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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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2-76: Alternative Investment Performance Fee Arrangements and Implication for SEC Regulatory Policy: A Comment
William Margrabe
2-75: The Pricing of Options for Jump Processes
John C. Cox and Stephen Ross
2-74: Some New Bond Indexes
John S. Bildersee
2-73: The Arbitrage Theory of Capital Asset Pricing
Stephen Ross
m2-73: Performance of Bank Managers of Trust Funds
William G. Burns and Richard H. Klemm
2-72: A Model of Capital Asset Risk (revised)
Richardson R. Pettit and Randolph Westerfield
2-71: Dividend Announcements, Security Performance, and Capital Market Efficiency
Richardson R. Pettit
2-00: Bookbuilding and Strategic Allocation Downloads
Francesca Cornelli and David Goldreich
19-99: Estimating the Returns to Insider Trading Downloads
Leslie A. Jeng, Andrew Metrick and Richard Zeckhauser
19-98: Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
A. Craig MacKinlay and Lubos Pastor
19-95: Stochastic Volatility: Univariate and Multivariate Extensions
Eric Jacquier, Nicholas G. Polson and Peter Rossi
19-94: Noise Trading, Delegated Portfolio Management, and Economic Welfare
James Dow and Gary Gorton
19-93: Direct Evidence of Non-Trading of NYSE and AMEX Stocks
Stephen R. Foerster and Donald Keim
19-92: The Dynamics of Information Incorporation into Asset Prices: An Empirical Analysis
Shmuel Kandel, Aharon R. Ofer and Oded Sarig
19-91: On Testing Sustainability of Government Deficits in a Stochastic Environment
Henning Bohn
19-90: The Enforceability of Private Money Contracts, Market Efficiency, and Technological Change
Gary Gorton
19-89: An Econometric Analysis of Nonsyschronous-Trading
Andrew Lo and Craig A. MacKinlay
19-88: A Positive Theory of Foreign Currency Debt
Henning Bohn
19-87: The Social Value of Asymmetric Information
Franklin Allen
19-86: The Effect of Implicit Deposit Insurance on Banks Portfolio Choices with an Application to International 'Overexposure'
George Penati and Aris Protopapadakis
19-85: A Dynamic Model of Optimal Investment and Financial Policies with Costs of Adjustment and Leverage
Andrew Lo
19-84: Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology (Revised: 10-85)
Andrew Lo
19-83: Market Model Stationarity and Timing of Structural Change
Chi-Wen Jevons Lee
19-82: Some Indirect Evidence on Effective Capital Gains Tax Rates
Aris Protopapadakis
19-81: Private Discrimination and Social Intervention in Competitive Labor Markets
Richard Startz and Shelly Lundberg
19-80: The Endogeneity of Money During the German Hyperinflation: A Reappraisal
Aris Protopapadakis
19-79: Indexation Dynamics: A Walrasian View
Bulent Gultekin and Anthony M. Santomero
19-77: Sterilization Policy: The Trade-Off Between Monetary Autonomy and International Reserve Stability
Richard Herring and Richard Marston
19-76: Comparison of Forecasting Models for Interest Rates
Jean Crockett
19-74: Optimal Speculation Against a Market-Maker
Jeffrey Jaffe and Robert Winkler
19-73: Creating a New Financial Instrument: The Case of Reverse Mortgages
Jack M. Guttentag
19-72: Unbiased Estimators of Long-Run Expected Rates of Return
Marshall E. Blume
18-99: Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation Downloads
Klaas Baks, Andrew Metrick and Jessica Wachter
18-98: Revenue Efficiency and Change of Control: The Case of Bankruptcy
Francesca Cornelli and Leonardo Felli
18-95: Quotes, Order Flow, and Price Discovery (Revision of 1-95) (Revised: 3-96)
Marshall E. Blume and Michael Goldstein
18-94: How Far Apart Can Two Riskless Interest Rates (One Moves, the Other One Does Not)
Francisco Delgado and Bernard Dumas
18-93: Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (Revised: 12-94)
Donald Keim and Ananth Madhavan
18-92: A Test of Multivariate Normality in Stock Returns (Reprint 033)
Mathew Richardson and Tom Smith
18-91: What Does the Stock Market Tell Us About Real Estate Returns? (Revised: 11-92)
Joseph Gyourko and Donald Keim
18-90: Evaluating the Performance of Foreign Exchange Hedges
Jack D. Glen
18-89: Saving in the Twenty First Century
Jean Crockett
18-88: Are Loan Sales Really Off-Balance Sheet
Gary Gorton and George Pennacchi
18-87: Performance of Currency Portfolios Chosen by a Bayesian Technique: 1967-1985
Bernard Dumas and Betrand Jacquillat
18-86: Rational Ponzi Games
Stephen O'Connell and Stephen Zeldes
18-85: Valuation of Currency Denomination in Long-Term Debt Financing and Debt Refinancing: A Portfolio Model
Laurent Jacque and Pascal Lang
18-84: Optimal Financial Structure in Exchange Economies
Joseph Haubrich
18-83: A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory
Phoebus Dhrymes, Irwin Friend and Bulent Gultekin
18-82: The Neutrality of the Real Equilibrium Alternative Financing of Government Expenditures
Simon Benninga and Aris Protopapadakis
18-81: Aggregate Versus Disaggregate Models or Account Numbers: Empirical Results
Nicholas J. Gonedes and John Twombly
18-80: The Determinants of the Variability of Stock Market Price
Sanford Grossman and Robert Shiller
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