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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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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 Downloads
Archishman Chakraborty and Bilge Yilmaz
05-99: Multiple Large Shareholders in Corporate Governance Downloads
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
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