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

m2-73: Performance of Bank Managers of Trust Funds

William G. Burns and Richard H. Klemm

2-73: The Arbitrage Theory of Capital Asset Pricing

Stephen Ross

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

Francesca Cornelli and David Goldreich

19-99: Estimating the Returns to Insider Trading

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

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