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Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
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44-88: Perishable Investment and Hysteresis in Capital Formation
Bernard Dumas
43-88: Super Contact and Related Optimality Conditions: A Supplement to Avinash Dixit's: "A Simplified Exposition of Some Results Concerning Regulated Brownian Motion" (Reprint 020)
Bernard Dumas
42-88: Modeling Expected Stock Returns for Long and Short Horizons
Shmuel Kandel and Robert Stambaugh
41-88: Rational Finite Bubbles
Franklin Allen and Gary Gorton
41-89: An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019)
Bernard Dumas and Elisa Luciano
40-88: Risky Business: The Clearance and Settlement of Financial Transactions
Ananth Madhavan, Morris Mendelson and Junius Peake
40-89: Self-Generating Trade and Rational Fads: The Response of Price to New Information
James Dow and Gary Gorton
39-89: Developments in the Theory of Security Pricing and Market Structure (Revised: 20-91, 6-92)
Marshall E. Blume and Jeremy J. Siegel
39-88: Order Imbalances and Stock Price Movements on October 19 and 20 (Revision of 20-88)
Marshall E. Blume, Craig A. MacKinlay and Bruce Terker
38-88: Private Information, Trading Volume, and Stock Return Variances
Michael J. Barclay, Robert H. Litzenberger and Jerold B. Warner
38-89: Returns and Volatility of Low-Grade Bonds 1977-1988
Marshall E. Blume, Donald Keim and Sandeep A. Patel
37-88: Pricing Options Under Jump-Diffusion Processes
David S. Bates
37-89: Exchange Rate Uncertainty, Forward Contracts and the Performance of Global Equity Portfolios
Jack D. Glen
36-89: Optimal Dynamic Trading with Leverage Constraints
Sanford Grossman and Jean-Juc Vila
36-88: The Cash Premium: Option Pricing Under Asymmetric Processes, with Applications to Options on Deutschemark Futures
David S. Bates
35-88: The Loan Sales Market
Gary Gorton and Joseph Haubrich
35-89: The Changing Nature of Debt and Equity: A Financial Perspective
Franklin Allen
34-89: The Money and Bond Markets in France: Segmentation vs. Integration
Bernard Dumas and Bertrand Jacquillat
34-88: Transaction Contracts
Gary Gorton and George Pennacchi
33-88: Time Consistency of Monetary Policy in the Open Economy (Revised: 8-90)
Henning Bohn
33-89: An Economic Analysis of Dual Trading
Sanford Grossman
32-89: The Valuation of Corporate Fixed Income Securities
In Joon Kim, Krishna Ramaswamy and Suresh Sundaresan
32-88: Real Exchange Rates: Heteroscedasticity and Reversion Toward PPP
Jack D. Glen
31-87: Mechanisms, Multi-Lateral Incentive Compatibility, and the Core
Joseph Haubrich
31-88: Linear Transformation of Asset Returns and the APT
Jevons C. Lee and Taychang Wang
31-89: Realized Returns and Defaults on Lower-Grade Bonds: The Cohort of 1977 and 1978 (Reprint 006)
Marshall E. Blume and Donald Keim
30-86: Corporate Dividend Payout Policy (Revised: 4-88)
Jean Crockett and Irwin Friend
30-91: Estimating Divisional Cost of Capital for Insurance Companies (Reprint 037)
Franklin Allen
30-88: Asymptotic Arbitrage Opportunities in Various Modes of Convergence and the Approximate Linear Pricing Relation in Asset Market
Jevons C. Lee and Taychang Wang
30-87: Program Trading and the Behavior of Stock Index Futures Prices
Craig A. MacKinlay and Krishna Ramaswamy
30-89: Simple Binomial Processes as Diffusion Approximations in Financial Models (Reprint 003)
Daniel B. Nelson and Krishna Ramaswamy
29-88: A General Theory of Arbitrage Pricing: When the Idiosyncratic Risks are Dependent and their Second Moments Do Not Exist
Jevons C. Lee and Taychang Wang
29-87: Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revision of 5-87)
Andrew Lo and Craig A. MacKinlay
29-94: Firm Performance and Mechanisms to Control Agency Problems between Managers and Shareholders
Anup Agrawal and Charles R. Knoeber
29-73: Security Valuation Formulae: Their Relationship to Estimates of the Risk-Return Trade-off
Daniel Rie
29-91: Quantity-Adjusting Options and Forward Contracts (Revision of 24-91) (Reprint 041)
David Babbel and Larry Eisenberg
29-99: An Empirical Analysis of Limit Order Markets Downloads
Burton Hollifield, Robert A. Miller and Patrik Sandas
29-86: Determinants of Capital Structure for Closely-Held Versus Publicly-Held Corporations
Irwin Friend and Larry Lang
29-89: Security Baskets and Index-Linked Securities
George Pennacchi and Gary Gorton
28-91: Budget Deficits and Government Accounting
Henning Bohn
28-94: Managerial Compensation and the Threat of Takeover
Anup Agrawal and Charles R. Knoeber
28-89: Budget Balance Through Revenue or Spending Adjustments? Some Historical Evidence for the United States
Henning Bohn
28-90: The Crash of '87: Was it Expected? The Evidence from Options Markets
David S. Bates
28-87: The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
Andrew Lo and Craig A. MacKinlay
28-88: Asymptotic Arbitrage Opportunities and Asset Market Equilibrium
Jevons C. Lee and Taychang Wang
28-99: Choices Among Alternative Risk Management Strategies: Evidence from the Natural Gas Industry Downloads
Christopher C. Geczy, Bernadette A. Minton and Catherine Schrand
28-73: How Diversification Reduces Risk: Some Empirical Evidence
Randolph W. Westerfield
28-92: Testing Inequality Restrictions Implied by Conditional Asset Pricing Models
Jacob Boudoukh, Matthew Richardson and Tom Smith
28-86: The Interaction of Corporate and Government Financing in General Equilibrium
Simon Benninga and Eli Talmor
27-89: Variance Ratio Tests of a Random Walk in Real Exchange Rates
Jack D. Glen
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