PAPERS FROM 2005
|
| 18-05 Antonio E. Bernardo, Hongbin B. Cai, and Jiang Luo (July 28, 2005) Motivating entrepreneurial activity in a firm |
| 16-05 Michael J. Brennan, XIAOQUAN LIU, and Yihong Xia (June 29, 2005) Option Pricing Kernels and the ICAPM |
| 17-05 Michael J. Brennan, Feifei Li, and Walt Torous (June 24, 2005) Dollar Cost Averaging |
| 15-05 Knut K. Aase (June 9, 2005) "The perpetual American put option for jump-diffusions with applications" |
| 6-05 Knut K. Aase (June 6, 2005) On the Consistency of the Lucas Pricing Formula |
| 14-05 Knut K. Aase (June 6, 2005) Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs |
| 8-04 Jefferson Duarte, Francis A. Longstaff, and Fan Yu (June 3, 2005) Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller? |
| 11-04 Francis A. Longstaff (June 3, 2005) Asset Pricing in Markets with Illiquid Assets |
| 13-05 Nihat Aktas, Eric de Bodt, and Richard Roll (May 11, 2005) Hubris, Learning, and M&A Decisions |
| 12-05 Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam (April 14, 2005) The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms |
| 11-05 Bhagwan Chowdhry, David Cassell, James B. Gamett, Gary J. Milkwick, Chad D. Nielsen, and Jon D. Sederstrom (April 12, 2005) Pricing Microfinance Loans and Loan Guarantees using Biased Loan Write-off Data |
| 10-05 Stephen D. Cauley, Andrey D. Pavlov, and Eduardo S. Schwartz (March 21, 2005) Homeownership as a Constraint on Asset Allocation |
| 5-05 Knut K. Aase (March 10, 2005) Using Option Pricing Theory to Infer About Historical Equity Premiums |
| 8-05 Michael W. Brandt, Pedro Santa-Clara, and Rossen Valkanov (March 8, 2005) Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns |
| 4-05 Antonio E. Bernardo, Jiang Luo, and James J.D. Wang (March 4, 2005) A Theory of Socialistic Internal Capital Markets |
| 3-05 John S. Hughes, Jing Liu, and Jun Liu (March 1, 2005) Information, Diversification, and Cost of Capital |
| 2-05 Andrew Ang and Jun Liu (March 1, 2005) Risk, Return and Dividends |
| 1-05 Mark J. Garmaise and Jun Liu (February 28, 2005) Corruption, Firm Governance, and the Cost of Capital |
|
PAPERS FROM 2004
|
| 18-04 Eduardo S. Schwartz and Claudio Tebaldi (December 8, 2004) Illiquid Assets and Optimal Portfolio Choice |
| 7-05 Pedro Santa-Clara and Alessio Saretto (November 8, 2004) Option Strategies: Good Deals and Margin Calls |
| 17-04 Richard Roll, Eduardo S. Schwartz, and Avanidhar Subrahmanyam (November 8, 2004) Liquidity and Arbitrage |
| 20-03 John. H. Cochrane, Francis A. Longstaff, and Pedro Santa-Clara (October 1, 2004) Two Trees |
| 16-04 Francis A. Longstaff, Bing Han, and Craig Merrill (September 29, 2004) Revenue Implications of Multi-Item Multi-Unit Auction Designs: Empirical Evidence from the U.S. Treasury Buyback Auctions |
| 9-05 Pedro Santa-Clara and Shu Yan (September 9, 2004) Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options |
| 15-04 Jun Liu, Ehud Peleg, and Avanidhar Subrahmanyam (August 23, 2004) The Value of Private Information |
| 14-04 Jennifer S. Conrad, Brad Cornell, Wayne R. Landsman, and Brian Rountree (August 23, 2004) How do Analyst Recommendations Respond to Major News? |
| 13-04 Alberto Plazzi, Walt Torous, and Rossen Valkanov (July 27, 2004) 13-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate |
| 12-04 Fayez A. Elayan, Kuntara Pukthuanthong, and Richard Roll (July 1, 2004) To Expense or not to Expense Employee Stock Options: The Market Reaction |
| 3-04 Richard W. Roll and Brad Cornell (June 30, 2004) A Delegated Agent Asset-pricing model |
| 10-03 Eric Ghysels, Pedro Santa-Clara, and Rossen Valkanov (June 22, 2004) The MIDAS Touch: Mixed Data Sampling Regression Models |
