Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
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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

John M.R. Chalmers, Roger M. Edelen and Gregory B. Kadlec

7-99: Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices

Suleyman Basak and Benjamin Croitoru

7-98: The Information Contained in Stock Exchange Seat Prices

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

Archishman Chakraborty and Bilge Yilmaz

6-99: Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices

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