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The Research Program in Finance in the Walter A. Haas School of Business at the University of California has as its purpose the conduct and encouragement of research in finance, investments, banking, securities markets, and financial institutions. The present series was established in 1971 in conjunction with a grant from the Dean Witter Foundation.
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PAPERS FROM 2003
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| Niklas Wagner and Terry A. Marsh (September 2, 2003) Return-Volume Dependence and Extremes in International Equity Markets |
| Niklas Wagner and Terry A. Marsh (June 1, 2003) Measuring Tail Thickness under GARCH and an Application to Extremal Exchange Rate Changes |
| Chris Downing, Richard Stanton, and Nancy E. Wallace (April 1, 2003) An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter? |
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PAPERS FROM 2000
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| Niklas Wagner and Terry Marsh (November 1, 2000) On Adaptive Tail Index Estimation for Financial Return Models |
| Mark Rubinstein (June 1, 2000) Rational Markets: Yes or No? The Affirmative Case |
| Mark Rubinstein (May 1, 2000) On the Relation Between Binomial and Trinomial Option Pricing Models |
| Miguel Cantillo and Julian Wright (February 1, 2000) HOw Do Firms Choose Their Leaders? An Empirical Investigation |
| Benjamin E. Hermalin and Michael Katz (January 2, 2000) Corporate Diversification and Agency |
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PAPERS FROM 1999
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| Hayne E. Leland (December 1, 1999) Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes |
| Gregory R. Duffee and Chunseng Zhou (November 1, 1999) Credit Derivatives in Banking: Useful Tools for Managing Risk? |
| Martin D. Evans and Richard K. Lyons (August 1, 1999) Order Flow and Exchange Rate Dynamics |
| Nils H. Hakansson (June 1, 1999) The Role of a Corporate Bond Market in an Economy -- and in Avoiding Crises |
| Matthew Spiegel (January 1, 1999) Housing Return and Construction Cycles |
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