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Research Program in Finance Working Papers

From University of California at Berkeley
University of California at Berkeley, Berkeley, CA USA.
Contact information at EDIRC.

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RPF-295: On Adaptive Tail Index Estimation for Financial Return Models Downloads
Niklas Wagner and Terry Marsh.
RPF-294: Rational Markets: Yes or No? The Affirmative Case Downloads
Mark Rubinstein.
RPF-293: Return-Volume Dependence and Extremes in International Equity Markets Downloads
Terry A. Marsh and Niklas Wagner.
RPF-292: On the Relation Between Binomial and Trinomial Option Pricing Models Downloads
Mark Rubinstein.
RPF-291: Corporate Diversification and Agency Downloads
Benjamin E. Hermalin and Michael L. Katz.
RPF-289: Credit Derivatives in Banking: Useful Tools for Managing Risk? Downloads
Gregory R. Duffee and Chunsheng Zhou.
RPF-288: Order Flow and Exchange Rate Dynamics Downloads
Martin D. D. Evans and Richard K. Lyons.
RPF-287: The Role of a Corporate Bond Market in an Economy - and in Avoiding Crises Downloads
Nils H. Hakansson
RPF-286: Housing Return and Construction Cycles Downloads
Matthew Spiegel.
RPF-285: Search Costs: The Neglected Spread Component Downloads
Mark D. Flood Ronald Huisman Kees G. Koedijk and Richard Lyons.
RPF-284: Valuation and Return Dynamics of New Ventures Downloads
Jonathan B. Berk Richard C. Green and Vasant Naik.
RPF-283: Predicting Excess Returns with Public and Insider Information: The Case of Thrift Conversions Downloads
James A. Wilcox and Zane D. Williams.
RPF-282: The "Credit Crunch" and the Availability of Credit to Small Business
Diana Hancock and James A. Wilcox.
RPF-281: Dynamic Optimal Risk Management and Dividend Policy under Optimal Capital Structure and Maturity Downloads
Michael P. Ross.
RPF-280: Corporate Hedging: What, Why and How? Downloads
Michael P. Ross.
RPF-279: Pricing Derivatives the Martingale Way Downloads
Pierre Collin Dufresne William Keirstead and Michael P. Ross.
RPF-278: Agency Costs, Risk Management, and Capital Structure Downloads
Hayne Leland
RPF-277: Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt) Performance Measures: The Case of Industry Rotation Via the Dynamic Investment Model Downloads
Robert R. Grauer and Nils H. Hakansson.
RPF-276: Closed-End Fund Discounts in a Rational Agent Economy Downloads
Matthew Spiegel.
RPF-275: Edgeworth Binomial Trees Downloads
Mark Rubinstein.
RPF-274-Rev: Derivatives Performance Attribution Downloads
Mark Rubinstein.
RPF-273: Profits and Position Control: A Week of FX Dealing Downloads
Richard Lyons
RPF-272: Bank Risk Management: Theory Downloads
David H. Pyle.
RPF-271: International Portfolio Investment Flows Downloads
Michael J. Brennan. and H. Henry Cao.
RPF-270: Is There Private Information in the FX Market? The Tokyo Experiment Downloads
Takatoshi Ito Richard K. Lyons and Michael T. Melvin.
RPF-269: Are Investors Reluctant to Realize Their Losses? Downloads
Terrance Odean
RPF-268: A Theory of Corporate Capital Structure and Investment Downloads
Miguel Cantillo Simon.
RPF-267: Options and Expectations
Hayne Leland
RPF-266: Volume, Volatility, Price and Profit When All Trader Are Above Average Downloads
Terrance Odean
RPF-265: Recovering Risk Aversion from Option Prices and Realized Returns Downloads
Jens Carsten Jackwerth.
RPF-264: Generalized Binomial Trees Downloads
Jens Carsten Jackwerth.
RPF-263-rev: Beyond Mean-Variance: Performance Measurement of Portfolios Using Options or Dynamic Strategies Downloads
Hayne Leland
RPF-262: Implied Binomial Trees: Generalizations and Empirical Tests Downloads
Jens Carsten Jackwerth.
RPF-261: Optimal Asset Rebalancing in the Presence of Transactions Costs Downloads
Hayne Leland
RPF-260: Stock Price Volatility in a Multiple Security Overlapping Generations Model Downloads
Matthew Spiegel.
RPF-259: Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
Hayne E. Leland and Klaus Bjerre Toft.
RPF-258: Imperfect Competition in Securities Markets with Diversely Informed Traders
Huining Cao
RPF-257: The Efficacy of Insider Trading Regulation
Matthew Spiegel and Avanidhar Subrahmanyam.
RPF-256-Rev: How Do Firms Choose Their Lenders? An Empirical Investigation Downloads
Miguel Cantillo and Julian Wright.
RPF-255: A Theory of Corporate Capital Structure and Investment
Miguel Cantillo
RPF-254-Rev: The Rise and Fall of Bank Control in the United States: 1890-1920 Downloads
Miguel Cantillo
RPF-253: A Spatial Model of Housing Returns and Neighborhood Substitutability Downloads
William N. Goetzmann and Matthew Spiegel.
RPF-252: Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach Downloads
Jacob Boudoukh Matthew Richardson Richard Stanton and Robert F. Whitelaw.
RPF-251: Mortgage Choice: What's the Point?
Richard Stanton and Nancy Wallace.
RPF-250: Implied Probability Distributions: Empirical Analysis
Jens Carsten Jackwerth and Mark Rubinstein.
RPF-249: A Variable Reduction Technique for Pricing Average-Rate Options
Hua He and Akihiko Takahashi.
RPF-248: Double Lookbacks
Hua He William P. Keirstead and Joachim Rebholz.
RPF-247: Anatomy of an ARM: Index Dynamics and Adjustable Rate Mortgage Valuation Downloads
Richard Stanton and Nancy Wallace.
RPF-246: Effects of Competition on Bidder Returns
Sankar De Mark Fedenia and Alexander J. Triantis.
RPF-245: On Revelation of Private Information in Stock Market Economies
Marcus Berliant and Sankar De.
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