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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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8-78: Bank Regulation and Macroeconomic Stability
Anthony M. Santomero and Jeremy J. Siegel
8-77: Dynamic Estimation of Portfolio Betas
David A. Umstead and Gary L. Bergstrom
8-76: Stability and Separability: The Role of the Stable Distributions in Portfolio Theory and Some Implications
Stephen Ross
8-75: Inflation and the Holding Period Returns on Bonds
Jeffrey F. Jaffe and Gershon Mandelker
8-74: Working Capital, Risk, Growth and Diversification
John S. Bildersee
8-73: The Association Between a Market-Determined Measure of Risk and Alternative Measures or Risk
John S. Bildersee
8-72: Deposit Mix at Commercial Banks and Monetary Policy
Paul F. Smith and Robert C. Jones
8-00: Predictable Changes in NAV: The wildcard option in transacting mutual fund shares Downloads
John M.R. Chalmers, Roger M. Edelen and Gregory B. Kadlec
7-99: Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices Downloads
Suleyman Basak and Benjamin Croitoru
7-98: The Information Contained in Stock Exchange Seat Prices Downloads
Donald Keim and Ananth Madhavan
7-97: The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
Gabriel Hawawini and Donald Keim
7-96: Model Error in Contingent Claim Models (Dynamic Evaluation)
Eric Jacquier and Robert Jarrow
7-95: Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revision of 8-94) (Reprint 062)
Suleyman Basak
7-94: Whose Market Is It Anyway? Intermediaries' or Investors' (Reprint 044)
Morris Mendelson and Junius W. Peake
7-93: Backwardation in Oil Futures Markets: Theory and Empirical Evidence
Robert H. Litzenberger and Nir Rabinowitz
7-92: Flexible (S,s) Bands, Uncertainty, and Aggregate Consumer Durables
Janice Eberly
7-91: Rational Expectations and Stock Market Bubbles
Franklin Allen and Andrew Postlewaite
7-90: Asset Returns, Investment Horizons, and Intertemporal Preferences (Reprint 009)
Shmuel Kandel and Robert Stambaugh
7-89: Empirical Tests of the Consumption-Oriented CAPM
Douglas T. Breeden, Michael R Gibbons and Robert H. Litzenberger
7-88: Two-Person Dynamic Equilibrium: Trading in the Capital Market
Bernard Dumas
7-87: Loan Sales and the Cost of Bank Capital
George Pennacchi
7-86: Determinants of Capital Structure (Revision of 13-85)
I. Friend and J. Hasbrouck
7-85: Effects of Non-Assumable Mortgage Finance on Housing Demand and Relocation Decisions
George Pennacchi
7-84: The Information Content of Financial Columns
Chi-Wen Jevons Lee and Alfredo Moreno
7-83: Why do Companies Pay Dividends?: Comment
Joel Hasbrouck and Irwin Friend
7-82: Economic and Equity Aspects of Securities Regulation
Irwin Friend
7-81: A Framework for the Analysis of Financial Disorder (discontinued from series - contact authors for copies)
Jack Guttentag and Richard Herring
7-80: Corporate Hedging in Future Markets when Short Sales are Restricted
Simon Benninga
7-79: The Financial Markets in the United Kingdom
Marshall E. Blume
7-78: Majority Choice and the Objective Function of the Firm Under Uncertainty
Simon Benninga and Eitan Muller
7-77: The Growth-Optimal General Equilibrium Market Model: A Reduced Form Expression for the Capital Market Line
David A. Umstead
7-76: Indexation, Expectations, and Stability
Bulent Gultekin and Anthony M. Santomero
7-75: Stock Returns, Money Supply and the Direction of Causality
Richard J. Rogalski and Joseph D. Vinso
7-74: The Monetary Sector in an Open Economy: An Empirical Analysis for Canada and Germany
Richard J. Herring
7-73: Some New Bond Indexes
John S. Bildersee
7-72: Some Contributions of the Institutional Investor Study (with "Discussion" by Marshall E. Blume)
Lawrence D. Jones
7-00: Informed Manipulation Downloads
Archishman Chakraborty and Bilge Yilmaz
6-99: Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices Downloads
Suleyman Basak and Alex Shapiro
6-98: Capital Market Equilibrium with Mispricing and Arbitrage Activity
Suleyman Basak and Benjamin Croitoru
6-97: Managerial Compensation and the Threat of Takeover (Revision of 9-96)
Anup Agrawal and Charles R. Knoeber
6-96: The Pre-Acquisition Performance of Target Firms: A Re-examination of the Inefficient Management Hypothesis (Revision of 23-95)
Anup Agrawal and Jeffrey F. Jaffe
6-95: Banks and Derivatives
Gary Gorton and Richard Rosen
6-94: Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93)
Shmuel Kandel and Robert Stambaugh
6-93: Arbitrage Chains
James Dow and Gary Gorton
6-92: The Theory of Security Pricing and Market Structure (Revision of 20-91). Forward by Paul A. Samuelson
Marshall E. Blume and Jeremy J. Siegel
6-91: Effects of Bid-Ask Spreads and Price Discreteness on Stock Returns
Ajay R. Dravid
6-90: The Sustainability of Budget Deficits in a Stochastic Economy (Revised: 17-91)
Henning Bohn
6-89: Trading Volume and Changes in Heterogeneous Expectations
Larry Lang and Robert H. Litzenberger
6-88: The Implications of Insurance for the Efficacy of Fiscal Policy
Andrew Abel
6-87: Contracts to Sell Information (Revision of 12-85)
Franklin Allen
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