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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 Downloads
Doron Avramov
11-99: Mutual Fund Returns and Market Microstructure Downloads
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 Downloads
Lubos Pastor and Robert Stambaugh
10-99: Quantitative Asset Pricing Implications of Endogenous Solvency Constraints Downloads
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
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