Rodney L. White Center for Financial Research Working Papers

From Wharton School Rodney L. White Center for Financial Research
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18-79: Bank Reserves and Macroeconomic Stability

Jeremy J. Siegel

18-77: Diversification and Asset Valuation in an International Capital Market

Etienne Losq

18-76: A Determination of the Risk of Ruin

Joseph D. Vinso

18-74: The Micro Foundations of Equilibrium in a Monetary Economy: a Transactions Cost Approach

Anthony Santomero

18-73: Security Analysis in Efficiency Markets

Daniel Rie

18-72: Risk, Investment Strategy and the Long-Run Rates of Return

Marshall E. Blume and Irwin Friend

17-99: Equilibrium Mispricing in a Capital Market with Portfolio Constraints

Suleyman Basak and Benjamin Croitoru

17-98: Risk Arbitrage in Takeovers

Francesca Cornelli and David D. Li

17-95: Bank Capital Regulation in General Equilibrium

Gary Gorton and Andrew Winton

17-94: Limiting Differences Between Forward and Futures Prices in a Lucas Consumption Model

Zvi Wiener, Simon Benninga and Aris Protopapadakis

17-93: Estimating Conditional Expectations When Volatility Fluctuates

Robert Stambaugh

17-92: A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Information Flow Throughout the Day

Mathew Richardson and Tom Smith

17-91: The Sustainability of Budget Deficits in a Stochastic Economy (Revision of 6-90) (Reprint 014)

Henning Bohn

17-90: The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation

Henning Bohn

17-89: Trading Technology and Financial Market Stability

Sanford Grossman

17-88: An Empirical Investigation of Bond Prices and Inflation

George Pennacchi

17-87: Risk and Return Characteristics of Lower Grade Bonds

Marshall E. Blume and Donald Keim

17-86: Risk and Return Characteristics of Lower-Grade Bonds

Marshall E. Blume and Donald Keim

17-85: Budget Deficit, External Official Borrowing, and Sterilized Intervention Policy in Foreign Exchange Markets

Alessandro Penati

17-84: Partial Deposit, Bank Runs and Private Deposit Insurance

George Pennacchi

17-83: Stock Market Seasonality: Internal Evidence

Mustafa Gultekin and Bulent Gultekin

17-82: Spot and Futures Prices and the Law of One Price

Aris Protopapadakis and Hans Stoll

17-81: The Insolvency of Financial Institutions: Assessment and Regulatory Disposition

Jack Guttentag and Richard Herring

17-80: Corporate Financial Policy in Markets with Short Sale Restrictions

Simon Benninga

17-79: Commodity Futures and Spot Price Determination and Hedging in Capital Market Equilibrium

Hans Stoll

17-77: General Equilibrium with Financial Markets: Existence, Uniqueness and the Implications for for Corporate Finance

Simon Benninga

17-76: Transactions and Costs in the Agency Bond Market

John S. Bildersee

17-74: The Forward Market and Interest Rates in the Eurocurrency and National Money Markets

Richard J. Herring and Richard C. Marston

17-73: Return, Risk and Arbitrage

Stephen Ross

17-72: Improving the Selection of Credit Risks: An Analysis of a Commercial Bank Minority Lending Program

Robert H. Edelstein

16-99: Comparing Asset Pricing Models: An Investment Perspective

Lubos Pastor and Robert Stambaugh

16-98: Are Transactions and Market Orders More Important than Limit Orders in the Quote Updating Process?

Ron Kaniel and Hong Liu

16-95: Stock Market Efficiency and Economic Efficiency: Is There a Connection?

James Dow and Gary Gorton

16-94: Are Target Managers Afraid of Section 16b? (Revised: 13-95)

Anup Agrawal and Jeffrey F. Jaffe

16-93: A Tale of Two Cities: Racial and Ethnic Geographic Disparities in Home Mortgage Lending in Boston and Philadelphia

Michael H. Schill and Susan Wachter

16-92: Finite Bubbles with Short Sale Constraints and Asymmetric Information (Reprint 042)

Franklin Allen, Stephen Morris and Andrew Postlewaite

16-91: Optimal State-Contingent Capital Taxation: When is there and Indeterminancy?

Henning Bohn

16-90: Trading Mechanisms in Securities Markets

Ananth Madhavan

16-89: On Cash-In-Advance Models of Money Demand and Asset Pricing (Reprint 007)

Henning Bohn

16-88: Consumption and Liquidity Constraints: An Empirical Investigation

Stephen Zeldes

16-87: Incomplete and the Endogeneity of Central Banking

Gary Gorton

16-86: Optimal Contracts for Security Analysts and Portfolio Managers

Richard Kihlstom

16-85: Deposit Deregulation and Monetary Policy

Anthony M. Santomero and Jeremy J. Siegel

16-84: On the Optimality of Portfolio Insurance

Simon Benninga and Marshall Blume

16-82: Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests

Wayne Ferson

16-81: Some Indirect Evidence on Effective Capital Gains Tax Rates

Aris Protopapadakis

16-80: Heterogeneous Information and the Theory of the Business Cycle

Sanford Grossman and Laurence Weiss

16-79: The Capital Asset Pricing Model and Inflation and the Investment Horizon: The Israeli Experience

Haim Levy

16-77: Implicit Consumer Valuations, Bankruptcy, the Value of the Firm and Dividend Policy

Simon Benninga

16-76: Capital Budgeting and Portfolio Theory

John S. Bildersee