Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
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41-88: Rational Finite Bubbles

Franklin Allen and Gary Gorton

40-89: Self-Generating Trade and Rational Fads: The Response of Price to New Information

James Dow and Gary Gorton

40-88: Risky Business: The Clearance and Settlement of Financial Transactions

Ananth Madhavan, Morris Mendelson and Junius Peake

4-99: Going Public with Asymmetric Information, Agency Costs, and Dynamic Trading

Armando Gomes

4-98: Costs of Equity Capital and Model Mispricing

Lubos Pastor and Robert Stambaugh

4-97: A Specialist's Quoted Depth and the Limit Order Book

Kenneth A. Kavajecz

4-96: Optimal Consumption Choices for a "Large" Investor

Domenico Cuoco and Jaksa Cvitanic

4-95: Optimal Consumption and Equilibrium Prices with Portfolio Cone Constraints and Stochastic Labor Income

Domenico Cuoco

4-94: Evidence on the Objectives of Bank Managers

Joseph Hughes and Loretta Mester

4-93: Bayesian Inference and Portfolio Efficiency (Revision of 8-91) (Reprint 046)

Shmuel Kandel, Robert McCulloch and Robert Stambaugh

4-92: Differences in Execution Prices Among the NYSE, the Regionals and the NASD (Revised: 27-92)

Marshall E. Blume and Michael Goldstein

4-91: The Evolution of Mortgage Yield Concepts

Jack M. Guttentag

4-90: Equity Risk Premia and Corporate Profit Forecasts Around the Stock Crash of October 1987

Jeremy J. Siegel

4-89: When are Contrarian Profits Due to Stock Market Overreaction (Reprint 001)

Andrew Lo and Craig A. Mackinlay

4-88: Dividend Policy in Perspective: Can Theory Explain Behavior? (Revision of 30-86)

Jean Crockett and Irwin Friend

4-87: A Note on Clienteles and the Miller Model (Revised: 5-88)

Franklin Allen and Jeffrey A. Jaffe

4-86: A Game Theoretic Approach to the Capital Structure and Investment Decision Problems of a Levered Firm

S. Ryu

4-85: Effects of Taxation on Financial Markets

Irwin Friend

4-84: Risk and the Optimal Debt Level

Jeffrey Jaffe and Randolph Westerfield

4-83: Can Money Matter ?

Richard Startz

4-82: Effect of Inflation on the Profitability and Valuation of U.S. Corporations

Irwin Friend and Joel Hasbrouck

4-81: Testing Rational Expectations by the Use of Overidentifying Restrictions

Richard Startz

4-80: Risk Aversion with Initial Wealth

Richard E. Kihlstom, David Romer and Steve Williams

4-79: Implicit Interest on Demand Deposits

Richard Startz

4-78: Financial Consequences of Natural Disasters

Joseph Vinso

4-77: Inflation-Induced Distortions in Government and Private Saving Statistics

Jeremy J. Siegel

4-76: The Preferences of Financial Institutions for Construction and Permanent Mortgage

John M. Mason and Frederick H. Leaffer

4-75: Economic Foundations of Stock Market Regulation

Irwin Friend

4-74: On Corporate Debt Maturity Strategies

James A. Morris

4-73: Performance of New Mining Issues

James E. Walter

m4-73: Immediate, Short and Longer Run Performance of New Issues

Craig A. Simmons

4-72: Should the Two Parameter Capital Market Theories be Extended to Higher Order Moments? (Revised)

Jack Clark Francis

4-71: Efficiency of Corporate Investment

Irwin Friend and Frank Husic

4-00: Two-Class Voting: A Mechanism for Conflict Resolution?

Ernst Maug and Bilge Yilmaz

39-89: Developments in the Theory of Security Pricing and Market Structure (Revised: 20-91, 6-92)

Marshall E. Blume and Jeremy J. Siegel

39-88: Order Imbalances and Stock Price Movements on October 19 and 20 (Revision of 20-88)

Marshall E. Blume, Craig A. MacKinlay and Bruce Terker

38-89: Returns and Volatility of Low-Grade Bonds 1977-1988

Marshall E. Blume, Donald Keim and Sandeep A. Patel

38-88: Private Information, Trading Volume, and Stock Return Variances

Michael J. Barclay, Robert H. Litzenberger and Jerold B. Warner

37-89: Exchange Rate Uncertainty, Forward Contracts and the Performance of Global Equity Portfolios

Jack D. Glen

37-88: Pricing Options Under Jump-Diffusion Processes

David S. Bates

36-89: Optimal Dynamic Trading with Leverage Constraints

Sanford Grossman and Jean-Juc Vila

36-88: The Cash Premium: Option Pricing Under Asymmetric Processes, with Applications to Options on Deutschemark Futures

David S. Bates

35-89: The Changing Nature of Debt and Equity: A Financial Perspective

Franklin Allen

35-88: The Loan Sales Market

Gary Gorton and Joseph Haubrich

34-89: The Money and Bond Markets in France: Segmentation vs. Integration

Bernard Dumas and Bertrand Jacquillat

34-88: Transaction Contracts

Gary Gorton and George Pennacchi

33-89: An Economic Analysis of Dual Trading

Sanford Grossman

33-88: Time Consistency of Monetary Policy in the Open Economy (Revised: 8-90)

Henning Bohn

32-89: The Valuation of Corporate Fixed Income Securities

In Joon Kim, Krishna Ramaswamy and Suresh Sundaresan

32-88: Real Exchange Rates: Heteroscedasticity and Reversion Toward PPP

Jack D. Glen