Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
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06-95: Banks and Derivatives

Gary Gorton and Richard Rosen

06-94: Portfolio Inefficiency and the Cross-Section of Expected Returns (Revision of 3-93)

Shmuel Kandel and Robert Stambaugh

06-93: Arbitrage Chains

James Dow and Gary Gorton

06-92: The Theory of Security Pricing and Market Structure (Revision of 20-91). Forward by Paul A. Samuelson

Marshall E. Blume and Jeremy J. Siegel

06-91: Effects of Bid-Ask Spreads and Price Discreteness on Stock Returns

Ajay R. Dravid

06-90: The Sustainability of Budget Deficits in a Stochastic Economy (Revised: 17-91)

Henning Bohn

06-89: Trading Volume and Changes in Heterogeneous Expectations

Larry Lang and Robert H. Litzenberger

06-88: The Implications of Insurance for the Efficacy of Fiscal Policy

Andrew Abel

06-87: Contracts to Sell Information (Revision of 12-85)

Franklin Allen

06-85: The Effects of Different Taxes on Risky and Riskfree Investment and on the Cost of Capital

Yu Zhu and Irwin Friend

06-84: Choice of Inventory Accounting Methods: A Ricardian Model

Chi-Wen Jevons Lee and David Hsieh

06-83: The Pricing of Call and Put Options on Foreign Exchange

Orlin J. Grabbe

06-82: Optimal Survey Aggregation Application to Inflation, Stock Returns and Economic Activity

Joel Hasbrouck

06-81: Toward Efficiency Analysis of Diversifiable Assets

Yoram Kroll

06-80: The Allocational Role of Takeover Bids in Situations of Asymmetric Information

Sanford Grossman and Oliver Hart

06-79: Accounting Techniques and Firms' Equilibrium Values: Tax Methods and the Lifo/Fifo Choice

Nicholas J. Gonedes

06-78: Asset Management for Regulated Enterprise Under Conditions of Uncertain Price Change: The Case of the Property-Casualty Company

James E. Walter

06-77: Expectations, Commercial Bank Adjustment, and the Performance of Monetary Aggregates

John Mason, Richard Rogalski and Joseph D. Vinso

06-76: Price-Quantity Adjustments in a Macro-Disequilibrium Model

Henry R. Lorie

06-75: The Demand for Risky Assets Under Uncertain Inflation

Irwin Friend and Yoram Landskroner

06-74: Short-Run Asset Effects on Household Saying and Consumption

Irwin Friend and Charles Lieberman

06-73: The Distribution of Common Stock Price Changes: An Application of Transactions Time and Subordinated Stochastic Models

Randolph Westerfield

06-72: The Value of Information for Investment Decisions

Jim Morris

06-00: Nested Information and Manipulation in Financial Markets

Archishman Chakraborty and Bilge Yilmaz

05-99: Multiple Large Shareholders in Corporate Governance

Armando Gomes

05-98: An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks

Donald Keim

05-97: Learning To Be Overconfident

Simon Gervais and Terrance Odean

05-96: Analyzing Investments Whose Histories Differ in Length

Robert Stambaugh

05-95: Financial Markets, Intermediaries, and Intertemporal Smoothing (Revised 14-96)

Franklin Allen and Douglas Gale

05-94: A Transaction Cost Theory of Corporate Finance, with Applications to Security, Bankruptcy, and the Nature of Economic Organization

Bruce D. Johnsen

05-93: Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing (Reprint 052)

James Dow and Gary Gorton

05-92: Reserve Requirements and the Indicator Properties of Monetary Aggregates

Jeremy J. Siegel

05-91: The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview (Revised: 13-91)

Jeremy J. Siegel

05-90: The Risk and Return Characteristics of Stock Market-Based Real Estate Indexes and Their Relation to Appraisal-Based Returns

Joseph Gyourko and Donald Keim

05-89: The Sources and Nature of Long-Term Memory in the Business Cycle

Joseph Haubrich and Andrew Lo

05-88: Tax Clienteles and the Miller Model with Incomplete Markets (Revision of 4-87)

Franklin Allen and Jeffrey Jaffe

05-87: Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (Revised: 29-87)

Andrew Lo and Craig A. MacKinlay

05-86: Monopolistic Competition and the Theory of Private Money

Joseph Haubrich

05-85: On the Optimality of Portfolio Insurance

Simon Benninga and Marshall Blume

05-84: Lifetime Portfolio Selection and Information

Jerome De Temple

05-83: Market Evidence on the Effective Maturity of Bank Assets and Liabilities

Mark Flannery and Christopher James

05-82: Are Forward Exchange Rates Really Useful Predictors of Future Spot Rates? Some Evidence from Daily Dollar-DM Data

Orlin J. Grabbe

05-81: Real Versus Nominal Forecast Errors in the Prediction of Foreign Exchange Rates

Stephen Meyer and Richard Startz

05-80: Optimal Claims in Automobile Insurance

Itzahk Venezia and Haim Levy

05-79: Risk and Capital Asset Pricing

Irwin Friend and Randolph Westerfield

05-77: The Cost of Equity Capital: A Reconsideration

M.J. Gordon and L.I. Gould

05-76: Further Evidence on the Capitalization of Property Taxes: A Case Study of Upper Dublin Township

Moshe Cohen

05-75: An Empirical Investigation of the Corporate Debt Maturity Structure

James R. Morris

05-74: The Behavior of Risk and Return: An Econometric Study

Marshall E. Blume

05-73: An Analysis of Devaluation

Wilfred and Wilfred Ethier