| 9-04 Matti Keloharju, Kjell G. Nyborg, and Kristian Rydqvist (May 1, 2004) Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions |
| 31_00 Jun Liu, Francis A. Longstaff, and Ravit E. Mandell (May 1, 2004) THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS |
| 4-01 Michael W. Brandt and Pedro Santa-Clara (April 1, 2004) Dynamic Portfolio Selection by Augmenting the Asset Space |
| 7-04 Sahn-Wook Huh and Avanidhar Subrahmanyam (March 18, 2004) Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements |
| 6-04 Nihat Aktas, Eric de Bodt, and Richard Roll (March 6, 2004) European M&A Regulation is Protectionist |
| 4-04 Michael J. Brennan (February 1, 2004) How Did It Happen? |
| 11-03 Francis A. Longstaff, Sanjay Mithal, and Eric Neis (February 1, 2004) Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market, previously titled: "The Credit-Default Swap Market: Is Credit Protection Priced Correctly?" |
| 10-4 Ulrich Bindseil, Kjell G. Nyborg, and Ilya A. Strebulaev (February 1, 2004) Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations |
| 14-03 Michael J. Brennan and Yihong Xia (January 22, 2004) International Capital Markets and Foreign Exchange Risk |
| 1-04 Sorin Sorescu and Avanidhar Subrahmanyam (January 9, 2004) The Cross-Section of Analyst Recommendations |
|
PAPERS FROM 2003
|
| 3-03 J. Fred Weston and Juan A. Siu (December 19, 2003) Changing Motives for Share Repurchases |
| 4-03 Samuel C. Weaver and J. Fred Weston (November 27, 2003) A Unifying Theory of Value Based Management |
| 19-03 Jason C. Hsu (November 1, 2003) What Drives Equity Market Non-participation? |
| 16-03 Mark Grinblatt, Matti Keloharju, and Seppo Ikäheimo (September 30, 2003) Interpersonal Effects in Consumption: Evidence from the Automobile Purchases of Neighbors |
| 18-03 Jason C. Hsu, Jesus Saa-Requejo, and Pedro Santa-Clara (September 1, 2003) Bond Pricing with Default Risk |
| 17-03 Brad Cornell (September 1, 2003) Comovement as an Investment Tool |
| 13-03 Jason C. Hsu and Eduardo S. Schwartz (May 1, 2003) A Model of R&D Valuation and the Design of Research Incentives |
| 9-03 Michael J. Brennan, H. Henry Cao, Norman Strong, and Xinzhong Xu (April 11, 2003) The Dynamics of International Equity Market Expectations |
| 10-01 Michael Brennan, Ashley W. Wang, and Yihong Xia (March 28, 2003) Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing |
| 7-03 Bhagwan Chowdhry and Mark J. Garmaise (March 1, 2003) Organization Capital and Intrafirm Communication |
| 6-03 Gonzalo Cortazar , Eduardo S. Schwartz, and Lorezo Naranjo (March 1, 2003) Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data |
| 1-03 Richard Roll (January 30, 2003) Empirical TIPs |
| 8-03 Michael J. Brennan and Yihong Xia (January 17, 2003) Risk and Valuation Under an Intertemporal |
|
PAPERS FROM 2002
|
| 15-02 Francis A. Longstaff (December 1, 2002) Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities |
| 7-02 Antonio E. Bernardo and Ivo Welch (November 18, 2002) Financial Market Runs |
| 16-02 Harrison Hong, Walter Torous, and Rossen Valkanov (November 13, 2002) Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability |
| 14-02 Mark Grinblatt and Jun Liu (November 6, 2002) Debt Policy, Corporate Taxes, and Discount Rates |
| 1-02 Eduardo S. Schwartz (November 1, 2002) Patents and R& D as Real Options |
| 13-02 Francis Longstaff and Monika Piazzesi (September 1, 2002) Corporate Earnings and the Equity Premium |
| 9-98 Olivier Ledoit, Pedro Santa-Clara, and Shu Yan (July 13, 2002) Relative Pricing of Options with Stochastic Volatility |
| 10_02 Francis A. Longstaff and Ashley Wang (July 1, 2002) ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis |
