Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
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03-82: Saving and After-Tax Rates of Return

Irwin Friend and Joel Hasbrouck

03-81: Effect of Inflation on the Profitability and Valuation of U.S. Corporations

Irwin Friend and Joel Hasbrouck

03-80: Evidence on the 'Tax Effects' of Inflation Under Historical Cost Accounting Methods

Nicholas J. Gonedes

03-79: Optimal Stabilization in a General Equilibrium Financial Model

Jeremy J. Siegel

03-78: Portfolio Diversification of NYSE Specialist Units

Hans Stoll

03-77: Stimulating Indexation

Nariman Behavesh and Athony M. Santomero

03-76: The Pricing of Capital Assets in a Multi-Period World

Marshall E. Blume

03-75: A Study of Credit Rationing in Japan

Yukio Rimbara and Anthony M. Santomero

03-74: Options and Efficiency

Stephen Ross

03-73: The Error Learning Hypothesis and the Term Structure of Interest Rates in Eurodollars

Anthony M. Santomero

03-72: Some Aspects of the Performance of Non-Convertible Preferred Stocks

John Bildersee

03-71: Price Impacts of Block Trading on the NYSE

Alan Kraus and Hans Stoll

03-00: A Theory of Takeover Bidding

Bilge Yilmaz

02-99: Is the Abnormal Return Following Equity Issuances Anomalous?

Alon Brav, Christopher Geczy and Paul Gompers

02-98: Customer-Controlled Firms: The Case of Stock-Exchanges

Carmine Di Noia

02-97: A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk

Suleyman Basak

02-96: The Design of Bank Loan Contracts, Collateral, and Renegotiation (Revision of 1-93)

Gary Gorton and James Kahn

02-95: Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis

Shmuel Kandel, Aharon R. Ofer, Sarig and Oded

02-94: Efficiency of Banks in the Third Federal Reserve District

Loretta Mester

02-93: Corporate Control, Portfolio Choice, and the Decline of Banking

Gary Gorton and Richard Rosen

02-92: Limited Market Participation and Volatility of Asset Prices (Revision of 14-91) (Reprint 043)

Franklin Allen, Franklin and Douglas Gale

02-91: A Bayesian Model of Intraday Specialist Pricing

Ananth Madhavan and Seymour Smidt

02-90: Financing Losers in Competitive Markets

Andrew Abel and George Mailath

02-89: Welfare Improving Nominal Contracts

Henning Bohn and Gary Gorton

02-88: Black-Markets for Foreign Currency

Jack D. Glen

02-87: Optimal Monetary Growth

Andrew Abel

02-86: The Sources of the Movements in Interest Rates: An Empirical Investigation

A. Penati

02-85: Investment Banking, Reputation and the Underpricing of Initial Public Offerings

Randolph P. Beatty and Jay Ritter

02-84: Capital Budgeting Under Uncertainty: The Issue of Optimal Timing

Chi-Wen Jevons Lee and Christopher R. Petruzzi

02-82: Arbitrage Pricing with Heterogeneous Information

Robert Stambaugh

02-81: Stochastic Dominance with a Riskless Asset: The Continuous Case

Yoram Kroll and Haim Levy

02-80: A Competitive Entrepreneurial Model of a Stock Market

Richard E. Kihlstrom and Jean-Jacques Laffont

02-79: Partial Adjustment in the Deman for Money Theory and Empirics

Anthony M. Santomero and John Seater

02-78: The Supply of Dealer Services in Securities Markets

Hans Stoll

02-77: Market Discrimination, Credit Rationing and the Customer Relationship at Commercial Banks

John M. Mason

02-76: Alternative Investment Performance Fee Arrangements and Implication for SEC Regulatory Policy: A Comment

William Margrabe

02-75: The Pricing of Options for Jump Processes

John C. Cox and Stephen Ross

02-74: Some New Bond Indexes

John S. Bildersee

02-73: The Arbitrage Theory of Capital Asset Pricing

Stephen Ross

02-72: A Model of Capital Asset Risk (revised)

Richardson R. Pettit and Randolph Westerfield

02-71: Dividend Announcements, Security Performance, and Capital Market Efficiency

Richardson R. Pettit

02-00: Bookbuilding and Strategic Allocation

Francesca Cornelli and David Goldreich

01-99: The High Volume Return Premium

Simon Gervais, Ron Kaniel and Dan Mingelgrin

01-98: Executive Compensation & the Boundary of the Firm: The Case of Short-Lived Projects

Gary Gorton and Bruce D. Grundy

01-97: An Equilibrium Model with Restricted Stock Market Participation (Reprint 066)

Suleyman Basak and Domenico Cuoco

01-96: General Properties of Option Prices (Revision of 11-95) (Reprint 058)

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

01-95: On the Integration of the US Equity Markets (Revised: 18-95)

Marshall E. Blume and Michael Goldstein

01-94: A General Equilibrium Model of Portfolio Insurance (Reprint 053)

Suleyman Basak

01-93: The Design of Bank Loan Contracts, Collateral, and Renegotiation (Revised: 2-96)

Gary Gorton and James Kahn

01-92: Security Prices and Market Transparency (Revision of 12-90)

Ananth Madhavan

01-91: Tests of Asset Pricing Models with Changing Expectations

Wayne Ferson, Stephen R. Foerster and Donald Keim

01-90: Asset Prices Under Habit Formation and Catching Up With the Jones

Andrew Abel

01-89: Signalling and the Pricing of Unseasoned New Issues

Mark Grinblatt and Chuan Yang Hwang

01-88: Investment Earnings and the Initial Dividend Decision

Douglas P. McCann

01-87: Seasonality, Cost Shocks and the Production Smoothing Model of Inventories

Jeffrey Miron and Stephen Zeldes

01-86: Stock Return Anomalies and the Asset Pricing Tests: The Case of the Arbitrage Pricing Theory

M. Gultekin and B. Gultekin

01-85: A Residuals-Based Wald Test for the Linear Simultaneous Equation

Andrew Lo and Whitney Newey

01-83: Bond Indexation and Exhaustible Resources and Depletion

Howard Kaufold

01-82: Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency

Robert Stambaugh

01-81: Comment on Inflation and the Stock Market

Irwin Friend and Joel Hasbrouck

01-80: On Dealer Markets Under Competition

Thomas Ho and Hans Stoll

m01-80: Impediments to Capital Formation

Marshall E. Blume, Irwin Friend and Randolph Westerfield

01-79: Stock Returns and Dividend Yields: Some More Evidence

Marshall E. Blume

m01-78: Financial Effects of Capital Tax Reforms

Marshall E. Blume, Jean Crockett and Irwin Friend

01-78: Advantages and Limitations of International Portfolio Diversification

Irwin Friend and Etienne Losq

01-77: Implications of Growing Institutionalization of the Stock Market

Irwin Friend

01-76: Mutual Fund Separation in Financial Theory - The Separating Distributions

Stephen Ross

01-75: The Incorporation of Inventory Expectations into Econometric Models

Marshall E. Blume and Irwin Friend

01-74: The Demand for Risky Assets

Irwin Friend and Marshall E. Blume

01-73: Mythodology in Finance

Irwin Friend

01-72: The Pricing of Underwritten Offerings and the Compensation of Underwriters (Revised)

Hans Stoll

01-71: A New Look at the Capital Asset Pricing Model

Marshall E. Blume and Irwin Friend

01-00: Liquidity Provision during Circuit Breakers and Extreme Market Movements

Michael Goldstein and Kenneth A. Kavajecz