Research Program in Finance Working Papers

From University of California at Berkeley
University of California at Berkeley, Berkeley, CA USA.
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90: On the Use of Risk-Adjusted Discount Rates

Hayne Leland

89: Financial Intermediation and the Economics of Information

Dennis W. Draper and James W. Hoag.

88: Minimum Quality Standards and Licensing in Markets with Asymmetric Information

Hayne Leland

87: Retractable and Extendable Bonds: The Canadian Experience

A. L. Anathanaranyanan and Eduardo S. Schwartz.

86: A Dynamic Equilibrium for the Ross Arbitrage Model

James A. Ohlson and Mark B. Garman.

85: A Continuous-Time Approach to the Pricing of Bonds

Michael J. Brennan and Eduardo S. Schwartz.

84: Optimal Duration of Growth Investments and Search

Itzhak Venezia and Menachem Brenner.

83: Variance Prediction: An Empirical Study

Stan Beckers.

82: Estimating the Diffusion-Jump Model of Stock Price Returns and Its Implications for Option Pricing

Stan Beckers.

81: The Constant Elasticity of Variance Model and Its Implications for Option Pricing

Stan Beckers.

80: The Sensitivity of the Efficient Market Hypothesis to Alternative Specifications of the Market Model

Menachem Brenner.

79: Option Pricing: A Simplified Approach

John C. Cox Stephen Ross and Mark Rubinstein.

76: A New Classification of Option Positions

Mark Rubinstein.

75: Performance Measurement and Performance Attribution

Barr Rosenberg.

74: Uncertain Price Changes and the Uncertainty of Inflation

Richard C. Grinold.

72: The Pricing of Supershares

Mark B. Garman.

71: Systematic Risk of the CRSP Equal- Weighted Common Stock Index: A History Estimated by Stochastic- Parameter Regression

James Ohlson and Barr Rosenberg.

70: The Fundamental Determinants of Risk in Banking

Barr Rosenberg and Philip R. Perry.

69: The Ratio of Currency to Demand Deposits in the United States

Gillian Garcia and Simon Pak.

68: Welfare Aspects of Options and Supershares

Nils H. Hakansson.

66: The Yield/Beta/Residual Risk Tradeoff

Barr Rosenberg and Andrew Rudd.

65: Institutional Investment with Multiple Portfolio Managers

Barr Rosenberg.

64: On the Estimation of Security Price Volatilities from Historical Data

Mark B. Garman and Michael J. Klass.

63: A Characterization of Optimal Multiperiod Portfolio Policies

Nils H. Hakansson.

61: The Limits of Price Information in Market Processes

Avraham Beja.

59: The Valuation of Dependent Securities in a Diffusion Process

Richard C. Grinold.

58: Security Appraisal and Unsystematic Risk in Institutional Investment

Barr Rosenberg.

57: Interest Rate Ceilings and Net Worth Losses by Savers

David H. Pyle.

56: From Orders to Trades: Some Alternative Market Mechanisms

Avraham Beja and Nils H. Hakansson.

55: Information, Managerial Choice, and Stockholder Unanimity

Hayne Leland

53: Inflation and Optimal Portfolio Choices

Bruno H. Solnik.

52: Testing International Asset Pricing: Some Pessimistic Views

Bruno H. Solnik.

51: Dynamic Market Processes and the Rewards to Up-to-Date Information

Avraham Beja and Nils H. Hakansson.

50: A General Theory of Asset Valuation under Diffusion State Processes

Mark. B. Garman.

49: Beta as a Measure of Risk in Linear Risk Tolerance Economies

Robert R. Grauer.

48: Nonrate Competition for Savings Deposits

Lewis J. Spellman.

47: The German Stock Exchange

James R. F. Guy.

46: Direct Evaluation and Corporate Financial Theory

Avraham Beja and Hayne E. Leland.

45: The International Capital Asset Pricing Model in Discrete Time

James R. F. Guy.

44: Common Factors in Security Returns: Microeconomic Determinants and Macroeconomic Correlates

Barr Rosenberg and Vinay Marathe.

43: The Limited Information Efficiency of Market Processes

Avraham Beja.

42: Portfolio Optimization Algorithms: A Progress Report

Barr Rosenberg and Andrew Rudd.

41: Informational Asymmetries, Financial Structure, and Financial Intermediation

Hayne E. Leland and David H. Pyle.

40: Purchasing Power Funds: A New Technology for Channeling the Public's Investment Capital

Nils H. Hakansson.

39: Corporate Decision Making in Incomplete Markets

Hayne Leland

38: Optimal Risk Sharing and the Leasing of Natural Resources, with Application to Oil and Gas Leasing on the OCS

Hayne Leland

37: The Valuation of Uncertain Income Streams and the Pricing of Options

Mark Rubinstein.

36: The Effect of International Diversification on the Historical Performance of British Mutual Funds

James R. F. Guy.

35: A Critical Evaluation of the Measurement of Conglomerate Performance, Using the Capital Asset Pricing Model

Menachem Brenner and David H. Downes.

34: The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets

Mark Rubinstein.