| 10-02 Francis Longstaff and Ashley Wang (July 1, 2002) Electricity Forward Prices: A High-Frequency Empirical Analysis |
| 4-02 Bhagwan Chowdhry, Richard Roll, and Yihong Xia (June 20, 2002) Extracting Inflation from Stock Returns to test Purchasing Power Parity |
| 9-02 David Hirshleifer, Avanidhar Subrahmanyam, and Sheridan Titman (June 6, 2002) Feedback and the Success |
| 5-02 Richard Roll and John Talbott (April 20, 2002) The End of Class Warfare: An Examination of Income Disparity |
| 8-02 Andrea Berardi and Walter Torous (April 1, 2002) Does the term structure forecast |
| 6-02 Bradford Cornell (April 1, 2002) Compensation and Recruiting: Private Universities versus Private Corporations |
| 2-02 Antonio E. Bernardo, Hongbin Cai, and Jiang Luo (March 11, 2002) Capital Budgeting in Multi-Division Firms: Information, Agency, and Incentives |
| 12-02 Avanidhar Subrahmanyam (March 1, 2002) Chicanery, Intelligence, and Financial Market Equilibrium |
| 25-00 Rajesh Chakrabarti and Richard Roll (January 30, 2002) East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis |
|
PAPERS FROM 2001
|
| 22_01 Gordon Delianedis and Robert Geske (December 1, 2001) The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors |
| 11-01 Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam (November 3, 2001) Evidence on the Speed of Convergence to Market Efficiency, forthcoming: Journal of Financial Economics |
| 18-01 Mark Grinblatt and Bing Han (October 1, 2001) The Disposition Effect and Momentum |
| 16-01 Matthias Kahl (October 1, 2001) Financial Distress as a Selection Mechanism: Evidence from the United States |
| 12-01 Nihat Atkas, Eric de Bodt, and Richard Roll (September 5, 2001) Market Response to European Regulation |
| 9_01 Matthias Kahl, Jun Liu, and Francis A. Longstaff (September 1, 2001) Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it? |
| 6-01 Jun Liu (August 1, 2001) Dynamic Choice and Risk Aversion |
| 2-01 Jun Liu, Francis Longstaff, and Jun Pan (August 1, 2001) Dynamic Asset Allocation with Event Risk |
| 6-99 Gary Gorton and Matthias Kahl (July 7, 2001) The Scarcity of Effective Monitors and Its Implications For Corporate Takeovers and Ownership Structures |
| 14-01 Michael Brandt, John Cochrane, and Pedro Santa-Clara (July 1, 2001) International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth! |
| 15-01 Laura Frieder and Avanidhar Subrahmanyam (June 29, 2001) Brand Perceptions and the Market for Common Stock, forthcoming, Journal of Financial and Quantitative |
| 8-01 Geert Bekaert and Jun Liu (June 1, 2001) Conditioning Information and Variance on Pricing Kernals |
| 1-01 Francis A. Longstaff and Eduardo S. Schwartz (May 9, 2001) Valuing American Options by Simulation: A Simple Least-Squares Approach |
| 17-01 Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam (May 5, 2001) An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies |
| 7-01 Moshe Levy and Yaacov Ritov (May 1, 2001) Portfolio Optimization with Many Assets: The Importance of Short-Selling |
| 5-01 Francis A. Longstaff (May 1, 2001) The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices |
| 3-01 Monika Piazzesi (April 10, 2001) An Econometric Model of the Yield Curve With Macroeconomic Jump Effects |
| 21-01 Laura Frieder and Avanidhar Subrahmanyam (February 6, 2001) Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market, Forthcoming in the Financial Analysts Journal |
| 20-01 Yi-Tsung Lee, Yu-Jane Liu, Richard Roll, and Avanidhar Subrahmanyam (February 5, 2001) Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis |
|
PAPERS FROM 2000
|
| 32-00 Jiang Luo (December 15, 2000) Demographics and the Equity Premium |
