Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
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12-84: The Pricing of Treasury Bond Futures: The Quality Variation

Simon Benninga and Michael Smirlock

12-83: Bank Dividend Policy and the Prediction of Future Bank Accounting Returns

Michael Smirlock and William Marshall

12-82: The Contribution of Arbitrage Pricing Theory to Capital Asset Pricing

Phoebus Dhrymes, Irwin Friend and N. Gultekin

12-81: Notes on Taxation and Risk Taking

Richard Kihlstrom and Jean-Jacques Laffont

12-80: Unemployment and Real Interest Rates: Econometric Testing of Inflation Neutrality

Richard Startz

12-79: Competition and Interest Rate Ceilings in Commerical Banking

Richard Startz

12-78: Public Disclosure Rules, Private Information-Production Decisions and Captial Market Equilibrium

Nicholas J. Gonedes

12-77: Bank Credit Rationing and the Customer Relation

Norman R. Blackwell and Anthony M. Santomero

12-76: Price Level Variation and the Impact on Floating Exchange Rates

Richard J. Rogalski and Joseph D. Vinso

12-75: The Supply Curve of Housing

John M. Mason

12-74: Stock Ownership: Characteristics and Trends

Marshall E. Blume, Jean Crockett and Irwin Friend

12-73: The Determinants of Value in the Philadelphia Housing Market: A Case Study of the Main Line, 1967-1969

Robert H. Edelstein

12-72: Portfolio and Capital Market Theory with Arbitrary Preferences and Distributions: The General Validity of the Mean-Variance Approach in Large Markets

Stephen Ross

12-00: Stock-Return Predictability and Model Uncertainty

Doron Avramov

11-99: Mutual Fund Returns and Market Microstructure

Mark Carhart, Ron Kaniel, David K. Musto and Adam Reed

11-98: Management Turnover and Corporate Governance Changes Following the Revelation of Fraud

Anup Agrawal, Jeffrey J. Jaffe and Jonathan Karpoff

11-97: An Examination of Changes in Specialists' Posted Price Schedules

Kenneth A. Kavajecz and Elizabeth R. Odders-White

11-96: The Analysis of VAR, Deltas and State Prices: A New Approach

Bruce D. Grundy and Zvi Wiener

11-95: Theory of Rational Option Pricing: II (Revised: 1-96)

Yaacov Z. Bergman, Bruce D. Grundy and Zvi Wiener

11-94: Systematic Risk and Diversification in the Equity REIT Market

Joseph Gyourko and Edward Nelling

11-93: Implementing Numerical Option Pricing Models

Simon Benninga, Raz Steinmetz and John Stroughair

11-92: What Does the Stock Market Tell Us About Real Estate Returns? (Revision of 18-91) (Reprint 030)

Joseph Gyourko and Donald Keim

11-91: Option Prices and the Underlying Asset's Return Distribution (Reprint 012)

Bruce D. Grundy

11-90: The Origins of Banking Panics: Models, Facts, and Bank Regulation

Charles Calomiris and Gary Gorton

11-89: Incomplete Markets and Incentives to Set Up An Options Exchange

Franklin Allen and Douglas Gale

11-88: Managerial Incentives in an Entrepreneurial Stock Market Model

Richard E. Kihlstrom and Steven Matthews

11-87: Capital Structure and Imperfect Competition in Product Markets (Revision of 20-85, 24-84)

Franklin Allen

11-86: Two-Person Dynamic Equilibrium: Trading in the Capital Market

Bernard Dumas

11-85: Logit Versus Discriminant Analysis: A Specification Test

Andrew Lo

11-84: New Tests of the APT and their Implications

Phoebus Dhrymes, Irwin Friend, Bulent Gultekin and Mustafa Gultekin

11-83: Biases in Computed Returns: An Application to the Size Effect (Revision of 2-83)

Marshall Blume and Robert Stambaugh

11-82: The Theory and Practice of Second-Best Commercial Policy: Domestic Factor Market Distortions and International Market Power

Howard Kaufold

11-81: Effect of Inflation on Saving, Investment and Capital Markets

Irwin Friend

11-80: Exchange-Rate Unions and the Volatility of the Dollar

Richard C. Marston

11-79: The NOW Account Experiment and the Demand for Money

Joanna H. Frodin and Richard Startz

11-78: When is Corporate Financial Policy Relevant?

Simon Benninga

11-77: Consumption and Saving in Economic Development

Jean Crockett and Irwin Friend

11-76: Simultaneous Equation Market Models: A New Approach to the Problem of Multicollin

Chung Few Lee and Joseph D. Vinso

11-75: The Choice Between Spending and Saving

Jean Crockett

11-74: Price Spreads, Performance and the Seasoning of New Bond Issues

John S. Bildersee

11-73: Discounts and Premiums on Shares of Diversified Closed-End Investment Funds

Hans Stoll

11-72: The Theory of Insurance Reconsidered for Urban Analysis: An Expected Utility Approach (Revised)

Robert H. Edelstein

11-00: The Equity Premium and Structural Breaks

Lubos Pastor and Robert Stambaugh

10-99: Quantitative Asset Pricing Implications of Endogenous Solvency Constraints

Fernando Alvarez and Urban Jermann

10-98: On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis

Suleyman Basak

10-97: Testing for Liquidity Constraints in Euler Equations with Complementary Data Sources (Reprint 069)

Tullio Jappelli, Jorn-Steffen Pischke and Nicholas Souleles

10-96: Balanced Budget Rules and Public Deficits: Evidence from the U.S. States (Reprint 060)

Henning Bohn and Robert P. Inman

10-95: Rational Expectations, Inflation and the Nominal Interest Rate

Jean A. Crockett

10-94: The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (Revision of 21-92)

Donald Keim and Ananth Madhavan

10-93: Quote Changes and Order Imbalances

Marshall E. Blume and Yun K. Wong