Center for Financial Institutions Working Papers

From Wharton School Center for Financial Institutions, University of Pennsylvania
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03-16: Political Relationships, Global Financing and Corporate Transparency

Christian Leuz and Felix Oberholzer-Gee

03-15: A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Michael W. Brandt, Francis Diebold and April

03-14: The New Basel Capital Accord and Questions for Research

Marc Saidenberg, Til Schuermann and May

03-13: Macroeconomic Dynamics and Credit Risk: A Global Perspective

Mohammad Pesaran, Til Schuermann, Björn-Jakob Treutler, Scott M. Weiner and April

03-12: Statistical Analysis of a Telephone Call Center: A Queueing-Science Perspective

Lawrence Brown, Noah Gans, Avishai Mandelbaum, Anat Sakov, Haipeng Shen, Sergey Zeltyn, Linda Zhao and Novemer

03-11: Who Owns the Major US Subsidiaries of Foreign Banks? A Note

Adrian Tschoegl

03-10: Foreign Banks in the Pacific: Some History and Policy Issues

Adrian Tschoegl

03-09: Metrics for Comparing Credit Migration Matrices

Yusuf Jafry and Til Schuermann

03-08: Measurement and Estimation of Credit Migration Matrices

Til Schuermann and Yusuf Jafry

03-06: Beauty Contests, Bubbles and Iterated Expectations in Asset Markets Capital Adequacy Regulation: In Search of a Rationale

Franklin Allen, Stephen Morris and Hyun Song Shin

03-05: Venture Capital and Corporate Governance

Franklin Allen and Wei-ling Song

03-04: Incorporating the Dual Customer Roles in e-Service Design

Mei Xue, Patrick T. Harker and Gregory R. Heim

03-03: Service Co-Production, Customer Efficiency and Market Competition

Mei Xue and Patrick T. Harker

03-02: Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates

Andrew Kuritzkes, Til Schuermann and Scott M. Weiner

03-01: Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market

Evan Gatev and Philip E. Strahan

02-44: Law, Finance, and Economic Growth in China

Franklin Allen, Jun Qian and Meijun Qian

02-43: Commonality in Liquidity: Transmission of Liquidity Shocks across Investors and Securities

Chitru S. Fernando

02-42: Weather Forecasting for Weather Derivatives

Sean D. Campbell and Francis Diebold

02-41: The Benefits of a Secondary Market ForLife Insurance Policies

Neil A. Doherty, Hal J. Singer and October

02-40: Catastrophic Events, Parameter Uncertainty and the Breakdown of Implicit Long-term Contracting in the Insurance Market: The Case of Terrorism Insurance

John Cummins and Christopher M. Lewis

02-39: The Real Effects of U.S. Banking Deregulation

Philip E. Strahan

02-38: Financial Integration, Dis-integration and Emerging Re-Integration in the Eastern Mediterranean, c.1850 to the Present

Adrian Tschoegl

02-37: An Evolutionary View of Internationalization: Chase Manhattan Bank, 1917 to 1996

Gino Cattani and Adrian Tschoegl

02-36: Banks and the World's Major Banking Centers, 2000

Sang Rim Choi, Daekeun Park and Adrian Tschoegl

02-35: Bank Asset Liquidation and the Propagation of the U.S. Great Depression

Ali Anari, James Kolari and Joseph Mason

02-34: Forecasting the Term Structure of Government Bond Yields

Francis Diebold and Canlin Li

02-33: Liquidity, Efficiency and Bank Bailouts

Gary Gorton and Lixin Huang

02-32: Corporate Governance and Equity Prices

Paul Gompers, Joy L. Ishii and Andrew Metrick

02-31: Banking Prices and the Origin of Central Banking

Gary Gorton and Lixin Huang

02-30: The Scarcity of Effective Monitors and Its Implications For Corporate Takeovers and Ownership Structures

Gary Gorton and Matthias Kahl

02-29: Bank Panics and the Endogeneity of Central Banking

Gary Gorton and Lixin Huang

02-28: Financial Intermediation

Gary Gorton and Andrew Winton

02-27: Parametric and Nonparametric Volatility Measurement

Torben Andersen, Tim Bollerslev and Francis Diebold

02-26: Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions

Kabir K. Dutta and David Babbel

02-25: On Measuring Skewness and Kurtosis in Short Rate Distributions: The Case of the US Dollar London Inter Bank Offer Rates

Kabir K. Dutta and David Babbel

02-24: Economic Consequences of SEC Disclosure Regulation

Brian J. Bushee and Christian Leuz

02-23: Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange?

Torben Andersen, Tim Bollerslev, Francis Diebold and Clara Vega

02-22: Asset Price Bubbles and Stock Market Interlinkages

Franklin Allen and Douglas Gale

02-21: Pricing the Risk of Recovery in Default with APR Violation

Haluk Unal, Dilip Madan and Levent Güntay

02-20: A Real Options Approach to Bankruptcy Costs: Evidence from Failed Commercial Banks During the 1990s

Joseph R. Mason

02-19: Implications of Auction Theory for New Issues Markets

Lawrence M. Ausubel

02-18: Do Bankers Sacrifice Value to Build Empires? Managerial Incentives, Industry Consolidation and Financial Performance

Joseph Hughes, William Lang, Loretta Mester, Choon-Geol Moon and Michael S. Pagano

02-17: Information Technology and the Organization of Securities Markets

Paul G. Mahoney

02-16: The Structure of the US Equity Markets

Marshall E. Blume

02-15: Changes in the Ownership and Governance of Securities Exchanges: Causes and Consequences

Benn Steil

02-14: The Future of Securities Exchanges

Ruben Lee

02-13: Callable Bonds and Hedging

Levent Güntay, N. R. Prabhala and Haluk Unal

02-12: Throwing Good Money after Bad? Board Connections and Conflicts in Bank Lending

Randall S. Kroszner and Philip E. Strahan

02-11: The Immediacy Implications of Exchange Orgzanization

James Moser

02-10: Bank Integration and Business Volatility

Donald Morgan, Bertrand Rime and Philip E. Strahan