Working Papers

The Rodney L. White Center Working Papers Series represents the research efforts of Wharton faculty whose interests lie within the broad scope of financial economics. Many papers submitted to the series have benefited from the Center’s direct support of faculty research. Through distribution on the Center’s Website, Wharton faculty receive an increased level of outside visibility for their research prior to publication in the field’s most prestigious research journals. A list of current working papers can be found at the “Current Working Papers” tab on the left.

The Center has been publishing the working papers of Wharton finance faculty since 1971.  The complete archive of R. L. White working papers can be found at the “View Archived Working Papers” tab on the left.  Over the years, the Center’ Working Paper Series has included many ground-breaking papers in the financial economics literature.

The following is a sample of influential papers that originally appeared as R. L. White working papers.  The year in parentheses following the citation represents the year in which the paper appeared in the Series; Clicking on the year provides a link to the original working paper.

Stephen Ross, 1976, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory. (1973)

Irwin Friend and Marshall Blume, 1975, The Demand for Risky Assets, American Economic Review. (1974)

John Cox and Stephen Ross, 1976, Valuations of Options for Alternative Stochastic Processes, Journal of Financial Economics. (1975)

Hans Stoll, 1978, The Supply of Dealer Services in Securities Markets, Journal of Finance. (1978)

Sanford Grossman and Robert Shiller, 1981, Determinants of the Variability of Stock Market Prices, American Economic Review. (1980)

Sanford Grossman and Oliver Hart, 1983, An Analysis of the Principal-Agent Problem, Econometrica. (1980)

Donald Keim and Robert Stambaugh, 1986, Predicting Returns in the Stock and Bond Markets, Journal of Financial Economics. (1985)

Andrew Lo and Craig MacKinlay, 1988, Stock Market Prices Do Not Follow Random Walks, Review of Financial Studies. (1987)

Mark Grinblatt and Sheridan Titman, 1989, Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Journal of Business. (1988)

Andrew Abel, 1990, Asset Prices under Habit Formation and Catching Up with the Joneses, American Economic Review. (1990)

Paul Gompers, Joy Ishii, and Andrew Metrick, 2003, Corporate Governance and Equity Prices, Quarterly Journal of Economics. (2001)

Lubos Pastor and Robert Stambaugh, 2003, Liquidity Risk and Expected Stock Returns, Journal of Political Economy (2001)

Ravi Bansal and Amir Yaron, 2004, Risks for the Long Run:  A Potential Resolution of Asset Pricing Puzzles, Journal of Finance (2000)