| 38-00 Walter Torous and Rossen Valkanov (December 1, 2000) Boundaries of Predictability: Noisy Predictive Regressions |
| 2_00 Walter Torous and Shu Yan (December 1, 2000) Predictive Regressions Revisited |
| 6-00 Eduardo S. Schwartz and Carlos Zozaya-Gorostiza (November 18, 2000) Valuation of Information Technology Investments as Real Options |
| 34-00 Padma Kadiyala and Avanidhar Subrahmanyam (November 6, 2000) International IPOs, Market Segmentation, and Investor Recognition |
| 33-00 Bradford Cornell (November 1, 2000) Valuing Intel: A Strange Tale of Analysts and Announcements |
| 15-00 Robert Z. Aliber, Bhagwan Chowdhry, and Shu Yan (November 1, 2000) Transactions Costs in the Foreign Exchange Market |
| 1-00 Giorgio De Santis, Bruno Gerard, and Fulvio Ortu (November 1, 2000) Generalized Numeraire Portfolios |
| 36-00 Tarun Chordia and Avanidhar Subrahmanyam (October 7, 2000) Order Imbalance and Individual Stock Returns |
| 31-00 Jun Liu, Francis A. Longstaff, and Ravit E. Mandell (October 1, 2000) The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads |
| 4_00 Francis A. Longstaff, Pedro Santa-Clara, and Eduardo S. Schwartz (September 1, 2000) The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence |
| 23-00 Tarun Chordia, L Shivakumar, and Avanidhar Subrahmanyam (August 13, 2000) Liquidity Dynamics Across Small and Large Firms |
| 7-00 Bradfor Cornell and Quiao Liu (August 1, 2000) The Parent Company Puzzle: When is the Whole Worth Less Than One of its Parts?" forthcoming, Journal of Corporate Finance |
| 35-00 Belen Villalonga (July 1, 2000) Does Diversification Cause the “Diversification Discount”? |
| 17-00 Clifford A. Ball and Walter N. Torous (June 7, 2000) Stochastic Correlation Across International Stock Markets |
| 9_00 Jun Liu and Francis A. Longstaff (June 1, 2000) Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities |
| 29-00 Pedro Santa-Clara and Rossen Valkanov (June 1, 2000) Political Cycles and the Stock Market |
| 18-00 James Ang, Beni Lauterbach, and Ben Z. Schreiber (June 1, 2000) Pay at the Executive Suite: How do U.S. Banks Compensate their Top Management Teams? |
| 11-00 Yihong Xia (May 10, 2000) Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation |
| 12-00 Shingo Goto (May 5, 2000) The Fed's Effect on Excess Returns and Inflation is Much Bigger Than You Think |
| 28-00 Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam (April 12, 2000) Order Imbalance, Liquidity, and Market Returns |
| 10-00 Shmuel Hauser and Beni Lauterbach (April 11, 2000) The Value of Voting Rights to Majority Shareholders: Evidence from Dual Class Stock Unifications |
| 14-00 Mark Grinblatt and Matti Keloharju (April 7, 2000) Tax Loss Trading and Wash Sales |
| 9-00 Jun Liu and Francis Longstaff (April 1, 2000) Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities |
| 16_00 Julio J. Lucia and Eduardo Schwartz (March 1, 2000) Electricity prices and power derivatives: Evidence from the Nordic Power Exchange |
| 39-00 John Cochrane (January 4, 2000) The Risk and Return of Venture Capital |
| 24-00 Michael J. Brennan and Yihong Xia (January 1, 2000) Dynamic Asset Allocation under Inflation |
| 20-00 Sergio Ortobelli, Svetlozar Rachev, and Eduardo Schwartz (January 1, 2000) The Problem of Optimal Asset Allocation with Stable Distributed Returns |
|
PAPERS FROM 1999
|
| 25-99 Eduardo Schwartz and Walter N. Torous (November 11, 1999) Can We Disentangle Risk Aversion from Intertemporal Substitution in Consumption |
| 23-99 Rossen Valkanov (October 30, 1999) The Term Structure with Highly Persistent Interest Rates |
| 28-99 Rossen Valkanov (September 9, 1999) Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations |
