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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
K.K. 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, B. Dumas and R.C. Marston
1996: Consumption, Stock Returns, and the Gains from International Risk-Sharing
K.K. 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
K.K. 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
B. Dumas and B. Solnik
1993: Siegel's Paradox and Pricing of Currency Options
B. Dumas, Peter Jennergren and B. Naslund
1993: Currency Option Pricing in Credible Target Zones
B. Dumas, Peter Jennergren and B. Naslund
1993: Realignment Bank and Currency Option Pricing in Target Zones
B. 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 K.K. 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?
K. Lewis and Martin Evans
1993: Are Foreign Exchange Intervention and Monetary Policy Related and Does it Really Matter
K. 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 K.K. 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
B. 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?
B. 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 B. 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
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