New York University, Leonard N. Stern School Finance Department Working Paper Seires

From New York University, Leonard N. Stern School of Business-
U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126.
Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

99-002: The Valuation of American Barrier Options Using the Decomposition Technique

B. Gao J. Huang

99-001: An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

Anurag Gupta and Marti G. Subrahmanyam

98-090: The Impact of the Likelihood of Turnover on Executive Compensation

Jay C. Hartzell

98-089: Price Formation in the OTC Corporate Bond Markets: A Field Study of the Inter-Dealer Market

Anthony Saunders, Anand Srinivasan and Ingo Walter

98-088: Contract Renegotiation and the Optimality of resetting Executive Stock Options

Viral Acharya, Kose John and Rangarajan K. Sundaram

98-087: Credit Enhancement Through Targeted Risk Managment: Freeport-McMoRan's Gold-Dominated Depository Shares

N. K. Chidambaran, Chitru S. Fernando and Paul A. Spindt

98-086: An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming

N. K. Chidambaran, Chi-Wen Jevons Lee and Joaguin R. Trigueros

98-085: The Regulation of Fee Structures in Mutual Funds: A Theoretical Analysis

Sanjiv Das and Rangarajan K. Sundaram

98-084: Bank Capital and Bank Structure: A Comparative Analysis of the US, UK and Canada

Anthony Saunders and Berry Wilson

98-083: Specification Analysis of Affine Term Structure Models

Qiang Dai and Kenneth Singleton

98-082: An Asset Allocation Puzzle: When is A Puzzle Not A Puzzle?

Edwin J. Elton and Martin J. Gruber

98-081: Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

Francis Diebold, Til Schuermann and John D. Stroughair

98-080: How Relevant is Volatility Forecasting for Financial Risk Management?

Peter Christoffersen and Francis Diebold

98-079: Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Francis Diebold, Jinyong Hahn and Anthony S Tay

98-078: Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis

Marti G. Subrahmanyam, Young Ho Eom and Jun Uno

98-077: Survivorship Bias and Attrition Effects in Measures of Performance Persistence

Jennifer Carpenter and Anthony Lynch

98-076: Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data

Joel Hasbrouck

98-075: Mexico's Banking Crisis: Devaluation and Asset Concentration Effects

Berry Wilson, Anthony Saunders and Gerard Caprio

98-074: Time-Varying Sharpe Ratios and Market Timing

Robert F. Whitelaw

98-073: Stock Market Risk and Return: An Equilibrium Approach

Robert F. Whitelaw

98-072: The Global Asset Management Industry: Competitive Structure, Conduct and Performance

Ingo Walter

98-071: The Symptoms of Lyme Disease

Irwin Vanderhoof

98-070: An Arbitrage-free Two-factor Model of the Term Structure of Interest Rates: A Multivariate Binomial Approach

Marti G. Subrahmanyam, Sandra Peterson and Richard C. Stapleton

98-069: Credit Risk and the Pricing of Japanese Yen Interest Rate Swaps

Marti G. Subrahmanyam, Young Ho Eom and Jun Uno

98-068: An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

Marti G. Subrahmanyam and Anurag Gupta

98-067: The Valuation of American Barrier Options Using the Decomposition Technique

Marti G. Subrahmanyam, Bin Gao and Jingzhi Huang

98-066: The Size of Background Risk and the Theory of Risk Bearing

Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton

98-065: Why are Options Expensive?

Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton

98-064: Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates

Marti G. Subrahmanyam and Richard C. Stapleton

98-063: Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

Marti G. Subrahmanyam, Günter Franke and Richard C. Stapleton

98-062: The European Securities Industry Under A Single Currency

Roy C. Smith

98-061: Risks and Rewards in Emerging Market Investment

Roy C. Smith and Ingo Walter

98-060: Global Patterns of Mergers and Acquisition Activity in the Financial Services Industry

Roy C. Smith and Ingo Walter

98-059: CEO Involvement in the Selection of New Board Members: An Empirical Analysis

Anil Shivdasani and David Yermack

98-058: The Determinants of Bank Interest Rate Margins: An International Study

Anthony Saunders and Liliana Schumacher

98-057: Pricing Multivariate Contingent Claims using Estimated Risk-neutral Density Functions

Joshua Rosenberg

98-056: Information, Blockbusters and Stars? A Study of the Film Industry

S. Abraham Ravid

98-055: Leverage Changes and Product Pricing Incentives -- A Tax Induced Analysis

S. Abraham Ravid

98-054: The Comparative Efficiency of Small-Firm Bankruptcies: A Study of the US and Finnish Bankruptcy Codes

S. Abraham Ravid and S. Sundgren

98-053: Toehold Strategies and Rival Bidders

S. Abraham Ravid and Matthew Spiegel

98-052: Does Equity-Based Compensation Increase Managers' Ownership?

Eli Ofek and David Yermack

98-051: Compensation and Top Management Turnover

Hamid Mehran and David Yermack

98-050: Understanding Fee Structures in the Asset Management Business

Anthony W. Lynch and David K. Musto

98-049: Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior

Anthony W. Lynch and Pierluigi Balduzzi

98-048: Evaluating Stock Price Volatility: The Case of REITs

Jarl Kallberg and Crocker H. Liu

98-047: Analysis of Senior-Subordinated Structures Backed by Private-Label Mortgages

Kose John, Crocker Liu and R. A. Radhakrishnan

98-046: Shareholder Proposals and Corporate Governance

Kose John and April Klein

98-045: Corporate Governance and Board Effectiveness

Kose John and Lemma W. Senbet

98-044: Relationship Investing: Large Shareholder Monitoring with Managerial Cooperation

N. K. Chidambaran and Kose John

98-043: A Theory of Bank Regulation and Management Compensation

Kose John, Anthony Saunders and Lemma W. Senbet