| 27-99 Rossen Valkanov (September 8, 1999) Equity Premium and Dividend Yield regressions: A lot of noise, little information, confusing results |
| 18-99 Antonio Bernardo and Olivier Ledoit (September 1, 1999) Approximate Arbitrage |
| 16-99 Giorgio De Santis, Bruno Gerard, and Pierre Hillion (September 1, 1999) International Portfolio Management, Currency Risk and the Euro |
| 15-99 Giorgio De Santis, Bruno Gerard, and Pierre Hillion (July 23, 1999) The Relevance of Current Risk in the EMU |
| 17-99 Bradford Cornell (July 1, 1999) Equity Duration, Growth Options and Asset Pricing |
| 11-99 J. Fred Weston and Brian Johnson (June 1, 1999) Deal Terms in the big Transactions of the Nineties |
| 10-99 J. Fred Weston (April 29, 1999) Mergers and Performance |
| 3-99 Olivier Ledoit, Pedro Santa-Clara, and Michael Wolf (February 27, 1999) Flexible Multivariate GARCH Modeling With an Application to International Stock Markets |
| 24-99 Mark Grinblatt and Tobias J. Moskowitz (January 1, 1999) The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence |
| 19-99 Michael J. Brennan and Yihong Xia (January 1, 1999) Assessing Assets Pricing Anomalies |
|
PAPERS FROM 1998
|
| 32-98 Tyrone W. Callahan (December 2, 1998) The Effect of Insider Beliefs on Informed Trade, Market Liquidity, and Price Efficiency" |
| 30-98 Shiki Levy (November 1, 1998) Wealthy People and Fat Tails: An Explanation for the Lévy Distribution of Stock Returns |
| 28-98 Michael J. Brennan and Yihong Xia (November 1, 1998) Resolution of a Financial Puzzle |
| 2-99 Anders Johansen, Olivier Ledoit, and Didier Sornette (October 19, 1998) Crashes at Critical Points |
| 31-98 Shiki Levy and Haim Levy (October 1, 1998) Investment Talent and the Pareto Wealth Distribution: An Experimental Analysis |
| 23-98 Avanidhar Subrahmanyam and Sheridan Titman (July 18, 1998) Feedback from Stock Prices to Cash Flows” (formerly called “Real Effects of Financial Market Trading) |
| 21-98 Craig W. Holden and Avanidhar Subrahmanyam (July 18, 1998) New Events, Information Acquisition, and Serial Correlation |
| 33-98 Antonio Bernardo and Bhagwan Chowdhry (May 23, 1998) Resources, real options, and corporate strategy |
| 19-98 Gordon Delianedis and Robert Geske (May 1, 1998) Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults |
| 14-98 Duke K. Bristow (May 1, 1998) Time Series and Cross Sectional Properties of Management Ownership and Valuation |
| 6-98 Ivo Welch (February 8, 1998) Asymmetry and Power: Can Ethnic Dominance Minimize Conflict? |
| 5-98 Duke K. Bristow (February 1, 1998) IPO Price Clustering and Discreetness |
|
PAPERS FROM 1997
|
| 20-97 Shiki (Moshe) Levy (October 7, 1997) Are Rich People Smarter? |
| 16-97 Antonio Bernardo and Kenneth Judd (April 1, 1997) Efficiency of Asset Markets with Asymmetric Information |
| 15-97 Bhagwan Chowdhry and Mark Grinblatt (April 1, 1997) Information Aggregation, Currency Swaps, and the Design of Derivative Securities |
| 13-97 Jesus Saa-Requejo and Pedro Santa-Clara (March 23, 1997) Bond Pricing with Default Risk |
| 19-97 Michael Brennan and Yihong Xia (February 1, 1997) Stock Price Volatility, Learning, and the Equity Premium |
| 9-97 Antonio Bernardo and Ivo Welch (January 1, 1997) On the Evolution of Overconfidence and Entrepreneurs |
| 3-97 Michael Brennan (January 1, 1997) The Role of Learning in Dynamic Portfolio Decisions” |
| 12-97 Pedro Santa-Clara (January 1, 1997) Simulated Likeliehood Estimation of Diffusions With an Application to the Short Tem Interest Rate |
|
PAPERS FROM 1996
|
| 23-86 Mark Grinblatt and Sheridan Titman (November 1, 1996) The Impact of Performance-Based Fees on Pension Fund Management |
