Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
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10-92: General Tests of Latent Variable Models and Mean Variance Spanning (Reprint 031)

Wayne Ferson, Stephen R. Foerster and Donald Keim

10-91: Historical Returns: The Case for Equity

Jeremy J. Siegel

10-90: Fiscal Policy with Impure Intergenerational Altruism (Reprint 011)

Andrew Abel and B. Douglas Bernheim

10-89: Arbitrage, Short Sales and Financial Innovation

Franklin Allen and Douglas Gale

10-88: A Look at the Validity of the CAPM in Light of Equity Market Anomalies: The Case of Belgian Common Stocks

Gabriel Hawawini, Pierre Michel and Albert Corhay

10-87: An Analysis of Fiscal Policy Under Operative and Inoperative Bequest Motives

Andrew Abel

10-86: The Cost of Capital to Corporations in Japan and the USA

Irwin Friend and I. Tokutsu

10-85: Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revision of 19-84)

Andrew Lo

10-83: Inflation and Miller's Model of Capital Structure

Jeffrey Jaffe

10-82: Stock Market Seasonality and End of the Tax Year Effect

Mustafa N. Gultekin and Bulent N. Gultekin

10-81: The Impact of Market Interest Rates on Small Commercial Banks

Mark Flannery

10-80: The CAPM and Mean-Variance Efficient Portfolios

Irwin Friend, Randolph Westerfield and Joao Ferreira

10-79: Co-Skewness and Capital Asset Pricing

Irwin Friend and Randolph Westerfield

10-78: Pension Funds and the Use of International Markets

Marshall E. Blume

10-77: A Note on the Modigliani-Miller Theorem and Bankruptcy

Simon Benninga

10-76: Spectral Analysis of Security Market Prices and Yields in Fundamental Time

John R. Percival

10-75: Measuring Capital Asset Returns and the Stable Probability Laws

James Pickands and Randolph Westerfield

10-74: The Asset Structure of Individual Portfolios and Some Implications for Utility Functions

Marshall E. Blume and Irwin Friend

10-73: Risky Corporate Debt in a Market Model Context

John R. Percival

10-72: The Investment Performance of all Institutional Investors: An Initial Appraisal

Marshall E. Blume and Irwin Friend

10-00: Evaluating and Investing in Equity Mutual Funds

Lubos Pastor and Robert Stambaugh

1-99: The High Volume Return Premium

Simon Gervais, Ron Kaniel and Dan Mingelgrin

1-98: Executive Compensation & the Boundary of the Firm: The Case of Short-Lived Projects

Gary Gorton and Bruce D. Grundy

1-97: An Equilibrium Model with Restricted Stock Market Participation (Reprint 066)

Suleyman Basak and Domenico Cuoco

1-96: General Properties of Option Prices (Revision of 11-95) (Reprint 058)

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

1-95: On the Integration of the US Equity Markets (Revised: 18-95)

Marshall E. Blume and Michael Goldstein

1-94: A General Equilibrium Model of Portfolio Insurance (Reprint 053)

Suleyman Basak

1-93: The Design of Bank Loan Contracts, Collateral, and Renegotiation (Revised: 2-96)

Gary Gorton and James Kahn

1-92: Security Prices and Market Transparency (Revision of 12-90)

Ananth Madhavan

1-91: Tests of Asset Pricing Models with Changing Expectations

Wayne Ferson, Stephen R. Foerster and Donald Keim

1-90: Asset Prices Under Habit Formation and Catching Up With the Jones

Andrew Abel

1-89: Signalling and the Pricing of Unseasoned New Issues

Mark Grinblatt and Chuan Yang Hwang

m1-89: Return Indexes for Lower Grade Bonds

Marshall E. Blume and Donald Keim

m1-88: Return Indexes for Lower Grade Bonds: 1977-1987

Blume M.e and Donald Keim

1-88: Investment Earnings and the Initial Dividend Decision

Douglas P. McCann

1-87: Seasonality, Cost Shocks and the Production Smoothing Model of Inventories

Jeffrey Miron and Stephen Zeldes

m1-86: M.E. Blume and Irwin Friend

Recent, Prospective Trends in Institutional Ownership, Trading of Exchange and Stocks Otc

1-86: Stock Return Anomalies and the Asset Pricing Tests: The Case of the Arbitrage Pricing Theory

M. Gultekin and B. Gultekin

1-85: A Residuals-Based Wald Test for the Linear Simultaneous Equation

Andrew Lo and Whitney Newey

m1-84: Factors Affecting Capital Formation

Marshall Blume, Irwin Friend and Randolph Westerfield

m1-83: A Survey Study of the Leveraged Buyout Market: Entrepreneur-Senior Lender Relationships

Bulent N. Gultekin and Joel Hasbrouck

1-83: Bond Indexation and Exhaustible Resources and Depletion

Howard Kaufold

1-82: Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency

Robert Stambaugh

1-81: Comment on Inflation and the Stock Market

Irwin Friend and Joel Hasbrouck

1-80: On Dealer Markets Under Competition

Thomas Ho and Hans Stoll

1-79: Stock Returns and Dividend Yields: Some More Evidence

Marshall E. Blume

1-78: Advantages and Limitations of International Portfolio Diversification

Irwin Friend and Etienne Losq

1-77: Implications of Growing Institutionalization of the Stock Market

Irwin Friend

1-76: Mutual Fund Separation in Financial Theory - The Separating Distributions

Stephen Ross

m1-75: The Role of Financial Structure in Economic Development

Randolph Westerfield and Irwin Friend