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.
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96-42: Companies' Modest Claims About the Value of CEO Stock Option Awards

David Yermack

96-41: Good Timing: CEO Stock Option Awards and Company News Announcements

David Yermack

96-40: Universal Banking: A Shareholder Value Perspective

Ingo Walter

96-39: Global Patterns of Mergers and Acquisition Activity in the Financial Services Industry

Roy C. Smith and Ingo Walter

96-38: Rethinking Emerging Market Equities

Roy C. Smith and Ingo Walter

96-37: The Pricing of Marked-to-Market Contingent Claims in a No-Arbitrage Economy

Stephen E. Satchell, Richard C. Stapleton and Marti G. Subrahmanyam

96-36: Pricing Multivariate Contingent Claims Using Estimated Risk-neutral Density Functions

Joshua Rosenberg

96-35: Stock-Based Compensation and Top Management Turnover

Hamid Mehran and David Yermack

96-34: Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks

Ananth Madhavan, Matthew Richardson and Mark Roomans

96-33: The Predictability of International Real Estate Markets, Exchange Rate Risks and Diversification Consequences

Crocker Liu and Jianping Mei

96-32: A New Measure of Transaction Costs

David Lesmond, Charles Trzcinka and Joseph Ogden

96-31: Investment Opportunities and the Design of Debt Securities

Marcel Kahan and David Yermack

96-30: A Theory of Bank Regulation and Management Compensation

Kose John, Anthony Saunders and Lemma W. Senbet

96-29: A Two Factor No-Arbitrage Model of the Term Structure of Interest Rates

T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam

96-28: The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique

T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam

96-27: The Valuation of American-Style Options on Bonds

T.S. Ho, Richard C. Stapleton and Marti G. Subrahmanyam

96-26: The Dynamics of Discrete Bid and Ask Quotes

Joel Hasbrouck

96-25: Who Buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk

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

96-24: Testing the Volatility Term Structure Using Option Hedging Criteria

Robert Engle and Joshua Rosenberg

96-23: Relative Valuation, Differential Information, and Cross-sectional Differences in Stock Return Volatility

Allan Eberhart and Aswath Damodaran

96-22: The Equity Performance of Firms Emerging from Bankruptcy

Allan C. Eberhart, Edward Altman and Reena Aggarwal

96-21: Debt, Investment, and Product Market Competition

Matthew J. Clayton

96-20: Managerial Performance and the Cross-Sectional Pricing of Closed-End Funds

J.B. Chay and Charles Trzcinka

96-19: Post-Announcement Drift

Stephen Brown and Stephen Ross

96-18: Offshore Hedge Funds: Survival and Performance 1989-1995

Stephen Brown, William Goetzmann and Roger G. Ibbotson

96-17: Ex Ante Bond Returns and the Yield Curve

Jacob Boudoukh, Matthew Richardson, Tom Smith and Robert F. Whitelaw

96-16: Hedging the Interest Rate Risk of Brady Bonds

Jacob Boudoukh, Matthew Richardson and Robert F. Whitelaw

96-15: An Analytic Approach to the Valuation of American Path Dependent Options

Jing-zhi (Jay) Huang Bin Gao and Marti G. Subrahmanyam

96-14: Managerial Entrenchment and Capital Structure Decisions

Philip E. Berger, Eli Ofek and David Yermack

96-13: Economic News and the Yield Curve: Evidence From the U.S. Treasury Market

Pierluigi Balduzzi, Edwin J. Elton and T. Clifton Green

96-12: The Central Tendency: A Second Factor in Bond Yields

Pierluigi Balduzzi, Sanjiv Das and Silverio Foresi

96-11: "Price Barriers" and the Dynamics of Asset Prices in Equilibrium

Pierluigi Balduzzi, Silverio Foresi and David Hait

96-10: Macroeconomic Foundations of Higher Moments in Bond Yields

David Backus, Silverio Foresi and Liuren Wu

96-9: Affine Models of Currency Pricing

David Backus, Silverio Foresi and Chris Telmer

96-8: Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing

David Backus, Silverio Foresi and Stanley Zin

96-7: Market Microstructure and Securities Values: Evidence From the Tel Aviv Stock Exchange

Yakov Amihud, Haim Mendelson and Beni Lauterbach

96-6: Corporate Bond and Commercial Loan Portfolio Analysis

Edward Altman

96-5: Business Failure Classification Models: An International Survey

Edward Altman and Paul Narayanan

96-4: The Investment Performance of Defaulted Bonds for 1987-95 and Market Outlook

Edward Altman and Anthony C. Morris

96-3: Credit Risk Measurement: Developments over the Last 20 Years

Edward Altman and Anthony Saunders

96-2: The Equity Performance of Firms Emerging from Bankruptcy

Edward Altman, Allan C. Eberhart and Reena Aggarwal

96-1: Rating Migration of Corporate Bonds: Comparative Results and Investor/Lender Implications

Edward Altman