Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
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28-91: Budget Deficits and Government Accounting

Henning Bohn

28-90: The Crash of '87: Was it Expected? The Evidence from Options Markets

David S. Bates

28-89: Budget Balance Through Revenue or Spending Adjustments? Some Historical Evidence for the United States

Henning Bohn

28-88: Asymptotic Arbitrage Opportunities and Asset Market Equilibrium

Jevons C. Lee and Taychang Wang

28-87: The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation

Andrew Lo and Craig A. MacKinlay

28-86: The Interaction of Corporate and Government Financing in General Equilibrium

Simon Benninga and Eli Talmor

28-73: How Diversification Reduces Risk: Some Empirical Evidence

Randolph W. Westerfield

27-99: Mutual fund trading costs

John M.R. Chalmers, Roger M. Edelen and Gregory B. Kadlec

27-94: On the Predictability of Stock Returns: An Asset-Allocation Perspective (Reprint 057)

Shmuel Kandel and Robert Stambaugh

27-92: Displayed and Effective Spreads by Market (Revision of 4-92)

Marshall E. Blume and Michael Goldstein

27-91: The Myths and Reality of Low-Grade Bonds

Marshall E. Blume and Donald Keim

27-90: Banks and Loan Sales: Marketing Non-Marketable Assets (Reprint 051)

Gary Gorton and George Pennacchi

27-89: Variance Ratio Tests of a Random Walk in Real Exchange Rates

Jack D. Glen

27-88: Tax Smoothing with Financial Instruments (Reprint 004)

Henning Bohn

27-87: Tests of Asset Pricing Models with Changing Expectations

Wayne Ferson, Stephen Foerster and Donald Keim

27-86: Announcement Effects of New Equity Issues and the Use of Intraday Price Data

Michael J. Barclay and Robert H. Litzenberger

27-79: Optimal Dealer Pricing Under Transactions and Return Uncertainty

Thomas Ho and Hans Stoll

27-73: Rating Changes and Information in the Bond Market

John R. Percival

26-99: Aggregate Prixe Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns

Roger M. Edelen and Jerold B. Warner

26-94: Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revised: 9-95)

Donald Keim and Ananth Madhavan

26-92: Efficiency in the Savings and Loan Industry

Loretta Mester

26-91: An Ordered Probit Analysis of Transaction Stock Prices (Reprint 029)

Jerry Hausman, Andrew Lo and Craig A. MacKinlay

26-90: Measurement Distortion and Missing Contingencies in Optimal Contracts (Reprint 018)

Franklin Allen and Douglas Gale

26-89: Consumption and Fractional Differencing: Old and New Anomalies

Joseph Haubrich

26-88: Changing Risk, Changing Risk Premiums, and Dividend Yield Effects

Nai-Fu Chen, Bruce Grundy and Robert Stambaugh

26-87: Optimal Security Design

Franklin Allen and Douglas Gale

26-86: Financial Innovation in an Incomplete Market: An Empirical Study of Stripped Government Bonds

Hiromitsu Kanemasu, Robert H. Litzenberger and Jacques Rolfo

26-85: Monetary Versus Real Exchange Rate Targets when Capital Mobility is Limited

Alessandro Penati

26-79: The Relative Efficiency of Various Portfolios: Some Further Evidence

Marshall E. Blume

26-73: Managing the Corporate Financial Structure

James E. Walter and Michael R. Milken

25-99: The wildcard option in transaction mutual-fund shares

John M.R. Chalmers, Roger M. Edelen and Gregory B. Kadlec

25-94: Numerical Evaluation of the Critical Price and American Options

Walter Allegretto, Giovanni Barone-Adesi and Robert J. Elliott

25-92: A Quality and Risk-Adjusted Cost Function for Banks: Evidence on the "Too-Big-To-Fail" Doctrine

Joseph Hughes and Loretta Mester

25-91: Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment Around the Stock Crash of October 1987

Jeremy J. Siegel

25-90: Some Issues Associated with Business Debt

Lawrence Klein, N. B. Gultekin, M. N. Gultekin and Q. Mohiuddin

25-89: Pricing Physical Assets Internationally: A Non Linear Heteroskedastic Process for Equilibrium Real Exchange Rates

Bernard Dumas

25-88: A Mean-Variance Framework for Tests for Asset Pricing Models

Shmuel Kandel and Robert Stambaugh

25-87: Impact of Management and Non-Managerial Principal Stockholders on Capital Structure of Closely-Held and Publicly-Held Corporations?

Irwin Friend and Larry Lang

25-86: Optimal Portfolio Choice and the Collapse of a Fixed-Exchange Rate Regime

Alessandro Penati and George Pennacchi

25-85: On Multivariate Tests of the CAPM

Craig A. MacKinlay

25-79: Valuation of Loan Guarantees

Philip E. Jones and Scott P. Mason

25-73: Some Notes on the Capital Asset Pricing Model (CAPM), Short-Sale Restrictions and Related Issues

Stephen Ross

24-99: Household Securities Purchases, Transactions Costs, and Hedging Motives

Nicholas Souleles

24-94: ALM in Banks (Revised 8-96)

Giovanni Barone-Adesi

24-92: Churning Bubbles (Reprint 039)

Franklin Allen and Gary Gorton

24-91: Quantity-Adjusting Options and Forward Contracts (Revised: 29-91)

David Babbel and Larry Eisenberg

24-90: Returns and Volatility of Low-Grade Bonds 1977-1989 (Reprint 005)

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

24-89: On the Econometrics of Predicting Inflation from the Nominal Interest Rate

Jean A. Crockett

24-88: The Stock Market Crash of 1987: A Macro-Finance Perspective

Jeremy J. Siegel

24-87: The Size Effect on Stock Returns: It is a Simply a Risk Effect not Adequately Reflected by the Usual Measures?

Irwin Friend and Larry Lang