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Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
Contact information at EDIRC.

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27-91: The Myths and Reality of Low-Grade Bonds
Marshall E. Blume and Donald Keim
27-87: Tests of Asset Pricing Models with Changing Expectations
Wayne Ferson, Stephen Foerster and Donald Keim
27-89: Variance Ratio Tests of a Random Walk in Real Exchange Rates
Jack D. Glen
27-79: Optimal Dealer Pricing Under Transactions and Return Uncertainty
Thomas Ho and Hans Stoll
27-94: On the Predictability of Stock Returns: An Asset-Allocation Perspective (Reprint 057)
Shmuel Kandel and Robert Stambaugh
27-90: Banks and Loan Sales: Marketing Non-Marketable Assets (Reprint 051)
Gary Gorton and George Pennacchi
27-99: Mutual fund trading costs Downloads
John M.R. Chalmers, Roger M. Edelen and Gregory B. Kadlec
27-73: Rating Changes and Information in the Bond Market
John R. Percival
27-92: Displayed and Effective Spreads by Market (Revision of 4-92)
Marshall E. Blume and Michael Goldstein
27-86: Announcement Effects of New Equity Issues and the Use of Intraday Price Data
Michael J. Barclay and Robert H. Litzenberger
26-99: Aggregate Prixe Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns Downloads
Roger M. Edelen and Jerold B. Warner
26-73: Managing the Corporate Financial Structure
James E. Walter and Michael R. Milken
26-91: An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029)
Jerry Hausman, Andrew Lo and Craig A. MacKinlay
26-92: Efficiency in the Savings and Loan Industry
Loretta Mester
26-89: Consumption and Fractional Differencing: Old and New Anomalies
Joseph Haubrich
26-86: Financial Innovation in an Incomplete Market: An Empirical Study of Stripped Government Bonds
Hiromitsu Kanemasu, Robert H. Litzenberger and Jacques Rolfo
26-87: Optimal Security Design
Franklin Allen and Douglas Gale
26-79: The Relative Efficiency of Various Portfolios: Some Further Evidence
Marshall E. Blume
26-85: Monetary Versus Real Exchange Rate Targets when Capital Mobility is Limited
Alessandro Penati
26-90: Measurement Distortion and Missing Contingencies in Optimal Contracts (Reprint 018)
Franklin Allen and Douglas Gale
26-88: Changing Risk, Changing Risk Premiums, and Dividend Yield Effects
Nai-Fu Chen, Bruce Grundy and Robert Stambaugh
26-94: Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revised: 9-95)
Donald Keim and Ananth Madhavan
25-90: Some Issues Associated with Business Debt
Lawrence Klein, N. B. Gultekin, M. N. Gultekin and Q. Mohiuddin
25-85: On Multivariate Tests of the CAPM
Craig A. MacKinlay
25-99: The wildcard option in transaction mutual-fund shares Downloads
John M.R. Chalmers, Roger M. Edelen and Gregory B. Kadlec
25-87: Impact of Management and Non-Managerial Principal Stockholders on Capital Structure of Closely-Held and Publicly-Held Corporations?
Irwin Friend and Larry Lang
25-88: A Mean-Variance Framework for Tests for Asset Pricing Models
Shmuel Kandel and Robert Stambaugh
25-86: Optimal Portfolio Choice and the Collapse of a Fixed-Exchange Rate Regime
Alessandro Penati and George Pennacchi
25-79: Valuation of Loan Guarantees
Philip E. Jones and Scott P. Mason
25-91: Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment Around the Stock Crash of October 1987
Jeremy J. Siegel
25-89: Pricing Physical Assets Internationally: A Non Linear Heteroskedastic Process for Equilibrium Real Exchange Rates
Bernard Dumas
25-73: Some Notes on the Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues
Stephen Ross
25-94: Numerical Evaluation of the Critical Price and American Options
Walter Allegretto, Giovanni Barone-Adesi and Robert J. Elliott
25-92: A Quality and Risk-Adjusted Cost Function for Banks: Evidence on the "Too-Big-To-Fail" Doctrine
Joseph Hughes and Loretta Mester
24-88: The Stock Market Crash of 1987: A Macro-Finance Perspective
Jeremy J. Siegel
24-73: The Comparative Performance and Yields of Seasoned U.S. Government and Government Agency Securities
John S. Bildersee
24-86: Semiparametric Upper Bounds for Option Prices
AndrewW. Lo
24-91: Quantity-Adjusting Options and Forward Contracts (Revised: 29-91)
David Babbel and Larry Eisenberg
24-79: Multiperiod Stochastic Dominance with Riskless Assets
Haim Levy and Azriel Levy
24-90: Returns and Volatility of Low-Grade Bonds 1977-1989 (Reprint 005)
Marshall E. Blume, Donald Keim and Sandeep A. Patel
24-89: On the Econometrics of Predicting Inflation from the Nominal Interest Rate
Jean A. Crockett
24-94: ALM in Banks (Revised 8-96)
Giovanni Barone-Adesi
24-87: The Size Effect on Stock Returns: It is a Simply a Risk Effect not Adequately Reflected by the Usual Measures?
Irwin Friend and Larry Lang
24-92: Churning Bubbles (Reprint 039)
Franklin Allen and Gary Gorton
24-84: Capital Structure and Imperfect Competition in Product Markets (Revised: 20-85 and 11-87)
Franklin Allen
24-85: Consumption and Liquidity Constraints: An Empirical Investigation
Stephen Zeldes
24-99: Household Securities Purchases, Transactions Costs, and Hedging Motives Downloads
Nicholas Souleles
23-90: The Consumption of Stockholders and Non-Stockholders (Reprint 015)
N. Gregory Mankiw and Stephen Zeldes
23-89: Takeover Attempts, Economic Welfare, and the Role of Outside Directors
Jean A. Crockett
23-88: Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings
Mark Grinblatt and Sheridan Titman
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