| 12-96 Duke K. Bristow and Laura Casares Field (October 1, 1996) Collusion, Custom, or Negotiation Costs? |
| 19-86 Thomas E. Copeland and Bruce L. Miller (September 1, 1996) The Welfare Effects of Public Information in Both Complete and Asymmetric Information Markets |
| 10-96 Antonio Bernardo and Kenneth L. Judd (July 1, 1996) Volume and Price Formation in an Asset Trading Model with Asymmetric Information |
|
PAPERS FROM 1995
|
| 16-95 Laura C. Field (November 30, 1995) Is Institutional Investment in Initial Public Offerings Related to Long-Run Performance of These Firms? |
| 15-95 Clifford A. Ball and Walter N. Torous (August 25, 1995) Regime Shifts in Short Term Riskless Interest Rates |
| 11-95 Bradford Cornell and Simon Cheng (June 1, 1995) Using the DCF Approach to Analyze Cross- sectional Variation in Expected Returns |
| 12-93 Michael J. Brennan and Constance Her (May 1, 1995) Convertible Bonds: Test of a Financial Signalling Model |
| 9-94 Mark Grinblatt (April 1, 1995) An Analytic Solution for Interest Rate Swap Spreads |
| 1-95 Francis A. Longstaff (January 1, 1995) Stochastic Volatility and Option Valuation: A Pricing-Density Approach |
|
PAPERS FROM 1994
|
| 6-94 H. Henry Cao (January 1, 1994) Imperfect Competition in Noncompetitive Securities Markets with Diversely Informed Traders |
| 1-84 Warren Bailey (January 1, 1994) Canada's Interconvertible Shares: A Puzzle |
|
PAPERS FROM 1993
|
| 15-93 Francis A. Longstaff and Bruce Tuckman (August 1, 1993) Optimal Call Policy for Corporate Bonds |
| 14-93 Bruce Tuckman and Jean-Luc Vila (July 1, 1993) Holding Costs and Equilibrium Arbitrage |
| 13-93 Marcel Kahan and Bruce Tuckman (July 1, 1993) Private vs. Public Lending: Evidence from Covenants |
| 8-93 Haim Levy and Itzhak Venezia (May 1, 1993) Dependence of Portfolio Returns Over Time and the CAPM: Diverse Holding Periods |
| 6-93 Michael J. Brennan (May 1, 1993) Agency and Asset Pricing |
| 27-93 Bhagwan Chowdhry and Sheridan Titman (January 1, 1993) Why Real Interest Rates, Cost of Capital and Price/Earnings Ratios Vary Across Countries |
| 24-93 David Hirshleifer (January 1, 1993) The Blind Leading the Blind: Social Influence, Fads, and Informational Cascades |
|
PAPERS FROM 1992
|
| 31-92 Marcel Kahan and Bruce Tuckman (December 1, 1992) Do Bond Holders Lose From Junk Bond Covenant Changes? |
| 28-92 Antonio Roma and Walter N. Torous (August 30, 1992) The Cyclical Behavior of Interest Rates |
| 17-92 George W. Gau and Daniel C. Quan (June 2, 1992) Market Mechanism Choice and Real Estate Disposition: Negotiated Sale Versus Action |
| 30-92 Clifford A. Ball and Walter N. Torous (May 18, 1992) Unit Roots and the Estimation of Interest Rate Dynamics |
| 6-92 Bhagwan Chowdhry (March 1, 1992) Exchange Risk Management and Corporate Capital Structure |
| 19-92 Sanjai Bhagat and David Hirshleifer (January 1, 1992) Market-Based Estimates of Value Gains from Takeovers: An Intervention Approach |
| 15-92 Narasimhan Jegadeesh and Sheridan Titman (January 1, 1992) Overreaction, Delayed Reaction, and Contrarian Profits |
|
PAPERS FROM 1991
|
| 25-91 Bhagwan Chowdhry (October 10, 1991) International Debt Crisis and the Prices of Options of Bank Stocks |
| 26-91 Maurice D. Levi, Itzhak Venezia, and Yimin Zhang (September 1, 1991) A Reconsideration of Monetary Velocity: The Effects of the Housing and Stock Markets |
| 14-91 Michael J. Brennan and Ian Dunlop (August 1, 1991) Contributing Shares |
| 12-91 Bhagwan Chowdhry (August 1, 1991) Defaults and Interest Rates in International Lending |
| 9-91 Tim Opler and Sheridan Titman (May 1, 1991) The Characteristics of Leveraged Buyout Firms |
