Research Program in Finance Working Papers

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University of California at Berkeley, Berkeley, CA USA.
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RPF-193: Moment Approximation and Estimation of Diffusion Models of Asset Prices

Hua He

RPF-192: Market Liquidity, Hedging and Crashes

Gerard Gennotte and Hayne Leland.

RPF-191: Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Constraints: The Infinite Dimensional Case

Hua He and Neil D. Pearson.

RPF-190: Convergence from Discrete to Continuous Time Financial Model

Hua He

RPF-189: Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Constraints: The Finite Dimensional Case

Hua He and Neil D. Pearson.

RPF-188: Industry Rotation in the U.S. Stock Market: 1934-1986 Returns on Passive, Semi-passive, and Active Strategies

Robert R. Grauer Nils H. Hakansson and Frederick C. Shen.

RPF-187: Market Basket Alternatives

Mark Rubinstein.

RPF-186: Competitive Pricing of Demand Deposits

David H. Pyle and Avinash K. Verma.

RPF-185: LBOs and Taxes: No One to Blame But Ourselves?

Hayne Leland

RPF-184: Market Liquidity, Hedging and Crashes

Gerard Gennotte and Hayne Leland.

RPF-183: The Arbitrage Pricing Theory: A State-Preference Analysis

Mark Latham.

182: Money and Off-Balance-Sheet Liquidity: An Empirical Analysis

Reuven Glick and Steven E. Plaut.

181: The Attributes, Behavior and Performance of U.S. Mutual Funds

Gregory Connor and Robert A. Korajczyk.

180: Debt and Market Incompleteness

Ehud I. Ronn and Lemma W. Senbet.

179: Stock Prices, Risk Premia, Inflation, and Uncertainty

Yoon Dokko and Robert H. Edelstein.

178: Off-Balance-Sheet Liquidity and Monetary Control

Reuven Glick and Steven E. Plaut.

177: Ex-Ante Characterization of an Efficient Portfolio

Richard C. Grinold.

176: An Intertemporal Equilibrium Beta Pricing Model

Gregory Connor and Robert Korajczyk.

175: New Cross-Sectional Regression Tests of Beta Pricing Models

Gregory Connor and Robert T. Uhlaner.

174: Risk and Return in an Equilibrium APT

Gregory Connor and Robert Korajczyk.

173: Estimating Pervasive Economic Factors with Missing Observations

Gregory Connor and Robert A. Korajczyk.

172: The Pricing of Bank Loans with Contingent Assets and Liabilities

Steven E. Plaut and Arie L. Melnik.

171: A New Option Spread Arbitrage Condition: Theory, Tests and Investment Strategies

Aimee G. Ronn and Ehud I. Ronn.

170: Non-Additive Preferences and the Marginal Propensity to Consume

Ehud I. Ronn.

169: A Multi-Attribute Comparative Evaluation of a Relative Risk for a Sample of Banks

Ehud I. Ronn and Avinash K. Verma.

168: Gains from International Diversification: l968-85 Returns on Portfolios of Stocks and Bonds

Robert R. Grauer and Nils H. Hakansson.

167: Stock Splits, Volatility Increases and Implied Volatilities

Aamir Sheikh.

166: Multiple Factor Risk Models and Exact Factor Pricing

Richard C. Grinold.

165: Inflation Futures and a Riskless Real Interest Rate

Bjorn Flesaker and Ehud I. Ronn.

164: Informational Efficiency and the Private Value of Information

Mark Latham.

163: Dividend Behavior for the Aggregate Stock Market

Terry A. Marsh and Robert C. Merton.

162: Empirical Assessment of Present Value Relations

Joe Mattey and Richard Meese.

161: On the Rationality of Common Stock Return Volatility

Ehud I. Ronn.

160: The Determination of Capital Adequacy Standards for Banks

Ehud I. Ronn and Avinash K. Verma.

159: A New Linear Programming Approach to Bond Portfolio Management

Ehud I. Ronn.

158: Financial Deregulation

David H. Pyle.

157: Stock Market Returns and Inflation: The Effects of Economic Uncertainty

Yoon Dokko and Robert H. Edelstein.

156: Aspects of Optimal Multiperiod Life Insurance

David F. Babbel and Eisaku Ohtsuka.

155: The Brennan and Schwartz Two Factor Model of the Term Structure of Interest; Empirical Extension

David F. Babble.

154: Optimal Insurance of the Common Form Under Moral Hazard

David F. Babbel and Jaime Cuevas Dermody.

153: A Half-Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds, and Bills, With and Without Small Stocks

Robert R. Grauer and Nils Hakansson.

152: Pricing Risk-Adjusted Deposit Insurance

Ehud I. Ronn and Avinash K. Verma.

151: A Utility-Based Model of Common Stock Price Movements

Robert H. Litzenberger and Ehud I. Ronn.

150: Defining Capital-Market Efficiency

Mark Latham.

149: International Arbitrage Pricing Theory: An Empirical Investigation

D. Chinhyung Cho Cheol S. Eun and Lemma W. Senbet.

148: Tax Effects of Production and Finance

Robert M. Dammon and Lemma W. Senbet.

147: Portfolio Choice in Research and Development

Sudipto Bhattacharya and Dilip Mookherhee.

146: Taxable and Tax-Exempt Interest Rates: The Role of Personal and Corporate Tax Rates

Joe Peek and James A. Wilcox.

145: Short-Term Movements of Long-Term Interest Rates: Evidence from the U.K. Indexed Market

James A. Wilcox.

144: Option Pricing and Replication with Transactions Costs

Hayne Leland