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Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
Contact information at EDIRC.

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14-80: Majority Choice Determination of the Level of Non-Neutral Government Debt
Simon Benninga
14-91: Limited Market Participation and Volatility of Asset Prices (Revised: 2-92)
Franklin Allen and Douglas Gale
14-75: The Value of the Firm Under Regulation
Jeffrey F. Jaffe and Gershon Mandelker
14-98: Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE Downloads
Michael Goldstein and Kenneth A. Kavajecz
14-83: Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests
Wayne Ferson
14-84: Protopapadakis, Aris/Stoll, Hans = The Law of One Price in International Commodity markets: A Reformulation and some Formal Tests
Reformulation and some Formal Tests
14-87: Loan Sales, Recourse, and Reputation: An Analysis of Secondary Loan Participations
Gary Gorton and Joseph Haubrich
14-99: Adverse Selection and Competitive Market Making: Empirical Evidence from a Pure Limit Order Market
Patrik Sandas
14-96: Financial Markets, Intermediaries, and Intertemporal Smoothing (Revision of 5-95) (Reprint 061)
Franklin Allen and Douglas Gale
14-95: Testing Option Pricing Models
David S. Bates
14-82: The Use of 'Alphas' to Improve Investment Performance
Marshall E. Blume
14-00: Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices Downloads
Yeung Lewis Chan and Leonid Kogan
14-86: The Role of Risk Aversion in the Determination of Equilibrium Stock Prices and their Variability
K. Y. Kim
14-94: Dividend Policy (Reprint 050)
Franklin Allen and Roni Michaely
14-79: Optimal Multi-Period Insurance Companies
Itzhak Venezia and Haim Levy
14-73: An Application of the Decomposition Principle to Financial Decision Models
James R. Morris
14-89: The Valuation of Callable Bonds
Marshall E. Blume and Donald Keim
14-93: A Unified Model of Investment Under Uncertainty
Andrew Abel and Janice Eberly
13-77: The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks
Hans Stoll
13-88: Endogenous Government Spending & Ricardian Equivalence (Revised: 9-90)
Henning Bohn
13-79: Can State Bank Examination Data Replace FDIC Examination Visits
Mark Flannery
13-00: Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies Downloads
Leonid Kogan and Raman Uppal
13-84: Government Bond Returns, Measurement of Interest Rate Risk and the Arbitrage Pricing Theory (Revision of 21-83)
Bulent N. Gultekin and Richard Rogalski
13-94: A Welfare Comparison of the German and U.S. Financial Systems (Reprint 047)
Franklin Allen and Douglas Gale
13-90: Stock Price Manipulation (Reprint 025)
Franklin Allen and Douglas Gale
13-98: Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing Downloads
Bruce D. Grundy and J. Spencer Martin
13-87: A Simple Specification Test of the Random Walk Hypothesis
Andrew Lo and Craig A. MacKinlay
13-83: Alternative Duration Specifications and the Measurement of Basis Risk: Empirical Tests
Bulent Gultekin and Richard Rogalski
13-97: The Information Value of Bond Ratings
Doron Kliger and Oded Sarig
13-72: Using the Capital Asset Pricing Model and the Market Model to Predict Security Returns (Revised)
Richardson R. Pettit and Randolph Westerfield
13-82: The Real Exchange Rate, the Current Account and the Speed of Adjustment
Francesco Giavazzi and Charles Wyplosz
13-99: Asset Pricing Models: Implications for Expected Returns and Portfolio Selection Downloads
A. Craig MacKinlay and Lubos Pastor
13-92: Temporary Components of Stock Prices: A Skeptic's View (Reprint 032)
Matthew Richardson
13-75: The Allocative Efficiency of the Private Housing Finance Sector
Robert H. Edelstein and Irwin Friend
13-73: A Structural Study of the Income Velocity of Circulation
John M. Mason
13-91: The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview (Revision of 5-91)
Jeremy J. Siegel
13-80: Effect of Inflation on the Profitability and Valuation of U.S. Corporations
Irwin Friend and Joel Hasbrouck
13-76: The Value of an Option to Exchange One Asset for Another
William Margrabe
13-81: On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis
Robert Stambaugh
13-89: Birth, Death and Taxes
Andrew Abel
13-78: Factor Price Equalization Under Uncertainty
Bernard Dumas
13-74: A Model for Corporate Debt Maturity Decisions
James R. Morris
13-95: Does Section 16b Deter Insider Trading by Target Managers? [Are Target Managers Afraid of Section 16b?] (Revision of 16-94) (Reprint 048)
Anup Agrawal and Jeffrey F. Jaffe
13-86: On the Assessment of Return Generating Models (Revision of 13-86)
M. E. Blume, M. Gultekin and B. Gultekin
13-96: The Declining Credit Quality of US Corporate Debt: Myth or Reality (Revised: 3-98)
Marshall E. Blume, Felix Lim and Craig A. MacKinlay
12-83: Bank Dividend Policy and the Prediction of Future Bank Accounting Returns
Michael Smirlock and William Marshall
12-78: Public Disclosure Rules, Private Information-Production Decisions and Captial Market Equilibrium
Nicholas J. Gonedes
12-73: The Determinants of Value in the Philadelphia Housing Market: A Case Study of the Main Line, 1967-1969
Robert H. Edelstein
12-99: Econometric Models of Limit-Order Executions Downloads
Andrew Lo, A. Craig MacKinlay and June Zhang
12-98: Capital Market Equilibrium with Differential Taxation
Suleyman Basak and Michael Gallmeyer
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