| 4-91 Sasson Bar-Yosef, Patricia J. Hughes, and Itzhak Venezia (March 1, 1991) The LIFO/FIFO Choice as a Signal of Future Costs |
| 10-91 Mark Grinblatt and Sheridan Titman (March 1, 1991) Do Benchmarks Matter? Do Measures Matter? A Study of Monthly Mutual Fund Returns |
| 24-91 Kent Daniel and Walter Torous (January 1, 1991) Common Stock Returns and the Business Cycle |
|
PAPERS FROM 1990
|
| 6-90 A. Ofer, S.A. Ravid, and I. Venezia (December 1, 1990) Preferred Stocks and Taxes |
| 23-90 Siew Hong Teoh and Chuan Yang Hwang (November 27, 1990) Non-disclosure and Adverse Disclosure as Signals of Firm Value |
| 26-90 Narasimhan Jegadeesh and Sheridan Titman (November 8, 1990) Short Horizon Reversals and the Bid-Ask Spread |
| 31-90 Joseph Gyourko and Richard Voith (November 1, 1990) Local Market and National Components in House Price Appreciation |
| 21-90 David Hirschleifer and Tarun Chordia (August 20, 1990) Resolution Preference and Project Choice |
| 2-90 Stuart Greenbaum, George Kanatas, and Itzhak Venezia (March 1, 1990) Loan Commitments and Credit Demand Uncertainty |
| 18-90 Johnathan D. Jones, J. Harold Mulherin, and Sheridan Titman (January 1, 1990) Speculative Trading and Stock Market Volatility |
|
PAPERS FROM 1989
|
| 4-89 Robert Litzenberger and Eli Talmor (December 1, 1989) Tax Policies & Corporate Decisions Incongruity of Value Maximization with Shareholder Utility Maximization |
| 25-88 David Hirshleifer (May 25, 1989) Facilitation of Competing Bids and the Price of a Takeover Target |
| 10-89 Avanidhar Subrahmanyam (May 9, 1989) Price Volatility, International Market Links and their Implications for Regulatory Policies |
| 7-89 Vojislav Maksimovic and Sheridan Titman (May 1, 1989) Financial Policy and a Firm's Reputation for Product Quality |
| 5-89 Simon Benninga and Aris Protopapadakis (March 1, 1989) Time Preference and the 'Equity Premium Puzzle |
| 13-86 Mark Grinblatt (March 1, 1989) A Comparison of Measures of Abnormal Performance on a Sample of Monthly Mutual Fund Returns, formerly titled; The Evaluation of Mutual Fund Performance: An Analysis of Monthly Returns |
|
PAPERS FROM 1988
|
| 7-88 E. Levy and A.R. Nobay (February 1, 1988) On Evaluating Speculative Efficiency in Forward Markets |
|
PAPERS FROM 1987
|
| 13-88 Richard Roll (October 1, 1987) Managing Risk in Thrift Institutions: Beyond the Duration Cap |
| 10-87 Robert Geske and Walter Torous (July 1, 1987) Volatility and Mispricing: Robust Variance Estimation and Black-Scholes Call Option Pricing |
| 2-86 Nai-fu Chen, Thomas E. Copeland, and David Mayers (February 1, 1987) A Comparison of Single and Multifactor Portfolio Performance Methodologies (formerly WP #13-83) |
|
PAPERS FROM 1986
|
| 12-85 Rovert Geske and Kuldeep Shastri (November 1, 1986) An Explanation of Seemingly Anomalous Time Premium Behavior for American Put Options |
| 30-86 Eugene F. Fama and Kenneth R. French (September 1, 1986) Common Factors in the Serial Correlation of Stock Returns |
| 26-86 Yael Ilan and Dan Galai (September 1, 1986) Economic Valuation of Remuneration from Patents and Technology Transfers |
| 32-86 Robert Geske and Dan Pieptea (July 1, 1986) Controlling Interest Rate Risk and Return with Futures |
| 16-86 Brett Trueman (July 1, 1986) The Release of Propreitary Information as a Means of Reducing Competitive Costs |
| 15-86 Brett Trueman (June 1, 1986) A Theoretical Investigation into the Relative Accuracy of Management and Analyst Earnings Forecasts |
| 7-86 Bradford Cornell (April 1, 1986) Pricing Interest Rate Swaps: Theory and Empirical Evidence |
|
PAPERS FROM 1985
|
| 18-85 Peter Bossaerts (August 1, 1985) A Comment on 'The Equity Premium. A Puzzle' |
| 14-85 Peter Bossaerts (August 1, 1985) The Pricing of Sovereign Risk: An Application of Option Theory |
