Papers 1982

Working Papers 1982

Testing the CAPM with Broader Market Indexes: A Problem of Mean-Deficiency
Robert F. Stambaugh
(Journal of Banking and Finance, Vol. 7, Issue 1, March 1983)

Arbitrage Pricing with Heterogeneous Information
Robert F. Stambaugh
(Journal of Financial Economics, Vol. 12, Issue 3, November 1983)

Saving and After-Tax Rates of Return
Irwin Friend and Joel Hasbrouck
(Review of Economics and Statistics, Vol. 65, No. 4, November 1983)

Effect of Inflation on the Profitability and Valuation of U.S. Corporations
Irwin Friend and Joel Hasbrouck

Are Forward Exchange Rates Really Useful Predictors of Future Spot Rates? Some Evidence from Daily Dollar-DM Data
Orlin J. Grabbe

Optimal Survey Aggregation Application to Inflation, Stock Returns and Economic Activity
Joel Hasbrouck

Economic and Equity Aspects of Securities Regulation
Irwin Friend

The Aggregation of Consumer Preferences Over Firm Investment and Financial Decisions in Imperfect Markets
Simon Benninga and Meir I. Schneller

Non-Linear Pricing Systems in Finance
Simon Benninga

Stock Market Seasonality and End of the Tax Year Effect
Mustafa N. Gultekin and Bulent N. Gultekin
(Journal of Financial Economics, Vol. 12, Issue 4, December 1983)

The Theory and Practice of Second-Best Commercial Policy: Domestic Factor Market Distortions and International Market Power
Howard Kaufold

The Contribution of Arbitrage Pricing Theory to Capital Asset Pricing
Phoebus Dhrymes, Irwin Friend and N. Gultekin

The Real Exchange Rate, the Current Account and the Speed of Adjustment
Francesco Giavazzi and Wyplosz
(Exchange Rate Theory and Practice, 1984)

The Use of ‘Alphas’ to Improve Investment Performance
Marshall E. Blume
(Journal of Portfolio Management, Vol. 11, Issue 1, Fall 1984)

The Social Costs of Unit Banking Restrictions
Mark J. Flannery
(Journal of Monetary Economics, Vol. 13, Issue 2, March 1984)

Expectations of Real Interest Rates and Aggregate Consumption: Synthesis and Tests
Wayne Ferson

Spot and Futures Prices and the Law of One Price
Aris Protopapadakis and Hans R. Stoll
(Journal of Finance, Vol. 38, No. 5, December 1983)

The Neutrality of the Real Equilibrium Under Alternative Financing of Government Expenditures
Simon Benninga and Aris Protopapadakis
(Journal of Monetary Economics, Vol. 14, Issue 2, September 1984)

Some Indirect Evidence on Effective Capital Gains Tax Rates
Aris Protopapadakis
(Journal of Business, Vol. 56, No. 2, April 1983)

An Economic Analysis of the Homeownership Decision
Peter Linneman
(Journal of Urban Economics, Vol. 17, Issue 2, March 1985)

The CAPM and Mean-Variance Efficient Portfolios Ex Ante and Ex Post Data
Irwin Friend, Randolph Westerfield and Joao Ferreira