Research Program in Finance Working Papers

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University of California at Berkeley, Berkeley, CA USA.
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143: Dealerships, Trading Externalities, and General Equilibrium

Sudipto Bhattacharya and Kathleen Hagerty.

142: Pricing Deposit Insurance: The Effects of Mismeasurement

David H. Pyle.

141: Default Risk, Liquidity and Loan Commitments

David H. Pyle and Jeffrey Skelton.

140: Are Asset-Demand Functions Determined by CAPM?

Jeffrey A. Frankel and William T. Dickens.

139: Hedging With Stock Index Futures: Theory and Application in a New Market

Stephen Figlewski.

138: Why Are Prices for Stock Index Futures So Low?

Stephen Figlewski.

137: Market Timing and Mutual Fund Performance: An Empirical Investigation

Roy D. Henriksson.

136: Portfolio Strategies Using Treasury Bond Options and Futures

James W. Hoag and Dennis Draper.

135: Bank Income Taxes and Interest Rate Risk Management

Eitan Gurel and David Pyle.

134: Risk Adjusted Discounting

Sasson Bar-Yosef and Hayne Leland.

133: Ex Post Stockholder Unanimity: A Complete and Simplified Treatment

James Ohlson

132: International Portfolio Choice and Corporation Finance: A Survey

Michael Adler and Bernard Dumas.

131: On the Doubling Strategy Paradox and the Definition of Arbitrage

Avi Bick.

130: The Efficiency of the Forward Exchange Market: A Conditional Nonparametric Test of Forecasting Ability

Roy D. Henriksson and Donald R. Lessard.

129: The Postwar Stability of the Fisher Effect

Joe Peek and James A. Wilcox.

128: Excess Reserves in the Great Depression

James A. Wilcox.

127: On the Positive Role of Financial Intermediation in Allocation of Venture Capital in a Market with Imperfect Information

Yuk-Shee Chan

126: Optimal Duration of Growth Investments -- A Bayesian Approach

Itzhak Venezia.

125: Comments on the Valuation of Derivative Assets

Avi Bick.

124: To Pay or Not to Pay Dividends

Nils H. Hakansson.

123: Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation

Nils H. Hakansson.

122: Sufficient and Necessary Conditions for Information to Have Social Value in Pure Exchange

Nils H. Hakansson, J. Gregory Kunkel and James Ohlson

121: The Impact of the Government on Financial Equilibrium and Corporate Financial Decisions

Sasson Bar-Yosef and Yoram Landskroner.

120: The Stability of UK Risk Measures and the Problem of Thin Trading

Elroy Dimson and Paul Marsh.

119: A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period

Mark Rubinstein.

118: Displaced Diffusion Option Pricing

Mark Rubinstein.

117: Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, l976 through August 31, l978

Mark Rubinstein.

116: Information Production, Market Signalling, and the Theory of Financial Intermediation: A Comment

Yuk-Shee Chan

114: Interest Rates, Expected Inflation, and Supply Shocks or Why Real Interest Rates Were So Low in the l970s

James A. Wilcox.

113: A Characterization of Self-Financing Portfolio Strategies

Yaacov Z. Bergman.

111: An Analytical Model and Evaluation of a Modern Market Clearing System

Jivendra Kale.

110: An Introduction to the Valuation of Commodity Option

James W. Hoag.

109: Option Pricing with Different Interest Rates for Borrowing and for Lending

Yaacov Z. Bergman.

107: Deregulation and Monetary Control: Historical Perspective and Impact of the l980 Act

Thomas F. Cargill and Gillian G. Garcia.

106: On the Feasibility of Automated Market Making by a Programmed Specialist

Nils H. Hakansson Avraham Beja and Jivendra Kale.

105: Time Dominance Efficiency Analysis

Steinar Ekern

104: Market Value Maximization and Markov Dynamic Programming

Richard C. Grinold.

103: Valuation of Risky Assets in Arbitrage-Free Economies with Transactions Costs

Mark B. Garman and James A. Ohlson.

102: Deposit Costs and Mortgage Rates

David H. Pyle.

101: The Works of Paul H. Cootner: A Review Essay

David H. Pyle.

100: A Comparison of Growth Optimal and Mean Variance Investment Policies

Robert R. Grauer.

99: Macro and Micro Tests of the Mean Variance and Linear Risk Tolerance Capital Asset Pricing Models

Robert R. Grauer.

98: A Synthesis of the Pure Theory of Arbitrage

Mark B. Garman.

97: Toward Measures of Real Estate Value, Return, and Risk

James W. Hoag.

96: Signaling and the Valuation of Unseasoned New Issues

David H. Downes and Robert Heinkel.

95: Who Should Buy Portfolio Insurance?

Hayne Leland

94: The Option Value of Reserves of Natural Resources

Octavio Augusto Tourinho

93: Credit Cards in an Interdisciplinary Survey: Toward a General Theory of Consumer Behavior

Gillian Garcia.

92: Repurchase Agreements: Bias and Inconsistency in the Estimation of the Money-Demand Function

Gillian Garcia and Simon Pak.

91: Welfare Comparisons of Financial Markets and the Basic Theorems of Value Conservation

Nils H. Hakansson.