| 13-85 Peter Bossaerts (August 1, 1985) Wealth Distribution Across Nations and the Risk Premium in the Foreign Exchange Market |
| 17-85 Peter Bossaerts (July 1, 1985) The Information Efficiency of Market Prices |
| 15-85 Peter Bossaerts (July 1, 1985) On Tests of the Existence of Time Variable Risk Premia in the Forward Foreign Exchange Market |
| 16-85 Peter Bossaerts (May 1, 1985) On Estimating the Expected Real Return on the Market in a General Equilibrium Framework |
| 5-85 Warren Bailey (March 1, 1985) Options on Stock Indices, Precious Metals Debt, and Foreign Currency: Tests of Boundary Conditions and Pricing Models |
|
PAPERS FROM 1984
|
| 19-84 Brandford Cornell (October 1, 1984) Inflation Measurement and Tests of Asset Pricing Models |
| 18-84 Bradford Cornell and Alan C. Shapiro (August 1, 1984) The International Debt Crisis and Bank Stock Prices |
| 17-83 Sheridan Titman and Brett Trueman (July 1, 1984) The Informational Impact of Auditor Choice |
| 14-84 Michael Crouhy and Dan Galai (July 1, 1984) A New Look at the Theory of Financial Intermediation |
| 3-85 I. P. L. Png (June 1, 1984) The Information Conveyed by a Takeover Bid |
| 9-84 Bruce Lehmann and Arthur Warga (April 1, 1984) On Robust Tests for Heteroskedasticity in the Market Model |
| 8-84 Richard J. Sweeney and Arthur D. Warga (April 1, 1984) The Pricing of Unanticipated Changes in Expected Inflation: Evidence from the Stock Market |
| 7-84 Richard J. Sweeney and Arthur D. Warga (April 1, 1984) Estimating the Risk Premium on the Market, and Discriminating between the CAPM and APT |
| 6-84 Mark Grinblatt and Sheridan Titman (February 1, 1984) The Jensen Measure and Errors in Variables: A Note |
|
PAPERS FROM 1983
|
| 21-83 Brett Titman (November 1, 1983) The Role of Capital Expenditures in Signalling Firm Value |
| 15-83 Eduardo F. Lemgruber (November 1, 1983) Stock Issues and Investment Policy When Firms Have Information That Investors Do not Have: A Note |
| 11-85 David Hirshleifer (November 1, 1983) A Model of Hedging and Futures Price Bias |
| 19-83 Wolfgang H. Janko (October 1, 1983) The Efficiency of Search Strategies: A Numerical and Analytical Comparison of Strategies Assuming no or Restricted Knowledge of the Underlying Distributions |
|
PAPERS FROM 1982
|
| 18-82 Kenneth R. French and Robert E. McCormick (December 1, 1982) Sunk Costs and Competitive Bidding |
| 23-82 Michael D. Stokie (October 1, 1982) Risk and Performance Measures in Investment Portfolios |
| 16-82 Brett Titman (September 1, 1982) Necessary and Sufficient Conditions for Achieving Stockholder Unanimity over the Production of Information |
| 7-82 Ronald W. Masulis (August 1, 1982) The Impact on Firm Value of Capital Structure Change, Some Estimates |
| 3-82 David Mayers and Clifford W. Smith Jr. (February 1, 1982) Why Corporations Should (or Should Not) Purchase Insurance |
|
PAPERS FROM 1980
|
| 6-80 Brandford Cornell (July 1, 1980) Taxes and the Pricing of Treasury Bill Futures Contracts |
| 4-80 Nai-Fu Chen (June 1, 1980) The Arbitrage Pricing Theory: Estimation and Applications |
| 5-80 Richard Roll and Stephen A. Ross (May 1, 1980) Progressive Taxation and the Inequality of After-Tax Income |
| 1-80 J. Fred Weston and Pham D. Tuan (January 1, 1980) Changes in Credit Policy: Reconciliation and Extensions |
|
PAPERS FROM 1979
|
| 28-79 J. Fred Weston and Nai-fu Chen (November 21, 1979) A Note on Capital Budgeting and the Three R's |
| 25-79 Marshall Sarnat (August 1, 1979) The Impact of Enhanced Risk on Capital Budgeting Decisions |
| 20-79 Haim Levy and Marchall Sarnat (August 1, 1979) On Leasing, Borrowing and Financial Risk |
•
•
•
•
