Weiss Center Working Papers

From Wharton School - Weiss Center for International Financial Research
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2000: Using Asset Prices to Measure the Cost of Business Cycles

Fernando Alvarez and Urban Jermann

1999: Optimal Forward Contracts

S. Ghosh

1998: International Portfolio Diversification and Endogenous Labour Supply Choice

Urban Jermann

1998: Explaining Home Bias in Equities and Consumption

Karen Lewis

1998: Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium

Suleyman Basak and Michael Gallmeyer

1998: Derivatives Usage in Risk Management by US and German Non-Financial Firms: A Comparative Survey

Gordon Bodnar and G. Gebhart

1998: Both Sides of Corporate Diversification: The Value Impacts of Geographic and Industrial Diversification

Gordon Bodnar, C. Tang and J. Weintrop

1998: Pass-Through and Exposure

Gordon Bodnar, Bernard Dumas and R.C. Marston

1996: Consumption, Stock Returns, and the Gains from International Risk-Sharing

Karen Lewis

1996: The Effects of Industry Structure on Economic Exposure

R.C. Marston

1996: Price Convergence of Periphical European Countries on the Way to the EMU: A Time Series Approach

Mariam Camarero, Vicente Esteve and Cecilio Tamarit

1996: The Peseta Real Exchange Rate: Which Are Its Determinants?

Mariam Camarero, Vicente Esteve and Cecilio Tamarit

1994: Puzzles in international Financial Markets

Karen Lewis

1994: Exchange Rate Variability and the Riskiness of U.S. Multinational Firms: Evidence from the Breakdown of the Bretton Woods System

E. Bartov, G.M. Bodmar and A. Kaul

1993: The World Price of Foreign Exchange Risk

Bernard Dumas and B. Solnik

1993: Siegel's Paradox and Pricing of Currency Options

Bernard Dumas, Peter Jennergren and B. Naslund

1993: Currency Option Pricing in Credible Target Zones

Bernard Dumas, Peter Jennergren and B. Naslund

1993: Realignment Bank and Currency Option Pricing in Target Zones

Bernard Dumas, Peter Jennergren and B. Naslund

1993: Explaining Overnight Variation in Japanese Stock Returns: The Information Content of Derivative Securities

A. Dravid, M. Richardson and A. Craig

1993: Trends in Expected Returns in Currency and Bond Markets

Martin Evans and Karen Lewis

1993: Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in PHLX Deutschemark Options

D.S. Bates

1993: Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?

Karen Lewis and Martin Evans

1993: Are Foreign Exchange Intervention and Monetary Policy Related and Does it Really Matter

Karen Lewis

1993: Innovations to Enhance Liquidity: Implications for Systemic Risk

R.J. Herrig

1992: Does Foreign Exchange Intervention Signal Future Monetary Policy?

Graciela Kaminsky and Karen Lewis

1992: Determinants of Short-Term Real Interest Differentials Between Japan and the United States

R.C. Marston

1992: Partial-Equilibrium vs General-Equilibrium Models of International Capital Market Equilibrium

Bernard Dumas

1991: the real rate of Interest from 1800-1990: A Study of the U.S. and U.K

J.J. Siegel

1991: Bayesian Inference and Portfolio Efficiency

Shmuel Kandel, R. McCulloch and Robert Stambaugh

1991: Rational Expectations and Stock Market Bubbles

Franklin Allen and Andrew Postlewaite

1991: Effects of Bid-Ask Spreads and Prices Discreteness on Stock Returns

A.R. Dravid

1991: The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview

J.J. Siegel

1991: Differences in execution Prices among the Nyse, the Regionals and the NASD

M.E. Blume and Michael Goldstein

1991: Budget Balance Through Revenue or Spending Adjustments? Some Historical Evidence for the United States

Henning Bohn

1991: Quantity-Adjusting Options and Forward Contracts

David Babbel and Larry Eisenberg

1991: Budget Deficits and Government Accounting

Henning Bohn

1991: The Myths and Reality of Low-Grade Bonds

M.E. Blume and Donald Keim

1991: An Ordered Probit Analysis of Transaction Stock Prices

Jerry Hausman, Andrew Lo and A.C. MacKinlay

1991: Equity Risk Premia, Corporate Profit Forcasts, and Investor Sentiment Around the Stock Crash of October 1987

J.J. Siegel

1991: Quantity-adjusting Options and Forward Contracts

David Babbel and Larry Eisenberg

1991: Generalized put-Call parity

David Babbel and Larry Eisenberg

1991: Stock Price Manipulation, Market Microstructure and Asymetric Information

Franklin Allen and Gary Gorton

1991: The Theory of Security Pricing and Market Structure

M.E. Blume and J.J. Siegel

1991: Limited Market Participation and Volatility of Asset Prices

Franklin Allen and Douglas Gale

1991: A Baysian Model of Intraday Specialist Pricing

Ananth Madhavan and S. Smidt

1991: Strategic Consideration for Privitizing Central-Eastern Europe

M. Mendelson

1991: How Long do Unilateral Target Zones last?

