Research Program in Finance Working Papers

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University of California at Berkeley, Berkeley, CA USA.
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33: The Prediction of Systematic Risk

Barr Rosenberg and James Guy.

32: Tests of Capital Asset Pricing Hypotheses

Barr Rosenberg and Vinay Marathe.

31: The Use of the Discount Rate and Open Market Operations Under Alternative Exchange Rate Regimes

Steven W. Kohlhagen.

30: Exchange Rate Expectations and International Capital Flows

Steven W. Kohlhagen.

29: Quality Choice and Competition

Hayne Leland

28: Risk-Return Relationship and Stock Prices

Benjamin Bachrach and Dan Galai.

27: The Dynamics of Government Policy in an Inflationary Economy" An `Intermediate-Run' Analysis

David H. Pyle and Stephen J. Turnovsky.

26: A Discrete-Time Synthesis of Financial Theory, Part III. Extensions and Prospective

Mark Rubinstein.

25: The Superfund: Efficient Paths Toward a Complete Financial Market

Nils H. Hakansson.

24: Ordering Markets and the Capital Structure of Firms, with Illustrations

Nils H. Hakansson.

23: A Note on the Value of Information in Personal and Impersonal Markets

Mark Rubinstein.

22: The Capital Asset Pricing Model: Some Open and Closed Ends

Nils H. Hakansson.

21: A Discrete-Time Synthesis of Financial Theory, Part II. Valuation and Efficiency

Mark Rubinstein.

20: A Discrete-Time Synthesis of Financial Theory, Part I. Optimal Decision and Sharing Rules

Mark Rubinstein.

19: The Effects of Purchasing Power Risk on Liquidity Preference

Andrew H. Chen.

18: The Losses on Savings Deposits from Interest Rate Regulation

David H. Pyle.

17: An Aggregation Theorem for Securities Markets

Mark Rubinstein.

15: A Simple Market Equilibrium Model of a Random Walk

Mark Rubinstein.

14: Securities Market Efficiency in an Arrow-Debre Economy

Mark Rubinstein.

12: Error Rates in CRSP and Compustat Data Bases and Their Implications

Barr Rosenberg and Michel Houglet.

11: The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices

Barr Rosenberg.

10: Optimal Foreclosure Policies

Gordon Pye and Ahmet Tezel.

9: Descriptive Theories of Financial Institutions Under Uncertainty

David H. Pyle.

8: Compound-Return-Mean-Variance Efficient Portfolios Never Risk Ruin

Nils H. Hakansson and Bruce L. Miller.

7: Trading Floor/1: A Prototype of an Automated Securities Exchange

Mark B. Garman.

6: Gauging the Risk Premium for Bonds Subject to Default

Gordon Pye.

5: Lifetime Portfolio Selection in Continuous Time for a Multiplicative Class of Utility Functions

Gordon Pye.

RPF-04: Market Makers, Asymmetric Information and Price Information

Richard R. Lindsey.

4: A Note on Diversification

Gordon Pye.

3: Sequential Investment-Consumption Strategies for Individuals and Endowment Funds with Lexicographic Preferences

Nils H. Hakansson.

2: Asset Substitution, Inflation, and Interest Rates

David H. Pyle.