992: Arbitrage and Equilibrium in Economies with Infinitely Many Securities and Commodities

Graciela Chichilnisky and Geoffrey Heal

1992: Robustly Effecient Equilibria in Non-Convex Economies

Geoffrey Heal and Graciela Chichilnisky

1992: Stable Disequilibrium Prices

Geoffrey Heal

1992: Long Run Effects of Business Cycles

Jordi Galí and J.L. Hammour

1992: Market Response to Mutual Fund Performance

William Goetzmann, B. Greenward and Gur Huberman

1992: Reputation, Renegotiation, and the Choice Between Bank Loans and Publicity Traded Debt

Thomas Chemmanur and P. Fulghieri

1992: Safety First Portfolio Choice

M. Broadie and William Goetzmann

1992: Keeping Up with the Joneses: Consumption Externalities, Portfolio Choice and Asset Prices

Jordi Galí

1992: Maternal Age as an Indication for Amniocentesis: An Evaluation of the "35 Plus" Rule

Paul Rappoport and Nachum Sicherman

1992: Non-temporal Components of Residential Real Estate Appreciation

William Goetzmann and M. Spiegel

1992: Were Heckscher and Onlin Right? Putting History Back Into the Factor-Price-Equalization Theorem

K. O'Rouke and Jeffrey Williamson

1992: Property Transactions in Ireland, 1708-1988: An Introduction

K. O'Rouke and B. Polak

1992: Returns Volatilities Drop Following Large Dividend Payments

Gur Huberman and N. Peles

1992: Decimal Stock Trading and "Off-Floor" Market Making

T. Chordia and A. Subrahmanyam

1992: Optimal Contracting and the Design of Securities

S.A. Ravid and M. Spiegel

1992: Renegociation Proof Equilibria and Irrelevance Propositions

S.A. Ravid and M. Spiegel

1992: On Toeholds and Bidding Contests

S.A. Ravid and M. Spiegel

1992: Dynamic Effects of Foreign Tax Credits on Multinational Corporations

Rosanne Altshuler and P. Fulghieri

1992: On the Strategic Role of High Leverage in Entry Deterrence

P. Fulghieri and Sabitha Nagarajan

1992: The Equity Premium and the Allocation of Income Risk

Jean-Pierre Danthine, J.B. Donaldson and Rajnish Mehra

1992: Estimating Bond Liquidity

D.O. Beim

1992: Welfare Dynamics in Securities Markets with Increasing Numbers of Traders

Geoffrey Heal

1992: Local Externalities, Convex Adjustment Costs and Sunspot Equilibria

Jordi Galí

1992: Variability of Durable and Nondurable Consumption: Evidence for Six O.E.C.D. Countries

Jordi Galí

1992: Efficient Trading System Design: Market Makers, Membership Fees,a nd Exchange Ownership Structure

Sabitha Nagarajan and R.T.S.J. Ramakrishnan

1991: Nonresponse and Delayed Response to Competitive Moves: The Roles of Competitor Dependence and Action Irreversibility

I.C. MacMillan and M.J. Chen

1991: Action Charasteristics As Predictors of Competitive Responses

M.J. Chen, K.G. Smith and Curtis Grimm

1991: Methodological and Empirical Issues in Real Business Cycle Theory

Jean-Pierre Danthine and J.B. Donaldson

1991: Investment, Banker Reputation, Information Production, and Fnancial Intermediation

Thomas Chemmanur and .B. Fulghieri

1991: Optimal Incorporation, Structure of Debt Contracts, and Limited-recourse Project Financing

Thomas Chemmanur and Kose John

1991: Welfare Dynemics in Securities Markets With Increasing Numbers of Traders

Geoffrey Heal

1991: Risk Aversion, Imperfect Competition,, and Long-Lived Information

C.W. Holden

1991: Competitive Equilibriumin Sobolev Spaces with Unbounded Short Sales

Graciela Chichilnisky and Geoffrey Heal

1991: Necessary & Sufficient Conditions for Pareto Efficiency of equilibrium in Non-Convex Economies

Graciela Chichilnisky and Geoffrey Heal

1991: Existence of Equilibrium in Regular Economies with Incomplete Markets

Graciela Chichilnisky and Geoffrey Heal

1991: Competitive Equilibrium in Sobolev spaces with Unbounded Short Sales

Graciela Chichilnisky and Geoffrey Heal

1991: Necessary & Sufficient Conditions for Pareto Efficiency of Equilibrium in Non-Convex Economies

Graciela Chichilnisky and Geoffrey Heal

1991: Monotoring Economic Activity in Newly Privatized Economies: Statistical Targets for Eastern Europe

A.P. Klein and G.H. Moore

1991: Forecasting Exports from Eastern Europe Using Leading Indicators

J.P. Cullity and G.H. Moore

1991: Leading Indicators for the Semiconductor Business

G.H. Moore and R. Krell

1991: Indicators of Credit Quality in Thrift Industry Lending

J.P. Cullity and G.H. Moore

1991: Exchange Rate Hysteresis: Large Versus Small Policy Misalignments

R.E. Baldwin and Richard Lyons

1991: Some Evidence of Productivity Linkages in Manufacturing

Ricardo Caballero and Richard Lyons

1991: Quality and Timing Options in Thasury Future Markets-- Theory and Evidence

M. Broadie and S. Sundaresan

1991: Interest Rate Swaps: Theory and Evidence

T.S. Sun and S. Sundaresan

1991: An Empirical Examination of the Cox, Ingersoll and Ross Model of the Term Structure of Interest Rates

Neil Pearson and T.S. Sun

1991: The Real and Nominal Interest Rates: A Discrete-Time Model with Continous -Time Limit

T.S. Sun

1991: Clustering Methods and Commercial Rents

William Goetzmann and Susan Wachter

1991: Underpriced Initial Public Offers as a Multi-Product Investment House Stratey

P. Fulghieri and M. Spiegel

1991: On the Incentives for Money Nanagers: A Signalling Approach

Gur Huberman and Shmuel Kandel

1991: The Dynamics of Job Mobility and Dual-Job Holding

Christina Paxson and Nachum Sicherman

1991: Monopolistic Competition, Business Cycles and the Composition of Aggregate Demand

Jordi Galí

1991: economic Development in Brazil, 1822-1913

N.h Leff

1991: Financial Contracts as Lasting Commitments: The Case of Leveraged Oligopoly

P. Fulghieri and Sabitha Nagarajan

1991: Risk Management and Global Change

Geoffrey Heal

1991: External Effects in U.S. Procyclical Productivity

Ricardo Caballero and Richard Lyons

1991: Short and Long Run Externalities

Eric Bartelsman, Ricardo Caballero and Richard Lyons

1991: Private Beliefs and Information Externalities in the Foreign Exchange Market

Richard Lyons

1991: Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans

S. Sundaresan and F. Zapatero

1991: The Currency Reform as the Last Stage of Economic and Monetary Union: Some Policy Questions

A. Giovannini

1991: Homogeneous Preferences and Heterogeneous Performance: International Differences in Saving and Investment Behaviour

N.H. Leff and K. Sato