Bernard Dumas and Lars Svensson

1991: Options on two Risky Assets: Nikkei Index Warrants

A. Dravid, M. Richardson and T-S. Sun

1991: On Testing Sustainability of Government Deficits in a Stochastic Environment

Henning Bohn

1991: The Sustainnability of Budget Deficit in a Stochastic Economy

B. Henning

1991: Risk and Returns of low-Grade Bonds: An Update

D.B. Kein and M.E. Blume

1991: Limited Market Participation and Volatility of Asset Prices

Douglas Gale and Franklin Allen

1991: The Behavior of Stock Returns Around N.B.E.R. Turning Points: An Overview

J.J. Siegel

1991: Robust Power Calculations With tests for Serial Correlation in stock Returns

T. Smith and M. Richardson

1991: Option Prices and the Underlying Asset's Return Distribution

R.D. Grundy

1991: Historical Returns: The Case for Equity

J.J. Siegel

1991: Security Prices and Market Transparency

Ananth Madhavan

1991: Test of Asset Pricing Models With Changing Expectations

Wayne Ferson, S.R. Foester and D.B. Kein

1990: THE CONSISTENCE OF MONETARY POLICY IN THE OPEN ECONOMY

Henning Bohn

1990: ASSET RETURNS, INVESTMENT HORIZONS, AND INTERTEMPORAL PREFERENCES

Shmuel Kandel and Robert Stambaugh

1990: THE SUTAINABILITY OF BUDGET DEFICITS IN A STOCHASTIC ECONOMY

Henning Bohn

1990: THE RISK AND RETURN CHARACTERISTICS OF STOCK MARKET-BASED REAL ESTATE INDEXES AND THEIR RELATION TO APPRAISAL- BASED RETURNS

Joseph Gyourko and Donald Keim

1990: THE CRASH OF '87: WAS IT EXPECTED? THE EVIDENCE FROM OPTIONS MARKETS

D.S. Bates

1990: MEASUREMENT DISTORTION AND MISSING CONTINGENCIES IN OPTIMAL CONTRACTS

Franklin Allen and Douglas Gale

1990: RETURNS AND VOLATILITY OF LOW-GRADE BOUNDS 1977-1989

M.E. Blume, D.B. Kein and S.A. Patel

1990: THE CONSUMPTION OF STOCKHOLDERS AND NON-STOCKHOLDERS

N. Gregory Mankiw and Stephen Zeldes

1990: Adjustment of Consumers'durables Stocks: Evidence from Automobile Purchases

Janice Eberly

1990: THE INFORMATION ROLE OF UPSTAIRS AND DOWNSTAIRS TRADING

Sanford Grossman

1990: HOW RATIONAL IS THE MARKET? TESTING ALTERNATIVE HYPOTHESES ON FINANCIAL MARKET EQUILIBRIUM

Larry Lang, R.H. Litzenberger and V. Madrigal

1990: MONETARY CONTRACTING BETWEEN CENTRAL BANKS AND THE DESIGN OF SUSTAINABLE EXCHANGE-RATE ZONES

F. Delgado and Bernard Dumas

1990: FINANCING LOSERS IN COMPETITIVE MARKETS

Andrew Abel and George Mailath

1990: THE SUBSTAINABILITY OF BUDGET DEFICITS WITH LUMP-SUM AND WITH INCOME-BASED TAXATION

Henning Bohn

1990: INTERTEMPORAL PRICE DISCOVERY BY MARKET MAKERS: ACTIVE VERSUS PASSIVE LEARNING

J.C. Leach and Ananth Madhavan

1990: ASSET PRICES UNDER HABIT FORMATION AND CATCHING UP WITH THE JONESES

Andrew Abel

1989: EQUITY RISK PREMIA AND CORPORATE PROFIT FORECASTS AROUND THE STOCK CRASH OF OCTOBER 1987

J.J. Siegel

1989: SELF-GENERATING TRADE AND RATIONAL FADS: THE RESPONSE OF PRICE TO NEW INFORMATION

James Dow and Gary Gorton

1989: SOME ISSUES ASSOCIATED WITH BUSINESS DEBT

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