Papers 1986

Working Papers 1986

Stock Return Anomalies and the Asset Pricing Tests: The Case of the Arbitrage Pricing Theory
M. Gultekin and B. Gultekin
(Journal of Finance, Vol. 42, No. 5, December 1987)

The Sources of the Movements in Interest Rates: An Empirical Investigation
A. Penati
(Journal of Banking and Finance, Vol. 10, Issue 3, October 1986)

Decision Intervals and Portfolio Strategy
S. Benninga and M. E. Blume

A Game Theoretic Approach to the Capital Structure and Investment Decision Problems of a Levered Firm
S. Ryu

Monopolistic Competition and the Theory of Private Money
J.G. Haubrich

See 13-86

Determinants of Capital Structure (Revision of 13-85)
I. Friend and J. Hasbrouck

Bank Deregulation, Credit Markets and the Control of Capital
G.B. Gorton and J.G. Haubrich
(Carnegie-Rochester Conference Series, Vol. 26, 1987)

Financial Intermediation: Delegated Monitoring and Long-Term Relationships
J.G. Haubrich
(Journal of Banking and Finance, Vol. 13, Issue 1, March 1989)

The Cost of Capital to Corporations in Japan and the USA
Irwin Friend and I. Tokutsu
(Journal of Banking and Finance, Vol. 11, Issue 2, June 1987)

Two-Person Dynamic Equilibrium: Trading in the Capital Market
Bernard Dumas
(Review of Financial Studies, Vol. 2, Issue 2, April 1989)

Information Disclosure and Bank Runs
A. Pennacchi

On the Assessment of Return Generating Models (Revision of 13-86)
M.E. Blume, M. Gultekin and B. Gultekin

The Role of Risk Aversion in the Determination of Equilibrium Stock Prices and their Variability
K.Y. Kim

Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data
Andrew W. Lo
(Econometric Theory, Vol. 4, No. 2, August 1988)

Optimal Contracts for Security Analysts and Portfolio Managers
Richard Kihlstom

Risk and Return Characteristics of Lower-Grade Bonds
Marshall E. Blume and Donald B. Keim
(Financial Analysts Journal, Vol. 43, No. 4, July-August 1987)

Rational Ponzi Games
Stephen A. O’Connell and Stephen P. Zeldes
(International Economic Review, Vol. 29, No. 3, August 1988)

The Effect of Implicit Deposit Insurance on Banks Portfolio Choices with an Application to International ‘Overexposure’
George Penati and Aris Protopapadakis
(Journal of Monetary Economics, Vol. 21, Issue 1, January 1988)

Optimal Consumption with Stochastic Income: Deviations from Certainty Equivalence
Stephen Zeldes
(The Quarterly Journal of Economics, Vol. 104, No. 2, May 1989)

Risk Aversion in the Not-So-Small: Beyond Mean and Variance
George Szpiro

The Failure of Ricardian Equivalence Under Progressive Wealth Taxation
Andrew Abel
(Journal of Public Economics, Vol. 30, Issue 1, June 1986)

Aggregate Savings in the Presence of Private and Social Insurance
Andrew Abel
(Macroeconomics and Finance: Essays in Honor of Franco Modigliani, 1987)

Semiparametric Upper Bounds for Option Prices
Andrew W. Lo
(Journal of Financial Economics, Vol. 19, Issue 2, December 1987)

Optimal Portfolio Choice and the Collapse of a Fixed-Exchange Rate Regime
Alessandro Penati and George Pennacchi
(Journal of International Economics, Vol. 27, Issues 1-2, August 1989)

Financial Innovation in an Incomplete Market: An Empirical Study of Stripped Government Bonds
Hiromitsu Kanemasu, Robert H. Litzenberger and Jacques Rolfo

Announcement Effects of New Equity Issues and the Use of Intraday Price Data
Michael J. Barclay and Robert H. Litzenberger
(Journal of Financial Economics, Vol. 21, Issue 1, May 1988)

The Interaction of Corporate and Government Financing in General Equilibrium
Simon Benninga and Eli Talmor
(The Journal of Business, Vol. 61, No. 2, April 1988)

Determinants of Capital Structure for Closely-Held Versus Publicly-Held Corporations
Irwin Friend and Larry Lang

Corporate Dividend Payout Policy (Revised: 4-88)
Jean Crockett and Irwin Friend
(Review of Economics and Statistics, Vol. 70, No. 4, November 1988)

M.E. Blume and Irwin Friend
Recent and Prospective Trends in Institutional Ownership and Trading of Exchange and OTC Stocks