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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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14-79: Optimal Multi-Period Insurance Companies
Itzhak Venezia and Haim Levy
14-77: The Demand for Money and the Uncertainty of Interest Rates and Prices
J. M. Mason
14-76: Incomes' Policy and Tax Rate in the U.K
Norman A. Blackwell and Anthony M. Santomero
14-75: The Value of the Firm Under Regulation
Jeffrey F. Jaffe and Gershon Mandelker
14-74: The Two Tier Stock Market - Its Implications for Portfolio Management
Marshall E. Blume
14-73: An Application of the Decomposition Principle to Financial Decision Models
James R. Morris
14-72: Single Parameter Risk Measures and Multiple Sources of Risk: A Re-Examination of the Data Based on Changes in Determinants of Price and Beta Over Time (Revised)
Daniel Rie
14-00: Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices Downloads
Yeung Lewis Chan and Leonid Kogan
13-99: Asset Pricing Models: Implications for Expected Returns and Portfolio Selection Downloads
A. Craig MacKinlay and Lubos Pastor
13-98: Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing Downloads
Bruce D. Grundy and J. Spencer Martin
13-97: The Information Value of Bond Ratings
Doron Kliger and Oded Sarig
13-96: The Declining Credit Quality of US Corporate Debt: Myth or Reality (Revised: 3-98)
Marshall E. Blume, Felix Lim and Craig A. MacKinlay
13-95: Does Section 16b Deter Insider Trading by Target Managers? [Are Target Managers Afraid of Section 16b?] (Revision of 16-94) (Reprint 048)
Anup Agrawal and Jeffrey F. Jaffe
13-94: A Welfare Comparison of the German and U.S. Financial Systems (Reprint 047)
Franklin Allen and Douglas Gale
13-92: Temporary Components of Stock Prices: A Skeptic's View (Reprint 032)
Matthew Richardson
13-91: The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview (Revision of 5-91)
Jeremy J. Siegel
13-90: Stock Price Manipulation (Reprint 025)
Franklin Allen and Douglas Gale
13-89: Birth, Death and Taxes
Andrew Abel
13-88: Endogenous Government Spending & Ricardian Equivalence (Revised: 9-90)
Henning Bohn
13-87: A Simple Specification Test of the Random Walk Hypothesis
Andrew Lo and Craig A. MacKinlay
13-86: On the Assessment of Return Generating Models (Revision of 13-86)
M. E. Blume, M. Gultekin and B. Gultekin
13-84: Government Bond Returns, Measurement of Interest Rate Risk and the Arbitrage Pricing Theory (Revision of 21-83)
Bulent N. Gultekin and Richard Rogalski
13-83: Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests
Bulent Gultekin and Richard Rogalski
13-82: The Real Exchange Rate, the Current Account and the Speed of Adjustment
Francesco Giavazzi and Charles Wyplosz
13-81: On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis
Robert Stambaugh
13-80: Effect of Inflation on the Profitability and Valuation of U.S. Corporations
Irwin Friend and Joel Hasbrouck
13-79: Can State Bank Examination Data Replace FDIC Examination Visits
Mark Flannery
13-78: Factor Price Equalization Under Uncertainty
Bernard Dumas
13-77: The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks
Hans Stoll
13-76: The Value of an Option to Exchange One Asset for Another
William Margrabe
13-75: The Allocative Efficiency of the Private Housing Finance Sector
Robert H. Edelstein and Irwin Friend
13-74: A Model for Corporate Debt Maturity Decisions
James R. Morris
13-73: A Structural Study of the Income Velocity of Circulation
John M. Mason
13-72: Using the Capital Asset Pricing Model and the Market Model to Predict Security Returns (Revised)
Richardson R. Pettit and Randolph Westerfield
13-00: Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies Downloads
Leonid Kogan and Raman Uppal
12-99: Econometric Models of Limit-Order Executions Downloads
Andrew Lo, A. Craig MacKinlay and June Zhang
12-98: Capital Market Equilibrium with Differential Taxation
Suleyman Basak and Michael Gallmeyer
12-97: An Anatomy of Morningstar Ratings (Reprint 065)
Marshall E. Blume
12-96: A Specialist's Quoted Depth as a Strategic Choice Variable
Kenneth A. Kavajecz
12-95: Call Policies with Flotation Costs: A Dog Chasing Its Tail (Revised: 22-95)
Giovanni Barone-Adesi and Francisco A. Delgado
12-94: Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revision of 18-93) (Reprint 045)
Donald Keim and Ananth Madhavan
12-93: An Exact Solution for the Investment and Market Value of a Firm Facing Uncertainty, Adjustment Costs, and Irreversibility
Andrew Abel and Janice Eberly
12-92: Soft Dollars and the Brokerage Industry (Reprint 034)
Marshall E. Blume
12-91: Robust Power Calculations with Tests for Serial Correlation in Stock Returns
Matthew Richardson and Tom Smith
12-90: Security Prices and Market Transparency (Revised: 1-92)
Ananth Madhavan
12-89: Expectations and Volatility of Long-Horizon Stock Returns
Shmuel Kandel and Robert Stambaugh
12-88: Pricing Physical Assets Internationally
Bernard Dumas
12-87: Ponzi Games and Ricardian Equivalence
Stephen O'Connell and Stephen Zeldes
12-86: Information Disclosure and Bank Runs
George Pennacchi
12-85: Contracts to Sell Information (Revised: 6-87)
Franklin Allen
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