Research Program in Finance Working Papers

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University of California at Berkeley, Berkeley, CA USA.
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RPF-244: Optimal Cash Management for Investment Funds

Hayne Leland and Gregory Connor.

RPF-243: Foreign Exchange Volume: Sound and Fury Signifying Nothing?

Richard Lyons

RPF-242: Explaining Forward Exchange Bias...Intraday

Richard K. Lyons and Andrew K. Rose.

RPF-241: On the Accounting Valuation of Employee Stock Options

Mark Rubinstein.

RPF-240: Bond Prices, Yield Spreads, and Optimal Capital Structure with Default Risk

Hayne Leland

RPF-239: Gains from Diversifying into Real Estate: Three Decades of Portfolio Returns Based on the Dynamic Investment Model

Robert R. Grauer and Nils H. Hakansson.

RPF-238: Options on Leveraged Equity with Default Risk

Klaus Bjerre Toft.

RPF-237: Exact Formulas for Expected Hedging Error and Transactions Costs in Option Replication

Klaus Bjerre Toft.

RPF-236: Dynamic Aggregation and Computation of Equilibria in Finite-Dimensional Economies with Incomplete Financial Markets

Domenico Cuoco and Hua H.

RPF-235: Market Structure and Liquidity on the Tokyo Stock Exchange

Bruce N. Lehmann and David M. Modest.

RPF-234: Trading and Liquidity on the Tokyo Stock Exchange: A Bird's Eye View

Bruce N. Lehmann and David M. Modest.

RPF-233: Corporate Debt Value, Bond Covenants, and Optimal Capital Structure

Hayne Leland

RPF-232: Implied Binomial Trees

Mark Rubinstein.

RPF-231: Optimal Transparency in a Dealership Market with an Application to Foreign Exchange

Richard Lyons

RPF-230: Tests of Microstructural Hypotheses in the Foreign Exchange Market

Richard Lyons

RPF-229: The Economic Functions of Derivatives: An Academician's Point of View

David Pyle.

RPF-228: Differential Information and Dynamic Behavior of Stock Trading Volume

Hua He and Jiang Wang.

RPF-227: The U.S. Savings and Loan Crisis

David H. Pyle.

RPF-226: Long-Term Debt Value, Bond Covenants, and Optimal Capital Structure

Hayne Leland

RPF-225: Liquidation Costs and Risk- Based Bank Capital

Helena M. Mullins and David H. Pyle.

RPF-224: The Strategic Timing of Corporate Disclosures

Gerard Gennotte and Brett Trueman.

RPF-223: Market Frictions and Consumption-Based Asset Pricing

Hua He and David M. Modest.

RPF-222: Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs

Gonzalo Rubio.

RPF-221: Equilibrium Asset Price Processes

Hua He and Hayne Leland.

RPF-220: Exotic Options

Mark Rubinstein.

RPF-219: Continuous Equilibrium in Speculative Markets with Heterogeneous Information

Lewis X. Lu.

RPF-218: Optimal Continuous Speculation with Information Extracted from Price History

Lewis X. Lu.

RPF-217: Portfolio Policies with Transactions Costs: Discrete Time Model

Alan Jung.

RPF-216: Commissions and Asset Allocation

Gerard Gennotte and Alan Jung.

RPF-215: Efficient Consumption-Portfolio Policies

Hua He and Chi-fu Huang.

RPF-214: Supershares

Nils Hakansson.

RPF-213: Investment Strategies under Transaction Costs: The Finite Horizon Case

Gerard Gennotte and Alan Jung.

RPF-212: Welfare Economics of Financial Markets

Nils H. Hakansson.

RPF-211: Low Margins, Derivative Securities, and Volatility

Gerard Gennotte and Hayne Leland.

RPF-210: Variations in Economic Uncertainty and Risk Premiums on Capital Assets

Gerard Gennotte and Terry A. Marsh.

RPF-209: Optimal Consumption-Portfolio Policies: A Convergence from Discrete to Continuous Time Models

Hua He

RPF-208: The Prepayment Uncertainty of Collateralized Mortgage Obligations

Steven Plaut

RPF-207: Reinsurance and Securitization of Deposit Insurance; A Workable Proposal for Risk-Based Pricing

Steven Plaut

RPF-206: On the Use of Mean-Variance and Quadratic Approximations in Implementing Dynamic Investment Strategies: A Comparison of Returns and Investment Policies

Robert R. Grauer and Nils H. Hakansson.

RPF-205: Continuously Rebalanced Investment Strategies

Mark Rubinstein.

RPF-203: Black Monday in New York, Blue Tuesday in Tokyo: The October 1987 Crash in Japan

Ulrike Schaede.

RPF-202: Specialist vs. Saitori: Market Making in New York and Tokyo

Richard R. Lindsey and Ulrike Schaede.

RPF-201: Industry vs. Other Factors in Risk Prediction

Jivendra K. Kale Nils H. Hakansson and Gerald W. Platt.

RPF-200: Consumption and Portfolio Decisions with Labor Income and Borrowing Constraints

Hua He and Henri F. Pags.

RPF-199: Convergence from Discrete to Continuous Time Contingent Claims Prices

Hua He

RPF-198: Pitfalls in Fisher Model Building: Interest Rates and Inflation in the Interwar Period

Joe Peek and James A. Wilcox.

RPF-197.: Capital Controls and Bank Risk

Gerard Gennotte and David Pyle

RPF-196: The Relationship Between Non- Arbitrage and Recursive Competitive Equilibrium Pricing

Richard Breen and Gregory Connor.

RPF-195: Insider Trading: Should It Be Prohibited?

Hayne Leland

RPF-194: Stein and CAPM Estimators of the Means in Portfolio Choice: A Case of Unsuccess

Robert R. Grauer and Nils H. Hakansson.